Risk Quantum/Citi
US banks held record $78bn in equity collateral before market crash
Stocks made up 11% of dealers’ OTC derivatives collateral at end-2024 – highest ever reported
JPM leads record STWF surge at US G-Sibs
Five banks hit new highs in Q4, as increased reliance weighs on systemic risk scores
US dealers’ OTC clearing rates plunge to multi-year lows
Cleared notionals down $24.3trn in Q4 amid year-end compression push
Citi sees sevenfold spike in derivs exposure cash outflows amid data upgrade
FX data enhancement triggers record-breaking projected cashflows, but net position remains largely unchanged
US banks’ unrealised losses surge by $33bn in Q4
Led by JPM, Wells Fargo and Capital One, every major bank reported higher losses in AOCI, in reversal of previous quarter’s recovery
Barclays, RBC end 2024 with record-high swaps margin
Both dealers see double-digit increases, but year sees least growth in at least a decade
JPM’s AFS holdings surge $72bn amid doubling unrealised losses
AOCI falls to its lowest in a year despite rate cuts
G-Sib cross-border risk drops to four-year low
Two-thirds of systemic banks saw systemic indicator decrease in 2023
Substitutability cap keeps JP Morgan out of top G-Sib bucket
Uncapped systemic risk score grows to highest level on record
AFS Treasury holdings surge $67bn at US banks in Q3
JP Morgan leads growth, while Citi and Wells Fargo cut back
Cashflow volatility lowest in four years at big US banks
Maturity mismatch add-ons ease up, but BNY Mellon, Goldman, Morgan Stanley and State Street buck trend in Q2
Credit options notional for top US dealers soars 45.3%
Investor demand for puts and calls drives balances near Q1 2022 record