Data
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
RBI’s structural FX charges climb on unhedgeable ruble
Trading-book RWAs under the standardised approach have soared 234% since Ukraine invasion
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
ABN Amro, Intesa lead EU IMA users with RWA surges
Rates volatility tests models in their twilight years before FRTB forces shelving
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
US systemic banks’ use of STWF hits record high
BofA, Citi, Goldman and JP Morgan hit new peaks
JSCC, ASX see hypothetical stress loss breaches in Q1
Single-member default in worst-case scenario would have exceeded available resources
Trading and AFS securities hit record high at US G-Sibs
Rebounding fair values and appetite for trading inflate indicator used in annual G-Sib assessment
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
BofA, JPM hoover up $104bn of US Treasuries in Q1
As Fed’s first rate cut nears, banks revamp their AFS holdings
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
RBC’s CVA capital charge up 22% since FRTB adoption
Bank eschewed revised standardised approach in favour of simpler yet constraining formulas
Norinchukin hit with 54% rise in op RWAs
Recalibration of underlying parameters is first under new standardised measurement approach
Santander USA cuts market risk charges by 16%
Trading risk consolidation under IHC inflates VAR charges, nets cut to total requirements
Credit Suisse USA posts trading loss for 288% of VAR
Swiss bank’s subsidiary one of only three US dealers to incur backtesting exception in Q1
Japanese banks far apart on credit model efficiency under Basel III
MUFG lowered credit and CCR charges the most among country’s top dealers
JP Morgan SE allocates €318m for structural credit spread risk
Bank’s EU arm among first to disclose figure following EBA’s diktat on more granular monitoring of CSRBB
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
Schwab’s short-term funding strategy shifts to secured borrowing post-2023 scare
Dealer cut unsecured borrowing and brokered deposits in favour of collateralised financing