Risk Quantum
Swap books swell at big US banks despite lower risk profile
Total OTC derivatives notional among the eight banks is $222 trillion – a 2% increase on the quarter
US banks' VAR-based charges drop in Q2
The average decrease in the VAR-based capital requirement across the eight US G-Sibs was 10.4%, compared with a 23% increase in the first quarter
JP Morgan cuts op risk RWAs by $12.5 billion
Operational RWAs down to $387.6 billion from $400 billion in the second quarter
Swiss banks’ market risk drops by $12 billion
Lower risk levels drive quarter to quarter fall
BNP Paribas grows SFT assets 36%
French bank has overtaken Barclays to become the largest European SFT dealer
LCR gap between EU and US banks widens further in H1
State Street had the lowest LCR, at 108%, and UniCredit the head of the pack with an LCR of 179%
VAR switch may explain $500 million capital hike at Wells Fargo
Change in stress period drives 15% increase in market risk capital requirement
Japanese corporates boost forex hedging
Notionals traded highest since end-2012
US banks curb market risk
G-Sibs cut $31 billion of market RWAs in three months to June
A third of eurozone banks fall short on IRB model standards
Twenty-one of 65 ECB-surveyed banks' internal model practices non-compliant with EU rules
Goldman adds bilateral derivatives as rivals cut back
Citi and JP Morgan cut bilateral derivatives exposures by 10% and 2% respectively
EU bank leverage increases in H1
Average leverage ratios degrade 19 basis points in six months to June