Latest Risk Quantum
Thirteen EU banks face loan losses of more than 16% from green switch
Climate stress test predicts overall bank losses of 6%, rising to 11% under adverse scenarios
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
Deutsche’s IRC tops €8 billion in four-year high
Ballooning credit-event risk charge contrasts with Q3 drop at BNP Paribas, ING
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
Risk Quantum database
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The available data covers hundreds of metrics from 127 banks and 14 central counterparties.
BASEL III
Japanese G-Sibs see 9% surge in op risk charges
Rising profits drive record RWA growth under new Basel framework
Norinchukin’s market RWAs blow up 342% in Q3
Fierce increase under FRTB regime lops 117bp off bank’s CET1 ratio
IRB reliance peaks at over 90% for some lenders ahead of Basel III shift
As reforms loom, IRB usage spans from marginal to near-total among European banks
Mizuho faces steepest capital squeeze from Basel floor
Fully floored RWAs would cut core capital ratio by 244bp, the sharpest drop among Japanese megabanks
G-SIBS 2024
Barclays dethrones JP Morgan as largest OTC derivatives dealer
UK bank’s notionals surged 12.6% to $49 trillion in 2023, G-Sib indicators show
Substitutability cap keeps JP Morgan out of top G-Sib bucket
Uncapped systemic risk score grows to highest level on record
Eleven of 14 G-Sib indicators hit all-time highs
Surging complexity marked 2023, tempered by slower gains overall
Crédit Agricole headed for 1.5% G-Sib surcharge in 2026
French bank’s surging G-Sib score puts it past Deutsche in latest systemic risk assessment
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