Regulators
Barclays’ F&O clearing unit boosts client margin by $2.1bn
JP Morgan remains the FCM with the largest share of required segregated customer funds for futures and options trades
Offshore hedging of foreign banks’ China claims at record low in Q2
Just 6% of claims on the country were hedged through offshore risk transfers at end-June, BIS data shows
Credit Suisse’s US clearing unit cuts client margin by 37%
Required segregated customer funds down more than a third since Archegos blowup
China, Turkey lead regulatory laggards on Basel III framework
Argentina, Australia, Brazil, Japan and Korea made no progress at all since May 2020
IMA to retain large role in setting market risk capital post-FRTB
Gyrations over 2020 mean a bigger share of market risk requirements could be underpinned by internal models post-reform
Basel III heralds 41% op risk jump for EU banks
Capital requirements set to rise almost 88% for those G-Sibs that don’t currently use the AMA
Basel III output floor set to bind 25% of large banks
Risk-based capital requirements would constrain the largest share of international lenders
Basel III capital shortfall shrinks to €8bn
G-Sibs responsible for 77% of the aggregate deficit
European banks set for 17.6% capital hike under Basel III
Output floor expected to push Tier 1 capital requirements up 7.3% alone, latest BCBS monitoring report shows
Default risk set to rise from climate inaction – ECB
‘Hothouse world’ scenario could see average probability of default increase significantly more than under both orderly or belated transition
Sonia/SOFR swaps jump ahead of ‘RFR First’ initiative
Cross-currency swaps increasingly seeing RFRs on both legs
Interest rate ETD volumes up 40% from 2020 nadir
Shorter-dated contracts push total open interest higher
Off-balance-sheet exposures at US systemic banks jump $42bn
JP Morgan, Goldman Sachs and Citi drove the overall increase in the second quarter
Majority of US G-Sibs’ assets attract sub-100% risk-weighting
Risk Quantum analysis shows top US banks retrenched to lower-risk assets through the pandemic
EU banks eye debt issuance as central bank funding winds down
The projected increase would not be sufficient to replace TLTROs maturing in 2023, EBA report finds
RWA density at Goldman drops to seven-year low
Change to the distribution of the bank’s exposures by risk weighting likely contributed to the reduction
UK bank derivatives exposures fall by £321bn in Q2
At £1.12 trillion, FX exposures are at their lowest levels for seven years
Cleared portfolios surge at EU G-Sibs
Systemic banks post highest share of cleared trades in seven years, as IM phases five and six approach
Citi leads US banks in shrinking market risk
First aggregate drop in capital charges stemming from market risk since mid-2020
JP Morgan flirts with VAR limits
Largest trading loss in Q2 reached 96% of bank’s VAR limit
Crédit Agricole grew OTC derivatives notionals 17% in 2020
Bank pulls ahead of SocGen as third-largest European derivatives bank but risks incurring a higher G-Sib score
Securities market frenzy drives up mid-sized European banks' systemic risk
Nordea’s underwriting activity jumped by almost 7,000% in 2020
BNY Mellon incurred a VAR breach in Q2
The highest losses-to-VAR ratio was 145.75%, in the first backtesting exception reported by the bank since 2018
EU banks get first taste of new stress test-driven buffer regime
Of the 50 stress-tested lenders, three would fall into the highest Pillar 2 Guidance bucket