Systemic risk
Contagion can spread via cross-asset links, ECB study shows
Research throws more light on the hidden risks of central clearing
Giant US banks outgrew smaller rivals in Q1
Banks over $10 billion in size also saw Tier 1 leverage ratios fall furthest
Esma’s move on hedge fund leverage worries industry
Critics say proposed guidelines rely on patchy data and inconsistent calculations
Sold CDS notionals climbed 16% at top US banks in Q1
Net fair value of credit protection positions vaults to $5.3 billion
Mark-to-model assets surge at top US banks in Q1
Level 3 instruments hit an aggregate $137 billion among banks over $100 billion in size
Esma calls for full audits of cloud providers
Regulator says firms must negotiate access rights to books and premises of providers
Cash flood expanded systemic footprint of top US banks
Intra-system liabilities up 26% in Q1
Cross-border investing boosts contagion risk, study finds
More countries now capable of triggering a wider crisis
Systemic riskiness of top US banks increased in Q1
JP Morgan’s systemic risk score increased enough to attract a 4% capital surcharge
European lawmakers urged to prevent CCP contagion risk
Watchdog says carve-out needed in new recovery and resolution rules to avoid cascading default of clearing houses
Of rats and men: would member compensation imperil CCPs?
CCPs and members split over whether compensation after default losses is moral hazard or fair
Quantifying systemic risk using Bayesian networks
Creditworthiness of individual entities may offer an insight into systemic risk of financial markets
‘Fallen angels’ pose little threat to EU funds
Passive fund outflows in a credit crisis would put pressure on high-yield bond prices
EU insurers increase derivatives holdings
Greater interest rate swap values push up interconnectedness risk of insurance sector
Supervisory stress testing for central counterparties: a macroprudential, two-tier approach
This paper examines the role of supervisory stress testing of central counterparties (CCPs). A key message is that the design of supervisory stress tests (SSTs) should be tailored to CCPs’ roles, risk profiles and financial structures.
UK firms lead in cross-border loans to shadow banks
Entities based in the UK had 20% of outstanding global loans to non-banks
Credit assets of non-banks top $44trn
Hedge funds increase loan and bond holdings the most of shadow-banking entities
Ties between banks and non-banks at pre-crisis levels – FSB
Other financial intermediaries grow share of total financial assets to 30.5% in 2017
Growth of shadow banks slowed in 2018 – FSB
Funds susceptible to run risk make up 72% of narrowly-defined non-bank universe
When a lapse in concentration is no bad thing
Fortifying too-big-to-fail firms to withstand future crises could make the entire system more vulnerable
Loosening ties, pt 2: how US G-Sibs cut intra-system liabilities
Citi and Goldman expelled huge amounts of deposits in Q4 2017
How US G-Sibs shrink down at year-end
Derivatives exposure reductions make up bulk of year-end savings
Loosening ties, pt 1: how US G-Sibs cut intra-system assets
Goldman Sachs reduced links with other financial firms the most in Q4 2018
G-Sibs in US grow leverage exposures faster than EU rivals
HSBC saw exposures fall 2.81% in Q3