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Risk.net The eight US G-Sibs reported total assets of $14.2 trillion, up 5% quarter on quarter Print this page   Three US global systemically important banks (G-Sibs) – State Street, BNY Mellon and Citi – became more risky in the first quarter of the year, Risk Quantum analysis shows. State Street’s risk-weighted asset (RWA) density – calculated as standardised RWAs divided by total assets – rose the most, hitting 39% at end-March, up from 37% the previous quarter. The Boston-based custodian reported total assets of $317 billion in the first quarter, up $2.2 billion qu...

Own-country risk makes up 51% of EU bank sovereign portfolios Print this page   Debt issued by European banks’ host governments made up over half of their sovereign holdings at end-2020, regulator data shows. Of the €3.22 trillion ($3.79 trillion) of sovereign debt held by the 130 firms covered by the European Banking Authority’s latest Risk Dashboard, 51% related to own-government exposures. This compares with a 50% share at end-June and a 44% share the year prior. The percentage related to other European Union/European Economic Area (EU/EEA) sovereigns came to 28%, down ...

Risk.net Print this page   Over 10% of loans held by European Union banks were either close to, or in, default in December 2020, data from the European Banking Authority (EBA) shows – a reflection of the ongoing damage the coronavirus crisis is causing the bloc’s economy. Loans classified as ‘stage two’ under accounting standard IFRS 9 – meaning those that have experienced a drop in creditworthiness since origination – made up 9.1% of EU banks’ total at the end of the year, up from 8% in September and 6.8% a year ago. L Only users who have a paid subscription or ...

Synthetic securitisation shaved €2.2 billion off of credit RWAs alone

Risk.net Print this page   European Union authorities will take action to address shortcomings with the market risk models of 14 lenders following the results of the latest supervisory benchmarking exercise (SVB) by the bloc’s banking watchdog. Penalties will range from supervisory reviews of value-at-risk and incremental risk charge models to capital add-ons. Four banks were deemed ‘high priority’ for intervention based on, among other reasons, their outlier status following the benchmarking analysis, history of Only users who have a paid subscription or are part of a...