Systemic risk
Six US banks grow systemic footprints
BAML and Citi climb into higher G-Sib surcharge buckets
Cleared swaps surge $6.6trn at US G-Sibs in Q2
Cleared swaps accounted for 54% of G-Sib notionals in Q2
EU banks increase systemic footprint
Values used for seven of 12 systemic risk indicators climb year-on-year
Derivatives up $4.9trn at HSBC in H1
Swollen portfolio could push bank into higher G-Sib surcharge bucket
Gaps emerge in US plan to regulate non-bank systemic risk
Former regulators say FSOC may struggle to measure systemic risk in repo, loan markets
Non-banks muscle in on UK financing
Non-banks account for 51% of total financial sector assets
Default cascades and systemic risk on different interbank network topologies
This paper examines the relationship between the topology of interbank networks and their ability to propagate localized, idiosyncratic shocks across the banking sector via banks’ interbank claims on one another.
Ties between EU insurers and banks vary by country
Estonian, Cypriot and Swedish insurers most exposed to banking sector
US parries EU jab on CCP oversight
CFTC’s Pan questions Esma’s “very complex” test; EC’s Pearson calls it “more intelligent” than US’s
Fire sales turn a crash into a crisis, simulation shows
‘More realistic’ core-periphery model leads to wipeout of network if several nodal banks default
Barclays, HSBC, StanChart saw Level 3 assets rise 10% in 2018
Transition to IFRS 9 may be behind the increase
Systemic US banks’ overseas loans top $3trn
Citi leads large US dealers with almost $1trn of foreign claims
Non-systemic US banks shy away from short-term funding
Mid-sized non-G-Sibs have average STWF score of just 17.1%
US mid-sized banks pile into intra-financial system assets
Non-G-Sibs over $100 billion in size hold 85% more of other banks’ assets than in 2014
Machine learning governance
The ability of machine learning models to read great quantities of unstructured data, spot patterns and translate it into actionable information is driving a significant uptake in the technology. David Asermely, SAS MRM global lead, highlights the need…
Giant EU banks grow asset share over four years
Share of assets held by five largest banks in the median EU member state hits 65%
Citi, Goldman, State Street add $685m of complex assets
Private equity, asset-backed security and loan holdings drive increase in Level 3 instruments
Eurozone insurers’ bets on alternatives raises systemic risk
Dutch firms have more than 25% of total assets tied up in non-traditional investments
Eurozone systemic risk diminishes
Yet jumbo exposures to other banks dominate intra-system assets
G-Sibs add $33trn of OTC notionals in Q1
JP Morgan expands swaps book by 23% in first quarter
Systemic risk scores surge at six US G-Sibs
JP Morgan and Goldman Sachs bump up against higher-risk surcharge thresholds
US mid-sized banks may bulk up. (Is that safe?)
The crisis over a decade gone, the Fed’s ‘tailoring’ proposal will greatly relax rules on the mid-tier
Deutsche Bank's asset cull to lower systemic risk buffer
G-Sib surcharge could drop to 1.5%; leverage ratio to 3.75%
HSBC's systemic risk indicator amounts grow
UK lender is just 20bp short of 2.5% capital surcharge bucket