Risk Quantum/Citizens Financial Group
In DFAST, banks clear 4.5% minimum but breach all-in buffers
Forty-three percent of participants would have seen capital plans rejected under pre-2020 CCAR regime, up from 30% last year
US Bancorp, Citizens head for tighter ‘tailored’ standards
Banks on track for stricter capital and liquidity rules, while tiered US standards come under scrutiny
Systemic risk scores climb at largest US regionals
Funding indicators inflate systemic footprint of Capital One, KeyCorp, US Bancorp and Truist in Q1
US banks load up on time deposits amid liquidity concerns
Charles Schwab leads charge with fourfold increase
US arms of Credit Suisse, SMBC stumble on VAR
Breaches of trading forecasts in Q1 result in higher value-at-risk multipliers for the duo
First Citizens leads regional bank rush for riskless assets
Share of 0% risk-weighted assets increases at small banks for first time in seven quarters
At US banks, share of HTM securities ticks up in Q1
Despite liquidity squeeze, regional banks increased proportion to a six-year high
US regionals remain laggards on EVE measure
Majority of lenders in Q1 did not report key metric that could have detected SVB’s risks
Synchrony and Discover lead US banks on rising net charge-offs
Executives expect trend to continue as credit normalisation proceeds apace
US banks report negative NII growth amid rising rates
Goldman, KeyCorp and Charles Schwab worst hit in Q1 as funding costs sap income growth
As rates rose, KeyBank unwound 94% of pay-fixed swaps
Sale of AFS hedges left book exposed throughout late 2022, much as at ill-fated SVB
For 11 US regionals, capital adequacy hinges on AOCI waiver
A repeal of the 2019 provision would hit KeyCorp and Charles Schwab the most