Regulators
EU banks’ credit risk estimates deteriorated in Q2
Weighted average corporate borrower PD across countries climbed to 2.04%
EU banks’ capital gauges show mixed recovery from Covid hit
Tier 1 leverage ratios fall for second quarter in a row
Credit swap portfolios contracted at systemic US banks in Q2
Sold notionals fell 8% over the three months to end-June
Regional US banks outpace giants on loan growth
Banks $3-10 billion grew 19% over Q2
Number of SOFR swaps traded hits new peak
Over 220 swaps struck for the first time since trading began
Systemic US banks crushed cleared OTC notionals in Q2
Outstanding amounts fall 12% quarter-on-quarter
US bank systemic risk indicators stay elevated through Q2
Increase in exposures, short-term wholesale funding bump systemic risk scores higher at some firms
Fed’s second round of stress tests to push banks’ limits
Worst-case scenario sees unemployment peak at 12.5%
Rates and FX exchange-traded derivatives markets cooled in Q2
Interest rate options and futures turnover halved over three months to end-June
Banks’ cross-border exposures to shadow banks surged in Q1
Liabilities to NBFIs increased three times more than usual over Q1 2020
JP Morgan shook up market risk stress tests in Q2
Bank switched stressed VAR historical periods 60 times
Tri-party repo trades backed by GSE debt gain popularity
Agency bond trades made up 37% of total tri-party transactions on September 4
France, Germany lead EU on MREL debt sales
French banks account for 27% of total bail-in bond issuances
Fix to Fed stress test snafu lowers two banks’ capital charges
Goldman, Morgan Stanley see stress capital buffer cuts
UK banks’ rate swaps books continued to grow in Q2
Interest rate swap exposures hit £4.42 trillion
UK banks’ swaps exposures to overseas firms edge lower
Total net derivatives assets fell 4% over three months to end-June
Eurozone securitisation dealmaking bounced back in Q2
Special purpose vehicles bought €19.2 billion of securitised bank loans in Q2
Systemic eurozone banks expand cleared portfolios
BNP Paribas is an outlier, having ratcheted up bilateral trading since 2013
Tougher OTC trading conditions to persist, say European banks
Seventy-three per cent of respondents expect tight price and non-price terms through September
How Deutsche shrank its systemic footprint
Total exposures have fallen one-third since 2013
Systemic indicators surged at European banks in 2019
Total exposures increased 3% year on year
Barclays led European banks on derivatives notionals in 2019
Deutsche Bank cut notionals 10% last year
Fed dollar swap operations slow as funding strains ease
Seven-day swap utilisation has dropped off since May
OTC swaps exposures of systemic US banks fell back in Q2
Aggregate current credit exposures to hedge funds falls 42% quarter on quarter