Data
OCC increases skin in the game in Q2
Own funds to handle a participant collapse amounted to $313 million
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
NSCC caught $5 billion short in June
Worst-case losses would have wiped out the CCP’s available liquid resources on two separate days in Q2
Ice Clear Credit member default fund contributions climb 6%
Total pre-funded required participant payments hit a record high in Q2
BNP Paribas leads EU banks on repo exposures
French bank increased securities financing transactions by €66bn in the first half of the year, the most among the bloc’s top lenders
UK bank LCRs fall in Q2, led by HSBC
Implementation of new methodology weighs on bank’s end-quarter LCR
Systemic US banks’ bail-in buffers rose in Q2
Morgan Stanley posts largest amount of headroom, while Citi, State Street and Wells Fargo trail behind
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
Santander’s CVA charge jumps 94% in Q2
Among the other EU systemic banks, higher capital requirements also at SocGen, ING, Crédit Agricole and UniCredit
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
StanChart’s CVA charge up 19% in Q2
Higher capital requirements also at Barclays, Lloyds and NatWest, with HSBC the only outlier among top UK banks
Level 3 assets at global systemic banks down 36% since 2014
Hard-to-value holdings down sharply over the past six years, but pandemic threw spanner in the works at some banks
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
Citi hits the Collins floor
Of the eight systemic banks in the US, Goldman Sachs remains the only one above the threshold
JSCC turns to commercial banks in rejig of liquidity reserves
Funds stashed at the Bank of Japan down 31% on the previous quarter
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
State Street to become world’s largest custodian
Brown Brothers Harriman Investor Services acquisition means Boston-based bank will leapfrog BNY Mellon and JP Morgan
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
RBC lifts CET1 ratio by 80bp with model parameter update
Reclassification of small business clients carves out C$26 billion of credit risk
Deutsche sees equity RWAs jump 29% on new EU rules
CRR II requires banks to calculate exposure they would incur to honour guaranteed returns on investment products