Risk Quantum/Goldman Sachs
Over four years, US G-Sibs slash securitisation charges
Banks also have more exposures capitalised using sophisticated calculation approaches than in years prior
JP Morgan takes axe to tough-to-model trading risks
US G-Sibs see market RWAs fall 4.1% quarter on quarter
Off-balance-sheet exposures at JP Morgan climb $19.8bn in Q3
Goldman Sachs expands off-balance-sheet exposures 10% quarter-on-quarter
Goldman, State Street amass losing trading days in Q3
Tough market conditions also led to VAR breach at Goldman Sachs
Morgan Stanley’s LCR suffers in Q3 on rise in cash outflows
Projected secured wholesale funding outflows surge $10.3 billion
Goldman, BBVA and TD Group incur VAR breaches in Q3
US unit of TD Group endures four breaches in three months to end-September
At Wells Fargo, derivatives exposures climb $13bn in Q3
Portfolio shifted further into-the-money in the third quarter
Morgan Stanley’s swaps clearing unit boosts client margin by $4.8bn
In total, FCMs see required client margin increase 18% quarter on quarter
Post-Brexit vote, large US banks have curbed UK exposures
US G-Sibs shed $171 billion of claims on UK private sector between Q1 2016 and Q1 2019
Loan appetite pushes credit risk higher at Goldman Sachs
Standardised credit RWAs for loans up 19% since end-2017
MMF repo volumes fell 8% in September
FICC remained largest single counterparty for US Treasury repo
At large US banks, credit loss reserves up 12% in Q3
JP Morgan took $1.5 billion of provisions in the third quarter alone
Goldman adds $17bn of deposits in Q3
Consumer platform Marcus doubles deposits year-on-year