Data
EU banks set for 6.7% capital hike on output floor tweaks removal
Unwind of EU-specific transitional arrangements could suddenly inflate Tier 1 risk-based charges, EBA analysis suggests
LCH SA’s default funds hit record highs
CCP’s own contributions account for less than 1% across three clearing services
OCC skin in the game down by nearly a third
Hike in capital expenditures and tax payments drives decrease
RBC’s loan-underwriting VAR drops 59% as volumes dry up
Widening credit spreads had previously sent market risk on syndicated loans skyrocketing
Liquidity risk hits multi-year highs at both CME divisions
Changes to clearing member exposures and portfolio composition drive increases
OCC liquidity risk doubles to all-time high in Q2
Concentration of activity around June expiration responsible for record rise
Some US banks defy yield uncertainty to grow AFS securities
Treasuries remain preferred buy, but regionals also pile into munis, MBS in Q2
Impaired loans surpass pandemic peaks at CIBC, Scotiabank
At five Canadian banks, troubled loans up 40% year-on-year
Liquidity risk triples at Nasdaq in second quarter
Updated model extends time horizon to seven-plus days
Deutsche’s IRC peaks at record high during H1
€905m charge for trading book default and migration is largest among global dealers
Worst-case double default would have caused breach at CME
Stress loss based on hypothetical scenario was $390m higher than prefunded resources
AgBank’s regulatory VAR hits record high in first half
Chinese bank’s market risk up by over a third to highest level in a decade
Citi, JP Morgan slash $3tn of OTC notionals in Q2
Trimming of cleared portfolios bucks trend across top US banks
At Eurex, default fund grows 45% to record size
Market volatility and current interest rates level behind increase in Q2
Norinchukin’s RWAs up 21% as Basel III formulas react to market volatility
Market charges up 230% in harsh test of new standardised approaches
Members’ contributions to MBSD’s default fund up 11%
CCP’s skin in the game also up slightly, pushing aggregate amount to highest since Q1 2022
UBS leapfrogs global peers following Credit Suisse takeover
Swiss lender reports big increases in RWAs, leverage exposures and other key metrics
US systemic risk scores hit records at JPM, Citi and 5 others
Riskiness of top dealers inflated by fair-value securities and higher reliance on short-term funding
Northern Trust’s market risk surges ninefold in Q2
Market risk exposure jumps to $673 million, the highest level on record
Rate of cleared OTC derivatives rises at European banks
Swedbank leads dealers in secular trend towards clearing space
US-regulated IHCs retrench from VAR limits
Largest daily trading losses in Q2 were on average 50% of forecast, down from 102% in Q1
European banks’ systemic indicators surged in 2022
Higher values for 10 of 14 systemic risk indicators could see capital surcharges increase later this year
US banks reshaped liquidity buffers in Q2
Truist, BofA and US Bancorp lead highly liquid assets pile-up
JPM’s new EU arm is bloc’s 4th largest derivatives bank
Frankfurt-based dealer eclipsed homegrown G-Sibs in 2022 on several indicators