G-Sibs
Two banks dominate EU securitisations
Banco Santander and Deutsche account for over one-third of total securitisation exposures among G-Sibs
Swap book values of US G-Sibs dropped in 2018
Settled-to-market technique responsible for some deductions year-on-year
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
Swaps, repo grow share of G-Sib leverage exposures
On-balance sheet exposures shrink as a constituent of key regulatory measure
SOFR tipped to hit 300bp at quarter-end
US repo rate set for 25% spike thanks to French bank “window dressing” and US Treasury issuance
Basel members make progress on regulatory alignment
Of the 98 flaws in national implementations of Basel III identified, most have been addressed by competent authorities
Schwab, Northern Trust’s funding risk rivals G-Sibs'
Two non-G-Sibs have high short-term wholesale funding scores under Method 2
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
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
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
Last orders at the VAR
Inaccurate risk-of-loss estimates threaten to load extra capital charges on US dealers
Off-balance sheet exposures dip at US G-Sibs in Q4 2018
Goldman Sachs posted the largest drop quarter-on-quarter
European and UK G-Sibs cut leverage at year-end
Barclays posted the largest quarterly increase of 60bp
US banks boost sales of CDS, reversing two-year trend
BofA Securities increased CDS notionals the most, adding $30.3 billion to its portfolio
US banks’ trading edge slips in 2018
G-Sibs lost on almost half of all trading days last year
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
Buy-siders eye ways to get ahead of US resolution stay rules
Come July 1, asset managers will be unable to dump derivatives as a G-Sib is unwound. Lawyers are standing by
Small banks in China carry outsized risk – research
Study shows systemic risk of smaller banks snowballs during stress periods
Deutsche-Commerz merger would birth giant G-Sib
The combined bank would likely attract 2.5% G-Sib surcharge
Unmoved, Fed stands by G-Sib surcharge
Facing down frenetic lobbying and even US Treasury, central bank doesn’t blink on surcharge
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