Risk Quantum/BNP Paribas
Systemic eurozone banks expand cleared portfolios
BNP Paribas is an outlier, having ratcheted up bilateral trading since 2013
Top banks defer €1.6bn of profits on hard-to-value trades in H1
BNP Paribas set aside €532 million alone in H1
Trading VAR leapt higher across EU banks in Q2
Average VAR across seven systemic lenders increased 61% quarter-on-quarter
Systemic eurozone bank provisions hit €11bn in Q2
ING sees loan-loss charge double in Q2
BNP tags €10bn of equity derivatives as hard-to-value
Over 12% of exposures classified as Level 3 at end-June
Systemic European banks’ bail-in buffers fell in Q1
Bail-in debt stocks increase, but balance sheet expansion crimps TLAC ratios
Trading losses at US units of Deutsche, RBC exceed VAR by 1,000%
Wild markets overwhelmed foreign banks’ value-at-risk estimates
Eurozone bank capital buffers swell on Covid relief measures
Average buffer increases to 393bp across 14 eurozone lenders
Systemic eurozone banks take €10bn in loan-loss provisions
Santander takes a whopping €3.9 billion out of income
BNP incurs nine VAR breaches in Q1
Market RWAs jump 37% to €26 billion
Fed dominated MMF repo trades in March
FICC and BNP Paribas among other top repo counterparties
Fed’s leverage ratio relief puts foreign banks on the back foot
European banks cannot – yet – exempt US Treasuries from their exposure measures