Data
Dollar OIS volumes hit $3.3trn high
Short-dated swaps dominated trading in last week of February
Systemic US banks’ trading portfolios swell 10% in 2019
US Treasuries held-for-trading soar 28% on Q4 2018
Low risk assets pile up at systemic US banks
Sub-100% risk-weighted assets increased by $157.9 billion
UK bank market RWAs ebbed in 2019
HSBC shed $5.9 billion of market RWAs in 2019
Credit impairment charge up 22% at StanChart
Higher provisions taken, even as number of stage three loans drops
Swaps exposures of US G-Sibs dropped 12% in Q4
Net current credit exposures hit $474.8 billion by year-end
Rates trading revenues up 154% at top US banks
Net gains on interest rates-related exposures top $21 billion
Top banks’ US Treasury holdings up 26% in 2019
Fair value gains follow plummeting yields on government paper
TD Bank’s US unit incurred eight VAR breaches in 2019
Number of backtesting exceptions pushed the bank’s VAR capital multiplier to 3.75
Scotiabank takes C$116m XVA charge
Introduction of centralised valuation platform altered fair value of uncollateralised positions
Goldman hits the Collins floor
Changes to loss-given-default models caused advanced approaches credit RWAs to plummet
Fewer losing trading days at top US banks in 2019
State Street posted most losing days in 2019, with 146
Capital buffers edge lower at systemic US banks in 2019
CET1 excess above institution-specific amounts slid 228bp at median G-Sib
Wells Fargo’s VAR spiked in Q4
Interest rate VAR increased to $211 million in last quarter of the year
Sliding rates crimp Allianz’s Solvency II ratio
Solvency II ratio down 17 percentage points year-on-year
Systemic US banks shed $70bn of repo exposure in Q4
Goldman Sachs lowered repo exposures 13% quarter-on-quarter
Eurozone real estate funds build equity holdings
Net purchases of equity hit €18.2 billion
Equity gains bolster EU hedge funds’ portfolios
Funds were net sellers of equities, but market gains added +10% to balance sheet values
De-risking efforts yet to boost profits at Lloyds
Commercial banking entity saw RWAs fall -11% in 2019
EU funds loaded up on US debt in 2019
Net purchases of US debt up +962% in 2019
€5trn of Eonia swaps mature after benchmark’s death
Almost 20% of derivatives notionals linked to retiring rate will expire post-2022
‘Fallen angels’ pose little threat to EU funds
Passive fund outflows in a credit crisis would put pressure on high-yield bond prices
Crédit Agricole leads French banks on return on RWAs
BNP Paribas only bank to improve RoRWA year-on-year
HSBC to reallocate $100bn of RWAs in shake-up
Global banking and markets division to take brunt of cuts