Risk Quantum/Federal Reserve
Nine US banks could be caught by Fed’s revised market risk rule
Expansion of trading risk charges to banks above $100bn in assets would also affect firms with minimal trading activity
PacWest, Banc of California aim to slash emergency borrowings
Post-merger, the new regional lender could see wholesale funding fall from $16.2bn to $2.9bn
Pre-merger, PacWest reported record negative NII growth
Funding costs continue to outpace income growth at majority of US banks
Eight US banks slapped with higher capital buffers
US units of Deutsche and UBS hit with highest SCBs yet imposed by the Fed
The AOCI elephant in the DFAST room
After March’s banking crisis, Fed stress tests should adopt harsher and wider ranging rate scenarios
US G-Sibs face higher add-ons in Barr’s surcharge framework review
Fed vice-chair proposal to reduce ‘cliff effects’ could add between 40bp and 10bp to capital requirements
US banks’ stress-test projections stray further from Fed’s in 2023
Average gap between Fed- and bank-estimated depletions more than double from previous two DFASTs
Five US banks would breach CET1 buffers on AFS loss reinclusion
Fed’s vice-chair proposal to scrap AOCI waiver would cripple KeyCorp the most
Goldman could face higher capital charge under Barr proposal
Plans to prevent G-Sib score window dressing would penalise all US systemic banks bar Citi
DFAST mortgage loss rate doubles 2022 figure
At $6.9bn, JP Morgan would bear brunt of losses, according to Fed projections
Five banks lowballed loan losses in latest DFAST
Banks project $23bn smaller hit to loan portfolios, with Wells Fargo and Citi the most off-target
Citi’s stress-test estimates out of sync with Fed’s
Bank lowballed capital hit in DFAST 2023 more than any other US systemic lender
In DFAST, banks clear 4.5% minimum but breach all-in buffers
Forty-three percent of participants would have seen capital plans rejected under pre-2020 CCAR regime, up from 30% last year