Risk Quantum/Citi
Citi’s counterparty credit RWAs surge 12% in Q3
Bank has increased OTC derivatives exposures 15% year-to-date and repo exposures by 37%
Morgan Stanley’s swaps clearing unit boosts client margin by $4.8bn
In total, FCMs see required client margin increase 18% quarter on quarter
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
At large US banks, credit loss reserves up 12% in Q3
JP Morgan took $1.5 billion of provisions in the third quarter alone
Citi approaches capital target
CET1 capital has dropped 1.8% on the quarter following post-CCAR distributions
HSBC leads foreign banks in fed fund and repo borrowings
Large intermediate holding company money market borrowings equivalent to 15.9% of total assets
Goodwill makes up $69bn of BAML’s equity
Across eight US G-Sibs, goodwill comprises 18.7% of pre-adjusted CET1 capital
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