Risk Quantum/Barclays
European and UK G-Sibs cut leverage at year-end
Barclays posted the largest quarterly increase of 60bp
Escalating global threats make for harsher BoE stress test
World GDP assumed to contract 2.6% in 2019 scenario
Execution issues dominate UK bank op risk losses
This category of risk accounted for 47% of op risk losses on average at five banks
UK banks find various ways to de-risk
Risk-weighted assets fall despite loan growth at four of big five lenders
UK banks build liquidity buffers ahead of Brexit
Four high street lenders boost HQLA by 11% in 2018
UK banks' ECL scenarios vary
Projected economic outcomes most widely dispersed at Barclays
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
Model expansion cuts Barclays' counterparty risk by 24%
Total CCR risk-weighted assets shrink on modelled exposure measurement approach approval
Citi grows US swaps margin share in 2018
Citi remains the largest FCM, with a 27.5% share of total required client margin
FBOs get smaller, simpler and easier to resolve
Foreign bank IHCs have shrunk between 16% and 41% since Q3 2016
Many EU banks’ sovereign portfolios highly concentrated
Forty-eight lenders have more than three-quarters of sovereign risk allocated to home country
Two stress tests give conflicting verdicts on UK banks
Under the BoE’s severe stress scenario, the average drop to UK banks’ CET1 capital ratios was 740bp, compared with 570bp under the EBA’s adverse scenario