Banks
Europe’s countercyclical buffers buck recession trends
Almost half of EBU’s members have set out CCyB hikes; five plan two or more before mid-2023
Nomura’s swaptions volume jumps in Q2 on Pimco trades
Counterparty Radar: Japanese bank triples size of US mutual funds book despite market contraction
At some Chinese banks, NPL growth outpaces allowances
Bank of Beijing, Bank of China, China Merchants Bank and Industrial Bank see bad loans climb faster than set-asides
BoComm’s CET1 ratio drops to lowest since 2013
RWAs jumped 8% in the first half, dragging capital adequacy down 63bp
RBC takes $296m hit on underwritten syndicated loans
The latest markdowns were higher than at the outbreak of the pandemic
Banks shock commodities by 1,000% in stress-test rethink
Energy price spikes force clearing firms to consider extreme or even ‘implausible’ scenarios
How Citi is handling topsy-turvy rates markets
Talking Heads 2022: Rate hikes and inflation have forced a rethink of the US bank’s hedging strategies
JP Morgan’s VAR multiplier increases following Q2 breach
Citi also reported one backtesting exception but kept VAR-based market risk capital requirement flat
Net-zero pledges bring big unknown for credit risk
Uncertainty on how governments plan to curb emissions adds political dimension to credit quality assessments
Netting uncertainty inflates Citi’s Russia exposure
Russia made up 1.2% of the bank’s top 25 exposures by country, up from 0.8% in Q1
Rabobank’s shaky loans up 35% on emissions cut plans
Bank says Dutch government proposal to reduce pollution from livestock farming risks making loans unviable
Goldman hoovers up $1.5bn of client margin in June
US bank bucks trend as top FCMs all cut required margin for futures and options trades
BNP Paribas’ CVA capital charge hits record high
Risk-weighted assets for potential drop in value of derivatives instruments reached €6bn in June
Commerz’s VAR multiplier ratchets up after H1 breaches
Bank dodged increase in market RWAs by rebalancing to a lower-risk trading portfolio
Citi, BNY Mellon escape Collins floor
Both banks return above the threshold after just two quarters
Fed ‘tailoring’ led to larger, less capitalised regional US banks
Lenders freed from toughest requirements in 2018 grew balance sheets but saw capital ratios slip
US deposits from Russia hit record $43.5bn after invasion
Rush to stash cash followed walling-off of Russian financial system by sanctions
Credit Suisse goes off piste in latest DFAST
US unit of Swiss bank underestimated leverage hit in Fed stress test
Banks prepare to unleash FX swap bots
BNP Paribas, JP Morgan build execution algos to plug into platforms – but swaps liquidity needs to catch up first
Foreign banks outperform US peers on DFAST
Intermediate holding companies reported higher post-stress capital and leverage ratios under the Fed’s severely adverse scenario
US mutual funds retreat from inflation hedges
Counterparty Radar: Volumes down 44% as Pimco slashes positions; Western Asset and JP Morgan buck the trend
US banks underestimate loan losses in Fed stress test
Systemic lenders predict 34% lower hit to their loan books in latest DFAST exercise
HSBC exhausts leverage headroom in Fed stress tests
Goldman Sachs worst performer among US banks