Risk Quantum/Truist
US G-Sibs rediscover appetite for less-liquid HQLAs
Aggregate eligible Level 2A assets rise to $110bn while median LCR falls to record low
US banks held record $78bn in equity collateral before market crash
Stocks made up 11% of dealers’ OTC derivatives collateral at end-2024 – highest ever reported
US Bancorp ever more reliant on LCR relief
HQLAs would only cover 91.4% of bank’s net cash outflows without Fed’s cap
Top US dealers shun least liquid assets for HQLAs
Charles Schwab bucks trend with move toward Level 2
AFS securities sale costs Truist $6.8bn
Purge of investment securities marks largest single-quarter loss by a US bank in 10 years
Record number of US banks turned to riskless assets in Q1
Western Alliance leads pack with doubling of exposures in 0% bucket
AOCI worsens across the board at US banks in Q1
JP Morgan, Wells Fargo and Citi hit hardest in trend reversal
BofA, PNC lead Q1 rise in non-performing CRE loans
Commercial real estate write-offs also increased, driven by office loans
US banks’ IRRBB transparency: one step forward, two steps back
A year on from the 2023 crisis, more lenders monitor EVE sensitivity, but full Basel-like disclosures remain the exception