Articles by Joshua Walker
HSBC’s VAR up by a third amid methodology change
Duration risk behind latest spike as bank switches to 10-day holding period
BNPP transfers €8bn of liabilities to Level 3
Revision in level-setting responsible for biggest net transfer in at least eight years
Nomura’s market risk jumps ¥800bn in Q2
Yen depreciation and rising default risk drive RWAs to record high
RBI’s VAR spikes on FX fluctuations
Ruble trouble sends market RWAs up €1.4bn
Barclays overtakes BofA on client margin for swaps
July figures make FCM fifth-largest by total margin in the US
NatWest securitisation RWAs hit record high in Q2
Higher amounts of significant risk transfers originated by the bank behind latest increase
American Express set to become category III bank
Payment card lender to be subject to stricter capital, liquidity and prudential requirements from next quarter
Four EU banks forecast capital hits from final Basel III reforms
BNP Paribas only dealer to disclose hit from FRTB
US bank trio loads up on AFS securities in Q2
PNC, State Street and US Bancorp see double digit rises
US banks’ stress test accuracy worsens in DFAST 2024
Gap between Fed’s and large dealers’ projections widens to six-year high
US banks’ performance in latest DFAST worst in six years
Fed blames higher credit card delinquencies, riskier corporate lending and lower revenue
Six CCPs fail to cover concentration risk in Esma stress test
Largest shortfalls modelled in commodity derivatives segment, led by Ice Clear Europe ECC
DB USA’s stress test estimate deviates from Fed’s by record amount
US unit of German bank underestimated capital and leverage hit in latest DFAST
CCPs vulnerable from reverse repo investments – Esma
European watchdog flags risks of uncovered exposure during liquidity stress event
DFAST 2024: IHCs outperform US banks despite steeper CET1 ratio decline
US subsidiaries of Deutsche Bank, UBS and RBC lead intermediate holding companies in biggest capital requirement drops
HSBC North America breached leverage ratio minimum in latest DFAST
Ratio of UK bank’s US subsidiary ended stress test 20 basis points below regulatory threshold
Eleven banks fall below buffer requirements in latest DFAST
Goldman Sachs worst performer among 31 participating banks, with 450bp gap between stressed CET1 ratio and all-in capital requirements
Shift to SEC-SA pushes Helaba’s charges for securitisation exposures to record high
Standardised RWAs account for 63% of the bank’s total following fivefold increase
Ice Europe’s liquid resources up 27% under new model
More comprehensive stress-testing model pushes highly marketable collateral to record high in Q1
CIBC’s VAR hits highest since 2008 amid interest rate risk surge
Client and market-making activities responsible for 44% increase
Default funds at CME, JSCC and OCC grew to record levels in Q1
CCPs’ skin in the game fails to keep pace with member contributions
Open position concentration hits record high at top CCPs
LCH, Nasdaq and Eurex report biggest quarterly jumps among 16 clearing houses
JSCC’s initial margin soared as Japan’s stock market hit record high
Higher demand for exchange-traded products pushed requirements up in Q1
JSCC, ASX see hypothetical stress loss breaches in Q1
Single-member default in worst-case scenario would have exceeded available resources