Available-for-sale (AFS)
JP Morgan nets $1.9 billion bond book gain in swift turnaround
Q4 reversal in fair-value securities powers record quarterly increase in CET1 capital
Rifts widen across EU banks’ trading results
Largest fair-value hits from HFT assets moved further from median in H1
Global banks’ systemic footprint grew at record pace in 2021
Every indicator up on previous year, only the second time in G-Sib assessment history
Norinchukin’s investment securities loss widens to $12bn
Lender is worst-hit by bond price crash among Japanese banks
BNY, State Street took $6.5bn fair-value hit to bonds in Q3
Eroding prices of RMBSs and govies keep widening unrealised losses
Allianz, Generali post €52bn in fair value losses in H1
Bond portfolio values crash as equities tailwinds fades
Despite bond price crash, Capital One sticks with AFS book
Lender letting AFS book run its course as others seek shelter from interest rate storm
JP Morgan takes $14bn AOCI capital hit
Q2 loss from fair-value securities book was largest in 16 years
Fair value gains give JP Morgan DFAST edge
Bank was only one to record bigger capital lift from AOCI by end of test’s horizon
Norinchukin’s capital dented by crashing bond prices
The bank lost three percentage points of CET1 ratio in Q1 as contribution from AOCI halved
Charles Schwab rejigs bond books as it braces for AOCI reintroduction
Dealer might soon lose ability to waive mark-to-market swings from capital
Fair-value losses derail payout plans at State Street, BNY
Hit to capital adequacy from available-for-sale book forces rethinks on rate sensitivity
Global banks grow systemic footprint
Nine out of the 12 G-Sib indicators increased in 2020
Securities market frenzy drives up mid-sized European banks' systemic risk
Nordea’s underwriting activity jumped by almost 7,000% in 2020
At Citi, Goldman larger OTC swaps books drive up systemic risk scores
Increase in trading and available-for-sale securities bump systemic risk scores higher at BofA and JPM
BofA kept up bond binge in Q1
Bank added $172bn of debt securities to portfolio over first three months of the year
Five US systemic banks face higher G-Sib surcharges
JP Morgan to face 4% add-on; Wells Fargo a cut to 1.5%
At big US banks, Treasury holdings grew over $350bn in 2020
US debt held-to-maturity increased 92% over the year
BofA doubled held-to-maturity book in 2020
The bank moved mortgage bonds into HTM throughout the year
Systemic US banks shifted assets to buy-to-hold pens in Q3
JP Morgan almost doubled its held-to-maturity portfolio last quarter
Top US banks have become less of a systemic risk, says FSB
JP Morgan relegated as the world’s most systemically important lender
Seeking capital savings, JP Morgan shifts assets to holding pen
Transfer of assets to HTM portfolio could reduce stress capital buffer in future
Systemic indicators surged at European banks in 2019
Total exposures increased 3% year on year
French, UK banks have largest trading portfolios in Europe
Fair value and HFT assets concentrated among biggest banks