Latest Risk Quantum
Nine jurisdictions yet to finalise Basel III rules
Turkey and South Africa worst laggards, with no final drafts published
Morgan Stanley, Goldman FCMs set new margin records
Investment banks see futures, options and swaps margin hit new highs in September
GAR coverage misreporting widespread among top EU banks
Sabadell, OTB rectify reporting errors; Helaba backtracks to incorrect method
SVAR hits seven-year high at Crédit Agricole
Stressed trading-loss measure rose 14% on average in first six months of 2024
EquityClear’s IM concentration hits record high
Membership dwindles as LCH SA continues to wind down service
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 450 risk metrics.
BASEL III
Fourteen US banks poised to benefit from curtailed market risk rule
Fed’s changes to Basel III endgame proposal would keep regional banks with limited trading activity exempt from costly FRTB requirements
RBC’s CVA capital charge up 22% since FRTB adoption
Bank eschewed revised standardised approach in favour of simpler yet constraining formulas
Four EU banks forecast capital hits from final Basel III reforms
BNP Paribas only dealer to disclose hit from FRTB
Japanese banks far apart on credit model efficiency under Basel III
MUFG lowered credit and CCR charges the most among country’s top dealers
Clearing
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
Required swaps margin surged at three US FCMs in volatile August
Morgan Stanley, Wells Fargo and BofA hoovered up $5.5bn in client margin over first half of last month
Citi, Barclays raise FCM target residual interest 28% in June
Backstop funds also marginally up as a proportion of required customer funds
Barclays overtakes BofA on client margin for swaps
July figures make FCM fifth-largest by total margin in the US
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