Risk Quantum/Federal Reserve
US banks more cramped by stress tests than global peers
Five out of six US dealers adjust capital based on stress scenarios
Tired of overshooting, BNY Mellon revamps stress test model
Capital distributions crimped by conservative CCAR estimates
BAML shrugs off higher funding costs
Bank reports 38 basis point jump in long-term debt interest expense quarter to quarter
Citi and Wells Fargo wary of stress capital buffer
Recent CCAR tests point to higher CET1 requirements
Wells Fargo sheds low risk assets
Bank winds down financial institution deposits to meet Fed order
US G-Sibs increase off-balance sheet exposures
BAML, Citi, Goldman, Morgan Stanley and Wells Fargo boost amounts by $124 billion
Stress-test trading losses out of sync with banks’ market risk
Trading and counterparty losses triple those implied by banks’ market RWAs
US banks cut available-for-sale portfolios
Securities classifications have shifted materially since AOCI filters were removed in 2014
CCAR losses concentrated at four US banks
BAML, Citi, JP Morgan and Wells Fargo account for more than half of total CCAR projected losses
Foreign bank IHCs shed US assets in 2017
Barclays, Credit Suisse and Deutsche Bank shrunk balance sheets by $166 billion
CCAR projected losses top half a trillion
Trading and counterparty losses made up 20% of total predicted losses across participants
Foreign banks outperform US peers on CCAR
IHCs report 11.1% average post-stress capital ratio