Page 49 - Isk Quantum News Today

Finma add-on inflates Credit Suisse’s credit RWAs The Sfr5.8 billion additional capital buffer accounts for two-fifths of bank’s quarterly increase Print this page   Credit Suisse’s credit risk-weighted assets (RWAs) increased by Sfr13.7 billion ($15.2 billion) in the first quarter, after the Swiss regulator imposed a temporary add-on in response to the Archegos Capital blowout. Credit RWAs hit a 12-month high of Sfr148.4 billion at end-March, up 10% from the previous quarter...

JP Morgan led the top US banks in increasing their stock of US Treasuries and excess reserves

On average, the UK leverage ratio of the top five lenders stood 80bp points higher than the CCR iteration in Q1

In aggregate, US G-Sibs racked up 355 profit-making days over Q1

The increase was largely due to higher VAR and SVAR measures

Risk.net The eight US G-Sibs reported total assets of $14.2 trillion, up 5% quarter on quarter Print this page   Three US global systemically important banks (G-Sibs) – State Street, BNY Mellon and Citi – became more risky in the first quarter of the year, Risk Quantum analysis shows. State Street’s risk-weighted asset (RWA) density – calculated as standardised RWAs divided by total assets – rose the most, hitting 39% at end-March, up from 37% the previous quarter. The B...

A volatile 2020 pushed more single- and multi-name contracts to central counterparties

Foreign exchange derivatives were largely responsible for the overall increase in fair values in the second half of last year

Risk.net Print this page   Commerzbank expanded its balance sheet by €37.2 billion ($45 billion) in the first quarter of the year, causing its leverage ratio to fall.  As calculated under the European Unions Capital Requirements Regulation (CRR), Commerzbank’s leverage ratio dropped 29 basis points to 4.66% quarter on quarter.  CRR leverage exposure, the ratio’s denominator, increased 6.9% to €578.6 billion in the first three months of the year. Over the same period, Tier...

Risk.net Print this page   ABN Amro saw its market risk capital charge rise 54% to €164 million ($198 million) in the first quarter, as the bank ratcheted up the multipliers applied to its value-at-risk (VAR) and stressed VAR components to 3.25x and 3.5x from 3x, respectively.  The European Central Bank imposed the higher multipliers following its review of the bank’s in-house risk modelling. As a result, its charge rose by €12 million over the first three months of the year...