Latest Risk Quantum
Fed’s proposed SCB tweak would free $20bn of capital at US banks
Averaging of stress test-based inputs over two years would reduce current add-ons by up to 60bp
Synthetic deals drive securitisation RWA surge at EU banks
BNP Paribas and RBI lead Q4 rise
One year on, EU banks get greener as GARs grow
Contentious green asset disclosures show improvements for most major European banks in 2024
China’s top banks bulk up liquidity as global peers trim buffers
US G-Sibs continue to trail with lowest median LCR since 2021
SVAR surges gird Europe’s trading books in H2 2024
UniCredit and UBS lead pack with hottest gauges in half a decade
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The available data covers hundreds of metrics from 127 banks and 14 central counterparties.
BASEL III
UBS’s CVA charges spike by 30% under new market risk regime
Proportional impact is higher than at any FRTB adopter so far
A peek under the hood of Canadian banks’ new CVA machine
Disclosures from the country’s top dealers offer first glimpse of how FRTB reforms can reshape capital gauge for potential losses on derivatives
FRTB may bite harder for Europe’s CVA modellers
Farther reach of advanced approach and lighter load on total requirements mean limited takeaways from Canada and Japan’s implementation
UBS blunts Basel III RWA impact, gains time for Credit Suisse integration
Bank secures valuable time to integrate legacy assets and prepare for forthcoming regulatory challenges
Central clearing
OCC’s equity-based IM hit record 91% heading into 2025
CCP’s margin base leant further into equities ahead of market turmoil
CCP default funds 35% larger than on eve of pandemic
Sixteen out of 25 clearing services had bigger buffers heading into the recent tariff turmoil compared to Q4 2019
Liquidity risk spikes at CME and OCC
CCPs revised estimated worst-case payment obligation to highest levels on record in Q4
NSCC suffers record $7bn liquidity shortfall
Index rebalancing in December drives CCP’s largest-ever simulated funding gap
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