Data
RWA density rises at Citi, BNY Mellon and State Street
The eight US G-Sibs reported total assets of $14.2 trillion, up 5% quarter on quarter
Central clearing rates for CDSs hit record high
A volatile 2020 pushed more single- and multi-name contracts to central counterparties
Commonwealth Bank’s LCR dips 13% as liquidity buffer shrinks
The Australian bank reported liquidity assets of A$171 billion, down 6% from the previous quarter
OTC derivatives values surge 36% in 2020
Foreign exchange derivatives were largely responsible for the overall increase in fair values in the second half of last year
Commerzbank’s leverage ratio dips as balance sheet swells
German lender adds €37.2bn of leverage exposure in Q1
Commerzbank’s op RWAs hit 10-year low
The bank added 20bp to its CET1 capital ratio in Q1
ABN Amro’s market risk charge grew 54% over Q1
Dutch bank hit with higher VAR and SVAR multipliers
Citi edges towards Collins floor
The gap between standardised and advanced RWAs has shrunk significantly during Q1
Goldman’s swaps clearing unit boosts client margin by $1.2bn
The top eight FCMs accounted for 95.8% of total client required margin, down 96.4% YoY
UniCredit cut RWAs the most of EU systemic banks in Q1
The €10.8 billion cull helped improve the Italian bank’s CET1 ratio 52bp
SocGen’s cash pile grew to €163bn in Q1
Central bank deposits surge while other HQLAs shrink
ANZ expanded credit model in Q1
Risk density of overall loan book declined quarter on quarter
BNP Paribas’ VAR hit 12-year high in Q1
Equity portfolio VAR surged 27% quarter on quarter
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
Deutsche slashed market RWAs by one-fifth in Q1
Macro-hedging touted as RWA-saving tool
Trading VAR at UBS peaked after Archegos blow-up
Swiss bank still posted a fall in market RWAs quarter on quarter
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
Archegos debacle prompts Credit Suisse to slash prime services
Executives pledged $35 billion of cuts to investment bank leverage exposure
JSCC incurred 311 IM breaches in 2020
IRS service experienced the largest breach last year
ECB’s Trim found 900 flaws with 31 banks’ market risk models
Remedying shortcomings added €11 billion to market RWAs in aggregate