Risk Quantum/Barclays
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
Fraud op risk losses edged up at UK banks in 2020
An average 38% of losses by value last year were because of internal or external fraud
Riskiness of internationally-active UK banks edged up in 2020
Risk density across top five UK banks fell year on year
UK banks added £140bn to HQLA in 2020
Barclays saw its LCR improve the most over the course of 2020
IFRS 9 relief added £8bn to UK banks’ capital buffers in 2020
Lloyds’ CET1 ratio reaped a 120bp benefit