Wells Fargo
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
Data error inflated Wells Fargo’s op risk capital by $5 billion
Sharp fall in Q1 RWAs followed removal of duplicate data
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
Citi’s counterparty credit risk charge up 38% in Q1
Probability of default of portfolio increases to 0.73% from 0.68%
Covid tumult pushed VAR capital charges up 72% at US G-Sibs
JP Morgan’s charge increases 148% quarter-on-quarter
US bank liquidity ratios eroded in Q1
Net cash outflows and HQLA spike to record levels
US loan market will move to SOFR by Q1 of 2021 – Wells Fargo
Libor head predicts quick transition for loans following ‘big bang’ shifts in swaps
Swaps books of top US dealers bulged in Q1
Citi increased derivatives exposures by $25.5 billion quarter-on-quarter
Though Covid crisis rages, US banks’ op RWAs fall
Wells Fargo sees op RWAs fall $2.9 billion
JP Morgan had sharpest trading edge of top dealers in Q1
G-Sibs racked up 295 profit-making days in first quarter
Systemic US banks incurred 42 VAR breaches in Q1
Leading dealers saw actual losses over four times greater than their VAR estimates on some days
Credit models at odds with standardised approach on Covid
Increase to advanced approaches RWAs far outpaces growth to standardised
Emergency Covid loans carry high mis-selling risk, banks fear
Rapid roll-out of government schemes raises legal fears over inequitable client treatment
Covid loan losses exceed 2019 CCAR projections
CECL accounting likely responsible for discrepancy
Amid Covid crisis, top US banks give $32bn away to shareholders
Buybacks exceeded Q1 2019 total, despite voluntary suspension on March 15
Systemic US banks put aside $25bn for credit losses in Q1
JP Morgan took a $8.3 billion provision, the most of the eight G-Sibs
Top US banks issue $35bn of SOFR-linked debt in 2020 to date
Citi leads on notes placed year-to-date
Wells Fargo loan book swells $48bn in Q1
San Francisco-based bank clears space on balance sheet for increased lending
How the Fed’s asset cap changed Wells Fargo
Lender has expanded repo book and cut cash since Q4 2017
Money funds turn to Fed facility amid record inflows
MMFs are accepting 0% returns and waiving management fees to avoid ‘breaking the buck’
US banks stand apart as top lenders cancel dividends
Capital savings would equal 3% of end-2019 aggregate total if payouts suspended