Risk Quantum/Citi
US banks’ systemic footprints grew in 2019
Balance sheet growth lifts systemic risk scores
Aggregate LCR of systemic US banks edged lower in 2019
Net cash outflows increased at a faster pace than HQLA last year
Over two years, top US banks’ capital fell 5%
Stress capital buffer could reduce CET1 a further $40 billion
Citi shed over $32bn of counterparty exposures in Q4
Risk-weighted assets for CCR exposures dropped -12%
At US G-Sibs, rates derivatives notionals the lowest since 2014
Banks cut interest rate swaps notionals by -18% year-on-year
Systemic US banks’ trading portfolios swell 10% in 2019
US Treasuries held-for-trading soar 28% on Q4 2018
Low risk assets pile up at systemic US banks
Sub-100% risk-weighted assets increased by $157.9 billion
Swaps exposures of US G-Sibs dropped 12% in Q4
Net current credit exposures hit $474.8 billion by year-end
Rates trading revenues up 154% at top US banks
Net gains on interest rates-related exposures top $21 billion
Top banks’ US Treasury holdings up 26% in 2019
Fair value gains follow plummeting yields on government paper
Fewer losing trading days at top US banks in 2019
State Street posted most losing days in 2019, with 146
Capital buffers edge lower at systemic US banks in 2019
CET1 excess above institution-specific amounts slid 228bp at median G-Sib
Systemic US banks shed $70bn of repo exposure in Q4
Goldman Sachs lowered repo exposures 13% quarter-on-quarter