Risk Quantum/Citi
US G-Sibs set to reclaim $6.6trn in leverage room under eSLR reform
Replacement of fixed 2% buffer with variable add-on could cut requirements by up to 150bp
US G-Sibs’ non-bank assets surpass $6trn for first time
After plateauing for years, non-bank asset shares surged in 2024, led by Citi and JPM
Unseasonal Q1 surge lifts US G-Sib scores to record highs
Latest systemic risk scores for JP Morgan, Citi, Goldman and Morgan Stanley could lead to extra 50bp to their respective capital surcharges
US banks held $2.2trn of USTs on eve of tariff turmoil
AFS holdings hit record $1.04 trillion days before Trump’s tariff announcement pushed Treasury yields higher
Fed’s proposed SCB tweak would free $20bn of capital at US banks
Averaging of stress test-based inputs over two years would reduce current add-ons by up to 60bp
JPM boosts credit loss provisions to highest levels since 2020
Allowances up to $28bn driven by worsening economic outlook
Bond rout puts pressure on UST holdings at US banks
Banks leaned heavily on mark-to-market Treasuries before April’s sell-off
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