Risk Quantum/Lloyds Banking Group
UK banks add £7.4bn of CCR RWAs
Barclays and Standard Chartered drive counterparty credit risk surge in Q1
Global OTC derivatives jump €72trn in 2024
Europe, UK, Canada and China hit record highs, while US banks pull back
IRB reliance peaks at over 90% for some lenders ahead of Basel III shift
As reforms loom, IRB usage spans from marginal to near-total among European banks
Lloyds’ standardised market risk charges tripled in Q1
Hedging-related setback pushes market RWAs to an all-time high
Higher revenue pushes HSBC’s op risk up 14%
Increased net interest income over 2023 major driver behind six-year high figure
HSBC leads global uptick in OTC derivatives clearing
Systemic banks cleared record €250 trillion in notionals in 2022
PacWest leads banks on NII growth decline
Deutsche Bank bucks positive European trend while NatWest leads UK negative growth in Q3
US banks’ RWA density dwarfs that of European peers
Truist, Capital One and PNC Bank lead with risk density above 65%
BNP Paribas’s default contributions hit record high in H1
Requirements from CCPs up 19% across 13 EU and UK banks
Bucking UK trend, StanChart’s LCR jumps in Q1
Sharp reduction in projected net cash outflows pushes liquidity ratio to highest point since 2017
CaixaBank, UniCredit most exposed to rate increases in Europe
Banks report largest hits in IRRBB tests, but remain clear of fail threshold
UK banks added £1.6bn to loan allowances in 2022
Increase in set-asides driven by stage-two and stage-three credit-loss reserves
Banks’ loan-loss forecasts diverge in BoE climate exercise
Dispersion of estimates for corporate impairments highlights variety of assumptions for modelling climate risk
Credit RWAs for EU, UK banks up in Q1 amid IRB clampdown
Reforms to improve comparability of internal models compound declining asset quality
Lloyds’ IMA RWAs up 43% in run-up to Ibor switch
VAR multiplier and RNIV charges rose in 2021 on account of transition risk
Model clampdown costs NatWest 157bp of CET1 ratio
Measures to remedy internal model deficiencies added £14.8 billion RWAs overnight
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
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
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
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