Banks
Credit Suisse nets 37% sovereign RWA cut
At end-2019, 75% of its government portfolio was under the standardised approach, up from 14% the year prior
Interest rate swaps powered Q1 derivatives boom at top US banks
Rate derivatives notionals increase 22% quarter-on-quarter
Systemic European banks expanded scope of credit models in Q1
UniCredit and Santander have increased reach of IRB approaches the most among their peers
Cash flood expanded systemic footprint of top US banks
Intra-system liabilities up 26% in Q1
Corporate loan default risk spiked at US G-Sibs in Q1
Median probability of default increases 17bp to 1.39% on the quarter
Systemic riskiness of top US banks increased in Q1
JP Morgan’s systemic risk score increased enough to attract a 4% capital surcharge
CIBC’s escape from SA-CCR lowers capital charge
Bank embraces internal model approach for derivatives portfolio
Structured product losses weigh on Canadian G-Sibs
CDOs held by RBC lose C$369 million over three months
Risk density of top US banks edged down in Q1
Banks piled up assets with low risk-weightings in the first quarter
‘Big Five’ Canadian banks’ loan-loss charges quadruple
Reserves for performing loans increase 32-fold quarter-on-quarter
At systemic US banks, CLO holdings dip
Wells Fargo sees 15% sliced off the value of its portfolio
EU banks’ liquidity buffers weathered Covid turmoil
Central bank cash reserves edge up across EU lenders
Counterparty risk capital charges up 20% at top UK banks
StanChart CCR capital requirement jumps 41% over the first quarter
Non-operational deposits flooded US G-Sibs in Q1
JP Morgan also sees a big jump in its maturity mismatch add-on
Citi’s counterparty credit risk charge up 38% in Q1
Probability of default of portfolio increases to 0.73% from 0.68%
Covid tumult pushed VAR capital charges up 72% at US G-Sibs
JP Morgan’s charge increases 148% quarter-on-quarter
US bank liquidity ratios eroded in Q1
Net cash outflows and HQLA spike to record levels
Swaps books of top US dealers bulged in Q1
Citi increased derivatives exposures by $25.5 billion quarter-on-quarter
Though Covid crisis rages, US banks’ op RWAs fall
Wells Fargo sees op RWAs fall $2.9 billion
JP Morgan had sharpest trading edge of top dealers in Q1
G-Sibs racked up 295 profit-making days in first quarter
Japan Post marks down CLOs by ¥122bn
Lender has increased holdings of CLOs 76% since Q4 2018
Trading losses at US units of Deutsche, RBC exceed VAR by 1,000%
Wild markets overwhelmed foreign banks’ value-at-risk estimates
Systemic US banks incurred 42 VAR breaches in Q1
Leading dealers saw actual losses over four times greater than their VAR estimates on some days
Eurozone bank capital buffers swell on Covid relief measures
Average buffer increases to 393bp across 14 eurozone lenders