Banks
Basel III heralds wild CVA capital swings
Minimum required capital for CVA to climb 64% for large banks, but some banks will see falls of up to 67%
Funding risk of global banks varies
Basel study shows European banks have seen net cash outflows increase just 7.7% in four years
Goodwill makes up $69bn of BAML’s equity
Across eight US G-Sibs, goodwill comprises 18.7% of pre-adjusted CET1 capital
Basel output floor to bind 29% of big banks
But risk-based capital requirements would constrain the largest number of international lenders
European banks set for 18.6% capital hike under Basel III
Model output floor and higher credit and op risk charges will drive most of the increase
Basel III capital shortfall estimate drops by €9 billion
Lower projected credit and market risk capital requirements and model output floor drive reduction
BNY, UBS paid over 10% for Fed funds and repo in Q2
The average cost of Fed funds purchased and repo rose to 4.32% in Q2 from 2.41% a year ago
Metro Bank poised to miss MREL target
After a cancelled bond sale, UK lender is running out of time to raise bail-in capital
On securitisations, Wells Fargo is in a league of its own
Securitisation exposures account for 15% of total assets at Wells versus 2.1% for the average bank
JP Morgan’s CVA charge jumps $249m in Q2
All US G-Sibs post higher CVA capital requirements for the quarter
Credit loss provisions at US G-Sibs 14% lower in Q2
PCLs total $4.8 billion at end-June
Top UK banks cut CVA charges by 9% in Q2
Standard Chartered is only outlier among big five to see capital requirement rise
Among G-Sibs, Japanese and US banks see LCRs improve most
US systemic banks’ liquidity coverage still lags behind other G-Sibs
How banks rode out the EU stress tests’ market shock in 2018
During the last round of tests, projected trading portfolio losses sapped 89 basis points off EU banks’ aggregate CET1 ratio
Higher retained earnings boost Barclays, Lloyds and RBS capital
Barclays and RBS legally transferred share premium account balances to retained earnings over last two years
As too-big-to-fail banks shrink, non-systemic firms play catch up
Almost three-quarters of non-systemic banks have increased their G-Sib scores since 2013
Liquidity coverage of eurozone G-Sibs diverge in first half of 2019
BNP Paribas sees LCR drop 11.6 percentage points in H1 while Deutsche Bank’s climbs 7.3 percentage points
Mid-sized US banks’ LCRs vary
Average ratio of 15 non-systemic lenders was 135% at end-June
Fed fund and repo borrowings top $1trn at big banks in Q2
JP Morgan had 16.8% of total outstanding borrowings of the largest banks at end-June
Off-balance-sheet exposures at US systemic banks jump $67bn
BAML expands these assets by 2.5% quarter-on-quarter to $921 billion
RNIV charges account for big chunk of Swiss banks’ capital
At UBS, 37.5% of its market risk capital requirement was for risks-not-in-VAR
Earnings fuel capital build at systemic US banks
Aggregate CET1 capital hits $1.1 trillion in Q2 2019, of which 86% is retained earnings
Retained earnings power capital growth at top eurozone banks
Retained earnings increased €29.7 billion as part of CET1 at 16 large eurozone banks in two years to end-2018
Over three years, credit risk has built up at Swiss banks
Credit Suisse has also reduced the portion of its credit RWAs calculated using internal models