Risk Quantum/Goldman Sachs
Issues of unsecured debt, CDs pick up steam at US G-Sibs
Senior unsecured debt amounts outstanding climb 31% on Q4 2014; CDs 45.5%
First-half trading revenues at US G-Sibs increase by a third year-on-year
Income from interest rate exposures more than tripled on H1 2018, while equity revenues increased 17%
Cleared swaps surge $6.6trn at US G-Sibs in Q2
Cleared swaps accounted for 54% of G-Sib notionals in Q2
At US G-Sibs, swap payments make up $178bn of LCR outflows
All bar one G-Sib see net derivatives cash outflows increase year-on-year
Liquidity coverage at US G-Sibs worsens in Q2
HQLA rose $18bn while projected net cash outflows jumped $29bn
State Street, Goldman push VAR limits the most
Average of largest trading losses-to-VAR at State Street above 90% over past 12 months
At US G-Sibs, market RWAs fall $18bn in Q2
Fall in VAR-based measures of risk behind the decrease
State Street had most losing trading days since 2015 in Q2
Systemic US banks rack up 220 losing days in second quarter
US G-Sibs’ TLAC buffers vary
Morgan Stanley and Goldman Sachs have eligible TLAC equal to 50.8% and 44.7% of RWAs, respectively
Citi’s swaps clearing unit boosts client margin by $2bn
The largest FCM accounts for 27.1% of all required client margin
To be resolved: inside banks’ ‘living wills’
Non-bank units and service providers make up large share of groups’ critical functions
Goldman’s op RWAs fall 8% in Q2
Removal of op risk events from AMA model dataset reduced capital requirement