Systemic risk
BofA, JPM face 50bp increase in G-Sib surcharge
Surge in systemic indicators puts banks on track for 3.5% and 5% add-ons in 2027
Regis-TR and the Emir Refit blame game
Reporting overhaul was marred by problems at repositories, prompting calls to stagger future go-live dates
The Emir error reports that cost banks millions
Dealers lambast onerous EU requirement to notify clients of all errors and omissions
Global banks boost Level 3 assets to new highs
European lenders and UBS-Credit Suisse merger fuelled rise in hard-to-value instruments in 2023
G-Sib cross-border risk drops to four-year low
Two-thirds of systemic banks saw systemic indicator decrease in 2023
Thirteen EU banks face loan losses of more than 16% from green switch
Climate stress test predicts overall bank losses of 6%, rising to 11% under adverse scenarios
We will shock you: a coherent Bayesian approach for stress testing
The authors propose a novel coherent Bayesian stress test method which preserves the mathematical properties of the risk measures.
Post-UBS takeover, Switzerland sees biggest regional G-Sib score spike
Credit Suisse acquisition pushes UBS’s complexity category to all-time high, driving up country’s overall score
Fed’s stricter G-Sib scoring punishes BofA, Goldman
Duo’s method 2 capital requirements will diverge further from those entailed by Basel’s methodology
Snap! Derivatives reports decouple after Emir Refit shake-up
Counterparties find new rules have led to worse data quality, threatening regulators’ oversight of systemic risk
Barclays dethrones JP Morgan as largest OTC derivatives dealer
UK bank’s notionals surged 12.6% to $49 trillion in 2023, G-Sib indicators show
Substitutability cap keeps JP Morgan out of top G-Sib bucket
Uncapped systemic risk score grows to highest level on record
Eleven of 14 G-Sib indicators hit all-time highs
Surging complexity marked 2023, tempered by slower gains overall
Crédit Agricole headed for 1.5% G-Sib surcharge in 2026
French bank’s surging G-Sib score puts it past Deutsche in latest systemic risk assessment
Cumulative accuracy profile curves for correlating collateralized debt obligations to systematic factors
This paper proposes a means to calibrate the correlation for paper issued by a collateralized debt obligation is included in a general credit portfolio of corporate bonds.
EU dealers added €38bn of Level 3 assets in 2023
Groupe BPCE, DZ Bank led accumulation of mark-to-model instruments
UniCredit-Commerz merger could spawn sixth-largest EU G-Sib
Analysis of banks’ risk indicators suggest combined entity could have larger systemic footprint than ING and BPCE
American Express set to become category III bank
Payment card lender to be subject to stricter capital, liquidity and prudential requirements from next quarter
US systemic banks’ use of STWF hits record high
BofA, Citi, Goldman and JP Morgan hit new peaks
Chicago Fed research points to systemic risk from private credit
Life insurers that have tripled exposures could face a liquidity squeeze, say economists
Basel war on window-dressing may smooth liquidity, at a price
Changes to G-Sib charge could curb year-end repo volatility, but also cut balance sheet capacity