Latest Risk Quantum
US MMFs tilted from repo to cash USTs in November
Outright allocations captured growing share of funds’ record cash pile
JPM’s AFS holdings surge $72bn amid doubling unrealised losses
AOCI falls to its lowest in a year despite rate cuts
Member contributions propel six default funds to new highs
Skin in the game unchanged at four CCPs amid $3bn rise in default resources
BMO sets aside record C$1.5bn for loan losses
Net write-offs reach highest level in over two decades, exceeding early pandemic levels
Deutsche tops EU lenders in mid-2024 surge for bad CRE loans
German lender worst hit among bloc’s systemic banks as soured exposures rose 153% in 12 months
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The available data covers hundreds of metrics from 127 banks and 14 central counterparties.
BASEL III
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
Japanese G-Sibs see 9% surge in op risk charges
Rising profits drive record RWA growth under new Basel framework
G-SIBS 2024
Global banks boost Level 3 assets to new highs
European lenders and UBS-Credit Suisse merger fuelled rise in hard-to-value instruments in 2023
Deutsche misses G-Sib surcharge cut despite EU score benefit
Carve-out of intra-bloc exposure lowers score below 230bp, but 1.5% surcharge remains
Post-UBS takeover, Switzerland sees biggest regional G-Sib score spike
Credit Suisse acquisition pushes UBS’s complexity category to all-time high, driving up country’s overall score
StanChart boosted OTC clearing rate by 11.7pp in 2023
Tilt contrasts with move away from CCP trades at Citi, Wells Fargo
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