Risk Quantum/BBVA
EU banks’ derivatives exposures jumped 36% in H1
Top banks added €235bn since December, amid switch to SA-CCR and a new leverage ratio template
PNC’s NPLs hit $2.8 billion post BBVA USA acquisition
BBVA USA add-on made up 31% of consolidated NPLs in Q2
LCR rises for EU banks in Q1, but liquidity strategies diverge
Eurozone banks are still hoarding liquidity, but as vaccines take effect a rethink may be needed
Deutsche leads eurozone banks on exempted exposures
German bank increased central bank reserves currently excluded from leverage ratio the most in Q1
US unit of BBVA on the brink of a VAR breach in Q1
Largest loss-to-VAR ratio at the firm was highest among the 12 intermediate holding companies
Prudential filters took a smaller bite out of bank capital in 2020
Additional valuation adjustments deducted €1.3 billion less from CET1 at top banks
Regulatory breaks strengthened EU banks’ CET1 ratios in 2020
In spite of Covid turmoil, top lenders improved their CET1 ratios by around 70bp on average
EU banks count capital benefits of new software treatment
Deutsche Bank reaps 43bp gross benefit
BBVA capital buffer will swell to 600bp on sale of US unit
Spanish lender targets 11.5-12% CET1 ratio
Banks worldwide have built up liquidity buffers post-Covid
Lenders in Japan have the highest LCRs of global banks surveyed
PNC to be king of US regional banks after BBVA tie-up
Merger unlikely to tip PNC into too-big-to-fail category
Loan-loss provisions take a smaller bite out of EU banks in Q3
Set-asides fell 57% quarter on quarter