Banks
Top custody banks add record $12.7tn assets in 2021
Assets under custody and administration hit an all-time high as the Basel Committee continues its G-Sib framework review
Covid isn’t killing corporate entertaining – it’s dead, anyway
For a generation of bankers and vendors, client hospitality was part of life. But the party is winding down
Morgan Stanley curbs SA-CCR impact on core ratio
Impact of early implementation far below original estimates thanks to mitigatory action
Bank of America’s VAR drops 19% in Q4
Average one-day trading VAR falls to lowest point since Q1 2020
The bank, the vendor, the turrets and the golf day
After DBS switched supplier, a row broke out, raising questions about entertainment and influence
SA-CCR switch pushes Goldman below Collins floor
Early adoption at the end of 2021 adds $15 billion of RWAs
Bank-sourced transition matrixes: are banks’ internal credit risk estimates Markovian?
This study explores banks’ internal credit risk estimates and the associated banksourced transition matrixes.
Citi bolstered CET1 ratio on eve of SA-CCR switch
Standardised RWAs dropped 5% in Q4, boosting the bank’s core ratio by 55bp
New model simplifies loan-loss forecasts. Some say it’s too simple
Modelling approach devised by Commerzbank quant promises to ease computational burden, but may not suit complex portfolios
Counterparties clash over ‘dirty’ CSAs
Dealers and clients struggle to agree optionality value of posting bonds in cash-and-bond CSAs after Eonia conversion
Interest rate swap activity surges ahead of Fed tightening
Counterparty Radar: Managers react to fastest rise in inflation in three decades
Pimco, Capital Group lead expansion of index CDS market
Counterparty Radar: Total positions reach new high driven by growth of swaps referencing CDX NA IG
Morgan Stanley on heels of Goldman in Q3 CDS data
Counterparty Radar: Sold protection, corporate names fuel growth in US funds’ single-name books
US mutual funds paused inflation bets in Q3
Counterparty Radar: Uncertainty over inflation appears to have dampened trading activity
Swaps between UK banks and foreign firms up in Q3
Despite latest uptick, gross value of derivatives contracts held by UK banks is 67% below 2008 peak
Morgan Stanley solidifies forwards lead as Citi and BNP slip
Counterparty Radar: Non-G10 pairs regain momentum despite dip in total positions in Q3
Customer churn prediction for commercial banks using customer-value-weighted machine learning models
In this paper the authors propose a framework to address the issue of customer churn prediction, and they quantify customer values with the use of an improved customer value model.
SMFG reports highest power sector emissions intensity
Across all systemic banks, only eight dealers disclose their GHG emissions for this field
EU banks with thinnest buffers tap heftiest IFRS 9 capital add-backs
EBA data shows lenders whose capital benefitted most from transitional loan-loss relief also have skinniest CET1 capital ratios
China regulation: the path clears slowly
Co-ordination among Chinese regulators has improved, but new data law shows continued tensions
TLAC buffers up at all but three systemic US banks
BNY Mellon, Citi and Wells Fargo saw their headroom shrink from a year ago
Systemic banks: black boxes on green issues
Less talk and more action needed around climate disclosures linked to carbon emissions
Risks building at Goldman and Wells Fargo
RWA density edged higher at two dealers in the third quarter
Agency problems in multinational banks: does parent complexity affect the risk-taking of subsidiaries?
This paper empirically reviews the relationship between the geographical complexity of parent-groups and the risk-taking behavior of subsidiaries using a panel of data for Polish domestically owned and foreign-owned banks covering the years 2008–17.