Articles by Joshua Walker
Six CCPs fail to cover concentration risk in Esma stress test
Largest shortfalls modelled in commodity derivatives segment, led by Ice Clear Europe ECC
DB USA’s stress test estimate deviates from Fed’s by record amount
US unit of German bank underestimated capital and leverage hit in latest DFAST
CCPs vulnerable from reverse repo investments – Esma
European watchdog flags risks of uncovered exposure during liquidity stress event
DFAST 2024: IHCs outperform US banks despite steeper CET1 ratio decline
US subsidiaries of Deutsche Bank, UBS and RBC lead intermediate holding companies in biggest capital requirement drops
HSBC North America breached leverage ratio minimum in latest DFAST
Ratio of UK bank’s US subsidiary ended stress test 20 basis points below regulatory threshold
Eleven banks fall below buffer requirements in latest DFAST
Goldman Sachs worst performer among 31 participating banks, with 450bp gap between stressed CET1 ratio and all-in capital requirements
Shift to SEC-SA pushes Helaba’s charges for securitisation exposures to record high
Standardised RWAs account for 63% of the bank’s total following fivefold increase
Ice Europe’s liquid resources up 27% under new model
More comprehensive stress-testing model pushes highly marketable collateral to record high in Q1
CIBC’s VAR hits highest since 2008 amid interest rate risk surge
Client and market-making activities responsible for 44% increase
Default funds at CME, JSCC and OCC grew to record levels in Q1
CCPs’ skin in the game fails to keep pace with member contributions
Open position concentration hits record high at top CCPs
LCH, Nasdaq and Eurex report biggest quarterly jumps among 16 clearing houses
JSCC’s initial margin soared as Japan’s stock market hit record high
Higher demand for exchange-traded products pushed requirements up in Q1
JSCC, ASX see hypothetical stress loss breaches in Q1
Single-member default in worst-case scenario would have exceeded available resources
Liquidity risk hits five-year high at LCH
Higher settlement obligations at Paris-based RepoClear blamed for €9bn spike
TD Bank, CIBC lead Canada’s big five in LCR dip
Liquidity coverage worsens with record outflows from secured wholesale funding
LCH suffered nearly 13 hours of op failures in Q1
Longest downtime since 2019 in breach of CCP’s two-hour recovery objective
At BayernLB, Nykredit and Erste, op risk charges hit multi-year highs
Annual model recalibrations responsible for double-digit rises
New real estate model adds €14bn to Rabobank RWAs
CET1 ratio down 1.2pp as capital stays flat
Norinchukin’s paper losses double to record high
Latest AOCI fluctuation knocks 29% off CET1 capital
Record number of US banks turned to riskless assets in Q1
Western Alliance leads pack with doubling of exposures in 0% bucket
Cleared rate for CDSs dropped in H2 2023
Record five-percentage point decline driven by multi-name contracts
ABN Amro takes €1.7bn RWA add-on from credit models rejig
Just over 40% of credit risk RWAs still calculated under the A-IRB approach, down from 90% two years ago
BBVA’s takeover of Sabadell would shrink its leverage ratio
New entity would have lowest ratio since 2020
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