Risk Quantum/Federal Reserve
Systemic US banks’ bail-in buffers rose in Q2
Morgan Stanley posts largest amount of headroom, while Citi, State Street and Wells Fargo trail behind
Sonia/SOFR swaps jump ahead of ‘RFR First’ initiative
Cross-currency swaps increasingly seeing RFRs on both legs
Citi hits the Collins floor
Of the eight systemic banks in the US, Goldman Sachs remains the only one above the threshold
JP Morgan flirts with VAR limits
Largest trading loss in Q2 reached 96% of bank’s VAR limit
End of SLR relief weighs on JP Morgan
All eight US systemic banks saw their supplementary leverage ratio drop in Q2
Custody banks add $6.5 trillion assets
BNY Mellon extended its lead over State Street and JP Morgan in the second quarter
BofA grows securities book, but shuns US Treasuries
The bank adds $78.7bn in Q2, mostly in the held-to-maturity book
Seeking SCB relief, Goldman cuts equity investments
Plans for less capital-intensive balance sheet could shave 140bp off capital requirements
Citi’s SLR falls as Fed relief ends
Bank’s ratio sits 90bp above regulatory minimum as US Treasuries and excess reserves return to weigh on total exposures
Loan losses: Banks’ estimates out of sync with Fed’s
Wells Fargo worst performer in latest DFAST exercise
Morgan Stanley’s stress test estimate strays from Fed’s
Half of US systemic lenders lowball capital hits in DFAST 2021
At Citi, Goldman larger OTC swaps books drive up systemic risk scores
Increase in trading and available-for-sale securities bump systemic risk scores higher at BofA and JPM
Citi, Wells Fargo face higher stress capital buffer add-ons
Both G-Sibs are outliers, as Fed slaps on higher capital requirements following latest round of stress tests