Risk Quantum/Citi
Liquid assets fall $56bn at US G-Sibs, clipping LCRs
Rate rises and Fed balance sheet policy may affect HQLA values
Op RWAs surge at Wells Fargo, dwindle at other G-Sibs
Higher capital charges a knock-on effect of a slew of misconduct scandals
Structured product holdings fall at big US dealers
Morgan Stanley's portfolio more than halves in 2018 to $401 million
Over four years, US G-Sib AT1 capital soars
AT1 capital has increased 57% since 2014, CET1 capital up 2%, Tier 2 capital –16%
At US G-Sibs, 11 VAR breaches in 2018
The final quarter of 2018 saw a record number of VAR breaches at the biggest US banks
JP Morgan's repo book bulged at year end
US bank added $101 billion of repo assets in three months to end-December
Equity risk amps up Citi’s VAR charges
Requirements connected to equity positions jumped 49% quarter-on-quarter
Citi grows US swaps margin share in 2018
Citi remains the largest FCM, with a 27.5% share of total required client margin
US G-Sibs hike loan-loss provisions by $737m
Five banks increased PCLs in the fourth quarter of 2018, with JP Morgan leading the way
Shareholder giveaways deplete US G-Sib capital
Aggregate CET1 ratio robust at 12.1%
Citi’s SLR falls to four-year low
Leverage exposure rises $1.9 billion in fourth quarter
Citi’s standardised and modelled RWAs drift apart
SA risk-weighted assets $38 billion higher than modelled equivalents
US banks pare reliance on unsecured funding
Average share of unsecured wholesale funding falls to 42% in a year