Risk Quantum/Wells Fargo
Wells Fargo swells MBS trading portfolio
San Francisco-based dealer grows allocation by $11 billion from end-2016
Swap books swell at big US banks despite lower risk profile
Total OTC derivatives notional among the eight banks is $222 trillion – a 2% increase on the quarter
US banks' VAR-based charges drop in Q2
The average decrease in the VAR-based capital requirement across the eight US G-Sibs was 10.4%, compared with a 23% increase in the first quarter
VAR switch may explain $500 million capital hike at Wells Fargo
Change in stress period drives 15% increase in market risk capital requirement
US banks curb market risk
G-Sibs cut $31 billion of market RWAs in three months to June
US big banks shrink systemic footprints in Q2
JP Morgan moves down into 3.5% capital surcharge bucket under Fed G-Sib methodology
Bank of America grows derivatives, bucking G-Sib trend
Total derivatives exposures jumped 4.2% quarter-to-quarter to $299.4 billion
US banks see fewer daily trading losses than foreign units
IHCs suffered losses on 54% of trading days compared with 44% for US BHCs
CVA gain bolsters JP Morgan trading revenues
$302 million of first half trading revenues attributed to credit valuation adjustment
Risks building at three US G-Sibs
Risk-weighted asset density has increased at BNY Mellon, State Street and Goldman Sachs the most, across the eight US global systemically important banks
US banks cut surplus deposits caught by LCR
Eight US banks show aggregate $6.5 billion decline in non-operational deposit outflows under liquidity measure
Wells Fargo adds $2 billion to op risk capital
Risk-weighted asset increases follow wave of regulatory sanctions
Off-balance sheet items up $28 billion at US G-Sibs
Morgan Stanley and Goldman Sachs grow exposures 4.3% and 3.8%, respectively