Banks
At big US banks, Treasury holdings grew over $350bn in 2020
US debt held-to-maturity increased 92% over the year
Swaps, repo counterparties of US banks grew riskier in 2020
At Citi, counterparty credit RWAs for OTC portfolios increased 51%
IFRS 9 relief added £8bn to UK banks’ capital buffers in 2020
Lloyds’ CET1 ratio reaped a 120bp benefit
Top US banks saw liquid assets grow over $500bn in 2020
JP Morgan saw HQLA increase 28% year on year
High-earning banks set aside more Covid provisions – BIS
Provisions across 70 banks in H1 2020 were almost quadruple those taken in H2 2019
‘Big Five’ Canadian banks’ provisions doubled in pandemic year
However, over three months to end-January, set-asides dropped dramatically
UK banks count cost of EU software capital reversal
Average CET1 ratio would fall 29 basis points
Ailing loans added $15bn to StanChart’s RWAs in 2020
Effects of credit deterioration offset by disposals, portfolio reductions
At Lloyds, more loans miss repayments as they exit moratoria
Majority of delinquent loans are mortgages
XVAs ate $401m of JP Morgan’s revenues in 2020
Credit valuation adjustment on derivatives cost $337 million alone
HSBC pares down market RWAs after model update, VAR change
Risk-weighted assets for trading exposures fall $2.8 billion quarter on quarter
Regulatory breaks strengthened EU banks’ CET1 ratios in 2020
In spite of Covid turmoil, top lenders improved their CET1 ratios by around 70bp on average
NatWest cut markets unit RWAs by almost one-third in 2020
NatWest Markets now makes up 16% of group RWAs
Barclays cut liquidity buffer in Q4
High-quality liquid assets fall 19% quarter on quarter
Credit Suisse updates VAR disclosure to cover banking book
Non-trading positions accounted for 31% of market risk exposure in Q3
Model reviews imposed capital charges on top EU banks in Q4
Societe Generale incurred a -36bp hit to its CET1 ratio due to Trim
EU banks count capital benefits of new software treatment
Deutsche Bank reaps 43bp gross benefit
NAB’s bad loans ratio climbs as Covid moratoria expire
Australian lender sees percentage of past due and impaired loans hit 1.18%
ING takes capital hit for lowballing loan-loss provisions
NPE coverage ratio fell over Q4
In light of Covid recession, Fed eases stress test scenario
Real GDP projected to fall 4%. In 2020, the simulated drop was 8.5%
State guarantees saved UniCredit €8bn in RWAs through 2020
Italian lender has €20.8 billion of government-backed loans on its books
Easing of op risk add-on boosts Commonwealth Bank
Op RWA relief offset increases due to credit, market risk
Synthetic risk transfer plumps SocGen’s capital buffer
Risk transfer and CET1 relief smooth out add-on for model risk at the French bank
Non-performing loans piled up at Japan megabanks in 2020
Bad loan ratio climbed 10 basis points on average across MUFG, SMFG and Mizuho