Risk Quantum/Mizuho Financial Group
US banks’ VAR breaches up 2.5x in 2022
‘Hypothetical’ one-day losses exceeded VAR on 55 occasions, as losing trading days prevail
US banks’ loss-to-VAR ratios fell in Q3
Largest daily trading losses were on average 84% of forecast, compared with 105% in Q2
Japan dealers’ derivatives exposures keep inflating
MUFG, SMFG and SMTH added almost ¥6 trillion to their balance sheets in the three months to end-September
Norinchukin’s investment securities loss widens to $12bn
Lender is worst-hit by bond price crash among Japanese banks
BofA faces higher G-Sib surcharge, BNPP earns reprieve
Second-largest US lender assigned to 2% capital add-on bucket in latest systemic risk assessment
Client margin at Barclays hits record $27bn
Required funds rose 13% for F&Os and 8% for swaps in August
FCM client margin for F&O hit all-time high in May
But concentration among top 10 broker-dealers continues to shrink
Norinchukin’s capital dented by crashing bond prices
The bank lost three percentage points of CET1 ratio in Q1 as contribution from AOCI halved
Client margin up 43% at Mizuho’s F&O in Q1
US unit of Japanese bank overtakes Credit Suisse, Barclays, UBS and Interactive Brokers
Derivatives exposures take toll on Japan leverage measure
Leverage ratios at Mizuho, SMFG and SMTH hit multi-year lows
Mizuho’s F&O clearing unit doubled client margin in 2021
Japanese bank overtakes Credit Suisse, UBS and Interactive Brokers to become seventh-largest FCM in required margin
Credit Suisse’s US clearing unit cuts client margin by over 40%
Required segregated customer funds for swaps, futures and options down sharply since Archegos default