Bank of America
Pimco nearly halves FX forwards book in Q4
Counterparty Radar: West Coast manager’s 45% cuts send Morgan Stanley to fifth place in dealer rankings
US banks’ risk-free exposures keep falling
Assets with 0% risk-weighting lowest proportionally since Q1 2020, replaced by riskier exposures
VAR tail grew fatter at Bank of America in 2022
Gap between 95% and 99% confidence levels widens to 10-year record
US banks’ VAR breaches up 2.5x in 2022
‘Hypothetical’ one-day losses exceeded VAR on 55 occasions, as losing trading days prevail
Contrarian Goldman grew fair-value bond book in 2022
Held-to-maturity securities balloon, but bank also adds mark-to-market Treasuries as others curtail them
BofA’s DVA losses inflated to $193m in Q4
Latest hit is largest since 2020, but still leaves positive result for 2022
BNY Mellon, Goldman join Citi in escaping Collins floor
Outpaced drop in standardised RWAs pushes banks above threshold – but custodian only bank to reap benefits
Bucking wider trend, Citi’s cash trove ends 2022 up 31%
Liquid balances surged 14% in the last quarter of the year alone
US retail funds further slash repo borrowing
Counterparty Radar: Manager activity in Q3 2022 lowest in nearly three years; BofA surpasses JP Morgan as top dealer
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
Top US lenders book $6.2bn in provisions in Q4
Loan-loss charges at Bank of America, Citi, JP Morgan and Wells Fargo hit highest since pandemic outset
At US banks, risk-free exposures hit lowest in two years
Just under a third of credit assets carried a 0% risk-weight in Q3
Client margin for swaps hits new record at four FCMs
Required funds at all-time high at BofA, Goldman, JP Morgan and Barclays in November as market turbulence persists
Capital Group spearheads mutual fund trim of IR swaps books
Counterparty Radar: Manager cut 70% of its position in Q3 as space shed roughly $174 billion in holdings
PGIM cuts corporate CDSs as US funds shed volume
Counterparty Radar: Morgan Stanley retains top dealer spot in single-name CDS trades for mutual funds
Booming US fund swaptions market boosts Morgan Stanley
Counterparty Radar: Nomura cements position as leading foreign-owned dealer in the space
US banks’ loss-to-VAR ratios fell in Q3
Largest daily trading losses were on average 84% of forecast, compared with 105% in Q2
OTC clearing rebounded at G-Sibs in 2021
Trend reverses as bilateral settlement of OTC derivatives loses previous year’s gains
New risk indicator ensnares BofA, benefits Chinese banks
Overhaul in substitutability category pushed US bank's capital surcharge to 2%
BofA faces higher G-Sib surcharge, BNPP earns reprieve
Second-largest US lender assigned to 2% capital add-on bucket in latest systemic risk assessment
Treasury clearing will drive up trading costs: BofA exec
Rates co-head warns SEC proposal could squeeze smaller dealers out of Treasury market
Top US banks set aside $6bn for credit losses in Q3
Quarterly provisions highest in two years
HSBC hits up rivals to strengthen US risk team
Bank hires from BNPP for US CRO and BofA for head of model risk management
Citi poaches BofA capital veteran for treasury CRO role
Cenk Kamis leaves for rival US bank after 20-year stint at Bank of America