Risk Quantum
Morgan Stanley’s LCR suffers in Q3 on rise in cash outflows
Projected secured wholesale funding outflows surge $10.3 billion
Goldman, BBVA and TD Group incur VAR breaches in Q3
US unit of TD Group endures four breaches in three months to end-September
Fed underscores run risk of corporate bond funds
Total AUM of junk bond and bank loan funds was around $350 billion in Q2 2019
UK bank LCRs fall again in Q3, led by StanChart
Buildup of net cash outflow amounts erode liquidity coverage ratios
At Wells Fargo, derivatives exposures climb $13bn in Q3
Portfolio shifted further into-the-money in the third quarter
Citi’s counterparty credit RWAs surge 12% in Q3
Bank has increased OTC derivatives exposures 15% year-to-date and repo exposures by 37%
IFRS 9 capital relief saves Lloyds £768m
Phase-in measures ameliorate CET1 hit of higher loan-loss provisions
Securities lending down over 10% among US insurers in 2018
Firms stepped away from securities lending transactions and repo markets last year
Mid-cycle stress tests tougher on banks than DFAST
Median CET1 ratio drops 200bp more under mid-cycle than Fed-run tests
Wells Fargo could escape Collins floor
Op risk-weighted asset increases see advanced RWAs near standardised measures
Morgan Stanley’s swaps clearing unit boosts client margin by $4.8bn
In total, FCMs see required client margin increase 18% quarter on quarter
JP Morgan revs up securitisation engine
Exposures receiving securitisation capital treatment increase by $13.7 billion year-on-year