Data
Citi, JP Morgan slash $3tn of OTC notionals in Q2
Trimming of cleared portfolios bucks trend across top US banks
At Eurex, default fund grows 45% to record size
Market volatility and current interest rates level behind increase in Q2
Norinchukin’s RWAs up 21% as Basel III formulas react to market volatility
Market charges up 230% in harsh test of new standardised approaches
Members’ contributions to MBSD’s default fund up 11%
CCP’s skin in the game also up slightly, pushing aggregate amount to highest since Q1 2022
UBS leapfrogs global peers following Credit Suisse takeover
Swiss lender reports big increases in RWAs, leverage exposures and other key metrics
US systemic risk scores hit records at JPM, Citi and 5 others
Riskiness of top dealers inflated by fair-value securities and higher reliance on short-term funding
Northern Trust’s market risk surges ninefold in Q2
Market risk exposure jumps to $673 million, the highest level on record
Rate of cleared OTC derivatives rises at European banks
Swedbank leads dealers in secular trend towards clearing space
US-regulated IHCs retrench from VAR limits
Largest daily trading losses in Q2 were on average 50% of forecast, down from 102% in Q1
European banks’ systemic indicators surged in 2022
Higher values for 10 of 14 systemic risk indicators could see capital surcharges increase later this year
US banks reshaped liquidity buffers in Q2
Truist, BofA and US Bancorp lead highly liquid assets pile-up
JPM’s new EU arm is bloc’s 4th largest derivatives bank
Frankfurt-based dealer eclipsed homegrown G-Sibs in 2022 on several indicators
FCM client margin for swaps hit record high in June
JP Morgan, Barclays drive required funds increase, with UBS doubling prior-year figure
Comerica’s VAR multiplier spikes following eight breaches in Q2
Worst one-day trading loss at Dallas-based company was six times as large as its forecast
US banks see net charge-offs up 21% in Q2
Synchrony and Discover lead rise, predicting rates might peak in 2024
Goldman most threatened by Fed’s rejig of modelled capital charges
End of credit risk modelling and scaling up of SCB’s role could tip six US banks below minimum requirements
JP Morgan only bank set to benefit from Fed’s G-Sib review
Proposal to reduce ‘cliff effects’ would generate 10bp surcharge relief while four peers face higher requirements
US banks offload FHLB advances after record glut in Q1
First Citizens leads shift, Regions bucks trend
AOCI reinclusion would push 10 US banks below capital requirements
KeyCorp, Truist and UBS Americas the worst affected by removal of paper-loss waiver
Nine US banks could be caught by Fed’s revised market risk rule
Expansion of trading risk charges to banks above $100bn in assets would also affect firms with minimal trading activity
Commerz’s market RWAs up 9% on EBA technical update
Updated list of closely correlated currencies removes lower fund requirements from 197 pairs
Zions model change reverses positive EVE projections
Estimated impact of interest rate shocks up to 17.7pp higher under adjusted assumptions
HSBC’s trading VAR hits 10-year high
Interest rate risk behind trading risk gauge peaked in H1
First Foundation reveals $215m goodwill charge
End-of-year impairment evaluation pushed forward to Q2 amid changing macroeconomic conditions