Leverage
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
Mind the gap
A default intensity model reveals the risk carried by a highly leveraged counterparty
Prime broker of the year: Barclays
Risk Awards 2022: Focus on risk management helps UK bank win client trust – and balances – in wake of Archegos collapse
Credit Suisse cuts leverage exposure by $52bn
Investment banking unit bears brunt of post-Archegos balance sheet trimming
Private companies ‘lack data transparency’
Investors held back over issues around data quality and availability
Investment fund leverage: the known unknowns
More work needed on first-mover redemption incentives and margin calls, says Iosco chief
Review of 2021: Default, revolt, reform
Archegos, GameStop, the last days of Libor – markets just about coped in a bleak and disorderly year
Source of systemic risk varies by region
European, Canadian and UK banks are too big to fail because of their cross-border activities, Chinese and Japanese banks because of their size
Global banks grow systemic footprint
Nine out of the 12 G-Sib indicators increased in 2020
EU banks’ derivatives exposures jumped 36% in H1
Top banks added €235bn since December, amid switch to SA-CCR and a new leverage ratio template
BNP Paribas leads EU banks on repo exposures
French bank increased securities financing transactions by €66bn in the first half of the year, the most among the bloc’s top lenders
Off-balance-sheet exposures at US systemic banks jump $42bn
JP Morgan, Goldman Sachs and Citi drove the overall increase in the second quarter