Regulators
Wells Fargo records highest number of loss-making days in six years
On average, the eight top US banks reported 29 loss-making days in Q3
BoComm, Nomura and Citic near G-Sib designation
Dealers could all become members of the club next year if trend continues
Substitutability cap spares JP Morgan higher capital add-on
Three other US banks – BNY Mellon, Citi and State Street – also hit the cap in this year’s G-Sib assessment
JPM, BNP Paribas and Goldman hit with higher capital surcharges
Banks slapped with extra 50 basis points of capital add-on
Bank of America, BNY Mellon incur VAR breaches
The second consecutive backtesting exception for the custodian bank brings it closer to a higher multiplier
Rate of centrally cleared CDSs hits record high
Multi-name products drove increase in first half of 2021
OTC derivatives amount rose 5% in H1
While notional amounts were up from end-2020, gross market values fell 20% across all instruments tracked by the BIS
Nine in 10 EU banks reported flawed prudential data in Q2
Weeks after the quarter’s end, the ECB was still awaiting explanation on vast majority of data points flagged
Libor basis swaps jump amid rates uncertainty
Trading in the one-month, three-month basis highlights the market’s preference for Libor
Barclays’ F&O clearing unit boosts client margin by $2.1bn
JP Morgan remains the FCM with the largest share of required segregated customer funds for futures and options trades
Offshore hedging of foreign banks’ China claims at record low in Q2
Just 6% of claims on the country were hedged through offshore risk transfers at end-June, BIS data shows
Credit Suisse’s US clearing unit cuts client margin by 37%
Required segregated customer funds down more than a third since Archegos blowup
China, Turkey lead regulatory laggards on Basel III framework
Argentina, Australia, Brazil, Japan and Korea made no progress at all since May 2020
IMA to retain large role in setting market risk capital post-FRTB
Gyrations over 2020 mean a bigger share of market risk requirements could be underpinned by internal models post-reform
Basel III heralds 41% op risk jump for EU banks
Capital requirements set to rise almost 88% for those G-Sibs that don’t currently use the AMA
Basel III output floor set to bind 25% of large banks
Risk-based capital requirements would constrain the largest share of international lenders
Basel III capital shortfall shrinks to €8bn
G-Sibs responsible for 77% of the aggregate deficit
European banks set for 17.6% capital hike under Basel III
Output floor expected to push Tier 1 capital requirements up 7.3% alone, latest BCBS monitoring report shows
Default risk set to rise from climate inaction – ECB
‘Hothouse world’ scenario could see average probability of default increase significantly more than under both orderly or belated transition
Sonia/SOFR swaps jump ahead of ‘RFR First’ initiative
Cross-currency swaps increasingly seeing RFRs on both legs
Interest rate ETD volumes up 40% from 2020 nadir
Shorter-dated contracts push total open interest higher
Off-balance-sheet exposures at US systemic banks jump $42bn
JP Morgan, Goldman Sachs and Citi drove the overall increase in the second quarter
Majority of US G-Sibs’ assets attract sub-100% risk-weighting
Risk Quantum analysis shows top US banks retrenched to lower-risk assets through the pandemic
EU banks eye debt issuance as central bank funding winds down
The projected increase would not be sufficient to replace TLTROs maturing in 2023, EBA report finds