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3 days ago | 
risk.net | Joshua Walker
The National Securities Clearing Corporation (NSCC) collected $9.2 billion in variation margin (VM) on a single day in the first quarter - the highest such demand on record.
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4 days ago | 
risk.net | Joshua Walker
Canada's five largest lenders collectively set aside C$1.7 billion ($1.3 billion) in provisions for performing loans in the three months ending April 30, reflecting a deteriorating macroeconomic outlook influenced by escalating trade tensions and geopolitical risk. The figure represents the largest aggregate provision for this type of loan in a single quarter since the onset of the Covid-19 pandemic, and was almost four times the C$441 million the banks allocated in the previous quarter.
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5 days ago | 
risk.net | Joshua Walker
The aggregate maturity mismatch add-on at the eight US global systemically important banks (G-Sibs) surged 24.3% to $107.2 billion in the first quarter - the largest quarterly rise since at least 2017. The $20.9 billion increase reflects heightened variability in cashflows during stress periods. The add-on measures the gap between a bank's cumulative net cash outflow (NCO) at the end of the 30-day stress window and the highest single-day net cash outflow during that time.
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1 week ago | 
risk.net | Joshua Walker
Australia's four largest banks held A$36.7 billion ($23.6 billion) in Additional Tier 1 (AT1) capital as of March 31, in the first public disclosure since the Australian Prudential Regulation Authority (Apra) confirmed on December 9 that AT1 instruments would be phased out under new rules. The revised capital framework is set to come into effect on January 1, 2027.
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1 week ago | 
risk.net | Joshua Walker
Required initial margin for cleared interest rate swaps (IRSs), futures and credit default swaps (CDSs) surged by $51.4 billion in April - the biggest monthly increase since March 2022 - amid heightened volatility triggered by triggered by the slate of tariffs unveiled on April 2. The spike brought total required margin across major clearing houses to a record $766.1 billion, according to data from the Commodity Futures Trading Commission (CFTC).
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1 week ago | 
risk.net | Joshua Walker
As of March 31, just days before Trump's tariff announcement sparked a sharp selloff in government bonds, the largest US banks held $1.77 trillion in US Treasuries marked at fair value - exposing them to balance sheet pain. The figure, which includes securities classified as available-for-sale (AFS) and held-for-trading (HFT), rose 1% in the first quarter across 53 banks analysed by Risk Quantum, driven by a $21.4 billion jump in AFS holdings. The increase marked a shift in risk profile.
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1 week ago | 
risk.net | Joshua Walker
Clearing volumes at several major central counterparties (CCPs) ballooned in April as the tariff-induced market turbulence swept across asset classes, triggering a sharp rise in trading activity. The Options Clearing Corporation (OCC) reported a record daily total of 102.6 million cleared contracts on April 4, the busiest single day on record for the CCP. For the full month, OCC cleared a total of 1.28 billion contracts, the highest on record going back to 2008.
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2 weeks ago | 
risk.net | Joshua Walker
Loan-to-deposit ratios (LDRs) rose in 43 of 54 US states and territories over the 12 months to June 2024, the latest figures from the US Federal Reserve show. The host state LDR reflects the balance of loans and deposits in a given state, booked by banks domiciled in that state. It is used to assess compliance with rules prohibiting banks from harvesting deposits from a non-host state without also extending credit there.
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2 weeks ago | 
risk.net | Joshua Walker
Two years after the collapse of Silicon Valley Bank exposed the dangers of hidden interest rate risk, a Risk Quantum analysis found that fewer than half of the largest US banks disclose quantitative data on their economic value of equity (EVE) - a key measure of long-term interest rate sensitivity. Despite regulatory nudges and heightened scrutiny, progress on EVE transparency has been halting, with just three of 30 non-disclosing banks in early 2023 choosing to publish figures since.
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1 month ago | 
risk.net | Joshua Walker
Societe Generale's liquidity buffer tipped towards securities and away from central bank cash in the first quarter, with the latter making up the smallest share since 2019. Loans and deposits at central banks dropped €24 billion to €166 billion ($188 billion) in Q1, while high-quality liquid asset (HQLA) securities climbed €22 billion to €104 billion. The former was the lowest in absolute terms since Q3 2021, while the latter was the highest since at least 2019.
