Latest Risk Quantum
US banks return to MBSs amid value recovery
Wells Fargo, Bank of America increase AFS holdings in the third quarter
Norinchukin’s market RWAs blow up 342% in Q3
Fierce increase under FRTB regime lops 117bp off bank’s CET1 ratio
Goldman’s unmatched sold credit protection up 15% in Q3
Written notionals not hedged by buying identical protection on riskiest names jumped 85%
Barclays dethrones JP Morgan as largest OTC derivatives dealer
UK bank’s notionals surged 12.6% to $49 trillion in 2023, G-Sib indicators show
Substitutability cap keeps JP Morgan out of top G-Sib bucket
Uncapped systemic risk score grows to highest level on record
Risk Quantum database
Risk Quantum readers now have access to some of the datasets that sit behind our articles – not just the segment of data that is the focus for the story, but the complete time series, for the full population of covered firms.
The available data covers hundreds of metrics from 127 banks and 14 central counterparties.
BASEL III
IRB reliance peaks at over 90% for some lenders ahead of Basel III shift
As reforms loom, IRB usage spans from marginal to near-total among European banks
Mizuho faces steepest capital squeeze from Basel floor
Fully floored RWAs would cut core capital ratio by 244bp, the sharpest drop among Japanese megabanks
ABC’s market RWAs soar amid Basel III shake-up
Chinese bank bucks trend with sharp market risk rise in Q3
Basel III slashes $78bn in RWAs from top Singapore banks
Credit and operational risk recalibrations fuel double-digit falls at DBS, OCBC and UOB
Clearing
CCPs’ skin in the game drops to historic low
Clearing members bear increasing load, analysis of 15 clearing houses shows
EquityClear’s IM concentration hits record high
Membership dwindles as LCH SA continues to wind down service
UniCredit slashes CCP exposures by nearly 40% in a year
Lower exposures at default for exchange-traded derivatives the main driver behind overall drop
Estimated stress losses at CME, Eurex and LCH surge to record high
Latest projections likely behind increases in contributions to CCPs’ default funds in Q2
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