Data
At Bank of America, trading revenues get a $300m DVA boost
But credit and funding valuation adjustments deducted $492 million from other income
Systemic US banks put aside $25bn for credit losses in Q1
JP Morgan took a $8.3 billion provision, the most of the eight G-Sibs
Fed dominated MMF repo trades in March
FICC and BNP Paribas among other top repo counterparties
Top US banks issue $35bn of SOFR-linked debt in 2020 to date
Citi leads on notes placed year-to-date
Output floor cliff edge effects threaten EU banks
Capital measure to have uneven impact across five-year phase-in
Citi, Goldman edge above Collins floor
Both banks’ risk-based capital requirements will be set using advanced approach
Bank of America shifts mortgage bonds into holding pen
By cutting available-for-sale assets, bank should avoid equity volatility
Goldman Sachs’ VAR hits five-year high
Higher market risk accompanied bumper trading revenues in Q1
Wells Fargo loan book swells $48bn in Q1
San Francisco-based bank clears space on balance sheet for increased lending
JP Morgan takes $951m XVA hit
Funding spread widening blamed for majority of Q1 hit
Many EU banks have dollar LCR shortfalls
Twenty-two surveyed banks had USD LCRs below 100% as of June 2019
CCPs built up liquidity buffers heading into 2020
LCH SA grew qualifying liquid resources 49% year on year
ECB data spotlights credit risk-weight disparities
Weightings applied to standardised approach exposures far exceed those for IRB equivalents
How the Fed’s asset cap changed Wells Fargo
Lender has expanded repo book and cut cash since Q4 2017
Left out of Fed action, lower-rated CMBS overheat
BBB yield-to-worst spirals as highly-rated bonds recover after central bank and government intervention
SA-CCR to lift counterparty risk capital charge by 27% – Basel
Systemic dealers face biggest spike in required capital of surveyed banks
Spain lagged eurozone on bank capital in Q4 2019
Five major Spanish banks have CET1 ratios of 12% or below
US life insurers exposed to $130bn of CMBS
Majority of exposures are to senior tranches
LCH suffered longest operational outages of top CCPs in 2019
London-based LCH LTD said core systems were down for almost seven hours in 2019
Investors abandoned junk bond ETFs in March
Forced sale of ‘fallen angels’ could exacerbate outflows at end-April
Entering 2020, most CCPs had bigger default funds than a year ago
Majority of back-up funds to handle member defaults saw more pre-funded resources flow in
Fed’s leverage ratio relief puts foreign banks on the back foot
European banks cannot – yet – exempt US Treasuries from their exposure measures
US banks stand apart as top lenders cancel dividends
Capital savings would equal 3% of end-2019 aggregate total if payouts suspended
PRA relief to save banks up to 33% on VAR-based charges
HSBC may benefit most from easing of capital rules