Data
Nordea’s IMA RWAs climb 11% in Q2
Relentless rise in VAR keeps pushing up bank’s market charges
Goldman Sachs’ VAR averaged record $124m in Q2
Trading risk indicator surged past early pandemic readings
Citi, BNY Mellon escape Collins floor
Both banks return above the threshold after just two quarters
JP Morgan takes $14bn AOCI capital hit
Q2 loss from fair-value securities book was largest in 16 years
Fed ‘tailoring’ led to larger, less capitalised regional US banks
Lenders freed from toughest requirements in 2018 grew balance sheets but saw capital ratios slip
DFAST 2022 leverage results widest in four years
Distribution of post-stress leverage ratios sees expanding gap between top and bottom performers
FCM client margin for F&O hit all-time high in May
But concentration among top 10 broker-dealers continues to shrink
US deposits from Russia hit record $43.5bn after invasion
Rush to stash cash followed walling-off of Russian financial system by sanctions
Credit Suisse goes off piste in latest DFAST
US unit of Swiss bank underestimated leverage hit in Fed stress test
Share of required margin increases at top EU CCP members
Number of clearing members with total requirements of €10bn and above has been increasing since 2017
Russian corporates stashed cash at EU banks in Q1
Deposits from non-financial corporations increased 36%, while Moscow’s central bank cut balances by 28%
Foreign banks outperform US peers on DFAST
Intermediate holding companies reported higher post-stress capital and leverage ratios under the Fed’s severely adverse scenario
Japan’s GPIF divests $1.5bn in Russia-linked assets
Pension fund cut exposure to country by 95% in the 12 months to March
Fair value gains give JP Morgan DFAST edge
Bank was only one to record bigger capital lift from AOCI by end of test’s horizon
Options expiry triggered $135m liquidity shortfall at NSCC
The CCP collected supplemental liquidity deposits six times during the first quarter
BofA, Citi among hardest hit in latest Fed buffer review
Five out of eight US systemic banks face higher stress capital buffer add-ons
US banks underestimate loan losses in Fed stress test
Systemic lenders predict 34% lower hit to their loan books in latest DFAST exercise
HSBC exhausts leverage headroom in Fed stress tests
Goldman Sachs worst performer among US banks
Client margin at Wedbush unit up 46% in April
Futures and options clearing unit saw largest monthly increase across all FCMs
Euro, dollar-denominated ETDs boomed in Q1
But diverging demand for futures and options points to uncertainty on Fed and ECB timings
At JSCC, required initial margin up 20% in Q1
The bulk of the increase came from members of the clearing service covering ETPs
Nationwide’s IRB charges up 89% on PRA’s parameter curbs
The building society’s strict focus on mortgages meant impact was all-sweeping
Initial margin at Ice Europe up 15% over Q1
IM held against F&O positions hit all-time high, as number of margin breaches nudged higher
Norinchukin’s capital dented by crashing bond prices
The bank lost three percentage points of CET1 ratio in Q1 as contribution from AOCI halved