Risk Quantum/Deutsche Bank
Deutsche Bank liquidity buffer shrinks €17bn
Clients’ clamour for cash forces bank to monetise liquidity pool
Fed’s leverage ratio relief puts foreign banks on the back foot
European banks cannot – yet – exempt US Treasuries from their exposure measures
Deutsche Bank cut liquidity buffer in 2019
Cash balance dropped €49 billion last year
Countercyclical buffer releases may free €6bn at top EU banks
Banco Santander and BNP Paribas could free €1.1 billion each
Deutsche shrinks ‘bad bank’ 30% in 2019
Efforts to crush operational RWAs bore fruit last year
HSBC leads EU banks on VAR measures
In aggregate, IMA risk exposures focused on traded debt
EU banks pare back commodities risk
Risk-weighted assets for commodities trading positions under standardised approach fall almost 30%
G-Sibs in US grow leverage exposures faster than EU rivals
HSBC saw exposures fall 2.81% in Q3
Five eurozone G-Sibs cut op RWAs in Q3
Deutsche Bank cut €5.7 billion quarter on quarter
Santander’s CVA charge up 15% in Q3
Other eurozone G-Sibs see their CVA requirements fall
JP Morgan usurps Deutsche as world’s largest derivatives bank
US bank increased notionals 5.9% in year to end-2018
Now less of a systemic risk, Deutsche wins capital relief
Prospective leverage ratio should fall to 3.75% after risk-cutting efforts
Credit model update holds down loss provisions at Deutsche
German lender saved €167 million through model refinements
Deutsche’s op RWAs fall 7% in Q3
Wind-down of ‘bad bank’ cuts €3.2 billion in op RWAs alone
Eurozone G-Sibs’ modelled risk weights well below average
Six of eight systemic lenders have modelled risk weights lower than the G-Sib and European mean
Some eurozone banks have thin leverage capital buffers
Tier 1 capital surpluses above regulatory minimums range between 31% and 123%
Repo exposures pile up at BNP Paribas
French bank had €388 billion of repo exposures at end-June
HSBC leads foreign banks in fed fund and repo borrowings
Large intermediate holding company money market borrowings equivalent to 15.9% of total assets
Among G-Sibs, Japanese and US banks see LCRs improve most
US systemic banks’ liquidity coverage still lags behind other G-Sibs
Liquidity coverage of eurozone G-Sibs diverge in first half of 2019
BNP Paribas sees LCR drop 11.6 percentage points in H1 while Deutsche Bank’s climbs 7.3 percentage points
Over two years, UK G-Sibs levered up in contrast to EU peers
But UK CRR leverage ratios still higher than eurozone rivals
Credit risk grows share of big EU banks’ RWAs
Deutsche Bank leads the field, with credit RWAs increasing share of total by 294bp year-on-year
Risk density of US systemic banks trumps that of EU peers
Ratio of RWAs to leverage exposures averages 44.7% at US G-Sibs
In liquidity buffer shake-up, Deutsche shuns cash
Central bank balances fall as share of liquidity buffer to 64% in Q2