Risk Quantum/Citi
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
FCM client margin ebbed from record highs over Q2
Goldman Sachs was the only FCM to increase swaps margin significantly
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
Advanced approaches continue to bind Citi in Q2
Modelled RWAs fall slower than standardised over the three months to end-June
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