Level 3 assets
EU G-Sibs outpace non-systemic peers on Level 3 asset growth
Increase in mark-to-model holdings threatens to inflate too-big-to-fail lenders’ systemic profile
Global banks’ systemic footprint grew at record pace in 2021
Every indicator up on previous year, only the second time in G-Sib assessment history
Bailed-out Uniper suffered €14bn derivatives markdown in H1
Company cut value of gas forwards contracts due to risk of reduced deliveries from Russia
Norway oil fund marks down Russia stocks by 87%
Country’s sovereign wealth fund moved equity holdings to lowest level of fair-value hierarchy
Global banks grow systemic footprint
Nine out of the 12 G-Sib indicators increased in 2020
Level 3 assets at global systemic banks down 36% since 2014
Hard-to-value holdings down sharply over the past six years, but pandemic threw spanner in the works at some banks
Systemic indicators surged at European banks in 2020
Values used for 10 of 12 systemic risk indicators climb year-on-year
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