Risk Quantum/HSBC
HSBC, Mizuho, US Bancorp ensnared by endgame CVA rule
Notional-based backstop leaves most banks exempt from capitalising non-cleared trades
RBC US inches towards category III status on assets build-up
Canadian lender’s US subsidiary on course for stricter liquidity and leverage requirements in Q3
US banks notch most VAR overshoots since pandemic
Dealers’ gauges underestimated trading inventory price swings on 34 occasions during Q2
Barclays logs five VAR breaches amid tariff turmoil
Bank’s regulatory VAR model loses green status for the first time since 2018
Hong Kong CRE drives rise in HSBC stage 2 loans
Model updates and HK real estate behind $24bn jump in H1
US banks record spike in trading loss-making days in Q4
UBS Americas and Stifel lead banks in worst trading quarter of 2024
Market knee-jerks keep VAR models on their toes
With a return to volatility, increased backtesting exceptions show banks’ algos are stretched
HSBC’s SVAR hits highest in six years on interest rate sensitivity
Lofty readings in the last quarter of 2024 push associated RWAs to $13 billion
Goldman chalks up highest VAR breach since pandemic
Nine breaches in total across 34 banks in Q3
HSBC’s China CRE provisions surge to cover one-fourth of book
Additional reserves and reduced exposure elevate ECL coverage for mainland portfolio