Risk Quantum/JP Morgan
JPM, Wells Fargo would net record AOCI windfalls in severe recession
Latest DFAST projects $58bn AOCI rebound on aggregate, with two banks driving over 60% of the recovery
JP Morgan’s loan losses loom ever-larger in Fed stress test
$90 billion in projected markdowns accounts for almost a fifth of total across 22 banks
US banks’ VAR shortfalls are wrapped in a black box
Public disclosures only allow crude approximations of loss size and timing
US G-Sibs set to reclaim $6.6trn in leverage room under eSLR reform
Replacement of fixed 2% buffer with variable add-on could cut requirements by up to 150bp
US G-Sibs’ non-bank assets surpass $6trn for first time
After plateauing for years, non-bank asset shares surged in 2024, led by Citi and JPM
US banks’ FX notionals hit record $66trn on forwards frenzy
JP Morgan leads record derivatives surge amid Q1 market volatility
Unseasonal Q1 surge lifts US G-Sib scores to record highs
Latest systemic risk scores for JP Morgan, Citi, Goldman and Morgan Stanley could lead to extra 50bp to their respective capital surcharges
Volatile funding flows add $21bn to US G-Sib liquidity buffers
Q1 jump in maturity mismatch add-on is largest on record
US banks held $2.2trn of USTs on eve of tariff turmoil
AFS holdings hit record $1.04 trillion days before Trump’s tariff announcement pushed Treasury yields higher
JP Morgan’s equity VAR hit GFC levels in March
Bank blames now-matured client position for temporary risk surge
JP Morgan’s VAR limits blown twice during haywire Q1
Breaches add to the two regulatory backtesting exceptions sustained the previous quarter
Tariff turmoil drives $31bn margin surge at FCMs
JPM and Goldman lead futures brokers to record margin highs amid Trump tariff shock
Fed’s proposed SCB tweak would free $20bn of capital at US banks
Averaging of stress test-based inputs over two years would reduce current add-ons by up to 60bp