Morgan Stanley
At systemic US banks, CLO holdings dip
Wells Fargo sees 15% sliced off the value of its portfolio
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
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
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
Top US banks issue $35bn of SOFR-linked debt in 2020 to date
Citi leads on notes placed year-to-date
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
Top US banks’ buyback freeze to bolster capital above $30bn
Suspension will save the equivalent of 4% of aggregate CET1
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
Over two years, top US banks’ capital fell 5%
Stress capital buffer could reduce CET1 a further $40 billion
E-trading takes hold for FX swaps – sort of
Bulk of trades are being executed over screen, but bolder changes have stalled