Regulators
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
Unrealised losses down but not out in latest DFAST
Bank of America would emerge from Fed’s scenario with $22 billion net AOCI gain
Three FHLBs increase loans by $150bn in Q1
Atlanta, Cincinnati and Dallas dominate first-quarter lending splurge despite accounting for just 37% of total assets
Client margin for swaps hit all-time high in March
Wells Fargo, Goldman and BNP Paribas reach record figures, but overall trend driven by five big dealers
US commercial bank deposits see biggest drop in 50 years
Depositors pulled record $317bn in March; preliminary April figures suggest banking system still fragile
Lending via Fed’s BTFP overtakes discount window
Emergency facility extended $79bn last week, $10bn more than central bank’s traditional credit lending tool
Small banks set for 2% capital reduction under Basel III
Lower leverage ratio requirements expected to offset Tier 1 capital increases for credit risk and output floor
Basel III TLAC shortfall widens to €30bn
Three systemic banks responsible for the increase in latest Basel Committee assessment
OTC share of EU gas derivatives surges to 25%
Energy price cap may supercharge flight from ETDs and affect CCPs’ ability to manage risks, Esma warns
IRB risk-weights highest at smallest EU banks – ECB
Lenders with less than €30 billion in assets consistently report lower risk densities than bigger banks across all modelled portfolios
EU G-Sibs outpace non-systemic peers on Level 3 asset growth
Increase in mark-to-model holdings threatens to inflate too-big-to-fail lenders’ systemic profile
Covid-forborne and state-backed loans keep creaking louder
Share of non-performing ex-moratoria and guaranteed exposures at EU banks balloons amid energy crisis, EBA data shows
Client margin for swaps drops to virtually zero at Credit Suisse
Required funds posted to the bank’s US clearing unit totalled $12 at end-2022
Uncleared, unrated CDS notionals boomed in H1 2022
Non-cleared trades up 21% in six months and 14% in twelve, BIS data shows
Client margin for swaps hits new record at four FCMs
Required funds at all-time high at BofA, Goldman, JP Morgan and Barclays in November as market turbulence persists
Shadow banks grew net repo claims to record $2.1trn in 2021 – FSB
Non-bank intermediaries, led by money market funds, tapped Fed’s reverse repo window as rates began their ascent
FSB: third of climate stress tests not tackling physical risk
Six jurisdictions conducted exercises only for transition risk
Merrill Lynch hoovered up $1.5bn of client margin in October
Required funds for F&O rose 66%, bucking trend across major FCMs
F-IRB captured more of EU banks’ credit risk in H1
Gains mostly accrued from bank-modelled A-IRB portfolios
Rifts widen across EU banks’ trading results
Largest fair-value hits from HFT assets moved further from median in H1
UK banks’ CVA charges ballooned by £8bn in volatile Q3
Bank of England figures show capital requirements at highest since early pandemic readings
Client margin up 4% at Barclays’ swaps clearing unit
US unit of UK bank became sixth FCM by share in October