Risk Quantum/Federal Reserve
Systemic US banks crushed cleared OTC notionals in Q2
Outstanding amounts fall 12% quarter-on-quarter
US bank systemic risk indicators stay elevated through Q2
Increase in exposures, short-term wholesale funding bump systemic risk scores higher at some firms
Fed’s second round of stress tests to push banks’ limits
Worst-case scenario sees unemployment peak at 12.5%
JP Morgan shook up market risk stress tests in Q2
Bank switched stressed VAR historical periods 60 times
Fix to Fed stress test snafu lowers two banks’ capital charges
Goldman, Morgan Stanley see stress capital buffer cuts
Fed dollar swap operations slow as funding strains ease
Seven-day swap utilisation has dropped off since May
Systemic US banks’ leverage exposures shrank $1.4tn in Q2
On-balance sheet exposures fall on Fed relief
Goldman breached VAR limit 16 times in H1
US dealer also racked up 40 days on which trading profits exceeded $100 million
Following Fed relief, SLR bonds loosen for top US banks
Billions of Tier 1 capital freed by tweak to ratio’s denominator
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%