Risk Quantum/Deutsche Bank
Deutsche’s counterparty exposures at odds with capital
Large share of bank’s trades capitalised under internal model method
Credit risk concentrations vary across big EU banks
The median G-Sib had roughly 60% of its credit portfolio exposed to counterparties outside its domicile
Foreign banks stockpile HQLA in US branches
Median FBO has 48% of total HQLA in branches, but only 31% of total assets
Two banks dominate EU securitisations
Banco Santander and Deutsche account for over one-third of total securitisation exposures among G-Sibs
EU G-Sibs add €2.7bn of op RWAs in 2018
Op risk charge anticipated to jump €21.5 billion under Basel III
Fed proposal likely to relax rules for foreign banks
Few FBOs will face toughest level of regulation, according to Fed estimates
One-fifth of EU G-Sibs’ equity ineligible as capital in 2018
Goodwill and intangibles made up €114 billion of pre-adjusted equity
EU G-Sibs' CCP exposures topped €223bn in 2018
Societe Generale, BNP Paribas and HSBC made up over half of all exposures
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
European banks adjust capital mix
Additional Tier 1 totals climb, CET1 and Tier 2 dips
European and UK G-Sibs cut leverage at year-end
Barclays posted the largest quarterly increase of 60bp
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