Risk Quantum/Capital One
At US banks, less than 50% of liquid assets classified as AFS
Goldman Sachs reported smallest proportion relative to HQLAs across US banks subject to LCR
Like SVB, five other US lenders saw negative NII growth in 2022
Ally, Customers, First Foundation, Morgan Stanley and PacWest were pressured by rising rates
US banks’ risk-free exposures keep falling
Assets with 0% risk-weighting lowest proportionally since Q1 2020, replaced by riskier exposures
US banks’ VAR breaches up 2.5x in 2022
‘Hypothetical’ one-day losses exceeded VAR on 55 occasions, as losing trading days prevail
Contrarian Goldman grew fair-value bond book in 2022
Held-to-maturity securities balloon, but bank also adds mark-to-market Treasuries as others curtail them
Capital One’s loan charge-offs surge 54% in Q4
Amount of credit cards and consumer loans getting written off approaches pre-pandemic levels
At US banks, risk-free exposures hit lowest in two years
Just under a third of credit assets carried a 0% risk-weight in Q3
BNY Mellon, Schwab would benefit most from SLR relief
A repeat of the pandemic carve-out would boost average ratio across US banks by 45bp
TLAC rules no sweat for US regionals
Capital One and US Bancorp best placed to fund their balance sheets with long-term debt
PNC, Truist most reliant on tailored LCR requirements
Liquidity ratios would be below regulatory minimum without Fed's cap for regional US banks
Despite bond price crash, Capital One sticks with AFS book
Lender letting AFS book run its course as others seek shelter from interest rate storm
Fed ‘tailoring’ led to larger, less capitalised regional US banks
Lenders freed from toughest requirements in 2018 grew balance sheets but saw capital ratios slip