Latest Risk Quantum
RBC’s loan-underwriting VAR drops 59% as volumes dry up
Widening credit spreads had previously sent market risk on syndicated loans skyrocketing
Liquidity risk hits multi-year highs at both CME divisions
Changes to clearing member exposures and portfolio composition drive increases
OCC liquidity risk doubles to all-time high in Q2
Concentration of activity around June expiration responsible for record rise
Some US banks defy yield uncertainty to grow AFS securities
Treasuries remain preferred buy, but regionals also pile into munis, MBS in Q2
Impaired loans surpass pandemic peaks at CIBC, Scotiabank
At five Canadian banks, troubled loans up 40% year-on-year
Risk Quantum database
Readers of Risk Quantum have access to some of the datasets that sit behind our stories – not just the segment of data that is the focus for the story, but the full time series, for the full population of covered firms.
The available data covers more than 120 banks and over 100 risk metrics.
Derivatives
JPM’s new EU arm is bloc’s 4th largest derivatives bank
Frankfurt-based dealer eclipsed homegrown G-Sibs in 2022 on several indicators
Rate of cleared OTC derivatives rises at European banks
Swedbank leads dealers in secular trend towards clearing space
Derivatives valuation swings lop $2.4bn off BofA’s income in Q2
DVAs and markdowns on fair-value hedges return to drag on dealer’s revenue
European banks’ systemic indicators surged in 2022
Higher values for 10 of 14 systemic risk indicators could see capital surcharges increase later this year
BASEL III ENDGAME
Goldman most threatened by Fed’s rejig of modelled capital charges
End of credit risk modelling and scaling up of SCB’s role could tip six US banks below minimum requirements
JP Morgan only bank set to benefit from Fed’s G-Sib review
Proposal to reduce ‘cliff effects’ would generate 10bp surcharge relief while four peers face higher requirements
AOCI reinclusion would push 10 US banks below capital requirements
KeyCorp, Truist and UBS Americas the worst affected by removal of paper-loss waiver
Nine US banks could be caught by Fed’s revised market risk rule
Expansion of trading risk charges to banks above $100bn in assets would also affect firms with minimal trading activity
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