Data
HTM securities hit $2.5trn at US banks in 2022
BofA, First Foundation and Wells Fargo reported largest share of HTM to total securities behind SVB
Before collapse, Credit Suisse projected lowest cash outflows since 2018
Customers were expected to withdraw just $91bn in a 30-day stress period despite heavy outflows going into 2023
Credit Suisse’s funding disclosures raise questions
The bank reported $141 billion of “other exposures” in NSFR at the end of 2022
CaixaBank, UniCredit most exposed to rate increases in Europe
Banks report largest hits in IRRBB tests, but remain clear of fail threshold
At regional US banks, BTFP-eligible securities top $300bn
Assets classified as held-to-maturity made up less than 19% of aggregate securities portfolios in 2022
UBS takeover of Credit Suisse to trigger higher G-Sib surcharge
At 14.2%, UBS’s CET1 capital ratio is more than sufficient to absorb the deal
First Republic had just $11bn eligible for Fed’s new facility
The bank held nearly $20bn of municipal bonds, representing over 60% of its securities portfolio
US regional banks hold smaller proportion of high quality assets
Share of Level 1 assets at Capital One, Truist, US Bancorp lowest across US banks subject to LCR
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
Ahead of collapse, SVB’s interest expense climbed 1,700%
Lending income failed to keep pace with higher deposit costs as Fed reshaped rates environment
Soft inflation print triggers initial margin breaches at FICC
Clearing units for MBSs and government securities hit by backtesting deficiencies as coverage levels dip
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
RBC’s settlement risk charges blow up 260%
C$3.5 billion RWA figure marks one of the heftiest capitalisation of held-up trades ever by a bank
Basel III TLAC shortfall widens to €30bn
Three systemic banks responsible for the increase in latest Basel Committee assessment
BMO, TD and US Bancorp hit by out-of-the-money goodwill hedges
Derivatives meant to offset dilution of capital in acquisitions turned loss-making as yields temporarily slumped
US banks’ risk-free exposures keep falling
Assets with 0% risk-weighting lowest proportionally since Q1 2020, replaced by riskier exposures
VAR tail grew fatter at Bank of America in 2022
Gap between 95% and 99% confidence levels widens to 10-year record
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
UK banks added £1.6bn to loan allowances in 2022
Increase in set-asides driven by stage-two and stage-three credit-loss reserves
CCP ‘skin in the game’ still dwarfed by member contributions
Even as markets churned in 2022, clearing houses coughed up only 2% of funds at end-September – the same as the previous year
Nordea’s market RWAs drop 20% on Q4 SVAR cut
Last quarter marked reversal of fortunes after 30-month high hit in June
Commercial bank cash grows more popular for initial margin
Shift driven by Ice Europe as CCPs diverge on preferred type of collateral