Risk Quantum/Societe Generale
Synthetic risk transfer plumps SocGen’s capital buffer
Risk transfer and CET1 relief smooth out add-on for model risk at the French bank
Loan-loss provisions take a smaller bite out of EU banks in Q3
Set-asides fell 57% quarter on quarter
French rivals BPCE, SocGen see market risks fall in Q3
Market RWAs drop 24% at SocGen quarter on quarter
Which EU banks hold the most loans subject to Covid relief?
UK lender Lloyds had 13% of its loan book under payment moratoria as of June 30
VAR spasms heap market risk charges on EU G-Sibs
VAR-based charges increase 94% on end-2019
BNP Paribas again leads eurozone banks on repo exposures
French bank increased exposures 69% over the first six months of the year
One-fifth of SocGen’s securitisations have STS label
French bank held €7 billion of simple, transparent, standardised securitisations as of end-June
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
SocGen’s VAR jumped 54% in Q2
Credit VAR more than doubled to €43 million