Risk Quantum/Federal Reserve
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
Foreign banks and Fed at odds on stress test impacts
HSBC North America predicted a loan-loss rate of 2.7%, well below the Fed’s 6% estimate
Three systemic US banks face stress capital buffer add-ons
JP Morgan, Goldman Sachs, Morgan Stanley will see minimum requirements increase under new regime
US banks lowball loan pain, overstate trading hit in Fed tests
In aggregate, systemic lenders underestimated loan-loss provisions by 18%
Discover, Capital One loans ravaged by Fed stress test
Credit card losses especially pronounced among regional US lenders
Fed’s Covid scenarios far harsher than latest stress tests
Under worst-case, 25% of banks would have post-stress CET1 ratios of less than 4.8%
Goldman faces high stress capital buffer after Fed tests
Bank projects 640bp peak-to-trough capital hit in DFAST
Giant US banks outgrew smaller rivals in Q1
Banks over $10 billion in size also saw Tier 1 leverage ratios fall furthest
Interest rate swaps powered Q1 derivatives boom at top US banks
Rate derivatives notionals increase 22% quarter-on-quarter
Cash flood expanded systemic footprint of top US banks
Intra-system liabilities up 26% in Q1
Systemic riskiness of top US banks increased in Q1
JP Morgan’s systemic risk score increased enough to attract a 4% capital surcharge
EU banks’ liquidity buffers weathered Covid turmoil
Central bank cash reserves edge up across EU lenders
Covid tumult pushed VAR capital charges up 72% at US G-Sibs
JP Morgan’s charge increases 148% quarter-on-quarter
US banks’ leverage soared in Q1 before Fed’s reprieve
JP Morgan alone saw leverage exposure climb $112 billion
Covid loan losses exceed 2019 CCAR projections
CECL accounting likely responsible for discrepancy
Fed dominated MMF repo trades in March
FICC and BNP Paribas among other top repo counterparties
Wells Fargo loan book swells $48bn in Q1
San Francisco-based bank clears space on balance sheet for increased lending
How the Fed’s asset cap changed Wells Fargo
Lender has expanded repo book and cut cash since Q4 2017
Left out of Fed action, lower-rated CMBS overheat
BBB yield-to-worst spirals as highly-rated bonds recover after central bank and government intervention
Fed’s leverage ratio relief puts foreign banks on the back foot
European banks cannot – yet – exempt US Treasuries from their exposure measures
US banks stand apart as top lenders cancel dividends
Capital savings would equal 3% of end-2019 aggregate total if payouts suspended
CECL delay grants mid-sized US banks a capital windfall
Synchrony, Huntingdon and Citizens among those to reap most CET1 relief
SOFR trades transact below zero for the first time
A few traders paid around -0.02% to borrow Treasuries in exchange for cash
Japan banks seize on US dollar funding
Daily facilities drawn upon extensively this week