Regulators
RWA density at Goldman drops to seven-year low
Change to the distribution of the bank’s exposures by risk weighting likely contributed to the reduction
UK bank derivatives exposures fall by £321bn in Q2
At £1.12 trillion, FX exposures are at their lowest levels for seven years
Cleared portfolios surge at EU G-Sibs
Systemic banks post highest share of cleared trades in seven years, as IM phases five and six approach
Citi leads US banks in shrinking market risk
First aggregate drop in capital charges stemming from market risk since mid-2020
JP Morgan flirts with VAR limits
Largest trading loss in Q2 reached 96% of bank’s VAR limit
Crédit Agricole grew OTC derivatives notionals 17% in 2020
Bank pulls ahead of SocGen as third-largest European derivatives bank but risks incurring a higher G-Sib score
Securities market frenzy drives up mid-sized European banks' systemic risk
Nordea’s underwriting activity jumped by almost 7,000% in 2020
BNY Mellon incurred a VAR breach in Q2
The highest losses-to-VAR ratio was 145.75%, in the first backtesting exception reported by the bank since 2018
EU banks get first taste of new stress test-driven buffer regime
Of the 50 stress-tested lenders, three would fall into the highest Pillar 2 Guidance bucket
Systemic indicators surged at European banks in 2020
Values used for 10 of 12 systemic risk indicators climb year-on-year
EU stress tests: market risk cuts 107bp off average bank’s CET1
SocGen, Deutsche and UniCredit the hardest hit among EU systemic banks
Wells Fargo, Citi amass losing days in Q2
On average, the eight top US banks reported 32 loss-making days
EU stress tests: BNP Paribas would bear brunt of trading losses
Losses from held-for-trading balance sheet would wipe out fair value book gains
Client margin down 33% at Credit Suisse’s swaps unit in Q2
Drop in IM could signal clients jumping ship in the aftermath of Archegos blowout
EU banks forced to up collateral for ETDs in Q4 2020
Over-collateralisation of liabilities jumps to highest since March 2020
ECB sees slim gains, larger losses if EU tweaks Basel III
Staff paper says using parallel stack output floor would push up funding costs longer-term
Covid-forborne loans default en masse in EBA stress test
13.4% of ex-moratoria exposures in ‘stage three’ default at 2023 test end-point
Wobblier eurozone banks most exposed to climate change
Lenders with lower CET1 ratios and weaker returns could face more credit defaults from global warming
Covid-forborne EU loans sour faster as more exit moratoria
Exposures classified as stage two rose 37% in the first three months of 2021
UK banks’ RWAs near record low – BoE
Lower credit and counterparty RWAs led the quarterly drop, latest figures show
Eurozone banks add €10bn of Level 3 assets in Q1
First quarterly increase in mark-to-model assets post-pandemic
Loan losses: Banks’ estimates out of sync with Fed’s
Wells Fargo worst performer in latest DFAST exercise
Morgan Stanley’s stress test estimate strays from Fed’s
Half of US systemic lenders lowball capital hits in DFAST 2021
At Citi, Goldman larger OTC swaps books drive up systemic risk scores
Increase in trading and available-for-sale securities bump systemic risk scores higher at BofA and JPM