Latest Risk Quantum
Client margin up 5% at Barclays’ F&O unit in March
US clearing unit overtakes Citi to reclaim sixth place among FCMs by required funds
Lloyds’ standardised market risk charges tripled in Q2
Hedging-related setback pushes market RWAs to an all-time high
NYCB turns to repos, discount window in cash-hoarding push
Bank had previously supplemented funding needs almost exclusively with FHLB advances
HSBC, StanChart SVAR charges hit multi-year highs
Stressed trading-loss measure makes up 43% of banks’ modelled market risk charges
DVAs inflate US banks’ liabilities by $4.9bn
Credit spread retrenchment since last year’s crisis comes with flipside of larger structured-product liabilities
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 350 risk metrics.
Clearing
LCH issued highest cash call in more than five years
Largest same-day payment obligation triples in Q4 2023
Ice Europe’s liquidity risk at record high in Q4
Estimated largest payment obligation in euros more than double previous quarter’s figure
Record rise in concentration at top CCPs leads to all-time high
Median top-five member open position concentration rises 2.4pp in Q4
Nasdaq liquidity risk jumps 15% on increased settlement flows
Maximum amount owed to CCP by single member in stress scenario rises in Q4
COMMERCIAL REAL ESTATE
One-tenth of US banks exceed CRE concentration thresholds
US supervisors face operational challenge with constellation of 536 lenders above risk benchmarks at end-2023
BofA, PNC lead Q1 rise in non-performing CRE loans
Commercial real estate write-offs also increased, driven by office loans
Smaller US banks hold over half of CRE loans
Lenders under $50bn in assets reported record $1.7 trillion of exposures at end-2023
ECB raised Pillar 2 charges for just three CRE-heavy banks in latest SREP
Pfandbriefbank and Luminor saw largest increases across 106 banks subject to 2023 assessment
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