Risk Quantum/Federal Reserve
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
Fed’s stress tests to gauge banks’ leveraged loan risks
CLOs to suffer “severe corrections” under 2020 scenario
Stress buffer will not upend Citi’s capital plans
CET1 capital at lowest level since Q3 2013
Legal woes dent Wells Fargo’s earnings
Of total operational losses in Q4, legal costs accounted for 79%
Loosening ties, pt 2: how US G-Sibs cut intra-system liabilities
Citi and Goldman expelled huge amounts of deposits in Q4 2017
How US G-Sibs shrink down at year-end
Derivatives exposure reductions make up bulk of year-end savings