Goldman Sachs
Non-operational deposits flooded US G-Sibs in Q1
JP Morgan also sees a big jump in its maturity mismatch add-on
Covid tumult pushed VAR capital charges up 72% at US G-Sibs
JP Morgan’s charge increases 148% quarter-on-quarter
US bank liquidity ratios eroded in Q1
Net cash outflows and HQLA spike to record levels
US loan market will move to SOFR by Q1 of 2021 – Wells Fargo
Libor head predicts quick transition for loans following ‘big bang’ shifts in swaps
Swaps books of top US dealers bulged in Q1
Citi increased derivatives exposures by $25.5 billion quarter-on-quarter
Though Covid crisis rages, US banks’ op RWAs fall
Wells Fargo sees op RWAs fall $2.9 billion
JP Morgan had sharpest trading edge of top dealers in Q1
G-Sibs racked up 295 profit-making days in first quarter
Systemic US banks incurred 42 VAR breaches in Q1
Leading dealers saw actual losses over four times greater than their VAR estimates on some days
Credit models at odds with standardised approach on Covid
Increase to advanced approaches RWAs far outpaces growth to standardised
Managing and mitigating operational risk in the Libor transition
In this webinar, industry experts discuss how, in the lead-up to 2021, firms are preparing for the operational implications of the Libor transition? They explore how their firms are adapting to alternative reference rates and mitigating the operational…
US banks’ leverage soared in Q1 before Fed’s reprieve
JP Morgan alone saw leverage exposure climb $112 billion
Covid loan losses exceed 2019 CCAR projections
CECL accounting likely responsible for discrepancy
Amid Covid crisis, top US banks give $32bn away to shareholders
Buybacks exceeded Q1 2019 total, despite voluntary suspension on March 15
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
FVA losses back in spotlight after coronavirus stress
Three US banks suffer combined loss of almost $2bn after rates and funding double whammy
Citi, Goldman edge above Collins floor
Both banks’ risk-based capital requirements will be set using advanced approach
Goldman Sachs’ VAR hits five-year high
Higher market risk accompanied bumper trading revenues in Q1
How Goldman’s algos adapted to virus vol
Interview: Ralf Donner explains why algo usage is up while markets are down
RBS, dividend curves and system failures
The week on Risk.net, March 28–April 3, 2020
US banks stand apart as top lenders cancel dividends
Capital savings would equal 3% of end-2019 aggregate total if payouts suspended
Wells Fargo led top US banks on CMBS risk in 2019
Commercial mortgage-backed securitisations are struggling amid Covid-19 crisis
Seeing red over blue-chip swap in Argentina’s NDF fiasco
Emta protocol salve aside, peso settlement rate snafu is a warning for emerging market FX derivatives
Top US banks’ buyback freeze to bolster capital above $30bn
Suspension will save the equivalent of 4% of aggregate CET1
More NDF changes could follow Argentine chaos
Lat Am contracts may be tweaked to avoid repeat of contentious peso freeze