BNY Mellon
US MMFs’ holdings hit record as deposits flee banks
Funds run by JP Morgan, Fidelity and Goldman behind half of new investments in March
As rates rose, KeyBank unwound 94% of pay-fixed swaps
Sale of AFS hedges left book exposed throughout late 2022, much as at ill-fated SVB
US banks vulnerable to losses if HTM securities need to be sold
Overall mark-to-market value $300bn lower than amortised cost across 30 banks
HTM securities hit $2.5trn at US banks in 2022
BofA, First Foundation and Wells Fargo reported largest share of HTM to total securities behind SVB
US regional banks hold smaller proportion of high quality assets
Share of Level 1 assets at Capital One, Truist, US Bancorp lowest across US banks subject to LCR
At US banks, less than 50% of liquid assets classified as AFS
Goldman Sachs reported smallest proportion relative to HQLAs across US banks subject to LCR
Like SVB, five other US lenders saw negative NII growth in 2022
Ally, Customers, First Foundation, Morgan Stanley and PacWest were pressured by rising rates
US banks’ risk-free exposures keep falling
Assets with 0% risk-weighting lowest proportionally since Q1 2020, replaced by riskier exposures
US banks’ VAR breaches up 2.5x in 2022
‘Hypothetical’ one-day losses exceeded VAR on 55 occasions, as losing trading days prevail
Contrarian Goldman grew fair-value bond book in 2022
Held-to-maturity securities balloon, but bank also adds mark-to-market Treasuries as others curtail them
Op risk data: Cerberus fight bites $850m off CIBC
Also: SEC targets dodgy disclosures; Commerzbank’s Wirecard hit. Data by ORX News
BNY Mellon, Goldman join Citi in escaping Collins floor
Outpaced drop in standardised RWAs pushes banks above threshold – but custodian only bank to reap benefits
Bucking wider trend, Citi’s cash trove ends 2022 up 31%
Liquid balances surged 14% in the last quarter of the year alone
JP Morgan nets $1.9 billion bond book gain in swift turnaround
Q4 reversal in fair-value securities powers record quarterly increase in CET1 capital
At US banks, risk-free exposures hit lowest in two years
Just under a third of credit assets carried a 0% risk-weight in Q3
US banks’ loss-to-VAR ratios fell in Q3
Largest daily trading losses were on average 84% of forecast, compared with 105% in Q2
OTC clearing rebounded at G-Sibs in 2021
Trend reverses as bilateral settlement of OTC derivatives loses previous year’s gains
BofA faces higher G-Sib surcharge, BNPP earns reprieve
Second-largest US lender assigned to 2% capital add-on bucket in latest systemic risk assessment
Credit Suisse shake-up, HSBC’s new CFO, and more
Latest job changes across the industry
BNY, State Street took $6.5bn fair-value hit to bonds in Q3
Eroding prices of RMBSs and govies keep widening unrealised losses
Asia moves: Senior hires at BNP Paribas, HSBC and more
Latest job news across the industry
US mutual funds pulled back from repo market in Q2
Counterparty Radar: Cash borrowing fell to lowest level since 2020; JP Morgan remains top dealer
Derivatives law firm of the year: Linklaters
Asia Risk Awards 2022
Collateral manager of the year: BNY Mellon
Asia Risk Awards 2022