BBVA
Rate of cleared OTC derivatives rises at European banks
Swedbank leads dealers in secular trend towards clearing space
European banks’ systemic indicators surged in 2022
Higher values for 10 of 14 systemic risk indicators could see capital surcharges increase later this year
Top EU banks’ OTC derivatives climbed 12% in 2022
All but two dealers report higher notional amounts, led by Crédit Agricole
IRC capital charges surge at Deutsche and Intesa
Risk-weighted assets covering default and downgrade of traded bonds all but double at Italian lender
Santander, Credit Suisse hit hardest by AOCI in Europe
Unrealised losses, mostly from exchange rate swings, shave huge chunks off CET1 capital
CaixaBank, UniCredit most exposed to rate increases in Europe
Banks report largest hits in IRRBB tests, but remain clear of fail threshold
ECB ratchets up Pillar 2 charges across top lenders
UniCredit, BNP Paribas, SEB and Swedbank worst-hit in latest SREP round
Handful of EU banks reap benefits from domestic exposure carve-out
BNP Paribas, ING Bank and UniCredit account for more than three-fourths of G-Sib score savings from favourable intra-EU risk calculation
European banks’ CVA RWAs up €2.2bn in Q3
Banco Sabadell, Intesa Sanpaolo and ING Bank reported largest quarterly increases
New risk indicator shifts EU’s G-Sib score heatmap
Revision in substitutability category inflates mid-sized banks’ score, lowers G-Sibs’
European banks’ aggregate LCR dips as outflows rise
Net cash outflows outpaced HQLAs, but liquidity reserves remain plump
Market risk capital relief could cut charges at 13 EU banks
EBA says Covid-style measures could be considered to tackle energy crisis
A chilly reception for climate risk capital
Bankers don’t believe climate-adjusted risk-weights will enter EU prudential framework – not for now, at least
Ruble turmoil prompts calls to fix NDF contracts
Some market participants want to see offshore fixings as an option in all standard documentation
EU banks racked up VAR breaches in 2021
Crédit Agricole and ING Bank hit with higher multipliers after exception count rises
Climate is changing for derivatives valuation adjustments
Banks back increased use of global warming criteria when calculating XVAs
EU banks’ derivatives exposures jumped 36% in H1
Top banks added €235bn since December, amid switch to SA-CCR and a new leverage ratio template
PNC’s NPLs hit $2.8 billion post BBVA USA acquisition
BBVA USA add-on made up 31% of consolidated NPLs in Q2
Hedging valuation adjustment gets cold shoulder from banks
Dealers back the idea of charging for hedging costs but not as part of a new XVA
LCR rises for EU banks in Q1, but liquidity strategies diverge
Eurozone banks are still hoarding liquidity, but as vaccines take effect a rethink may be needed
Deutsche leads eurozone banks on exempted exposures
German bank increased central bank reserves currently excluded from leverage ratio the most in Q1
US unit of BBVA on the brink of a VAR breach in Q1
Largest loss-to-VAR ratio at the firm was highest among the 12 intermediate holding companies
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
PNC appoints new chief risk officer
Super-regional, soon to be US’s fifth-biggest bank, switches risk chief