Risk Quantum
Latest Risk Quantum
Santander’s TLAC ratio drops to all time low
Leverage-based headroom narrows to 35bp in Q3 as eligible resources decline by €10bn
Hedge fund side-pocket assets jump 25% to record $146bn
Largest quarterly increase on record comes amid growing concerns over liquidity in private markets
Wells Fargo’s problem commercial loans shift towards C&I
Share of commercial nonaccruals tied to C&I more than doubles since late 2023
UK banks face divergent Basel 3.1 capital outcomes
Barclays’ RWA increase could erode Pillar 2A relief, while Lloyds expects a double benefit
KeyCorp locks in future rates with $6.8bn swaps additions
Forward hedges rise to $10bn as lender prepares for rate uncertainty
Risk Quantum database
Risk Quantum readers have access to some of the datasets behind our articles – not just the segment of data that is the focus for the story, but the full time series for all covered firms.
The available data covers hundreds of metrics from 180 banks, 25 central counterparties and 24 FCMs.
Middle East crisis
US banks cut commodity derivatives as equity books hit record
Commodity notional falls 6.3% as equity positions climb to $19.42trn
Liquidity risk spikes at Eurex, JSCC, NSCC
New highs for stressed payment obligations set at three CCPs
JP Morgan leads US banks to highest derivatives exposure in a decade
BNY, Goldman and Wells Fargo at all-time highs
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
Risk Quantum in-depth
Rewriting the output floor: how EU reform options would split the banks
Making transitional relief permanent would offer the biggest cut by 2033, while market-risk changes would create winners and losers
Have CCPs got better at absorbing shocks?
Data suggests most CCPs weathered the Iran-war disruption, but shock frequency is starting to bite
Basel III endgame: overall relief hides winners and losers
G-Sibs gain from surcharge reform while AOCI hits regional banks
How window-dressing distorts US repo markets
Banks crush their repo balances periodically to massage systemic indicators, with far-reaching consequences for borrowing rates
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