Risk Quantum/Barclays
Barclays’ modelled RWAs jump 71%
SVAR pinned to Covid-19 panic drives latest quarterly increase
Regulation triple-whammy lops 63bp off StanChart’s CET1
January 1 saw the introduction of SA-CCR, curbs on IRB modelling and the reversal of software capitalisation benefits
Mizuho’s F&O clearing unit boosts client margin by $1.05bn
In contrast, Morgan Stanley reports largest drop over same period
Client margin up 7% at Bank of America’s swaps unit
Aggregate required client margin across all FCMs at highest point since second quarter of 2020
BoE stress tests: Lloyds just 10bp above minimum CET1 ratio
Bank’s simulated core ratio was just 10bp above requirements at the worst point of a severe recession
SMFG reports highest power sector emissions intensity
Across all systemic banks, only eight dealers disclose their GHG emissions for this field
HSBC leads systemic banks in cutting derivatives exposures
On aggregate, the top 30 banks shrunk notionals by 7% year on year
Most G-Sibs fail to disclose financed emissions
None of the world’s top 30 banks disclose climate impact of their whole portfolio
EU software capital reversal to hit Lloyds, Barclays the most
Top UK banks boost CET1 ratios in Q3 as the PRA confirms capital benefit will end on January 1
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
Barclays’ risk pare-back sees market RWAs fall £3bn
The majority of market risk is now assessed under the regulator-set standardised approach
UK bank LCRs fall in Q2, led by HSBC
Implementation of new methodology weighs on bank’s end-quarter LCR
StanChart’s CVA charge up 19% in Q2
Higher capital requirements also at Barclays, Lloyds and NatWest, with HSBC the only outlier among top UK banks
Level 3 assets at global systemic banks down 36% since 2014
Hard-to-value holdings down sharply over the past six years, but pandemic threw spanner in the works at some banks
BoE floor could double capital charges on HSBC’s UK home loans
New rules could forcibly push up residential mortgage portfolio’s 5% risk density
Client margin down 33% at Credit Suisse’s swaps unit in Q2
Drop in IM could signal clients jumping ship in the aftermath of Archegos blowout
Top UK banks’ RWAs rose in Q2, reversing downward trend
HSBC’s $15.5 billion increase was the main driver, but other banks saw RWAs fall
Model change cuts Barclays’ VAR 21% in H1
Reducing historical lookback period from two years to one shaves £5m off bank’s average VAR
Foreign banks perform better in 2021 Fed stress tests
Intermediate holding companies reported higher post-stress capital and leverage ratios than their US peers did
Credit risk exposures shrink share of top UK banks’ RWAs
Barclays reported the biggest drop, both on a quarterly and yearly basis
BoE relief waives record £718bn off UK banks’ leverage exposures
On average, the UK leverage ratio of the top five lenders stood 80bp points higher than the CCR iteration in Q1
Goldman’s swaps clearing unit boosts client margin by $1.2bn
The top eight FCMs accounted for 95.8% of total client required margin, down 96.4% YoY
UK banks released £671m of loan-loss provisions in Q1
HSBC, Lloyds and NatWest all released surplus credit reserves
Prudential filters took a smaller bite out of bank capital in 2020
Additional valuation adjustments deducted €1.3 billion less from CET1 at top banks