Articles by Louie Woodall
ANZ expanded credit model in Q1
Risk density of overall loan book declined quarter on quarter
For EU banks, there can be no ‘back to normal’
The ECB’s recent review of risk models shows lenders got it all wrong pre-pandemic
Core systemic indicators at HSBC blinked higher in 2020
Underwriting indicator increased over 30%
UK banks released £671m of loan-loss provisions in Q1
HSBC, Lloyds and NatWest all released surplus credit reserves
Op risk update lops £72m off NatWest’s capital requirement
RWAs for operational risk fell 4% in Q1
Santander added to its pile of shaky loans in Q1
‘Stage two’ assets made up 7% of its total at end-March
Derivatives footprint of top EU banks shrinks
Deutsche Bank reduced these exposures by 12% alone
Systemic EU banks had €213bn of loans under moratoria at end-2020
Exposures covered by payment holidays dropped by €115bn in H2
JSCC incurred 311 IM breaches in 2020
IRS service experienced the largest breach last year
LCH SA skin in the game fell in Q4
In contrast, pre-funded clearing member contributions to the default funds increased 10% to €6.1 billion
JP Morgan’s SLR falls as Fed relief ends
Bank says raising capital against deposits are “unnatural actions for banks”
One FICC member paid record $102bn to cover dues in Q4
Previous highest payment obligation of a single participant was $77 billion in size
Initial margin at Ice CCPs surged over 2020
Required IM at Ice Clear US increased 42% year on year
EU banks’ credit risk estimates stabilised at year-end
Weighted average corporate borrower PD across countries climbed to 2.15%
EU funds levered up over 2019
Gross hedge fund leverage came to 6,450% of NAV
Level 3 assets at US banks grew 13% in 2020
Citi posted an 100% increase over the year to $16.1 billion
IM at LCH Ltd fell to post-Covid low in Q4
Required IM for SwapClear dropped to £149.5 billion, down 3% quarter on quarter
Archegos fiasco clips Credit Suisse’s capital ratio
CET1 ratio will be “at least” 12% for Q1
Initial margin at the OCC topped $100bn in Q4
Exchange-traded derivatives hub cleared 7.5 billion contracts in 2020
Margin breaches quadrupled at Eurex in 2020
Equity derivatives service witnessed 1,782 breaches last year alone
At CME, required IM increased over one-third in 2020
IM for futures and options hit $152.3 billion at end-December
What good are risk disclosures anyway?
Regulatory filings and shareholder reports offered no heads-up of Archegos’ troubles
Own-country risk makes up 51% of EU bank sovereign portfolios
Home government exposures up seven percentage points in 2020
EU banks saw distressed loans heap up in Q4
‘Stage two’ assets make up 9.1% of banks’ total