Regulators
Notionals for rates ETDs rise 26% in Q1
Confidence in rate hikes is on the rise, but the jury’s out on how fast
Bank of America cleared swaps jump $6.6trn
Bank’s quarterly increase leads US G-Sibs’ $25trn rise in Q1
Rush to meet net-zero target could see Sonia, SOFR collapse
Policy inaction could halt benchmarks’ normalisation, BoE biennial exploratory scenario finds
Wells Fargo’s off-balance-sheet exposures up $54bn
Total OBS exposures across the US largest systemically important institutions hit $3.04trn in Q1
EU bail-in debt sales plummeted 47% in H2 2020
Effects of pandemic continue as MREL-compliant liabilities drop, SRB figures show
UK derivatives market accelerates decline
The bulk of the quarterly reduction came from swaps held by UK banks with cross-border counterparties
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
JPM records highest number of profit-making days in six years
In aggregate, US G-Sibs racked up 355 profit-making days over Q1
Morgan Stanley, Bank of America push VAR limits the most
Largest losses-to-VAR ratios at the two firms were the highest among the eight systemic US banks in Q1
Goldman’s market RWAs grew $14.9 billion in Q1
The increase was largely due to higher VAR and SVAR measures
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
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
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
ECB’s Trim found 900 flaws with 31 banks’ market risk models
Remedying shortcomings added €11 billion to market RWAs in aggregate
ECB’s models review heaped €275bn of extra RWAs on banks
Average bank CET1 capital ratio fell 71bp through Trim process
Share of small EU bank assets under standardised approach grew in 2020
At small banks, SA covered 88% of credit exposures
EU banks’ credit risk estimates stabilised at year-end
Weighted average corporate borrower PD across countries climbed to 2.15%
Level 3 assets at US banks grew 13% in 2020
Citi posted an 100% increase over the year to $16.1 billion
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
Equity growth slowed at US banks in 2020
CET1 ratios of biggest US banks were largely flat on 2019
Regional US banks became more systemically risky in 2020
US Bancorp, PNC disclosed an increased reliance on short-term wholesale funding over the year
Dividend freeze helped keep lid on bank CDS spreads – BIS
But the ban on distributions wrecked bank share prices