Banks
IRB risk-weights highest at smallest EU banks – ECB
Lenders with less than €30 billion in assets consistently report lower risk densities than bigger banks across all modelled portfolios
BNY Mellon, Goldman join Citi in escaping Collins floor
Outpaced drop in standardised RWAs pushes banks above threshold – but custodian only bank to reap benefits
Bucking wider trend, Citi’s cash trove ends 2022 up 31%
Liquid balances surged 14% in the last quarter of the year alone
EU G-Sibs outpace non-systemic peers on Level 3 asset growth
Increase in mark-to-model holdings threatens to inflate too-big-to-fail lenders’ systemic profile
JP Morgan nets $1.9 billion bond book gain in swift turnaround
Q4 reversal in fair-value securities powers record quarterly increase in CET1 capital
Digital banks: harnessing technology to deliver growth
In their relatively short lives, digital banks have needed to navigate some choppy waters, but the stormy economic outlook for 2023 could mean the roughest seas are yet to come. Weathering the storm will require digital banks to make astute technology…
Client margin for swaps drops to virtually zero at Credit Suisse
Required funds posted to the bank’s US clearing unit totalled $12 at end-2022
Client margin for swaps hits new record at four FCMs
Required funds at all-time high at BofA, Goldman, JP Morgan and Barclays in November as market turbulence persists
ECB ratchets up Pillar 2 charges across top lenders
UniCredit, BNP Paribas, SEB and Swedbank worst-hit in latest SREP round
FSB: third of climate stress tests not tackling physical risk
Six jurisdictions conducted exercises only for transition risk
PGIM cuts corporate CDSs as US funds shed volume
Counterparty Radar: Morgan Stanley retains top dealer spot in single-name CDS trades for mutual funds
Merrill Lynch hoovered up $1.5bn of client margin in October
Required funds for F&O rose 66%, bucking trend across major FCMs
F-IRB captured more of EU banks’ credit risk in H1
Gains mostly accrued from bank-modelled A-IRB portfolios
Booming US fund swaptions market boosts Morgan Stanley
Counterparty Radar: Nomura cements position as leading foreign-owned dealer in the space
Rifts widen across EU banks’ trading results
Largest fair-value hits from HFT assets moved further from median in H1
UK banks’ CVA charges ballooned by £8bn in volatile Q3
Bank of England figures show capital requirements at highest since early pandemic readings
Capital Group, Pimco lead tilt to bought index CDSs
Counterparty Radar: US mutual funds added $7.8bn of bought protection, growing sector to $169bn in Q3
Client margin up 4% at Barclays’ swaps clearing unit
US unit of UK bank became sixth FCM by share in October
US banks’ loss-to-VAR ratios fell in Q3
Largest daily trading losses were on average 84% of forecast, compared with 105% in Q2
Capitolis president steps down after round of lay-offs
Latest exit follows departure of senior figures in the capital marketplace business, where volumes have tanked
What happens when a bank drops off the systemic risk radar?
Russia’s Sberbank skipped this year’s G-Sib assessment. But just because a bank is invisible doesn’t mean it no longer poses a risk
‘Holes’ in new UK regulatory net worry trading venues
Regulated venues say rival firms might unfairly escape oversight in activities such as blocking trades and price aggregation
Global banks’ systemic footprint grew at record pace in 2021
Every indicator up on previous year, only the second time in G-Sib assessment history
Assessing systemic fragility: a probabilistic perspective
Using new measure of systemic fragility, the author ranks euro area banks and sovereigns and according to their systemic risk contribution.