Risk Quantum/JP Morgan
State Street shrinks gap in the custody assets race
Boston-based bank reports largest quarterly increase among top US custodians
Liquidity valuation adjustment costs JPM $235m
Tweak to derivatives book weighs on the bank’s fixed income revenues
JP Morgan’s VAR falls to lowest since 2018
Gauge of trading risk drops 20% quarter on quarter, driven by commodities and equity desks
Systemic US banks’ bail-in buffers rose in Q2
Morgan Stanley posts largest amount of headroom, while Citi, State Street and Wells Fargo trail behind
Off-balance-sheet exposures at US systemic banks jump $42bn
JP Morgan, Goldman Sachs and Citi drove the overall increase in the second quarter
Level 3 assets at global systemic banks down 36% since 2014
Hard-to-value holdings down sharply over the past six years, but pandemic threw spanner in the works at some banks
Majority of US G-Sibs’ assets attract sub-100% risk-weighting
Risk Quantum analysis shows top US banks retrenched to lower-risk assets through the pandemic
State Street to become world’s largest custodian
Brown Brothers Harriman Investor Services acquisition means Boston-based bank will leapfrog BNY Mellon and JP Morgan
RWA density at Goldman drops to seven-year low
Change to the distribution of the bank’s exposures by risk weighting likely contributed to the reduction
Citi leads US banks in shrinking market risk
First aggregate drop in capital charges stemming from market risk since mid-2020
JP Morgan flirts with VAR limits
Largest trading loss in Q2 reached 96% of bank’s VAR limit
Wells Fargo, Citi amass losing days in Q2
On average, the eight top US banks reported 32 loss-making days