Data
Top UK banks cut CVA charges by 9% in Q2
Standard Chartered is only outlier among big five to see capital requirement rise
Among G-Sibs, Japanese and US banks see LCRs improve most
US systemic banks’ liquidity coverage still lags behind other G-Sibs
How banks rode out the EU stress tests’ market shock in 2018
During the last round of tests, projected trading portfolio losses sapped 89 basis points off EU banks’ aggregate CET1 ratio
Short-term interest rate ETD notionals leap $14trn in Q2
Open interest in exchange-traded options with maturities of a year or less rise 19%
Higher retained earnings boost Barclays, Lloyds and RBS capital
Barclays and RBS legally transferred share premium account balances to retained earnings over last two years
As too-big-to-fail banks shrink, non-systemic firms play catch up
Almost three-quarters of non-systemic banks have increased their G-Sib scores since 2013
Liquidity coverage of eurozone G-Sibs diverge in first half of 2019
BNP Paribas sees LCR drop 11.6 percentage points in H1 while Deutsche Bank’s climbs 7.3 percentage points
Non-banks’ role in cross-border funding grows
Non-bank financial institutions account for about one-fifth of cross-border dollar and sterling funding
Mid-sized US banks’ LCRs vary
Average ratio of 15 non-systemic lenders was 135% at end-June
Fed fund and repo borrowings top $1trn at big banks in Q2
JP Morgan had 16.8% of total outstanding borrowings of the largest banks at end-June
Off-balance-sheet exposures at US systemic banks jump $67bn
BAML expands these assets by 2.5% quarter-on-quarter to $921 billion
SOFR futures volumes surge as overnight repo rates spike
Daily trading volume of one-month contracts climbs 156% between September 16-17
RNIV charges account for big chunk of Swiss banks’ capital
At UBS, 37.5% of its market risk capital requirement was for risks-not-in-VAR
EU alternative funds hold €17bn of CLOs
Over 50% of AIF exposures concentrated in top 20 funds
Firms favour swaps over spot when trading FX – BIS
Forex swaps account for 49% of global average daily turnover in April
Renminbi contracts grow share of interest rate derivatives turnover
Instruments denominated in non-G10 currencies accounted for 3.8% of average daily turnover in April 2019
Earnings fuel capital build at systemic US banks
Aggregate CET1 capital hits $1.1 trillion in Q2 2019, of which 86% is retained earnings
Short-term contracts dominate interest rate derivatives turnover
Overnight index swaps made up 31.5% of daily average turnover in April
UK dealers see over half of interest rate derivatives trades
86% of all euro-denominated contracts handled in the UK in April 2019, up from 75% in 2016
Retained earnings power capital growth at top eurozone banks
Retained earnings increased €29.7 billion as part of CET1 at 16 large eurozone banks in two years to end-2018
Over three years, credit risk has built up at Swiss banks
Credit Suisse has also reduced the portion of its credit RWAs calculated using internal models
UK bank LCRs drifted lower in Q2
HSBC saw group-level LCR decline as it reorganised its capital stack
Over €1trn of EU insurer assets subject to climate risks
Housing exposures make up bulk of those vulnerable to climate change
Over two years, UK G-Sibs levered up in contrast to EU peers
But UK CRR leverage ratios still higher than eurozone rivals