Banks
At Danske Bank, market RWAs soar as credit risks dip
Bond binge contributes to 36% increase in market risk charge
Following Fed relief, SLR bonds loosen for top US banks
Billions of Tier 1 capital freed by tweak to ratio’s denominator
Systemic US banks put aside $35bn for credit losses in Q2
JP Morgan takes a $10.5 billion provision charge alone
Trading risks lurched higher at top US dealers in Q2
Bank of America and Morgan Stanley saw VAR levels surge over 50%
BNY Mellon strengthens capital stack
CET1 capital increased 9% quarter-on-quarter
Modelled RWAs diverge from standardised at Goldman Sachs
Advanced approaches RWAs are now 10% higher than standardised
Loan-loss provision charges nearly triple at Wells Fargo
Loss reserves for credit cards spike to 10.49% of outstanding loans
VAR doubles at JP Morgan in Q2
Trading risk for fixed income products jumps to $129 million
Advanced approaches continue to bind Citi in Q2
Modelled RWAs fall slower than standardised over the three months to end-June
JP Morgan posts $510m XVA gain
Benefit reverses some of the previous quarter’s record loss
Citi’s default fund contributions climbed $2bn in Q1
US bank sees requirement hike 27% quarter-on-quarter
Three systemic US banks face stress capital buffer add-ons
JP Morgan, Goldman Sachs, Morgan Stanley will see minimum requirements increase under new regime
Systemic European banks’ bail-in buffers fell in Q1
Bail-in debt stocks increase, but balance sheet expansion crimps TLAC ratios
Credit Suisse nets 37% sovereign RWA cut
At end-2019, 75% of its government portfolio was under the standardised approach, up from 14% the year prior
Systemic European banks expanded scope of credit models in Q1
UniCredit and Santander have increased reach of IRB approaches the most among their peers
CIBC’s escape from SA-CCR lowers capital charge
Bank embraces internal model approach for derivatives portfolio
Structured product losses weigh on Canadian G-Sibs
CDOs held by RBC lose C$369 million over three months
Risk density of top US banks edged down in Q1
Banks piled up assets with low risk-weightings in the first quarter
‘Big Five’ Canadian banks’ loan-loss charges quadruple
Reserves for performing loans increase 32-fold quarter-on-quarter
Counterparty risk capital charges up 20% at top UK banks
StanChart CCR capital requirement jumps 41% over the first quarter
Non-operational deposits flooded US G-Sibs in Q1
JP Morgan also sees a big jump in its maturity mismatch add-on
US bank liquidity ratios eroded in Q1
Net cash outflows and HQLA spike to record levels
Though Covid crisis rages, US banks’ op RWAs fall
Wells Fargo sees op RWAs fall $2.9 billion
Japan Post marks down CLOs by ¥122bn
Lender has increased holdings of CLOs 76% since Q4 2018