Morgan Stanley
Citi grows US swaps margin share in 2018
Citi remains the largest FCM, with a 27.5% share of total required client margin
Data mining, machine learning and problems with autocalls
The week on Risk.net, January 19–25, 2019
US G-Sibs hike loan-loss provisions by $737m
Five banks increased PCLs in the fourth quarter of 2018, with JP Morgan leading the way
Banks bet on data to rescue research
Barclays, Morgan Stanley, UBS among those using data science to pep up their research offerings
Shareholder giveaways deplete US G-Sib capital
Aggregate CET1 ratio robust at 12.1%
Morgan Stanley adds $57bn to liquidity pool
Diminished cash need in fourth quarter led to supersized reserve
US banks pare reliance on unsecured funding
Average share of unsecured wholesale funding falls to 42% in a year
G-Sib leverage makeups differ by region
Median US G-Sib has higher share of exposure measure made up of derivatives and repo than EU peer
JP Morgan’s CVA charge jumps $203m in Q3
Median CVA capital charge for US G-Sibs was $2.1bn in third quarter
US banks’ CDS books shrink $2 trillion in two years
Wells Fargo only major bank to grow credit portfolio year-to-date
Goldman sees third-quarter fall in market RWAs
Market RWAs fell $13 billion across the eight US G-Sibs
US banks bolster quality of short-term funding
Eight US G-Sibs increase share of total borrowings made up of well-collateralised repo
JP Morgan on brink of 4% G-Sib surcharge
US bank will have to cull balance sheet by year-end
Basel and Fed G-Sib methods pose dual test to US banks
Different emphasis of rival frameworks could frustrate bank efforts to reduce systemic risk
Citi, State Street grow off-balance sheet exposures
Big US banks add $11 billion in exposures during Q3
Fuel spikes expected from sulphur cap on shipping
Energy Risk Asia: IMO 2020 will save lives, but also impact entire energy complex
VAR-based charges drop at Goldman and Wells, rise at JP
VAR-based capital requirements fell 7% on average across the eight G-Sibs
Derivatives exposures at US G-Sibs on the wane
Bank of America cuts $15 billion in third quarter, the most of the big eight firms
US banks continue to lop back market risk
Goldman Sachs, Morgan Stanley shrink requirements by over $1 billion year to date
US G-Sibs cut $36bn of HQLA
Wells Fargo clears out $27 billion of HQLA in first nine months of 2017 alone
LCRs show US banks run more risk than European peers
The gap between the two averages has widened over the past three quarters to 250bp from 212bp
Goldman, Wells cut operational risk
The two firms reduce op RWAs by combined $15 billion in third quarter
Morgan Stanley RWAs drop as loans fall and VAR dips
Standardised RWAs fall 4% to $370 billion
US banks’ internal stress tests vary
Choice of stress period affects market risk capital requirements