Risk Quantum
US banks improve stress test projections
Gap between internal projections and the Fed's model outputs shrinks to 118 basis points
Corporate loan exposures weigh on EU banks
Risk density across EU G-Sibs stood at 93% for corporate loan exposures
Banks hurdle Fed stress tests with ease
Aggregate post-stress CET1 capital ratio of 18 participants well above regulatory minimum at 9.2%
IRB approaches cover two-thirds of European bank credit risk
Share of risk-weighted assets calculated using internal models between 41% and 91% at the G-Sibs
Barclays, HSBC, StanChart saw Level 3 assets rise 10% in 2018
Transition to IFRS 9 may be behind the increase
SME loans more capital intensive for big eurozone banks
Corporate loans to smaller enterprises attract high risk weightings
Eurozone G-Sibs’ swaps notionals fall €9.6trn in 2018
Deutsche Bank’s portfolio shrinks 16% year-on-year
Level 3 assets at eurozone G-Sibs swell to €82bn in 2018
IFRS 9 likely contributor to first increase in Level 3 inventories since 2014
Systemic US banks’ overseas loans top $3trn
Citi leads large US dealers with almost $1trn of foreign claims
UK G-Sibs add $11trn of OTC notionals in 2018
HSBC added the most derivatives notionals in dollar terms, increasing outstandings by 26%
Some EU funds leveraged more than 500% using CDS
1,337 funds held €387 billion of CDS notionals at end-2016
Non-systemic US banks shy away from short-term funding
Mid-sized non-G-Sibs have average STWF score of just 17.1%
Generali expands scope of internal model
Total SCR drops 8% to €20.4 billion in 2018