Risk Quantum/Federal Reserve
Loan losses: Banks’ estimates out of sync with Fed’s
Wells Fargo worst performer in latest DFAST exercise
Morgan Stanley’s stress test estimate strays from Fed’s
Half of US systemic lenders lowball capital hits in DFAST 2021
At Citi, Goldman larger OTC swaps books drive up systemic risk scores
Increase in trading and available-for-sale securities bump systemic risk scores higher at BofA and JPM
Citi, Wells Fargo face higher stress capital buffer add-ons
Both G-Sibs are outliers, as Fed slaps on higher capital requirements following latest round of stress tests
Banks’ DFAST performances even out
Analysis shows a more nuanced distribution of post-stress results
Foreign banks perform better in 2021 Fed stress tests
Intermediate holding companies reported higher post-stress capital and leverage ratios than their US peers did
Fed stress test: JP Morgan would bear brunt of losses
Dealer’s giant loan portfolio hit the hardest among 23 participating banks
Fed stress tests stretch Goldman Sachs, HSBC
US dealers toe binding minimums in latest DFAST exercise
JP Morgan, BofA face higher G-Sib surcharges
Both banks could face an extra 50 basis points of capital add-on without remedial action
Wells Fargo’s off-balance-sheet exposures up $54bn
Total OBS exposures across the US largest systemically important institutions hit $3.04trn in Q1
US banks add $130bn in carve-out assets as SLR relief ends
JP Morgan led the top US banks in increasing their stock of US Treasuries and excess reserves
JP Morgan’s SLR falls as Fed relief ends
Bank says raising capital against deposits are “unnatural actions for banks”
Equity growth slowed at US banks in 2020
CET1 ratios of biggest US banks were largely flat on 2019
Regional US banks became more systemically risky in 2020
US Bancorp, PNC disclosed an increased reliance on short-term wholesale funding over the year
Top US banks to lose out from end of SLR relief
Average G-Sib will see SLR decline 90 basis points using Q4 2020 figures
Deposits boosted top US banks’ short-term funds in 2020
Unsecured funding from outside the financial sector increased 22% to $934.6 billion
Five US systemic banks face higher G-Sib surcharges
JP Morgan to face 4% add-on; Wells Fargo a cut to 1.5%
At big US banks, Treasury holdings grew over $350bn in 2020
US debt held-to-maturity increased 92% over the year
Top US banks saw liquid assets grow over $500bn in 2020
JP Morgan saw HQLAs increase 28% year on year
Repo exposures fell at BofA, surged at JP Morgan in Q4
Bank of America’s SLR improved to 7.2% by end-December
In light of Covid recession, Fed eases stress test scenario
Real GDP projected to fall 4%. In 2020, the simulated drop was 8.5%
JP Morgan calls for SLR relief to be made permanent
Around 16% of the bank’s exposures were excluded from the ratio in Q4
SOFR trading surged at year end
End-2020 volume and rate spike was muted compared to previous years
Smaller US banks grew faster than larger rivals in Q3
Lenders less than $1 billion in size increased loans 16% over the quarter