Risk Quantum/HSBC
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
Cleared swaps grow 10 times faster than bilateral at HSBC
Total derivatives notionals up 25% year-on-year
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
UK bank securitisation exposures on the rise
Originate-to-distribute engine revs up
StanChart CVA charge jumps 161% in Q3
Charge rises to $99 million in three months to end-September
UK bank misconduct charges dwindle
Six of seven stress-tested banks report 50% fall in legal and regulatory reserves
Cross-border risks drive European G-Sib scores
Basel method shows cross-jurisdictional activity makes up 30.8% of banks’ total G-Sib scores
Barclays and Lloyds improve resilience to stress tests, HSBC falls back
Capital headroom above pass/fail thresholds increases to 250bp at lenders
IFRS 9 transition eases UK banks’ path through stress tests
Aggregate CET1 ratio 130bp lower without transitional relief
LCRs show US banks run more risk than European peers
The gap between the two averages has widened over the past three quarters to 250bp from 212bp
EU G-Sibs cut $14 billion in op risk
Banco Santander posted the largest decline – at 7% – with op RWAs falling to $70 billion
Capital sharing caps hit over half of EU stress test banks
Capital conservation measure saves 25 banks €52 billion over stress-test period
UK banks gain capital edge through IFRS 9 transitionals
Four big lenders claim £3 billion CRR-mandated relief
HSBC nets $5 billion capital saving as PRA slims add-on
Pillar 2A requirement drops following PRA review
Big UK banks have £278 billion exposure to ‘junk’ loans
Non-investment grade exposures make up 31% of total corporate exposures
Modelled market risk falls for UK banks as standardised risk rises
Barclays had the lowest percentage of market RWAs calculated under IMA, at 49.6%, and Lloyds Banking Group the highest, at 86.1%
BNP Paribas grows SFT assets 36%
French bank has overtaken Barclays to become the largest European SFT dealer
EU bank leverage increases in H1
Average leverage ratios degrade 19 basis points in six months to June
UK leverage ratios stray from EU measures
Bank of England changes exempt central bank claims from UK measure, causing discrepancies with CRR version
CVA capital at top UK banks falls £260m in H1
HSBC led the way with a 38% reduction, followed by RBS with a fall of 35%
'No-deal' Brexit would add risk weights to EU government bonds
HSBC has most sovereign exposures that could attract higher capital charges among big UK banks
European banks blitz non-modelled credit risks
Across 14 G-Sibs, IRB assets fell 10% over three years, while standardised assets dropped 20%
Capital structures vary across EU banks
Median lender's capital stack is 75% CET1, 10% AT1, and 15% Tier 2