Bank of America
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
CCP resolution, margin and Libor’s modelling threat
The week on Risk.net, September 8-14, 2018
Citi’s market structure head jumps to BAML
Theisen previously worked at Barclays, Bear Stearns and Goldman Sachs
US banks curb market risk
G-Sibs cut $31 billion of market RWAs in three months to June
People moves: BAML makes changes in derivatives clearing, Mattatia joins MSCI, RBS hires new CRO, and more
Latest job changes across the industry
US big banks shrink systemic footprints in Q2
JP Morgan moves down into 3.5% capital surcharge bucket under Fed G-Sib methodology
Stress tests expose climate risks in loan books
Efforts to quantify the risk of global warming are changing the way banks manage credit portfolios
Bank of America grows derivatives, bucking G-Sib trend
Total derivatives exposures jumped 4.2% quarter-to-quarter to $299.4 billion
Counterparty risk builds at Bank of America, JP Morgan
Higher portion of RWAs attributable to more risky derivatives and repo counterparties
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
BNP Paribas VAR breaches trigger capital hike
French bank's IHC reports four backtesting exceptions
Off-balance sheet items up $28 billion at US G-Sibs
Morgan Stanley and Goldman Sachs grow exposures 4.3% and 3.8%, respectively
US LCR cash inflows dominated by secured loans
Median US systemically important bank counts secured loans as 73% of total cash inflows
Fed stress tests: foreign banks lag US on capital estimates
On average, IHCs missed the Fed’s estimates of the amount their CET1 ratios would fall in the 2018 test cycle by 213bp, compared with 109bp by US lenders
Op risk data: South Africa’s VBS Bank in $100m fraud loss
Top five events also include John Hancock, Deutsche Bank settlements. Plus PPI roundup. Data by ORX News
People moves: Barclays names ‘digital’ leaders for markets, JP Morgan promotes Fernandes, and more
Latest job changes across the industry
Trading risk plummets at BAML as portfolio grows
Trading VAR falls to $30 million from $40 million in Q1
BAML shrugs off higher funding costs
Bank reports 38 basis point jump in long-term debt interest expense quarter to quarter
BAML drops below Collins floor
BAML becomes the sixth big US bank to report higher standardised RWAs than modelled RWAs
US G-Sibs increase off-balance sheet exposures
BAML, Citi, Goldman, Morgan Stanley and Wells Fargo boost amounts by $124 billion
CCAR losses concentrated at four US banks
BAML, Citi, JP Morgan and Wells Fargo account for more than half of total CCAR projected losses
Gas traders fear US winter price spike
Shale’s ability to step up production rapidly is being relied upon to shore-up under-supply