Risk
BofA, Citi among hardest hit in latest Fed buffer review
Five out of eight US systemic banks face higher stress capital buffer add-ons
US banks underestimate loan losses in Fed stress test
Systemic lenders predict 34% lower hit to their loan books in latest DFAST exercise
LGIM’s climate modelling shows ‘point of no return’ in 2025
Cost of limiting global warming to 1.5°C will become too great for economy within 36 months
HSBC exhausts leverage headroom in Fed stress tests
Goldman Sachs worst performer among US banks
Client margin at Wedbush unit up 46% in April
Futures and options clearing unit saw largest monthly increase across all FCMs
Nationwide’s IRB charges up 89% on PRA’s parameter curbs
The building society’s strict focus on mortgages meant impact was all-sweeping
Initial margin at Ice Europe up 15% over Q1
IM held against F&O positions hit all-time high, as number of margin breaches nudged higher
Norinchukin’s capital dented by crashing bond prices
The bank lost three percentage points of CET1 ratio in Q1 as contribution from AOCI halved
Eurex’s fixed income and IRS units hit by almost 700 breaches
Peak breaches in Q1 were €706 million and €214 million in size, respectively
Liquidity risk down 34% at the OCC
Projected largest payment obligation set at $6.2 billion for Q1
SwapClear incurs record number of margin breaches
LCH’s interest rate derivatives clearing service reported over 4,000 backtesting exceptions in Q1
Morgan Stanley incurs two VAR breaches
The latest backtesting exceptions put the bank one step closer to triggering a capital requirement hike
Interest rate swaps help BMO keep M&A deal on track
Hedges to safeguard the Bank of the West acquisition have already yielded $2.7bn in mark-to-market gains
Polish mortgage claims push RBI’s op risk up 43%
Following the latest increase, op risk makes up 11% of the bank’s total RWAs
Nickel price chaos triggered $2bn margin breach at LME
The CCP reported its largest breach ever in March, as commodities prices went wild
Capital One changed SVAR window 24 times in Q1
Since 2020, the lender updated its chosen stress period dozens of times each quarter, far more frequently than peers
Danske, Deutsche and PNC pin SVAR to Covid-19
Most global banks continue to use the global financial crisis to stress-test their portfolios
CDS notionals made a comeback in 2021
A 5% rise to highest end-year figure since 2017 driven by swaps on junk debt
Banks’ loan-loss forecasts diverge in BoE climate exercise
Dispersion of estimates for corporate impairments highlights variety of assumptions for modelling climate risk
JP Morgan leads US banks on surging VAR capital charges
Requirements connected to commodity positions jumped 426% in the first quarter
No soft landings in flight to safety from Russia
Impact of Ukraine invasion hit bank balance sheets hard; its effects look set to continue
Nomura switches to lower-confidence VAR model
Internal measure of potential market loss brings bank in line with the likes of JP Morgan and BofA
RBI’s market risk gauges go haywire on Ukraine war fallout
Portfolio reshuffling helps Austrian bank contain RWA impact
ING takes €1.6bn capital hit on Russia exposures
Bank adds €834 million of provisions and takes €9 billion of new credit RWAs