Regulators
Wells Fargo’s VAR spiked in Q4
Interest rate VAR increased to $211 million in last quarter of the year
Systemic US banks shed $70bn of repo exposure in Q4
Goldman Sachs lowered repo exposures 13% quarter-on-quarter
€5trn of Eonia swaps mature after benchmark’s death
Almost 20% of derivatives notionals linked to retiring rate will expire post-2022
Systemic EU banks’ bail-in requirements vary
One G-Sib resolution group has an MREL requirement of 32.8% of RWAs
EU banks short €178bn of MREL requirements
117 resolution entities report bail-in bond and capital shortfalls
FCMs’ required client margin up 29% in 2019
Citi still far and away the largest FCM
EU bank clients pressed for better trade terms in 2019
Hedge funds saw price and non-price conditions tighten in Q4
CCAR more severe than EU stress tests
Real GDP decline greater for US banks under Fed tests than for EU firms grilled by the EBA
Fed’s stress tests to gauge banks’ leveraged loan risks
CLOs to suffer “severe corrections” under 2020 scenario
VAR models at odds on forex, commodities, credit risks – EBA
Interquartile distribution of VAR outputs highest for small banks, watchdog finds
Six EU banks need to fix market risk models – EBA
Nineteen firms underestimated capital requirements versus benchmarks
Some EU banks can’t explain lowball credit model outputs
Negative unjustified deviations in capital requirements most widespread for corporate portfolios
EU’s 2020 stress tests are toughest to date
Real GDP projected to contract –4.3% over three-year scenario horizon
EU banks failing on op risk and governance – ECB
Central bank raises concerns on board management, risk controls and data aggregation
ECB risk ratings find banks wanting
Fewer banks scored highly in SREP assessment than in 2017 and 2018
EU Pillar 2 charges hold steady in 2020
Capital add-ons range between 0.75% and 3.5% of RWAs in size
‘Bad banks’ work best alongside capital injections – BIS
Those banks that did not get external funds struggled to improve even after using asset segregation schemes
UK firms lead in cross-border loans to shadow banks
Entities based in the UK had 20% of outstanding global loans to non-banks
Cross-border loans to shadow banks top $7trn
Overseas lending to non-bank financial institutions expands 17% in Q3
Credit assets of non-banks top $44trn
Hedge funds increase loan and bond holdings the most of shadow-banking entities
Ties between banks and non-banks at pre-crisis levels – FSB
Other financial intermediaries grow share of total financial assets to 30.5% in 2017
Growth of shadow banks slowed in 2018 – FSB
Funds susceptible to run risk make up 72% of narrowly-defined non-bank universe
Giant £174bn Sonia swaps trading day may be biggest ever
Mammoth swaps focus on upcoming announcements from the Bank of England’s Monetary Policy Committee
European CCPs home to 241 non-bank clearing members
Majority of non-financial counterparties are energy and power firms