Regulators
Derivatives notionals at Wells Fargo, BofA fell in 2020
Written options notionals dropped 12% in aggregate
Most EU banks use historical simulation approach to VAR
Few lenders favour Monte Carlo or parametric methodologies
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
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%
EU banks expect OTC trading conditions to tighten
Credit conditions had eased in Q3 and Q4 2020, but were expected to get tougher in Q1
Non-US banks cut back on MMF dollar funding post-Covid – BIS
Non-bank dollar deposits offered alternative supply of greenbacks
High-earning banks set aside more Covid provisions – BIS
Provisions across 70 banks in H1 2020 were almost quadruple those taken in H2 2019
Top US banks’ market risk charges surged in 2020
Citi ended year with highest charge of the G-Sibs, at almost $9 billion
Repo exposures fell at BofA, surged at JP Morgan in Q4
Bank of America’s SLR improved to 7.2% by end-December
Profit-making trading days at systemic US banks soared in 2020
Citi had the most winning days of the G-Sibs in 2020, with 170
In light of Covid recession, Fed eases stress test scenario
Real GDP projected to fall 4%. In 2020, the simulated drop was 8.5%
Credit derivatives traded volume up 15% in 2020
Week ending March 1 was the most active in dollar-denominated swaps
SOFR swaps traded volume hit new high in January
Notional volumes surpass $222 billion
EBA stress test to gird banks for long Covid depression
Real GDP projected to fall -12.9% from baseline by 2023
Four in five EU banks quizzed on credit risks in 2020
Covid panic exposed cracks in banks' credit models
ECB’s Covid capital relief boosted too-big-to-fail banks
Capital headroom increased 176%
Banks’ borrowings off overseas shadow lenders picked up in Q3
Majority of liabilities are owed non-banks in developed countries
Banks’ claims on the public sector up a third post-Covid
Own-country debt and reserves climbed 44%
Credit risk of EU state-backed loans deteriorated in Q3
Almost 5% of public guarantee scheme loans are designated ‘stage two’
BoE to test UK banks against double-dip Covid recession
Stress simulation falls short of actual coronavirus crisis shock to the UK economy
European banks held near €300bn of state-backed loans in Q3
Italian banks see public guarantee scheme loans increase the most quarter on quarter