Risk Quantum/Federal Reserve
In light of Covid recession, Fed eases stress test scenario
Real GDP projected to fall 4%. In 2020, the simulated drop was 8.5%
JP Morgan calls for SLR relief to be made permanent
Around 16% of the bank’s exposures were excluded from the ratio in Q4
SOFR trading surged at year end
End-2020 volume and rate spike was muted compared to previous years
Smaller US banks grew faster than larger rivals in Q3
Lenders less than $1 billion in size increased loans 16% over the quarter
Regional banks, FBOs found second round of Fed tests tougher
DB, HSBC, PNC, US Bancorp and TD Group saw their peak-to-trough CET1 ratio depletion increase most
Fed’s Covid stress tests strain top banks’ leverage ratios
Citi, Goldman, JP Morgan, Morgan Stanley all had projected post-stress SLRs below 5%
Having cut risk, Wells Fargo may win a lower G-Sib surcharge
The San Francisco-based bank has lowered its systemic risk score through 2020
Many US banks want to curb Fed balances
Of those wanting to shrink excess reserves, a large percentage cite fears over net interest margins
Systemic US banks’ market risk charges fall from Covid highs
Citi an outlier as its capital requirements increase in Q3
Liquidity buffers thinned at Morgan Stanley, Goldman in Q3
Build-up of HQLA slows over the third quarter after post-Covid surge
BofA the outlier as most US banks improve SLRs in Q3
Aggregate Tier 1 capital climbs 2% in Q3
Top US-based foreign banks shrink systemic footprints
US units of Barclays, Credit Suisse and Deutsche Bank have cut assets 40% since Q3 2016
BNP Paribas grew share of MMF Treasury repo over Q3
French bank accounted for 13% of traded volume as of end-September