Risk Quantum/Bank for International Settlements (BIS)
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
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