JP Morgan
JP Morgan revs up securitisation engine
Exposures receiving securitisation capital treatment increase by $13.7 billion year-on-year
Plumbing problems in the repo market
On September 17, three banks may have sucked up nearly a quarter of money market fund cash
Banks warn of trader crunch at CCP default auctions
Risk USA: dealers hope for more cross-CCP fire drills
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
All clear? Structural shifts add to repo madness
Many things contributed to 10% repo, among them a FICC programme and a surge in overnight funding
MMF repo volumes fell 8% in September
FICC remained largest single counterparty for US Treasury repo
Morgan Stanley, JP clear first cross-currency swap at Eurex
Two more banks onboarding; CCP hoping to extend service to clients in 2020
At large US banks, credit loss reserves up 12% in Q3
JP Morgan took $1.5 billion of provisions in the third quarter alone
BNY Mellon leads US custody banks’ assets increase
Total Auca stood at $94.4 trillion at end-September
JP Morgan borrowed $240bn in fed funds and repo markets in Q3
Average quarterly balance was 30% up year-on-year
People moves: ING fills two top roles, RBS confirms Rose as CEO, and more
Latest job changes across the industry
Goodwill makes up $69bn of BAML’s equity
Across eight US G-Sibs, goodwill comprises 18.7% of pre-adjusted CET1 capital
BNY, UBS paid over 10% for Fed funds and repo in Q2
The average cost of Fed funds purchased and repo rose to 4.32% in Q2 from 2.41% a year ago
€STR swap trading gets under way
HSBC and JP Morgan strike first swap linked to the new euro short-term rate
JP Morgan’s CVA charge jumps $249m in Q2
All US G-Sibs post higher CVA capital requirements for the quarter
Credit loss provisions at US G-Sibs 14% lower in Q2
PCLs total $4.8 billion at end-June
Among G-Sibs, Japanese and US banks see LCRs improve most
US systemic banks’ liquidity coverage still lags behind other G-Sibs
Fed fund and repo borrowings top $1trn at big banks in Q2
JP Morgan had 16.8% of total outstanding borrowings of the largest banks at end-June
Off-balance-sheet exposures at US systemic banks jump $67bn
BAML expands these assets by 2.5% quarter-on-quarter to $921 billion
Earnings fuel capital build at systemic US banks
Aggregate CET1 capital hits $1.1 trillion in Q2 2019, of which 86% is retained earnings
Clearstream, Euroclear eye buy-side bonanza as IM rules loom
Depositories offer access to automated margining in different ways, but each faces challenges
Benchmark reform, LCH-Eurex basis and FX algo fears
The week on Risk.net, September 7–13, 2019
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