Japan
Japanese G-Sibs see 9% surge in op risk charges
Rising profits drive record RWA growth under new Basel framework
Rates movements boost FX net investment hedging
Changing differentials bring more positive carry opportunities for corporates
MUFG blocks vendors that refuse to reveal subcontractors
Risk Live: US arm of Japanese megabank asks first line to sign written waivers when risk advisories are ignored
Mizuho Americas has highest non-core funding ratio of any US bank
High-level measure of duration mismatch is three times that of next bank, BNP Paribas USA
August’s volatility thunderbolt rattles risk managers
Investment firms mull changes to value-at-risk models after never-before-seen spike in volatility index
Nine jurisdictions yet to finalise Basel III rules
Turkey and South Africa worst laggards, with no final drafts published
Banks must loosen up on ChatGPT use – risk chiefs
Risk Live: ’Shadow use’ and inability to attract new hires mean restricting access to GPTs is untenable
Markdowns on Japan Post Bank’s domestic bonds widen 50%
Unrealised losses on JGBs-dominated book compounded by out-of-the-money foreign-bond hedges
Clearing members welcome JSCC initial margin reforms
Stress loss add-ons touted as path to ensure defaulter pays and default fund contributions shrink
Triggers of August market ‘flare-up’ still in place, BIS warns
Leveraged positions remain at risk of sudden unwinding, as margin calls play amplifying role
Anticipating rate hike, MUFG offloaded ¥4trn of Japan government bonds
Lender reduces holdings to lowest in over a decade
Traders flipped long yen vol ahead of market rout
Hedge funds and real money bought long yen volatility in the run-up to Monday’s turmoil
Vega peak was foothill in historic Nikkei selloff
JFSA scrutiny has curbed issuance of autocallables, so stock plunge generated light re-hedging
Nomura’s market risk jumps ¥800bn in Q2
Yen depreciation and rising default risk drive RWAs to record high
Sovereign ‘greenium’ differs more than you might think
Term structure data shows wide variation in yields for green sovereign debt, argues economist
Is JSCC-CFTC stalemate about to be broken?
Japan CCP gains allies in battle to clear yen swaps for US clients, but CFTC shakeup could dash hopes
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
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
Model teams fear budget cuts as FRTB wipeout looms
Senior modellers think supervisory intervention is needed to prevent funding drought
Op risk data: Japan’s giant bitcoin break-in makes a monster loss
Also: Citi’s fat-finger fallout; HSBC pays for unfair customer treatment; Visa and Mastercard fined over ATM fee-fixing. Data by ORX News