Risk Quantum/Bank for International Settlements (BIS)
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
Interest rate ETD volumes up 40% from 2020 nadir
Shorter-dated contracts push total open interest higher
Notionals for rates ETDs rise 26% in Q1
Confidence in rate hikes is on the rise, but the jury’s out on how fast
Central clearing rates for CDSs hit record high
A volatile 2020 pushed more single- and multi-name contracts to central counterparties
OTC derivatives values surge 36% in 2020
Foreign exchange derivatives were largely responsible for the overall increase in fair values in the second half of last year
Dividend freeze helped keep lid on bank CDS spreads – BIS
But the ban on distributions wrecked bank share prices
Non-US banks cut back on MMF dollar funding post-Covid – BIS
Non-bank dollar deposits offered alternative supply of greenbacks
High-earning banks set aside more Covid provisions – BIS
Provisions across 70 banks in H1 2020 were almost quadruple those taken in H2 2019
Banks’ borrowings off overseas shadow lenders picked up in Q3
Majority of liabilities are owed non-banks in developed countries
Banks’ claims on the public sector up a third post-Covid
Own-country debt and reserves climbed 44%
Basel FRTB capital impact study confused by outliers
“Conservative estimation” of market risk capital uplift averages 69%