Data
Illiquid trading assets drop at big US banks in Q4 2018
Non-HQLA securities fell $146 billion in aggregate
Generali accelerates pivot to ‘capital light’ products
Tilt to unit-linked products helps relieve capital burden
Cleared swaps surged among US banks in 2018
Cleared swaps accounted for 49% of notionals at end-2018
Accounting switch saps Ping An's investment yield
IFRS 9 lops 37 billion yuan from investment return
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
Securitisations push Barclays' market risk capital higher
UK bank reports 37% hike in securitisation capital charge year-on-year
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
Derivatives assets soar at eurozone insurers
Surge in values near year-end hint at hedging gains
Wells Fargo takes $112m CVA hit in 2018
Trading revenues decline $54 million overall through derivatives adjustments
PRA's Pillar 2 add-ons reflect mixed verdict on UK banks
Median CET1 Pillar 2A charge for big six banks rises to 2.25%
Clearing members inject $2.5bn to JSCC default funds in 2018
Higher contributions likely reflect increased exposures at the CCP
Off-balance sheet exposures dip at US G-Sibs in Q4 2018
Goldman Sachs posted the largest drop quarter-on-quarter
EU hedge funds lean on repo for leverage
Around 60% of EU hedge fund borrowings due within one week, Esma reports
European and UK G-Sibs cut leverage at year-end
Barclays posted the largest quarterly increase of 60bp
US banks improve funding mix in 2018
Cash outflows with high run-off rates reduce over the year
Escalating global threats make for harsher BoE stress test
World GDP assumed to contract 2.6% in 2019 scenario
US banks boost sales of CDS, reversing two-year trend
BofA Securities increased CDS notionals the most, adding $30.3 billion to its portfolio
Execution issues dominate UK bank op risk losses
This category of risk accounted for 47% of op risk losses on average at five banks
US G-Sibs’ VAR-based charges jump 23% in Q4 2018
On aggregate, the eight G-Sibs posted a VAR-based capital charge of $2.9 billion
Liquid assets fall $56bn at US G-Sibs, clipping LCRs
Rate rises and Fed balance sheet policy may affect HQLA values
Canadian Big Five hoard reserves as credit outlook decays
Four of the five largest Canadian lenders saw provisions rise, with BMO the only outlier
UK banks find various ways to de-risk
Risk-weighted assets fall despite loan growth at four of big five lenders