Risk Quantum/Bank of America
OTC swaps exposures of systemic US banks fell back in Q2
Aggregate current credit exposures to hedge funds falls 42% quarter on quarter
Deposit flows shape systemic US banks’ liquidity risk
Non-operational deposits accounted for over 25% of cash outflows in Q2
US banks’ corporate default indicators worsened in Q2
Median probability of default increases 38bp to 1.7% on the quarter
Systemic US banks’ liquidity ratios rebounded in Q2
Aggregate liquid assets increased 15% quarter on quarter
Systemic US banks’ leverage exposures shrank $1.4tn in Q2
On-balance sheet exposures fall on Fed relief
Citi, Goldman, had most winning trading days of top banks in Q2
In aggregate, US G-Sibs racked up 314 profit-making days over the quarter
Top US banks reined in RWAs in Q2
Credit exposures fall after a wild first quarter
Following Fed relief, SLR bonds loosen for top US banks
Billions of Tier 1 capital freed by tweak to ratio’s denominator
Systemic US banks put aside $35bn for credit losses in Q2
JP Morgan takes a $10.5 billion provision charge alone
Trading risks lurched higher at top US dealers in Q2
Bank of America and Morgan Stanley saw VAR levels surge over 50%
Citi’s default fund contributions climbed $2bn in Q1
US bank sees requirement hike 27% quarter-on-quarter
At top US banks, stress test capital hit driven by dividends
Shareholder giveaways make up bulk of post-stress capital losses at JP Morgan, Morgan Stanley, Bank of America