Risk Quantum/Bank for International Settlements (BIS)
Basel III output floor set to bind 24% of banks
Latest BCBS monitoring report shows four-fold increase over next seven years
European banks set for 17.5% capital hike under Basel III
Output floor could account for almost half the increase in Tier 1 capital requirements by 2028
Euro, dollar-denominated ETDs boomed in Q1
But diverging demand for futures and options points to uncertainty on Fed and ECB timings
CDS notionals made a comeback in 2021
A 5% rise to highest end-year figure since 2017 driven by swaps on junk debt
Russia sanctions risk putting $105bn out of foreign banks’ reach
But international claims on the country have fallen by half since 2014
Foreign banks flocked to Treasuries and Fed in Q3
Claims rose at fastest annual pace since early pandemic amid inflation jitters
Interest rate ETD volumes drop in Q3
Shorter-dated contracts led the way, falling 9% quarter on quarter
JPM, BNP Paribas and Goldman hit with higher capital surcharges
Banks slapped with extra 50 basis points of capital add-on
Rate of centrally cleared CDSs hits record high
Multi-name products drove increase in first half of 2021
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
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
Basel III output floor set to bind 25% of large banks
Risk-based capital requirements would constrain the largest share of international lenders