Banks
ABN Amro crushes CVA charge with index hedges in H1
Risk-weighted assets for CVA drops 48% in six months to end-June
Goldman’s op RWAs climb $13bn on 1MDB settlement
Bank settled with Malaysian government for $2.5 billion in July
Goldman breached VAR limit 16 times in H1
US dealer also racked up 40 days on which trading profits exceeded $100 million
Internal stress tests of EU banks not up to scratch – ECB
Only one in 10 banks’ internal tests are tougher than supervisor-run programmes
Top banks defer €1.6bn of profits on hard-to-value trades in H1
BNP Paribas set aside €532 million alone in H1
Trading VAR leapt higher across EU banks in Q2
Average VAR across seven systemic lenders increased 61% quarter-on-quarter
Systemic eurozone bank provisions hit €11bn in Q2
ING sees loan-loss charge double in Q2
CRR ‘quick fix’ pushes UniCredit’s RWAs lower
Italian bank nets €2.4 billion of RWA relief from regulatory changes
Shift out of models nets ING €8bn of sovereign RWA relief
Of standardised approach government debt exposures, 24% had a zero risk-weighting in Q2
Commerzbank takes €111m of XVA losses in H1
Valuation adjustment benefits gained in Q2 did not offset huge Q1 losses
EU banks’ Q1 credit risk estimates show little Covid effect
Probability of defaults for retail exposures edged up only slightly quarter-on-quarter
BPCE’s capital ratio falls as it waits on Covid loan relief
Delay to state guarantee benefits took 32bp off of CET1 ratio
Corporate, SME loans to take brunt of Covid shock, say EU banks
Though credit outlook has darkened, banks expect to increase lending overall
Natixis’s market RWAs grew 49% over Q2
Average VAR spiked to €18 million over Q2
HSBC trading unit hit by $355m of XVA costs in H1
Wider spreads continued to eat into derivatives values
SocGen’s VAR jumped 54% in Q2
Credit VAR more than doubled to €43 million
NatWest reaps benefits of PRA’s market risk relief
Suspension of capital multiplier contributes to £1.5 billion of RWA savings
BNP tags €10bn of equity derivatives as hard-to-value
Over 12% of exposures classified as Level 3 at end-June
Dark Covid outlook pumps up Lloyds’ loan-loss reserves
Base case for 2020 now projects UK GDP to drop 10%
Covid hammered CEE banks’ capital ratios
One-quarter of EU banks have CET1 ratios below 13%
Trading VAR surged at Credit Suisse in Q2
Market risk-weighted assets up 20% quarter-on-quarter
Coronavirus crisis sours €8bn of Santander’s loans
Loans moved into IFRS 9 stage two to reflect significant increase in credit risks
Deutsche slashed ‘bad bank’ RWAs in H1
Leverage exposures linked to capital release unit have fallen 20% in six months
Relief for credit losses buoys Barclays’ capital ratio
IFRS 9 transitional measures added 35bp to CET1 ratio