Risk Quantum
Contagion risk cap threatens Aussie banks
Limiting exposures to overseas units to 25% of Tier 1 capital will constrain ANZ’s Kiwi subsidiary
Issues of unsecured debt, CDs pick up steam at US G-Sibs
Senior unsecured debt amounts outstanding climb 31% on Q4 2014; CDs 45.5%
UK leverage ratios edge lower as regulatory minimums climb
Additional leverage buffers raise minimum required ratios well above 3.25% floor
First-half trading revenues at US G-Sibs increase by a third year-on-year
Income from interest rate exposures more than tripled on H1 2018, while equity revenues increased 17%
At CIBC, commodity, forex and rate risks raise VAR 12%
Market risk capital requirement jumps to C$695 million on value-at-risk surge
Cleared swaps surge $6.6trn at US G-Sibs in Q2
Cleared swaps accounted for 54% of G-Sib notionals in Q2
At US G-Sibs, swap payments make up $178bn of LCR outflows
All bar one G-Sib see net derivatives cash outflows increase year-on-year
RBC expands market risk model scope
Moving assets off standardised approach contributed to 6% quarter-on-quarter RWA decline
MREL target drifts further out of Rabobank’s reach
Dutch bank has current MREL ratio of 27.8%, compared with target of 28.58%
Liquidity coverage at US G-Sibs worsens in Q2
HQLA rose $18bn while projected net cash outflows jumped $29bn
State Street, Goldman push VAR limits the most
Average of largest trading losses-to-VAR at State Street above 90% over past 12 months
Two US dealers grow appetite for counterparty risk
JP Morgan sees risk weight of portfolio climb to 41.5%