Risk Quantum/Mizuho Financial Group
FRTB may bite harder for Europe’s CVA modellers
Farther reach of advanced approach and lighter load on total requirements mean limited takeaways from Canada and Japan’s implementation
Mizuho faces steepest capital squeeze from Basel floor
Fully floored RWAs would cut core capital ratio by 244bp, the sharpest drop among Japanese megabanks
Marex leapfrogs three FCMs with record F&O margin
New clients, trading activity surge and higher margin rates drive increase at UK broker
Mizuho Americas has highest non-core funding ratio of any US bank
High-level measure of duration mismatch is three times that of next bank, BNP Paribas USA
Japanese banks far apart on credit model efficiency under Basel III
MUFG lowered credit and CCR charges the most among country’s top dealers
Norinchukin’s paper losses double to record high
Latest AOCI fluctuation knocks 29% off CET1 capital
Japanese banks reap ¥9trn RWA savings from FRTB switch
Tokyo’s dealers fare better than overseas rivals on new CVA and market risk approaches
US banks’ non-core funding dependence ratio jumped in 2023
BHCs’ aggregate figure almost doubled to post-pandemic high last year
Japanese banks’ leverage ratios keep rising as BoJ relief becomes permanent
Norinchukin reaps largest benefit on eve of Covid-19-era exemption being made permanent
Goldman, Barclays, MUFG reap largest G-Sib score cuts
Compressions driven by reductions in complexity and cross-border activity