Risk Quantum/Federal Reserve
US banks improve stress test projections
Gap between internal projections and the Fed's model outputs shrinks to 118 basis points
Banks hurdle Fed stress tests with ease
Aggregate post-stress CET1 capital ratio of 18 participants well above regulatory minimum at 9.2%
Systemic US banks’ overseas loans top $3trn
Citi leads large US dealers with almost $1trn of foreign claims
Non-systemic US banks shy away from short-term funding
Mid-sized non-G-Sibs have average STWF score of just 17.1%
Goldman Sachs leads US firms on non-bank assets
Non-bank assets of G-Sibs equivalent to 32% of total consolidated assets
US mid-sized banks pile into intra-financial system assets
Non-G-Sibs over $100 billion in size hold 85% more of other banks’ assets than in 2014
Fed study says CCAR has not toughened over time
Higher planned dividends and buybacks to blame for increased capital depletion under stress tests
Default fund costs dominate US G-Sibs’ cleared swaps charges
Default fund contributions accounted for 62% of the eight banks’ RWAs
Over four years, US non-cleared swaps books get riskier
Risk density of non-cleared trades has increased under standardised approach
JP Morgan cleared swaps balloon $8trn in Q1
Total G-Sib cleared notionals climb 23% in three months to end-March
US banks demand high rates for overnight loans
Most banks demand 25bp-plus spread over IOER to lend unsecured
Systemic risk scores surge at six US G-Sibs
JP Morgan and Goldman Sachs bump up against higher-risk surcharge thresholds