Banks
Modelled RWAs diverge from standardised at Goldman Sachs
Advanced approaches RWAs are now 10% higher than standardised
Loan-loss provision charges nearly triple at Wells Fargo
Loss reserves for credit cards spike to 10.49% of outstanding loans
VAR doubles at JP Morgan in Q2
Trading risk for fixed income products jumps to $129 million
Advanced approaches continue to bind Citi in Q2
Modelled RWAs fall slower than standardised over the three months to end-June
JP Morgan posts $510m XVA gain
Benefit reverses some of the previous quarter’s record loss
Citi’s default fund contributions climbed $2bn in Q1
US bank sees requirement hike 27% quarter-on-quarter
At top US banks, stress test capital hit driven by dividends
Shareholder giveaways make up bulk of post-stress capital losses at JP Morgan, Morgan Stanley, Bank of America
Foreign banks and Fed at odds on stress test impacts
HSBC North America predicted a loan-loss rate of 2.7%, well below the Fed’s 6% estimate
Three systemic US banks face stress capital buffer add-ons
JP Morgan, Goldman Sachs, Morgan Stanley will see minimum requirements increase under new regime
US banks lowball loan pain, overstate trading hit in Fed tests
In aggregate, systemic lenders underestimated loan-loss provisions by 18%
Discover, Capital One loans ravaged by Fed stress test
Credit card losses especially pronounced among regional US lenders
Fed’s Covid scenarios far harsher than latest stress tests
Under worst-case, 25% of banks would have post-stress CET1 ratios of less than 4.8%
Goldman faces high stress capital buffer after Fed tests
Bank projects 640bp peak-to-trough capital hit in DFAST
Systemic European banks’ bail-in buffers fell in Q1
Bail-in debt stocks increase, but balance sheet expansion crimps TLAC ratios
Giant US banks outgrew smaller rivals in Q1
Banks over $10 billion in size also saw Tier 1 leverage ratios fall furthest
Prudential filters crimp some banks’ own funds, boost others
Two banks saw CET1 climb more than 5% at end-2019 through the EU’s valuation adjustments
Niche EU lenders loaded with loans to peripheral eurozone
Top European banks have limited exposures to Greece, Cyprus, Spain, Portugal and Italy
EU bank credit models neglect peripheral countries
A majority of non-core EU exposures are under the standardised approach
Sold CDS notionals climbed 16% at top US banks in Q1
Net fair value of credit protection positions vaults to $5.3 billion
French, UK banks have largest trading portfolios in Europe
Fair value and HFT assets concentrated among biggest banks
How XVAs shaped top US dealers’ trading revenues in Q1
Citi disclosed a -$835 million CVA impact on revenues
Mark-to-model assets surge at top US banks in Q1
Level 3 instruments hit an aggregate $137 billion among banks over $100 billion in size
CVA capital charges jumped 50% at systemic US banks in Q1
Goldman Sachs’ charge climbs 76% quarter-on-quarter
Hard-to-value assets abound at Nordic banks
Level 3 assets make up 25% of Norwegian firms’ fair value portfolios