Louie Woodall
RiskNet
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Past articles by Louie:
Most EU banks use historical simulation approach to VAR
Few lenders favour Monte Carlo or parametric methodologies → Read More
Model change pumps up Deutsche’s VAR capital charge
Switch to historical simulation approach increases requirement by 71% → Read More
Too much of a good thing? Banks mull over excess deposits
Surge in non-operating deposits leaves banks with a severe hangover → Read More
EBA faces backlash over ‘green asset ratio’
Bankers reject proposed climate risk measure as flawed and even ‘dangerous’ → Read More
Top US banks’ market risk charges surged in 2020
Citi ended year with highest charge of the G-Sibs, at almost $9 billion → Read More
XVAs ate $401m of JP Morgan’s revenues in 2020
Credit valuation adjustment on derivatives cost $337 million alone → Read More
SOFR swaps traded volume hit new high in January
In January, $222.7 billion of swaps linked to the secured overnight funding rate (SOFR) changed hands, the highest notional volume on record, surpassing last October’s total by more than $5 billion. The majority of SOFR-linked instruments traded last month were swaps covering the basis between SOFR and other floating rates, like Libor. Overnight index swaps (OIS) were the second-most traded,… → Read More
How buy-to-hold accounting shuffle boosts US bank capital
Banks gamble shrinking AFS portfolios will bring down stress capital buffer, G-Sib surcharge → Read More
EU Covid policies resurrect sovereign doom loop fears
Italian banks could see holdings of home country debt increase to 17% of their total assets → Read More
PNC to be king of US regional banks after BBVA tie-up
Merger unlikely to tip PNC into too-big-to-fail category → Read More
G-Sibs see little sign of relief on Fed’s systemic buffer
Central bank liquidity and Treasuries will push US firms into higher G-Sib buckets → Read More
Cleared CDS volumes surged in H1 – BIS
Notional amounts of cleared credit default swaps (CDS) surged 25% to $5.29 trillion over the first half of 2020 – the biggest jump in a decade, data from the Bank for International Settlements (BIS) shows. Cleared contracts as a share of total outstanding amounts hit 60%, up from 56% in the second half of 2019. It’s the fastest clearing rates have risen since H1 2017. CDS index derivatives (CDX)… → Read More
EU insurers’ fund holdings battered by Covid in Q1
Total asset portfolios declined 6% through Covid shock → Read More
The long-term effect of Covid-19 on market risk capital
Covid-19 has replaced the global financial crisis in some banks’ stressed VAR calculations → Read More
How Deutsche shrank its systemic footprint
Last year, German giant Deutsche Bank was downgraded as a systemic threat to the global financial system. Data from the European Banking Authority (EBA) for 2019 shows how the lender has continued to offload assets and cut intra-financial system ties in an ongoing bid to reduce its systemic risk score and its associated capital add-on. Over the six years to 2019, Deutsche has reduced the… → Read More
US banks’ corporate default indicators worsened in Q2
Median probability of default increases 38bp to 1.7% on the quarter → Read More
Global banks’ derivatives assets hit $4.4tn in Q1
Market values leapt 43% over the first three months of the year → Read More
Data error inflated Wells Fargo’s op risk capital by $5 billion
Sharp fall in Q1 RWAs followed removal of duplicate data → Read More
Count them in? Big US banks mull PCAF carbon standard
BofA, Citi and Wells Fargo looking to adopt emissions standard popular with EU lenders → Read More
Margin calls on eurozone funds increased fivefold in March
ECB data shows some funds faced liquidity squeeze as VM calls flooded in → Read More