Latest Risk Quantum
Basel III spurs €62bn credit RWA reshuffle at Rabobank
Bank switched corporate portfolios from A- to F-IRB on eve of reforms’ January 1 go-live
JSCC, DTCC government bond units see default funds surge
Member contributions hit multi-year highs in Q4
US dealers’ OTC clearing rates plunge to multi-year lows
Cleared notionals down $24.3trn in Q4 amid year-end compression push
ForexClear posts record $2.8bn aggregate margin call
Volume growth and increased risk exposures drive Q4 spike
BofA, JPM face 50bp increase in G-Sib surcharge
Surge in systemic indicators puts banks on track for 3.5% and 5% add-ons in 2027
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BASEL III
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
Default and credit spread risks drive Canadian banks’ FRTB charges
New Basel III disclosures give first glimpse into market risk mix after internal models retirement
RBC’s CVA risk charges swell 42% in first year under FRTB
Bloating RWAs contrast with declines at peers employing new standardised approach
Fed’s stricter G-Sib scoring punishes BofA, Goldman
Duo’s method 2 capital requirements will diverge further from those entailed by Basel’s methodology
Central clearing
NSCC suffers record $7bn liquidity shortfall
Index rebalancing in December drives CCP’s largest-ever simulated funding gap
ForexClear posts record $2.8bn aggregate margin call
Volume growth and increased risk exposures drive Q4 spike
German emissions traders swell ECC membership
CCP’s bid for transparency leads to 165-member increase
Clients’ share of IRS clearing margin hit record high
Data from CME, Eurex and LCH shows clearing members’ house IM fell in January, pushing client proportion to 67.7%
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