Banks
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
JP Morgan’s SLR falls as Fed relief ends
Bank says raising capital against deposits are “unnatural actions for banks”
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 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
Archegos fiasco clips Credit Suisse’s capital ratio
CET1 ratio will be “at least” 12% for Q1
Own-country risk makes up 51% of EU bank sovereign portfolios
Home government exposures up seven percentage points in 2020
Securitisations lowered Intesa’s credit RWAs in Q4
Synthetic securitisation shaved €2.2 billion off of credit RWAs alone
EU banks saw distressed loans heap up in Q4
‘Stage two’ assets make up 9.1% of banks’ total
Equity growth slowed at US banks in 2020
CET1 ratios of biggest US banks were largely flat on 2019
Goldman, Morgan Stanley led US dealers on equity swaps in 2020
Overall equity derivatives notionals at Goldman hit $2.08 trillion at end-2020
Regional US banks became more systemically risky in 2020
US Bancorp, PNC disclosed an increased reliance on short-term wholesale funding over the year
Dividend freeze helped keep lid on bank CDS spreads – BIS
But the ban on distributions wrecked bank share prices
Fraud op risk losses edged up at UK banks in 2020
An average 38% of losses by value last year were because of internal or external fraud
Derivatives notionals at Wells Fargo, BofA fell in 2020
Written options notionals dropped 12% in aggregate
SocGen’s STS securitisations hit €9 billion in 2020
‘Simple, transparent and standardised’ exposures had half the capital charges of the rest of the book
Top US banks to lose out from end of SLR relief
Average G-Sib will see SLR decline 90 basis points using Q4 2020 figures
SA-CCR more a burden to Credit Suisse than UBS in 2020
At Credit Suisse, SA-CCR RWAs increased 134%