Data
Interest rate ETD volumes drop in Q3
Shorter-dated contracts led the way, falling 9% quarter on quarter
SA extends reach over EU banks’ market and op risk
Regulator-devised models have been capturing a bigger chunk of RWAs through the pandemic
TLAC buffers up at all but three systemic US banks
BNY Mellon, Citi and Wells Fargo saw their headroom shrink from a year ago
Risks building at Goldman and Wells Fargo
RWA density edged higher at two dealers in the third quarter
Systemic risk: Fed methodology out of sync with Basel’s
Different inputs and calculator formulae pose dual test to US banks
JP Morgan, Goldman lead US banks in cutting VAR-based charges
On aggregate, requirements connected to commodity positions fell the most, down 28% from end-June
US unit of TD Group close to a VAR breach in Q3
Largest loss-to-VAR ratio at the firm was highest among 10 US intermediate holding companies
Morgan Stanley cleared swaps jump 9% in Q3
Latest quarterly increase, alongside that of Bank of America and State Street, bucks the trend across top US banks
Source of systemic risk varies by region
European, Canadian and UK banks are too big to fail because of their cross-border activities, Chinese and Japanese banks because of their size
HSBC leads systemic banks in cutting derivatives exposures
On aggregate, the top 30 banks shrunk notionals by 7% year on year
Global banks grow systemic footprint
Nine out of the 12 G-Sib indicators increased in 2020
Wells Fargo records highest number of loss-making days in six years
On average, the eight top US banks reported 29 loss-making days in Q3
BoComm, Nomura and Citic near G-Sib designation
Dealers could all become members of the club next year if trend continues
Substitutability cap spares JP Morgan higher capital add-on
Three other US banks – BNY Mellon, Citi and State Street – also hit the cap in this year’s G-Sib assessment
JPM, BNP Paribas and Goldman hit with higher capital surcharges
Banks slapped with extra 50 basis points of capital add-on
Bank of America, BNY Mellon incur VAR breaches
The second consecutive backtesting exception for the custodian bank brings it closer to a higher multiplier
Most G-Sibs fail to disclose financed emissions
None of the world’s top 30 banks disclose climate impact of their whole portfolio
Deutsche’s market RWAs hit 5-year low on VAR multiplier cut
Regulatory audit greenlit 0.5x cut in multiplier following bank’s overhaul of VAR approach
Rate of centrally cleared CDSs hits record high
Multi-name products drove increase in first half of 2021
Hedge fund stake exit helps Credit Suisse cut VAR
Market risk-weighted assets at the AM unit drop almost 95% following the move
OTC derivatives amount rose 5% in H1
While notional amounts were up from end-2020, gross market values fell 20% across all instruments tracked by the BIS
Nine in 10 EU banks reported flawed prudential data in Q2
Weeks after the quarter’s end, the ECB was still awaiting explanation on vast majority of data points flagged
Libor basis swaps jump amid rates uncertainty
Trading in the one-month, three-month basis highlights the market’s preference for Libor
ABN Amro’s market risk drops as VAR falls 53%
Total market RWAs down 4% quarter on quarter