Risk Quantum/Citi
Cashflow turbulence up at Citi, JP Morgan
Maturity mismatch add-ons have grown since June 2017
Fed stress tests: foreign banks lag US on capital estimates
On average, IHCs missed the Fed’s estimates of the amount their CET1 ratios would fall in the 2018 test cycle by 213bp, compared with 109bp by US lenders
Citi and Wells Fargo wary of stress capital buffer
Recent CCAR tests point to higher CET1 requirements
US G-Sibs increase off-balance sheet exposures
BAML, Citi, Goldman, Morgan Stanley and Wells Fargo boost amounts by $124 billion
CCAR losses concentrated at four US banks
BAML, Citi, JP Morgan and Wells Fargo account for more than half of total CCAR projected losses
CCAR winners and losers 2012–17
American Express came off worst under CCAR total capital ratio measure among large and complex firms three years out of six
Fed credit limits likely to hit investment banks, custodians hardest
State Street, BNY Mellon, Morgan Stanley, Goldman Sachs have low credit limits; high bank exposures
VM changes cut billions from US bank swaps values in 2017
Effects on potential future exposure (PFE) mixed
US bank RWA density edges higher
Morgan Stanley density increases from 41.46% to 45.47% year-on-year
Citi fastest growing FCM; Credit Suisse loses ground – CFTC data
Citi grows client margin 36% in year to end-April, Credit Suisse shrinks 16%
XVA swings boost US bank trading revenues
DVA change pares down dealers' derivative liabilities
US CVA charges over seven times higher than EU
Huge disparity appears to result from EU exemption for corporate trades
Citi largest counterparty for Templeton currency hedges
Citi accounted for 23% of outstanding forwards at end-March