Nomura’s ES requirement swings 75% in turbulent debut
New gauge for modelling interest rate desks’ charges ranged from ¥23bn to ¥41bn over the course of Q1
Nomura’s new expected shortfall (ES) engine endured a baptism of fire in the first quarter, with charges swinging 75% between their high and low points.
The bank’s unconstrained ES capital requirement – before applying regulatory offsets for diversification – fluctuated from ¥40.5 billion ($274 million) to ¥23.2 billion during the three months to end-March. Nomura formally adopted the Fundamental
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