Latest Risk Quantum
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
Record share of OTC trades eschews interdealer, CCP channels
More than one-fourth of global notional involves a single dealer and is not cleared, BIS data shows
EU IMA users maintain edge in keeping risk charges compressed
Aggregate market RWAs increased slower in 12 months to June than at banks using SA only
OTC derivatives hit $730 trillion peak in H1 2024
Interest rate and FX derivatives drive notional spike
G-Sib cross-border risk drops to four-year low
Two-thirds of systemic banks saw systemic indicator decrease in 2023
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BASEL III
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
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
G-SIBS 2024
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
G-Sib cross-border risk drops to four-year low
Two-thirds of systemic banks saw systemic indicator decrease in 2023
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