Banks
Fix to Fed stress test snafu lowers two banks’ capital charges
Goldman, Morgan Stanley see stress capital buffer cuts
UK banks’ rate swaps books continued to grow in Q2
Interest rate swap exposures hit £4.42 trillion
Swiss banks plumped liquidity buffers in Q2
Credit Suisse’s HQLA increases 26% quarter-on-quarter
UK banks’ swaps exposures to overseas firms edge lower
Total net derivatives assets fell 4% over three months to end-June
Eurozone securitisation dealmaking bounced back in Q2
Special purpose vehicles bought €19.2 billion of securitised bank loans in Q2
Big Five Canadian banks post C$6.6bn of loan-losses in Q3
PCLs fell 36% quarter-on-quarter
Model change erodes credit RWAs at TD
US retail loans have grown 23% in two years
Systemic eurozone banks expand cleared portfolios
BNP Paribas is an outlier, having ratcheted up bilateral trading since 2013
RBC’s VAR doubled in pursuit of trading windfall
Stressed VAR also surged as the bank switched stress periods
BMO, Scotia crush CVA charges
CVA capital requirement fell 48% at BMO last quarter
How Deutsche shrank its systemic footprint
Total exposures have fallen one-third since 2013
Top US banks’ counterparties’ credit quality deteriorated in Q2
At Citi, exposures with a PD of 10% to 100% increased 73% quarter on quarter
Systemic indicators surged at European banks in 2019
Total exposures increased 3% year on year
Barclays led European banks on derivatives notionals in 2019
Deutsche Bank cut notionals 10% last year
Fed dollar swap operations slow as funding strains ease
Seven-day swap utilisation has dropped off since May
OTC swaps exposures of systemic US banks fell back in Q2
Aggregate current credit exposures to hedge funds falls 42% quarter on quarter
Deposit flows shape systemic US banks’ liquidity risk
Non-operational deposits accounted for over 25% of cash outflows in Q2
US banks’ corporate default indicators worsened in Q2
Median probability of default increases 38bp to 1.7% on the quarter
Systemic US banks’ liquidity ratios rebounded in Q2
Aggregate liquid assets increased 15% quarter on quarter
Virus volatility swelled CVA charges at Barclays, NatWest in H1
PRA capital relief for market risk eased the CVA burden at some lenders
Systemic US banks’ leverage exposures shrank $1.4tn in Q2
On-balance sheet exposures fall on Fed relief
Citi, Goldman, had most winning trading days of top banks in Q2
In aggregate, US G-Sibs racked up 314 profit-making days over the quarter
Market, interest rate risks surged at Commonwealth Bank in H1
Market RWAs jumped 129% over the first half
ABN Amro crushes CVA charge with index hedges in H1
Risk-weighted assets for CVA drops 48% in six months to end-June