Banks
JP Morgan flirts with VAR limits
Largest trading loss in Q2 reached 96% of bank’s VAR limit
Crédit Agricole grew OTC derivatives notionals 17% in 2020
Bank pulls ahead of SocGen as third-largest European derivatives bank but risks incurring a higher G-Sib score
Securities market frenzy drives up mid-sized European banks' systemic risk
Nordea’s underwriting activity jumped by almost 7,000% in 2020
BNY Mellon incurred a VAR breach in Q2
The highest losses-to-VAR ratio was 145.75%, in the first backtesting exception reported by the bank since 2018
EU banks get first taste of new stress test-driven buffer regime
Of the 50 stress-tested lenders, three would fall into the highest Pillar 2 Guidance bucket
Systemic indicators surged at European banks in 2020
Values used for 10 of 12 systemic risk indicators climb year-on-year
EU stress tests: market risk cuts 107bp off average bank’s CET1
SocGen, Deutsche and UniCredit the hardest hit among EU systemic banks
Wells Fargo, Citi amass losing days in Q2
On average, the eight top US banks reported 32 loss-making days
EU stress tests: BNP Paribas would bear brunt of trading losses
Losses from held-for-trading balance sheet would wipe out fair value book gains
Rabobank’s market risk charges jump 54% in H1
Increases in commodity and FX risk push up SA RWAs
PNC’s NPLs hit $2.8 billion post BBVA USA acquisition
BBVA USA add-on made up 31% of consolidated NPLs in Q2
TFF draw boosts Commonwealth Bank’s LCR to 129%
HQLAs hit A$128 billion after injection of cheap central bank funding
ABN Amro shed €4.5bn non-core RWAs in Q2
Bank seeks to prepare books for Basel IV
Top UK banks’ RWAs rose in Q2, reversing downward trend
HSBC’s $15.5 billion increase was the main driver, but other banks saw RWAs fall
EU banks forced to up collateral for ETDs in Q4 2020
Over-collateralisation of liabilities jumps to highest since March 2020
CRR II pulls Crédit Agricole’s leverage ratio both ways
New capital requirements offset by ECB exposure relief
ING takes €5.2bn RWA hit from SA-CCR and last of Trim
Regulatory inflation negates RWA decrease from better loan-book quality
Natixis buyout cost BPCE 70bp of CET1 ratio in Q2
Cash cost of offer for main subsidiary offset partly by increase in shareholder equity
ECB sees slim gains, larger losses if EU tweaks Basel III
Staff paper says using parallel stack output floor would push up funding costs longer-term
HSBC’s Asia RWAs up $22.9 billion in H1
Asia accounts for 47% of total RWAs as reallocation strategy gathers steam
Covid-forborne loans default en masse in EBA stress test
13.4% of ex-moratoria exposures in ‘stage three’ default at 2023 test end-point
NatWest gets VAR model approval as transition from Libor continues
The updated model is expected to reverse a £1.5bn increase in markets RWAs next quarter
SA-CCR to add up to £5bn to Lloyds’ RWAs
Further headwinds are expected to come from CRD IV implementation
Nomura’s LCR rebounds after early-year dip
Cooling cash outflows at the ratio's denominator compounded HQLAs increase