Regulators
New risk indicator shifts EU’s G-Sib score heatmap
Revision in substitutability category inflates mid-sized banks’ score, lowers G-Sibs’
ABN Amro has EU’s biggest trading volume, new indicator shows
Bank’s activity in secondary market is 2.4 times Deutsche Bank’s
Client margin at Barclays hits record $27bn
Required funds rose 13% for F&Os and 8% for swaps in August
Global banks’ CET1 surplus hit 2.5-year high in 2021
Lenders in the Americas had smaller share of capital available for use than European peers
Some euro banks modelled lower mortgage risk in H1
Italian and Belgian lenders reported steepest drops in risk density despite recessionary threat
Hong Kong, India, Turkey lag behind on Basel III framework
Only Canada, Japan and Saudi Arabia ready for full implementation as January deadline approaches
A-IRB to lose credit risk reach under Basel III
Americas banks expected to generate just 40% of RWAs using internal models, from 67% currently
EU tweaks set to temper Basel III capital hike by a third
Changes to required capital for credit risk expected to be main driver behind average reduction
Sterling interest rate ETDs plummet 28% in Q2
Investors cut open interest in futures and options contracts as crises piled up
Euro banks’ funding plans lag TLTRO repayments – EBA
Survey on funding plans shows banks don’t plan to replace ECB lines just yet
Basel III output floor set to bind 24% of banks
Latest BCBS monitoring report shows four-fold increase over next seven years
European banks set for 17.5% capital hike under Basel III
Output floor could account for almost half the increase in Tier 1 capital requirements by 2028
Client margin at Credit Suisse shrinks to just $25m
Required funds for swaps meet same fate as F&O trades, as exit from prime services continues
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
Citi leads US banks’ jump in rates VAR-based charges
In a volatile Q2, the bank saw requirements for interest rate positions rise more than 300%
JP Morgan’s VAR multiplier increases following Q2 breach
Citi also reported one backtesting exception but kept VAR-based market risk capital requirement flat
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
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
FCM client margin for F&O hit all-time high in May
But concentration among top 10 broker-dealers continues to shrink
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
Russian corporates stashed cash at EU banks in Q1
Deposits from non-financial corporations increased 36%, while Moscow’s central bank cut balances by 28%
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
Fair value gains give JP Morgan DFAST edge
Bank was only one to record bigger capital lift from AOCI by end of test’s horizon