Risk Quantum/Goldman Sachs
Goldman chalks up highest VAR breach since pandemic
Nine breaches in total across 34 banks in Q3
US banks return to MBSs amid value recovery
Bank of America and Wells Fargo ramp up AFS holdings in the third quarter
Goldman’s unmatched sold credit protection up 15% in Q3
Written notionals not hedged by buying identical protection on riskiest names jumped 85%
AFS Treasury holdings surge $67bn at US banks in Q3
JP Morgan leads growth, while Citi and Wells Fargo cut back
Morgan Stanley, Goldman FCMs set new margin records
Investment banks see futures, options and swaps margin hit new highs in September
Cashflow volatility lowest in four years at big US banks
Maturity mismatch add-ons ease up, but BNY Mellon, Goldman, Morgan Stanley and State Street buck trend in Q2
Credit options notional for top US dealers soars 45.3%
Investor demand for puts and calls drives balances near Q1 2022 record
US G-Sibs’ SLR exposures top record for second consecutive quarter
Aggregate leverage exposures up $455 billion in H1
US banks’ stress test accuracy worsens in DFAST 2024
Gap between Fed’s and large dealers’ projections widens to six-year high
DB USA’s stress test estimate deviates from Fed’s by record amount
US unit of German bank underestimated capital and leverage hit in latest DFAST
Shifting tack, Goldman bought $6.7bn of agency RMBS in Q1
Purchase of amortised-cost securities is first diversification away from US Treasuries in seven years
Trading losses cancel out Goldman’s revenue in 2024 stress test
Bank hit hardest among those tested for market shock and counterparty default
JP Morgan sails through DFAST with 200% AOCI reversal
Only major dealer to turn mark-to-market losses into gain in simulated recession