Goldman Sachs
US MMFs’ holdings hit record as deposits flee banks
Funds run by JP Morgan, Fidelity and Goldman behind half of new investments in March
Why NDF execution algos might still hit the spot
Products have yet to live up to initial hype, but their long-term potential is significant
US banks report negative NII growth amid rising rates
Goldman, KeyCorp and Charles Schwab worst hit in Q1 as funding costs sap income growth
Goldman’s sale of Marcus drives record PCL release
Partial disposal of retail arm costs bank $470 million, but nets first release into income since Q2 2021
BMR grows bought single-name CDS book as market slumps
Counterparty Radar: US retail funds cut $1.5 billion in sold swap positions over the quarter
As rates rose, KeyBank unwound 94% of pay-fixed swaps
Sale of AFS hedges left book exposed throughout late 2022, much as at ill-fated SVB
US banks vulnerable to losses if HTM securities need to be sold
Overall mark-to-market value $300bn lower than amortised cost across 30 banks
Morgan Stanley scores big with swaption trades
Counterparty Radar: Mutual funds increase pace of transition from USD Libor to SOFR in Q4 2022
HTM securities hit $2.5trn at US banks in 2022
BofA, First Foundation and Wells Fargo reported largest share of HTM to total securities behind SVB
Putnam adds $18bn to interest rate swaps book
Counterparty Radar: Market for mutual funds and ETFs grew to $677 trillion in Q4 2022
Mutual funds dump two-thirds of FX options positions in Q4
Counterparty Radar: Morgan Stanley Investment Management leads fall in volumes with big cuts to RMB trades
Fed’s climate stress test whips up storm for banks
Long-awaited US climate risk exercise puts tough pressure on banks’ data and models
US regional banks hold smaller proportion of high quality assets
Share of Level 1 assets at Capital One, Truist, US Bancorp lowest across US banks subject to LCR
At US banks, less than 50% of liquid assets classified as AFS
Goldman Sachs reported smallest proportion relative to HQLAs across US banks subject to LCR
Like SVB, five other US lenders saw negative NII growth in 2022
Ally, Customers, First Foundation, Morgan Stanley and PacWest were pressured by rising rates
US banks’ risk-free exposures keep falling
Assets with 0% risk-weighting lowest proportionally since Q1 2020, replaced by riskier exposures
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
MMFs’ reverse repos with Fed surged 35% last year
Fidelity-run funds drove 29% of the $601 billion in new trades
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
Goldman’s VAR drops 20% in Q4
Retreat led by commodities and interest rate risk
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