Tailoring rule
Fed spares US Bancorp tighter liquidity straitjacket
Having committed to category II standards by end-2024, bank risked incurring LCR shortfall
Adjusted for AOCI, ratios at five regional banks fall short
Impact of reinclusion on CET1 capital ratio would trip up Truist, Ally and others
Five US banks add $7bn in unrealised losses in Q3
Deductions at JP Morgan and Wells Fargo surge by more than $2 billion each
US systemic risk scores hit records at JPM, Citi and 5 others
Riskiness of top dealers inflated by fair-value securities and higher reliance on short-term funding
US banks reshaped liquidity buffers in Q2
Truist, BofA and US Bancorp lead highly liquid assets pile-up
AOCI reinclusion would push 10 US banks below capital requirements
KeyCorp, Truist and UBS Americas the worst affected by removal of paper-loss waiver
Nine US banks could be caught by Fed’s revised market risk rule
Expansion of trading risk charges to banks above $100bn in assets would also affect firms with minimal trading activity
The AOCI elephant in the DFAST room
After March’s banking crisis, Fed stress tests should adopt harsher and wider ranging rate scenarios
Five US banks would breach CET1 buffers on AFS loss reinclusion
Fed’s vice-chair proposal to scrap AOCI waiver would cripple KeyCorp the most
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
US Bancorp, Citizens head for tighter ‘tailored’ standards
Banks on track for stricter capital and liquidity rules, while tiered US standards come under scrutiny
Systemic risk scores climb at largest US regionals
Funding indicators inflate systemic footprint of Capital One, KeyCorp, US Bancorp and Truist in Q1
US banks seize chance to transfer securities from HTM to AFS
Wells Fargo, JP Morgan and Citi reclassify $34bn following new hedge accounting treatment
For 11 US regionals, capital adequacy hinges on AOCI waiver
A repeal of the 2019 provision would hit KeyCorp and Charles Schwab the most
First Republic burned through short-term investments in 2022
Cash and securities maturing within a year went from over- to undermatching short-term funding liabilities
First Citizens closer to tighter rules after SVB deal
With assets more than doubling to $219bn, acquisitive bank flirts with category III designation
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
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
Charles Schwab rejigs bond books as it braces for AOCI reintroduction
Dealer might soon lose ability to waive mark-to-market swings from capital