Risk Quantum/Federal Reserve
At CME, central bank balances hit all-time high
Over 70% of the CCP’s loss-absorbing funds stashed at the Fed, as interest rate expectations drive liquidity pool expansion
Goldman, JP and BofA face higher G-Sib surcharges
Banks could see an extra 50 basis points of capital add-on without remedial action
Citi’s share of cleared swaps hits new high
Latest quarterly increase, alongside that of Goldman Sachs, bucks trend across top US banks
US unit of Barclays close to a VAR breach in Q4
Largest loss-to-VAR ratio at the firm was highest among 10 US intermediate holding companies
Top US banks record 14 VAR breaches
JPM, Morgan Stanley, BofA, Citi, Goldman and State Street wrong-footed in volatile end to 2021
Shadow US banks cool on riskier leveraged loans
Lowest-quality syndicated loans held by non-banks fall, though they remain well above pre-pandemic levels
GM Financial’s derivatives fall 72% in value in 2021
A steeper forward interest rate curve paired with an appreciating dollar erased most of the gains booked by the carmaker’s lending arm in 2020
JP Morgan incurs eight VAR breaches, triggering capital hike
Largest trading loss in Q4 reached 207% of the bank’s VAR limit
Foreign banks flocked to Treasuries and Fed in Q3
Claims rose at fastest annual pace since early pandemic amid inflation jitters
Led by BofA, US banks doubled distributions in 2021
Stock buybacks and dividends hit $117.7 billion last year
Top custody banks add record $12.7tn assets in 2021
Assets under custody and administration hit an all-time high as the Basel Committee continues its G-Sib framework review
SA-CCR switch pushes Goldman below Collins floor
Early adoption at the end of 2021 adds $15 billion of RWAs