Risk Quantum/Morgan Stanley
Sold CDS notionals climbed 16% at top US banks in Q1
Net fair value of credit protection positions vaults to $5.3 billion
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
Interest rate swaps powered Q1 derivatives boom at top US banks
Rate derivatives notionals increase 22% quarter-on-quarter
Cash flood expanded systemic footprint of top US banks
Intra-system liabilities up 26% in Q1
Corporate loan default risk spiked at US G-Sibs in Q1
Median probability of default increases 17bp to 1.39% on the quarter
Systemic riskiness of top US banks increased in Q1
JP Morgan’s systemic risk score increased enough to attract a 4% capital surcharge
Risk density of top US banks edged down in Q1
Banks piled up assets with low risk-weightings in the first quarter
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