Leverage
Was Archegos default a one-in-a-million event?
BoE quant says neglecting high leverage and WWR may create conditions for similar blow-ups
Collateralised exposure modelling: bridging the gap risk
Concentration, leverage and correlations may affect a collateralised equity swap portfolio
ECB ratchets up Pillar 2 charges across top lenders
UniCredit, BNP Paribas, SEB and Swedbank worst-hit in latest SREP round
Pricing in the gap risk of mini-futures
Mini-futures need to be priced and hedged taking sudden jumps into account
Japan dealers’ derivatives exposures keep inflating
MUFG, SMFG and SMTH added almost ¥6 trillion to their balance sheets in the three months to end-September
Global banks’ systemic footprint grew at record pace in 2021
Every indicator up on previous year, only the second time in G-Sib assessment history
Cross-border risk dominates 2022 G-Sib scores
Overseas lending and borrowing largest contributor to scores of banks in Canada, EU, Japan, Singapore, Switzerland and UK
Barclays, Deutsche, Credit Suisse take $437m hit on leveraged loans
Higher interest rates eroded value of facilities stuck in pre-syndication during Q3
Hong Kong, India, Turkey lag behind on Basel III framework
Only Canada, Japan and Saudi Arabia ready for full implementation as January deadline approaches
European banks set for 17.5% capital hike under Basel III
Output floor could account for almost half the increase in Tier 1 capital requirements by 2028
BoE intervention whipsaws pension funds that dumped hedges
Unhedged funds saw liabilities rise by up to 20% when rates pulled back
Keep risk parity simple, stupid
In times of volatility, simpler risk parity strategies may outperform more elaborate counterparts
BNY Mellon, Schwab would benefit most from SLR relief
A repeat of the pandemic carve-out would boost average ratio across US banks by 45bp
EU banks’ leverage ratios slip as ECB relief ends
Lenders still carving out central bank balances in March saw ratios drop 60bp on average
Top Fed watchdog supports non-bank Sifi designation
Vice-chair Barr complains regulators lack “even basic data” on some areas of shadow banking
Credit checks, what credit checks? How crypto lending ate itself
Collapse of hedge fund Three Arrows Capital exposes “sloppy and irresponsible” credit standards among crypto lenders
SEC commissioner wants power to block single-stock ETFs
Listings of funds that pay out when Tesla or Pfizer shares fall prompt call for tougher regulation
Hedge funds warn SEC dealer rule is ‘unenforceable’
Private funds say they are collateral damage of poorly drafted push to regulate PTFs
Fed ‘tailoring’ led to larger, less capitalised regional US banks
Lenders freed from toughest requirements in 2018 grew balance sheets but saw capital ratios slip
Credit Suisse goes off piste in latest DFAST
US unit of Swiss bank underestimated leverage hit in Fed stress test
HSBC exhausts leverage headroom in Fed stress tests
Goldman Sachs worst performer among US banks
FSB warns on Archegos-style leverage
Isda AGM: Knot takes dim view of banks piling up leverage blind
How to model potential exposure, post-Archegos
BofA quant’s model considers the correlation between market shocks and counterparty defaults
Credit Suisse cuts leverage exposure by $11.5bn
CET1 leverage ratio remained flat over Q1 as drop in capital more than offset cuts in prime brokerage business