Risk Quantum/Wells Fargo
At Wells Fargo, derivatives exposures climb $13bn in Q3
Portfolio shifted further into-the-money in the third quarter
Citi’s counterparty credit RWAs surge 12% in Q3
Bank has increased OTC derivatives exposures 15% year-to-date and repo exposures by 37%
Wells Fargo could escape Collins floor
Op risk-weighted asset increases see advanced RWAs near standardised measures
Morgan Stanley’s swaps clearing unit boosts client margin by $4.8bn
In total, FCMs see required client margin increase 18% quarter on quarter
Wells Fargo op risk charge jumps $3.6bn in Q3
San Francisco-based lender still bound by standardised capital approach
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
At large US banks, credit loss reserves up 12% in Q3
JP Morgan took $1.5 billion of provisions in the third quarter alone
Trading revenues top $1bn at Wells Fargo in Q3
Net gains on trading activities up 75% on Q3 2018
Goodwill makes up $69bn of BAML’s equity
Across eight US G-Sibs, goodwill comprises 18.7% of pre-adjusted CET1 capital
On securitisations, Wells Fargo is in a league of its own
Securitisation exposures account for 15% of total assets at Wells versus 2.1% for the average bank
JP Morgan’s CVA charge jumps $249m in Q2
All US G-Sibs post higher CVA capital requirements for the quarter
Credit loss provisions at US G-Sibs 14% lower in Q2
PCLs total $4.8 billion at end-June
Among G-Sibs, Japanese and US banks see LCRs improve most
US systemic banks’ liquidity coverage still lags behind other G-Sibs