Data
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
Credit risk grows share of big EU banks’ RWAs
Deutsche Bank leads the field, with credit RWAs increasing share of total by 294bp year-on-year
Currency risk drives EU equity fund derivatives use
Just 27.6% of Ucits equity funds traded derivatives in Esma sample
Among Canadian banks, credit provisions leap highest at BMO
Aggregate provisions for credit losses up 0.7% quarter-on-quarter at “Big Five”
Default risk of US bank corporate exposures edges up
Median average-weighted probability-of-default of G-Sib corporate portfolios hits 1.22%
US G-Sibs shun unsecured short-term funding
Trend towards borrowings secured by high-quality collateral accelerates
EU high-yield funds at risk of liquidity shock – Esma
High-yield bond funds have just 13% of NAV in high-quality liquid assets on average
Risk density of US systemic banks trumps that of EU peers
Ratio of RWAs to leverage exposures averages 44.7% at US G-Sibs
At US G-Sibs, capital buffers have thinned since 2016
Median G-Sib buffer stands at 3.1% and minimum requirement 9.5%
JSCC member default fund contributions fall to ¥676bn in Q2
Default fund contributions shrink 19%, but members’ initial margin payments climb
Wells Fargo, BNY Mellon, State Street build repo exposures in Q2
Wells Fargo increases gross repo assets by 12.4% in three months to end-June
JSCC turns to cash in rejig of liquidity reserve
Clearing house withdraws ¥29.9 billion from repo market
In liquidity buffer shake-up, Deutsche shuns cash
Central bank balances fall as share of liquidity buffer to 64% in Q2
Insurers slow purchases of eurozone sovereign bonds
Annualised growth rate of government debt holdings falls to 2%
Equity derivatives surge at US G-Sibs
Gross notionals have increased 8.9% year-on-year
BAML leads US G-Sibs on swaps exposures to hedge funds
Bank has seen net current credit exposures to hedge funds rise 231% in three years
Swaps between UK banks and foreign firms climb in Q2
Total value of derivatives assets and liabilities with overseas lenders hits £2.09 trillion
TD Bank closes on TLAC target
Lender sold four bail-in bonds last quarter, boosting its TLAC ratio to 18.9%
Peripheral EU banks free encumbered assets
Ratio of encumbered assets to total assets at Greek banks falls to 23.9% from 31.6%
Big US banks hold more Treasuries as swaps collateral
Government securities made up 8.2% of all initial and variation margin at G-Sibs in Q2
EU public funds buoy Italian lenders
European facilities cover almost 10% of Italian bank funding
US G-Sibs grow and multiply ties with other banks
Big eight banks grow by 1.5% in aggregate in Q2