Risk Quantum/BNY Mellon
New SLR could cut $63bn off BNY Mellon’s leverage exposure
Proposed rule change would exempt central bank reserves from SLR denominator
Swap book values of US G-Sibs dropped in 2018
Settled-to-market technique responsible for some deductions year-on-year
US G-Sibs owned over $50bn of other banks' capital in 2018
BofA Securities held the most of the group at $10.9 billion
European and US G-Sibs' LCRs diverge in 2018
The average LCR at the 13 European and Swiss G-Sibs stood at 145% at end-December, 42 basis points higher than at end-2017
Constrained by Fed cap, RWA density rises at Wells Fargo
Wells Fargo reported total assets of $1.89 trillion in the fourth quarter, down $56 billion year-on-year
Goldman, Wells Fargo grew hard-to-value assets in 2018
In contrast, the other six US G-Sibs slashed $4.4 billion of Level 3 assets on aggregate
Illiquid trading assets drop at big US banks in Q4 2018
Non-HQLA securities fell $146 billion in aggregate
Cleared swaps surged among US banks in 2018
Cleared swaps accounted for 49% of notionals at end-2018
Big US banks dropped $24trn of OTC notionals at year-end
Total notionals reported by the eight US G-Sibs stood at $196.3 trillion at end-December
US banks slashed G-Sib scores in Q4 2018
Big cuts to derivatives and trading securities push systemic risk scores lower
One-third of US G-Sib capital due to op risk
Op risk share of total RWAs has increased over three years
Goldman Sachs cuts CVA capital 39% in 2018
On aggregate, CVA charge across US G-Sibs fell $2.2 billion to $14 billion year-on-year
Off-balance sheet exposures dip at US G-Sibs in Q4 2018
Goldman Sachs posted the largest drop quarter-on-quarter