Risk Quantum/Federal Reserve
Systemic US banks shed more than $7trn of non-cleared swaps in 2019
Cleared notionals stay flat on the year
US G-Sibs urged to release surplus liquidity to fight virus sell-off
Top banks have about $378 billion of extra HQLA that could be released
Systemic banks could free $156bn of capital after Fed plea
Banks asked to use management buffers to support economy in combating coronavirus
US banks’ systemic footprints grew in 2019
Balance sheet growth lifts systemic risk scores
Equity, Treasury collateral builds up at US G-Sibs
Fair value of equity collateral rises 19% year-on-year
Over two years, top US banks’ capital fell 5%
Stress capital buffer could reduce CET1 a further $40 billion
At US G-Sibs, rates derivatives notionals the lowest since 2014
Banks cut interest rate swaps notionals by -18% year-on-year
Dollar OIS volumes hit $3.3trn high
Short-dated swaps dominated trading in last week of February
Top banks’ US Treasury holdings up 26% in 2019
Fair value gains follow plummeting yields on government paper
Capital buffers edge lower at systemic US banks in 2019
CET1 excess above institution-specific amounts slid 228bp at median G-Sib
Wells Fargo’s VAR spiked in Q4
Interest rate VAR increased to $211 million in last quarter of the year
Systemic US banks shed $70bn of repo exposure in Q4
Goldman Sachs lowered repo exposures 13% quarter-on-quarter
CCAR more severe than EU stress tests
Real GDP decline greater for US banks under Fed tests than for EU firms grilled by the EBA