Risk Quantum/Federal Reserve
Softer DFAST market shock favours Goldman but confounds comparability
Tweak to trading book test reveals widening gap between bank and Fed loss forecasts
JPM, Wells Fargo would net record AOCI windfalls in severe recession
Latest DFAST projects $58bn AOCI rebound on aggregate, with two banks driving over 60% of the recovery
US banks’ VAR shortfalls are wrapped in a black box
Public disclosures only allow crude approximations of loss size and timing
Seven banks fall short of full capital buffers in DFAST 2025
DB USA posts largest gap, with four G-Sibs also dipping below their full requirements
The VAR-centric models that never were
Often spotlighted, rarely dominant – VAR plays a surprisingly small role in most IMA stacks
Wells Fargo’s seven-year freeze sees rivals surge ahead
Risk density and loan growth lagged as Fed enforced asset cap
Repo facility preferred over discount window, SFOs say
Bank officers shun Fed lending facility amid persistent stigma
Loan-to-deposit ratios rise in most US states
New Hampshire leads at 99% as Nevada posts biggest gain
Fed’s proposed SCB tweak would free $20bn of capital at US banks
Averaging of stress test-based inputs over two years would reduce current add-ons by up to 60bp
JPM leads record STWF surge at US G-Sibs
Five banks hit new highs in Q4, as increased reliance weighs on systemic risk scores
BofA, JPM face 50bp increase in G-Sib surcharge
Surge in systemic indicators puts banks on track for 3.5% and 5% add-ons in 2027
SLR relief for Treasuries would lift median banks’ ratio by 57bp
Charles Schwab and Goldman Sachs set for biggest boost if Covid-era relief returns
US MMFs retrenched to Fed repos as 2024 wrapped up
Allocation needs trump yields, boosting RRP exposure by 125% in December
Fed’s stricter G-Sib scoring punishes BofA, Goldman
Duo’s method 2 capital requirements will diverge further from those entailed by Basel’s methodology