Nomura understated VAR capital charges by 13% in H2 2020
VAR RWAs should have been ¥122 billion higher than originally stated at end-December
Nomura understated its market risk from securities financial transactions in the last two quarters of 2020, reporting value-at-risk based capital requirements 13% lower than their actual levels.
The Japanese bank issued a number of corrections on June 30, saying they were due to some of the parameters applied to market risk calculations not being properly updated and other changes to its risk
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
More on Risk Quantum
Santander takes 90% share of European G-Sibs’ mortgage SRTs
Retained residential mortgage exposure at Spanish bank rises €4.3 billion in H1 2026
Bank of China’s CVA exposures soar ahead of peers
The bank leads Chinese G-Sibs to log the largest quarterly increase on record
Equity swaps notional jumps by record $766bn at US G-Sibs
Notional rises 16% to $5.5 trillion in Q2, outpacing options growth
Euronext, Ice Europe default funds reach new peaks
Member contributions surge in Q2 as skin-in-the-game fails to keep pace
Market RWAs surge at mid-sized banks in Q2
Mizuho Americas adds $3.6 billion, while Northern Trust posts 212% increase
OCC initial margin hits record $223bn after 38.1% surge
Client net requirements nearly double in Q2 as ECC and HKSCC also set new highs
JP Morgan leads US banks to highest derivatives exposure in a decade
BNY, Goldman and Wells Fargo at all-time highs
CCIL leads CCPs with record margin calls
ECC calls most margin in five years ahead of first emissions auction
