Banks
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%
Most EU banks use historical simulation approach to VAR
Few lenders favour Monte Carlo or parametric methodologies
BNP Paribas’s LCR hit record high in 2020 in wake of deposit glut
HQLA jumped 10% in Q4
At 40% of EU banks, credit risk own-funds deviate from benchmarks
Eleven banks lowballed capital requirements without justification in latest exercise
Fourteen EU banks face sanctions for poor market risk models
Twenty lenders lowballed capital requirements
Deposits boosted top US banks’ short-term funds in 2020
Unsecured funding from outside the financial sector increased 22% to $934.6 billion
Portfolio shifts aided credit RWA reductions at Dutch banks in 2020
At ING, 0% risk-weighted sovereign exposures kept a lid on RWA inflation
Model change pumps up Deutsche’s VAR capital charge
Switch to historical simulation approach increases requirement by 71%
Euro banks’ trading activities pose lopsided risk to capital – ECB
Elevated downside risks to capital posed by net trading income
Five US systemic banks face higher G-Sib surcharges
JP Morgan to face 4% add-on; Wells Fargo a cut to 1.5%
Risk density of Santander’s securitisation book hits five-year high
Synthetic securitisations helped cap credit RWAs last year
At Canada’s ‘Big Five’, counterparty and op RWAs grew in 2020
Credit, market RWAs ebbed over the year
How XVAs hit top US banks’ trading revenues in 2020
JP Morgan led systemic banks on losses due to valuation adjustments
At systemic US banks, corporate default risk ebbed in Q4
Median PD of corporate portfolios down to 1.6% from 1.73%
Riskiness of internationally-active UK banks edged up in 2020
Risk density across top five UK banks fell year on year
UK banks added £140bn to HQLA in 2020
Barclays saw its LCR improve the most over the course of 2020
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 HQLAs increase 28% year on year
Non-US banks cut back on MMF dollar funding post-Covid – BIS
Non-bank dollar deposits offered alternative supply of greenbacks