Citi
Fast VAR, CDS margins and Citi’s return to FX prime
The week on Risk.net, May 4–10, 2019
As legal losses recede, Morgan Stanley's op risk falls
Bank cuts op RWAs 7% in the first quarter
Citi scrape could change FXPB skyline
FXPB business is in the throes of profound changes – and CCPs could benefit
Born again: Citi’s forex prime brokerage
After a $180 million gut-punch, the apex brokerage is now evangelising to amused rivals about the perils of mispricing
JP Morgan hoovers up $1.5bn of client margin in Q1
Total required client margin held by bank increases 13% quarter-on-quarter
Citi’s credit risk measures diverge
Standardised RWAs rise; modelled RWAs fall in Q1 2019
Three firms plan to start issuing Hong Kong warrants
Morgan Stanley, Citi and Guotai aim to grab a share of fast-growing market
Asia moves: New CEO for BNP Paribas Cardif, GIC gets new COO, plus more
Latest job changes across industry
US G-Sibs build capital even as shareholder windfalls surge
The eight large US banks return more than $30 billion to equity holders
Citi raises CECL reserves estimate
A 30% jump in reserves would translate to a roughly 30bp capital hit
Swap book values of US G-Sibs dropped in 2018
Settled-to-market technique responsible for some deductions year-on-year
US G-Sibs owned over $50bn of other banks' capital in 2018
BofA Securities held the most of the group at $10.9 billion
European and US G-Sibs' LCRs diverge in 2018
The average LCR at the 13 European and Swiss G-Sibs stood at 145% at end-December, 42 basis points higher than at end-2017
Dealers go quiet on Turkey research
Seven banks have not covered this week’s lira meltdown, following investigation of JP Morgan
Counterparty risk climbs at JP Morgan, falls back at rivals
JP Morgan EADs up 10% and CRR RWAs 11% year-on-year
SA-CCR would dent US dealers’ leverage ratios – trade bodies
Goldman Sachs, Morgan Stanley and JP Morgan would likely see the largest leverage exposure spikes
Constrained by Fed cap, RWA density rises at Wells Fargo
Wells Fargo reported total assets of $1.89 trillion in the fourth quarter, down $56 billion year-on-year
Asia moves: Hong Kong exchange on senior hiring spree, KKR picks Apac strategist, and more
Latest job changes across industry
Goldman, Wells Fargo grew hard-to-value assets in 2018
In contrast, the other six US G-Sibs slashed $4.4 billion of Level 3 assets on aggregate
Illiquid trading assets drop at big US banks in Q4 2018
Non-HQLA securities fell $146 billion in aggregate
Cleared swaps surged among US banks in 2018
Cleared swaps accounted for 49% of notionals at end-2018
Energy Risk Commodity Rankings: the return of geopolitical risk
Geopolitical tensions introduced extreme volatility to many commodity markets in 2018, while environmental markets began to take off
Big US banks dropped $24trn of OTC notionals at year-end
Total notionals reported by the eight US G-Sibs stood at $196.3 trillion at end-December
US banks slashed G-Sib scores in Q4 2018
Big cuts to derivatives and trading securities push systemic risk scores lower