Leverage
Singaporean banks see surge in systemic risk indicators
2024 figures show underwriting activity spike across the board
SLR relief for Treasuries would lift median banks’ ratio by 57bp
Charles Schwab and Goldman Sachs set for biggest boost if Covid-era relief returns
SRT markets kick US banks’ caution to the kerb
Market for capital relief trades continues apace despite US banks’ reluctance to offer leverage
Norinchukin’s repo retreat brings SFT exposures to four-year low
Japanese bank slashes gross SFT assets 54% in Q4, accelerating pullback from repo market to bolster capital
Funding arbitrages and optimal funding policy
Stochastic control can be used to manage a bank’s net asset income
Millennium risk manager defends leverage in basis trade
“Gross notional measures don’t equate to market risk,” says Scott Rofey
Eleven of 14 G-Sib indicators hit all-time highs
Surging complexity marked 2023, tempered by slower gains overall
BofA sets its sights on US synthetic risk transfer market
New trading initiative has already notched at least three transactions
FSB exec dismisses leverage cap proposals for NBFIs
Tackling excessive leverage requires a nuanced approach instead of a broad cap, says Martin Moloney
Nine jurisdictions yet to finalise Basel III rules
Turkey and South Africa worst laggards, with no final drafts published
SocGen closest to TLAC minimum among G-Sibs
Gap between bail-in funds and required amounts narrows at Canadian lenders; Wells Fargo buffer smallest in US
FICC captures record share of US MMF repos
Fed facility sees continued outflows as funds redirect assets
Triggers of August market ‘flare-up’ still in place, BIS warns
Leveraged positions remain at risk of sudden unwinding, as margin calls play amplifying role
US G-Sibs’ SLR exposures top record for second consecutive quarter
Aggregate leverage exposures up $455 billion in H1
SocGen’s TLAC ratios drop following senior preferred debt exclusion
Bank’s decision to waive CRR option pushes bail-in funds to lowest since 2020
Nomura’s market risk jumps ¥800bn in Q2
Yen depreciation and rising default risk drive RWAs to record high
Bridging the gap risk reloaded: modelling wrong-way risk and leverage
A model extends the counterparty risk calculation to include nonlinear and complex portfolios
HSBC North America breached leverage ratio minimum in latest DFAST
Ratio of UK bank’s US subsidiary ended stress test 20 basis points below regulatory threshold
Weighting for leverage
A credit exposure model for leveraged collateralised counterparties is presented
BBVA’s takeover of Sabadell would shrink its leverage ratio
New entity would have lowest ratio since 2020
Japanese banks’ leverage ratios keep rising as BoJ relief becomes permanent
Norinchukin reaps largest benefit on eve of Covid-19-era exemption being made permanent