Risk Quantum/Federal Reserve
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
CME turns to Fed in rejig of liquidity pool
Central bank balances accounted for more than 70% of the CCP’s total liquidity buffer in Q3
Interest rate ETD volumes drop in Q3
Shorter-dated contracts led the way, falling 9% quarter on quarter
Systemic risk: Fed methodology out of sync with Basel’s
Different inputs and calculator formulae pose dual test to US banks
US unit of TD Group close to a VAR breach in Q3
Largest loss-to-VAR ratio at the firm was highest among 10 US intermediate holding companies
Early SA-CCR adoption to lop 120bp off Morgan Stanley’s CET1 ratio
The planned switch is set to increase the bank’s RWAs by between $35bn and $45bn
Systemic US banks’ bail-in buffers rose in Q2
Morgan Stanley posts largest amount of headroom, while Citi, State Street and Wells Fargo trail behind