Risk Quantum/Bank of America
BAML shrugs off higher funding costs
Bank reports 38 basis point jump in long-term debt interest expense quarter to quarter
BAML drops below Collins floor
BAML becomes the sixth big US bank to report higher standardised RWAs than modelled RWAs
US G-Sibs increase off-balance sheet exposures
BAML, Citi, Goldman, Morgan Stanley and Wells Fargo boost amounts by $124 billion
CCAR losses concentrated at four US banks
BAML, Citi, JP Morgan and Wells Fargo account for more than half of total CCAR projected losses
CCAR winners and losers 2012–17
American Express came off worst under CCAR total capital ratio measure among large and complex firms three years out of six
Fed credit limits likely to hit investment banks, custodians hardest
State Street, BNY Mellon, Morgan Stanley, Goldman Sachs have low credit limits; high bank exposures
VM changes cut billions from US bank swaps values in 2017
Effects on potential future exposure (PFE) mixed
US bank RWA density edges higher
Morgan Stanley density increases from 41.46% to 45.47% year-on-year
XVA swings boost US bank trading revenues
DVA change pares down dealers' derivative liabilities
US CVA charges over seven times higher than EU
Huge disparity appears to result from EU exemption for corporate trades
Citi largest counterparty for Templeton currency hedges
Citi accounted for 23% of outstanding forwards at end-March
G-Sib swap portfolios reveal transatlantic divide
EU banks record 16% fall in non-cleared swaps, while US dealers see 9% growth
US bank swaps books rebound after G-Sib reckoning
Total OTC derivative notionals across eight G-Sibs grow $28 trillion in first quarter
Goldman, JP Morgan get riskier in Q1
Each bank could face an extra 50 basis points of capital add-on without remedial action
Five US banks below Collins floor
Morgan Stanley, JP Morgan, Citigroup, State Street and Wells Fargo had higher standardised RWAs than modelled RWAs
Business growth and HQLA cuts see US LCRs fall
Cutbacks in high-quality liquid assets and higher deposits drive reductions across the G-Sibs
US bank VAR-based charges surge in volatile first quarter
Average quarter-on-quarter increase of 23% for VAR-based capital across 11 large dealers
Bank of America and BNY Mellon suffer VAR breaches
Trading losses exceeded estimates on a single day at each dealer in the first quarter
Share of op risk RWAs at US banks falls
Drops at Citi, Goldman, Morgan Stanley suggest op risk capital may have peaked
BAML approaches Collins floor
The gap between RWAs calculated under the two approaches continues to shrink
State Street and BNY Mellon to benefit from revised leverage ratio
Two banks in line for 1.25% reduction in minimum leverage-based capital requirements