Data
EU bank leverage increases in H1
Average leverage ratios degrade 19 basis points in six months to June
UK leverage ratios stray from EU measures
Bank of England changes exempt central bank claims from UK measure, causing discrepancies with CRR version
EU funds net sellers of single-name CDS protection
60% of UCITS funds' single-name CDS gross notional exposures were sell contracts in October 2017
Big European and US banks cut $280bn of complex assets
G-Sib methodologies incentivise shift to simpler assets
European banks junk op risk modelling
Barclays and BNP Paribas move to standardised approach in the second quarter
US big banks shrink systemic footprints in Q2
JP Morgan moves down into 3.5% capital surcharge bucket under Fed G-Sib methodology
CVA capital at top UK banks falls £260m in H1
HSBC led the way with a 38% reduction, followed by RBS with a fall of 35%
CIBC the outlier as Big Five loan-loss ratios improve
CIBC’s PCL ratio stood at 0.29% at end-July, up from 0.24% the previous quarter
TD Bank expands credit risk model
Retail A-IRB assets grow 12% quarter to quarter
UK derivatives values grow on forex activity
Foreign exchange contact values leap £0.4 trillion in second quarter
Liquidity risk of non-systemic US banks differs from G-Sibs
PNC, US Bancorp, Capital One cannot rely on cash inflows in a market panic
Bank of America grows derivatives, bucking G-Sib trend
Total derivatives exposures jumped 4.2% quarter-to-quarter to $299.4 billion
BMO’s loan loss reserves climb
Canadian bank reserves increase C$26 million quarter to quarter
EU banks slash default risk estimates for corporates by 30%
Probabilities of default fall on average across 39 countries
Scotiabank acquisitions come with risks attached
The bank’s RWAs jumped 9.4% in the third quarter
'Big Four' Aussie banks grow credit risk
Firms have grown modelled RWAs by 31% and cut standardised RWAs by 56% in five years
Counterparty risk builds at Bank of America, JP Morgan
Higher portion of RWAs attributable to more risky derivatives and repo counterparties
CIBC's Barbados woes incur $44 million capital charge
Sovereign credit risk-weighted assets jump 19% as Barbadian loans sour
'No-deal' Brexit would add risk weights to EU government bonds
HSBC has most sovereign exposures that could attract higher capital charges among big UK banks
European banks blitz non-modelled credit risks
Across 14 G-Sibs, IRB assets fell 10% over three years, while standardised assets dropped 20%
RBC builds loan-loss buffer
Provisions for credit losses rise to C$346 million from C$274 million the prior quarter
US banks see fewer daily trading losses than foreign units
IHCs suffered losses on 54% of trading days compared with 44% for US BHCs
Model revamp hikes UBS credit RWAs
Calculation tweaks made to scrap higher regulatory RWA multipliers
CVA gain bolsters JP Morgan trading revenues
$302 million of first half trading revenues attributed to credit valuation adjustment