Data
UK banks released £671m of loan-loss provisions in Q1
HSBC, Lloyds and NatWest all released surplus credit reserves
Op risk update lops £72m off NatWest’s capital requirement
RWAs for operational risk fell 4% in Q1
Santander added to its pile of shaky loans in Q1
‘Stage two’ assets made up 7% of its total at end-March
Deutsche slashed market RWAs by one-fifth in Q1
Macro-hedging touted as RWA-saving tool
Trading VAR at UBS peaked after Archegos blow-up
Swiss bank still posted a fall in market RWAs quarter on quarter
Derivatives footprint of top EU banks shrinks
Deutsche Bank reduced these exposures by 12% alone
Systemic EU banks had €213bn of loans under moratoria at end-2020
Exposures covered by payment holidays dropped by €115bn in H2
Archegos debacle prompts Credit Suisse to slash prime services
Executives pledged $35 billion of cuts to investment bank leverage exposure
JSCC incurred 311 IM breaches in 2020
IRS service experienced the largest breach last year
ECB’s Trim found 900 flaws with 31 banks’ market risk models
Remedying shortcomings added €11 billion to market RWAs in aggregate
Prudential filters took a smaller bite out of bank capital in 2020
Additional valuation adjustments deducted €1.3 billion less from CET1 at top banks
ECB’s models review heaped €275bn of extra RWAs on banks
Average bank CET1 capital ratio fell 71bp through Trim process
Systemic US banks released $9.4bn of credit reserves in Q1
JP Morgan reversed $4.2 billion of provisions alone
Morgan Stanley’s VAR hit eight-year high in Q1
High risk-of-loss indicator coincides with Archegos collapse
BofA kept up bond binge in Q1
Bank added $172bn of debt securities to portfolio over first three months of the year
LCH SA skin in the game fell in Q4
In contrast, pre-funded clearing member contributions to the default funds increased 10% to €6.1 billion
JP Morgan’s SLR falls as Fed relief ends
Bank says raising capital against deposits are “unnatural actions for banks”
One FICC member paid record $102bn to cover dues in Q4
Previous highest payment obligation of a single participant was $77 billion in size
Initial margin at Ice CCPs surged over 2020
Required IM at Ice Clear US increased 42% year on year
Share of small EU bank assets under standardised approach grew in 2020
At small banks, SA covered 88% of credit exposures
EU banks’ credit risk estimates stabilised at year-end
Weighted average corporate borrower PD across countries climbed to 2.15%
EU funds levered up over 2019
Gross hedge fund leverage came to 6,450% of NAV
EU systemic banks added €9bn to capital through IFRS 9 break
UniCredit was the top beneficiary with an 82 basis points CET1 ratio boost
Level 3 assets at US banks grew 13% in 2020
Citi posted an 100% increase over the year to $16.1 billion