Credit risk modelling
UK banks released £671m of loan-loss provisions in Q1
HSBC, Lloyds and NatWest all released surplus credit reserves
Santander added to its pile of shaky loans in Q1
‘Stage two’ assets made up 7% of its total at end-March
Systemic US banks released $9.4bn of credit reserves in Q1
JP Morgan reversed $4.2 billion of provisions alone
Strange new world of Covid economics upends loan-loss models
Models wrong-footed by government support, slumps in whole sectors and differences within industries
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%
EU systemic banks added €9bn to capital through IFRS 9 break
UniCredit was the top beneficiary with an 82 basis points CET1 ratio boost
Securitisations lowered Intesa’s credit RWAs in Q4
Synthetic securitisation shaved €2.2 billion off of credit RWAs alone
EU banks saw distressed loans heap up in Q4
‘Stage two’ assets make up 9.1% of banks’ total
Portfolio shifts aided credit RWA reductions at Dutch banks in 2020
At ING, 0% risk-weighted sovereign exposures kept a lid on RWA inflation
Credit migration: generating generators
A stochastic time change helps the modelling of rating transition
At systemic US banks, corporate default risk ebbed in Q4
Median PD of corporate portfolios down to 1.6% from 1.73%
IFRS 9 relief added £8bn to UK banks’ capital buffers in 2020
Lloyds’ CET1 ratio reaped a 120bp benefit
Ailing loans added $15bn to StanChart’s RWAs in 2020
Effects of credit deterioration offset by disposals, portfolio reductions
NAB’s bad loans ratio climbs as Covid moratoria expire
Australian lender sees percentage of past due and impaired loans hit 1.18%
State guarantees saved UniCredit €8bn in RWAs through 2020
Italian lender has €20.8 billion of government-backed loans on its books
Non-performing loans piled up at Japan megabanks in 2020
Bad loan ratio climbed 10 basis points on average across MUFG, SMFG and Mizuho
Covid hikes BNP Paribas’ cost of risk to decade high
Loan-loss provisions for 2020 totalled €5.7 billion
Regulatory headwinds to amp Deutsche’s RWAs in 2021
Targeted review of internal models to add €4bn of RWAs in 2021
Enhanced scrutiny of Covid loans at CaixaBank leads to €321m charge
Stock of ‘stage two’ loans increased 48%
Mid-sized US banks set aside less for credit losses in Q4
Aggregate provision for credit losses at Truist, Capital One, PNC and US Bancorp more than doubled in 2020
Four in five EU banks quizzed on credit risks in 2020
Covid panic exposed cracks in banks' credit models
Capital One’s oil and gas portfolio shrank 27% in 2020
Net charge-offs for Q4 2020 hit 9.4%
Credit risk of EU state-backed loans deteriorated in Q3
Almost 5% of public guarantee scheme loans are designated ‘stage two’