At Citi, Goldman larger OTC swaps books drive up systemic risk scores

Increase in trading and available-for-sale securities bump systemic risk scores higher at BofA and JPM

Expanding over-the-counter derivatives books at Citi and Goldman Sachs inflated their systemic scores more than any other indicator used by the Basel Committee to assess banks’ systemic risk, Risk Quantum analysis shows.

Citi reported notional amounts of OTC derivatives of $41.4 trillion at end-March, up 14.7% from three months earlier. The increase added eight basis points to the bank’s systemic score, against an 11bp increase from all other indicators combined. The OTC derivatives component

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact or view our subscription options here:

You are currently unable to copy this content. Please contact to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to View our subscription options

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here