Systemic risk
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
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
One-tenth of US banks exceed CRE concentration thresholds
US supervisors face operational challenge with constellation of 536 lenders above risk benchmarks at end-2023
US banks’ non-core funding dependence ratio jumped in 2023
BHCs’ aggregate figure almost doubled to post-pandemic high last year
Smaller US banks hold over half of CRE loans
Lenders under $50bn in assets reported record $1.7 trillion of exposures at end-2023
Zero-day options: unique market dynamics and risk considerations
In a recent Risk.net webinar, experts discussed the growth and usage of 0DTE options, challenges in modelling their prices and risks, practical risk management issues and whether they pose systemic risks to the market.
Capital One puts OCC’s tough stance on mergers to the test
Proposed Discover deal should be approved but will go under the microscope, ex-regulators say
BofA, Citi, JPM slash $18trn of derivatives in latest window dressing effort
Systemic indicator reduction in Q4 keeps lid on trio’s capital surcharges
EU index managers face funding risks as US moves to T+1
Rotations from European to US assets will need prefunding due to slower EU settlement
Six US G-Sibs face higher surcharges under Fed’s proposals
Goldman and BNY Mellon only top banks to escape increase, analysis shows
Goldman faces higher 3.5% G-Sib surcharge in 2026
50bp step up in capital add-on looms after dealer’s systemic footprint rose to a record high in 2023
US dealers slam capital hit on clearing for unreal CVA risk
Fed would diverge from Basel standards by imposing CVA capital on client-cleared trades
Fears of runaway risk on offshore reinsurance
Life insurers catch the eye of UK regulator for pension buyout financing trick
Shock EU expansion of clearing mandate may hook more funds
Last-minute change to Emir 3.0 would include cleared contracts in threshold calculation