Level 3 assets
Eurozone banks add €10bn of Level 3 assets in Q1
First quarterly increase in mark-to-model assets post-pandemic
Level 3 assets at US banks grew 13% in 2020
Citi posted an 100% increase over the year to $16.1 billion
Level 3 assets fell at top US banks in Q2
Mark-to-model instruments disclosed by banks over $100 billion in size contracted 4%
Hard-to-value assets fell at EU banks in Q2
Level 3 derivatives assets fall 14% quarter-on-quarter
How Deutsche shrank its systemic footprint
Total exposures have fallen one-third since 2013
Top banks defer €1.6bn of profits on hard-to-value trades in H1
BNP Paribas set aside €532 million alone in H1
Rising Level 3 assets threaten bank profits
Dealers are relying on in-house models to value large amounts of complex structured products
BNP tags €10bn of equity derivatives as hard-to-value
Over 12% of exposures classified as Level 3 at end-June
Valuation risks fell at UBS in Q2
Swiss lender is sitting on $8.1 billion of Level 3 assets
Mark-to-model assets spiked at eurozone banks in Q1
Level 3 derivatives assets increased 52% quarter-on-quarter
French, UK banks have largest trading portfolios in Europe
Fair value and HFT assets concentrated among biggest banks
Mark-to-model assets surge at top US banks in Q1
Level 3 instruments hit an aggregate $137 billion among banks over $100 billion in size
Hard-to-value assets abound at Nordic banks
Level 3 assets make up 25% of Norwegian firms’ fair value portfolios
Commerz tags €5bn of CLOs as hard-to-value
Buyers’ strike makes mark-to-market pricing impossible for structured credit
Natixis defers €120 million of trade profits in H1
French bank builds valuation reserve by 41% year-on-year
Big EU banks’ Level 3 assets up 25% in 2018
Hard-to-value assets rise €35 billion year-on-year
Barclays, HSBC, StanChart saw Level 3 assets rise 10% in 2018
Transition to IFRS 9 may be behind the increase
Level 3 assets at eurozone G-Sibs swell to €82bn in 2018
IFRS 9 likely contributor to first increase in Level 3 inventories since 2014
Citi, Goldman, State Street add $685m of complex assets
Private equity, asset-backed security and loan holdings drive increase in Level 3 instruments
Goldman, Wells Fargo grew hard-to-value assets in 2018
In contrast, the other six US G-Sibs slashed $4.4 billion of Level 3 assets on aggregate
Global banks shrink systemic footprint
The big banks trimmed total leverage exposure by €2.9 trillion (4%) in 2017
Swap books swell at big US banks despite lower risk profile
Total OTC derivatives notional among the eight banks is $222 trillion – a 2% increase on the quarter
Big European and US banks cut $280bn of complex assets
G-Sib methodologies incentivise shift to simpler assets
New risk data signals lower EU G-Sib scores
Aggregate 20% drop in level 3 assets and 7% decrease in intra-financial system liabilities reported in 2017