Latest Risk Quantum
Morgan Stanley overtakes BofA as third-largest FCM by margin in 2024
Marex and Deutsche see sharpest upticks in required client margin for F&O, while Wedbush and Mizuho fall furthest
Clearing members favour domestic sovereign bonds for IM in Q3
Secured cash at commercial banks and central bank deposits also on the rise as part of collateral diversification
CPMI-Iosco report highlights gaps in CCPs’ variation margin practices
Survey finds only a third implement VM pass-through, just 15% net client and house accounts
Regions Bank swells HTM book to curb AOCI volatility
In strategic shift, bank aims to bolster HTM holdings to 25% of securities portfolio
US MMFs tilted from repo to cash USTs in November
Outright allocations captured growing share of funds’ record cash pile
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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
Central clearing
Initial margin requirements hit record highs at major CCPs
Tumultuous third quarter sees $94bn surge across 14 CCPs
CPMI-Iosco report highlights gaps in CCPs’ variation margin practices
Survey finds only a third implement VM pass-through, just 15% net client and house accounts
Estimated stressed losses rise at OCC, LCH and JSCC
New stress scenario boosts worst-case loss at Options Clearing Corporation by half
Member contributions propel six default funds to new highs
Skin in the game unchanged at four CCPs amid $3bn rise in default resources
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