Risk
Wells Fargo’s standardised and modelled RWAs drift apart
Standardised RWAs have increased for three consecutive quarters, putting pressure on the bank’s CET1 capital ratio
JSCC member received $3bn cash call in Q3
The CCP revised its estimate of the worst-case payment obligation that would have to be met should one of its participants collapse
Credit Suisse’s US clearing unit cuts client margin by over 40%
Required segregated customer funds for swaps, futures and options down sharply since Archegos default
BlackRock’s 65% of AUM accounts for 1% of global emissions
Asset manager’s absolute emissions linked to corporate securities and real estate stood at 330.7 million tons of CO2e in 2020
At LCH, required IM rose over Q3
Required minimum demanded of clients increased at ForexClear, RepoClear and EquityClear, but fell at SwapClear
CME turns to Fed in rejig of liquidity pool
Central bank balances accounted for more than 70% of the CCP’s total liquidity buffer in Q3
Institutional ETF trading: innovation, efficiency and versatility fuel growth
Despite a 30-year history, exchange-traded fund (ETF) adoption still felt new and nascent in many parts of the world when this survey was first conducted in 2017. Today, ETFs are widely accepted as important tools and usage has greatly expanded among…
Systemic banks: black boxes on green issues
Less talk and more action needed around climate disclosures linked to carbon emissions
Systemic risk: Fed methodology out of sync with Basel’s
Different inputs and calculator formulae pose dual test to US banks
JP Morgan, Goldman lead US banks in cutting VAR-based charges
On aggregate, requirements connected to commodity positions fell the most, down 28% from end-June
US unit of TD Group close to a VAR breach in Q3
Largest loss-to-VAR ratio at the firm was highest among 10 US intermediate holding companies
Source of systemic risk varies by region
European, Canadian and UK banks are too big to fail because of their cross-border activities, Chinese and Japanese banks because of their size
Global banks grow systemic footprint
Nine out of the 12 G-Sib indicators increased in 2020
BoComm, Nomura and Citic near G-Sib designation
Dealers could all become members of the club next year if trend continues
Substitutability cap spares JP Morgan higher capital add-on
Three other US banks – BNY Mellon, Citi and State Street – also hit the cap in this year’s G-Sib assessment
Bank of America, BNY Mellon incur VAR breaches
The second consecutive backtesting exception for the custodian bank brings it closer to a higher multiplier
Credit risk & modelling – Special report 2021
This Risk special report provides an insight on the challenges facing banks in measuring and mitigating credit risk in the current environment, and the strategies they are deploying to adapt to a more stringent regulatory approach.
Rate of centrally cleared CDSs hits record high
Multi-name products drove increase in first half of 2021
People moves: Quarles quits Fed, CS credit team exodus continues, and more
Latest job changes across the industry
Libor basis swaps jump amid rates uncertainty
Trading in the one-month, three-month basis highlights the market’s preference for Libor
ABN Amro’s market risk drops as VAR falls 53%
Total market RWAs down 4% quarter on quarter
Prudential CRO: markets haven’t priced in tail risks
Risk USA: distribution of extreme outcomes “has gotten broader and wider”, says Nick Silitch
Data-driven execution: looking back to see forward
Reviewing favourable outcomes and attempting to replicate them is by no means a new concept across the capital markets. Portfolio managers, execution professionals and risk managers use this principle to drive their decisions, although it is really only…
PRA sets StanChart’s structural FX risk under Pillar 1 requirement
Market RWAs expected to rise $3 billion–4 billion next quarter as a result