JP Morgan
FVA losses back in spotlight after coronavirus stress
Three US banks suffer combined loss of almost $2bn after rates and funding double whammy
JP Morgan takes $951m XVA hit
Funding spread widening blamed for majority of Q1 hit
Fed missed chance to curb dividends, say ex-supervisors
Instead, changes to stress capital buffer and TLAC rules would allow larger payouts
Fed action fails to dampen spreads for riskier credits
Borrowing costs for some issuers are still two to three times the historical average
US banks stand apart as top lenders cancel dividends
Capital savings would equal 3% of end-2019 aggregate total if payouts suspended
CECL delay grants mid-sized US banks a capital windfall
Synchrony, Huntingdon and Citizens among those to reap most CET1 relief
Wells Fargo led top US banks on CMBS risk in 2019
Commercial mortgage-backed securitisations are struggling amid Covid-19 crisis
Energy Risk Commodity Rankings: Uncertain times
The winners of Energy Risk’s Commodity Rankings overcame some tumultuous times in 2019, learning lessons that are certainly required in today’s volatile environment
Bankers say discount window is imperfect fix for UST woes
Further changes advocated to ensure Treasuries are used in US bank liquidity buffers
Top US banks’ buyback freeze to bolster capital above $30bn
Suspension will save the equivalent of 4% of aggregate CET1
Banks rail against China CCPs’ loss-sharing policy
Controversial loss allocation technique remains unused during recent market routs, but banks want it banned
Systemic US banks shed more than $7trn of non-cleared swaps in 2019
Cleared notionals stay flat on the year
US G-Sibs urged to release surplus liquidity to fight virus sell-off
Top banks have about $378 billion of extra HQLA that could be released
Systemic banks could free $156bn of capital after Fed plea
Banks asked to use management buffers to support economy in combating coronavirus
US banks’ systemic footprints grew in 2019
Balance sheet growth lifts systemic risk scores
Aggregate LCR of systemic US banks edged lower in 2019
Net cash outflows increased at a faster pace than HQLA last year
Leverage is underestimated
Off-balance sheet funding is large, rising and not fully accounted for in leverage metrics
Over two years, top US banks’ capital fell 5%
Stress capital buffer could reduce CET1 a further $40 billion
Apac CCPs: we’ve come a long, long way together
Members still gripe about arcane policies, but risk management fundamentals are strong
Citi shed over $32bn of counterparty exposures in Q4
Risk-weighted assets for CCR exposures dropped -12%
E-trading takes hold for FX swaps – sort of
Bulk of trades are being executed over screen, but bolder changes have stalled
At US G-Sibs, rates derivatives notionals the lowest since 2014
Banks cut interest rate swaps notionals by -18% year-on-year
Systemic US banks’ trading portfolios swell 10% in 2019
US Treasuries held-for-trading soar 28% on Q4 2018
Low risk assets pile up at systemic US banks
Sub-100% risk-weighted assets increased by $157.9 billion