Risk Quantum/Federal Reserve
First Republic had just $11bn eligible for Fed’s new facility
The bank held nearly $20bn of municipal bonds, representing over 60% of its securities portfolio
Ahead of collapse, SVB’s interest expense climbed 1,700%
Lending income failed to keep pace with higher deposit costs as Fed reshaped rates environment
MMFs’ reverse repos with Fed surged 35% last year
Fidelity-run funds drove 29% of the $601 billion in new trades
Shadow banks grew net repo claims to record $2.1trn in 2021 – FSB
Non-bank intermediaries, led by money market funds, tapped Fed’s reverse repo window as rates began their ascent
Savers and funds grabbed MBSs as banks and Fed retreated
Central banks and commercial lenders became net sellers of bundled mortgages as rates rose, says BIS
Fed hike behind $682m and $460m breaches at FICC
Clearing units for MBS and government securities hit by backtesting deficiencies on September 21
Hong Kong, India, Turkey lag behind on Basel III framework
Only Canada, Japan and Saudi Arabia ready for full implementation as January deadline approaches
BNY Mellon, Schwab would benefit most from SLR relief
A repeat of the pandemic carve-out would boost average ratio across US banks by 45bp
JP Morgan’s VAR multiplier increases following Q2 breach
Citi also reported one backtesting exception but kept VAR-based market risk capital requirement flat
PNC, Truist most reliant on tailored LCR requirements
Liquidity ratios would be below regulatory minimum without Fed's cap for regional US banks
Citi, BNY Mellon escape Collins floor
Both banks return above the threshold after just two quarters
Fed ‘tailoring’ led to larger, less capitalised regional US banks
Lenders freed from toughest requirements in 2018 grew balance sheets but saw capital ratios slip