Latest Risk Quantum
Valley National sees surge in delinquent CRE loans in Q3
Bank’s net charge-off rate more than doubles as $114 million in CRE loans become past due
UBS logs three VAR breaches on legacy Credit Suisse positions
Bank risks higher capital charges amid market volatility and exit-related costs
HSBC’s China CRE provisions surge to cover one-fourth of book
Additional reserves and reduced exposure elevate ECL coverage for mainland portfolio
Breaking market norms, tri-party repo rates plunge for fringe collateral
Yields hierarchy upended as cost of repo-ing equities and other volatile securities falls over a percentage point below UST repos
Volatility drives up NatWest’s market RWAs despite IMA efficiencies
Higher VAR and SVAR readings overshadow £373 million saving from broader modelling scope
Risk Quantum database
Readers of Risk Quantum have access to some of the datasets that sit behind our stories – not just the segment of data that is the focus for the story, but the full time series, for the full population of covered firms.
The available data covers more than 130 banks and over 480 metrics.
BASEL III
SocGen closest to TLAC minimum among G-Sibs
Gap between bail-in funds and required amounts narrows at Canadian lenders; Wells Fargo buffer smallest in US
Nine jurisdictions yet to finalise Basel III rules
Turkey and South Africa worst laggards, with no final drafts published
G-Sib pair has largest TLAC shortfall since 2018
Basel monitoring report estimates €30bn below their fully loaded requirements
Fourteen US banks poised to benefit from curtailed market risk rule
Fed’s changes to Basel III endgame proposal would keep regional banks with limited trading activity exempt from costly FRTB requirements
Clearing
EquityClear’s IM concentration hits record high
Membership dwindles as LCH SA continues to wind down service
UniCredit slashes CCP exposures by nearly 40% in a year
Lower exposures at default for exchange-traded derivatives the main driver behind overall drop
Estimated stress losses at CME, Eurex and LCH surge to record high
Latest projections likely behind increases in contributions to CCPs’ default funds in Q2
Required swaps margin surged at three US FCMs in volatile August
Morgan Stanley, Wells Fargo and BofA hoovered up $5.5bn in client margin over first half of last month
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