Risk Quantum/State Street
US dealers tally most VAR breaches since mid-2023
Market turmoil in Q4 blindsides models at systemic and regional banks alike
Substitutability cap keeps JP Morgan out of top G-Sib bucket
Uncapped systemic risk score grows to highest level on record
US MMF investments near $7trn amid short-term yield chasing
Surging inflows led some managers to turn to Fed’s RRP facility for risk-free cash allocation
Cashflow volatility lowest in four years at big US banks
Maturity mismatch add-ons ease up, but BNY Mellon, Goldman, Morgan Stanley and State Street buck trend in Q2
US G-Sibs’ SLR exposures top record for second consecutive quarter
Aggregate leverage exposures up $455 billion in H1
US bank trio loads up on AFS securities in Q2
PNC, State Street and US Bancorp see double digit rises
JP Morgan sails through DFAST with 200% AOCI reversal
Only major dealer to turn mark-to-market losses into gain in simulated recession
US systemic banks’ use of STWF hits record high
BofA, Citi, Goldman and JP Morgan hit new peaks
Trading and AFS securities hit record high at US G-Sibs
Rebounding fair values and appetite for trading inflate indicator used in annual G-Sib assessment
Record number of US banks turned to riskless assets in Q1
Western Alliance leads pack with doubling of exposures in 0% bucket
State Street loads up on short-term borrowing as rates spike
Funding rejig comes amid surge in deposits
BNY Mellon dips below Collins floor after surge in standardised RWAs
All nine US banks using internal models now bound by regulator-set approach