Data
Fed underscores run risk of corporate bond funds
Total AUM of junk bond and bank loan funds was around $350 billion in Q2 2019
UK bank LCRs fall again in Q3, led by StanChart
Buildup of net cash outflow amounts erode liquidity coverage ratios
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%
IFRS 9 capital relief saves Lloyds £768m
Phase-in measures ameliorate CET1 hit of higher loan-loss provisions
Securities lending down over 10% among US insurers in 2018
Firms stepped away from securities lending transactions and repo markets last year
Mid-cycle stress tests tougher on banks than DFAST
Median CET1 ratio drops 200bp more under mid-cycle than Fed-run tests
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
JP Morgan revs up securitisation engine
Exposures receiving securitisation capital treatment increase by $13.7 billion year-on-year
BNY, Goldman, HSBC lag in mid-cycle stress tests
Periodic health checks show banks would hurdle regulatory minimums under severe market crisis
Trading non-cleared derivatives tougher in Q3 – ECB
Twelve percent of respondents said trading conditions worsened for interest rate products
Commerzbank plumps capital buffer with AT1 bond sale
Bail-in instrument helps expand buffer above MDA limit to around 220bp
OTC derivatives amounts surge 18% in H1 2019
Interest rate products alone see notionals increase to $523.9 trillion
UniCredit bolsters capital ratio on Fineco sale
Italian bank also offloaded Mediobanca stake
Trim review pumps up Commerzbank’s credit RWAs
Additional RWA increases also expected in coming quarters
Generali’s solvency ratio continues to slide
Rate cuts, bond movements hike SCR and bite into own funds
Wells Fargo op risk charge jumps $3.6bn in Q3
San Francisco-based lender still bound by standardised capital approach
SocGen’s CET1 ratio shoots higher as revamp continues
French bank sheds €7.1 billion of RWAs in Q3
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
Chafing under capital rules, JP Morgan sells home loans
Standardised risk weights for residential mortgages far exceed modelled equivalents
MetLife investment yields squeezed by rate cuts, repo turmoil
Investment spread at retirement and income solutions unit down to 1.02%
Loan appetite pushes credit risk higher at Goldman Sachs
Standardised credit RWAs for loans up 19% since end-2017
Model tweaks lift Danske’s market RWAs 30%
Tough trading quarter could also have pushed VAR-based charges higher