Board of Governors of the Federal Reserve System

Figure 1. Supplementary Leverage Ratio

The figure is a line chart showing the supplementary leverage ratios (SLRs) for the big six BHCs. There are six series shown, “JP Morgan Chase & Co.” is shown as a solid grey line, “Bank of America Corporation” is shown as a dashed purple line, “Wells Fargo Corporation” is shown as a dotted black line, “Citigroup Inc.” is shown as a dashed and dotted green line, “Morgan Stanley” is shown as a dashed blue line, and “The Goldman Sachs Group, Inc.” is shown as a dashed orange line. The figure also includes white diamonds placed on top of the series indicating when the SLR had a higher capital requirement than risk-based capital rules for that BHC. For JP Morgan Chase, the SLR was most binding in the last three quarters of 2021 as well as the first three quarters of 2022. For Bank of America, the SLR was most binding in the last three quarters of 2021 as well as Q1 2022. For Morgan Stanley, the SLR was most binding in the first three quarters of 2020 and the last 3 quarters of 2021 and 2022. For Goldman Sachs, the SLR was most binding for all of 2018 and 2019 and then Q1 2020. The x-axis is quarters and goes from Q3 2016 to Q4 2022. The y-axis is percent and goes from 4.5 to 8.5. There is a grey shaded vertical region on the figure from April 1, 2020 to March 31, 2021 representing the temporary exclusions that were made to the denominator of the ratio. Spanning the width of the figure and intersecting the y-axis at 5 percent there is a horizonal red line representing the minimum SLR for these banks. Prior to the temporary exemptions on 4/1/2020, the BHCs under examination had SLRs around 6 percent – except for Wells Fargo which is an outlier at slightly above 6.5 percent. When the exemption went into effect, SLRs on average increased to approximately 6.5 percent with Wells Fargo increasing to around 7.5 percent. After the exemption expired, on 3/31/2021, SLRs decreased to approximately 5.5 percent for all but Wells Fargo where they have remained until present. Starting in Q1 2022, SLRs have started to tick upward.

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Figure 2. Total Leverage Exposure

The figure is a line chart showing the total leverage exposures (TLEs) for the big six BHCs. There are six series shown, “JP Morgan Chase & Co.” is shown as a solid grey line, “Bank of America Corporation” is shown as a dashed purple line, “Wells Fargo Corporation” is shown as a dotted black line, “Citigroup Inc.” is shown as a dashed and dotted green line, “Morgan Stanley” is shown as a dashed blue line, and “The Goldman Sachs Group, Inc.” is shown as a dashed orange line. The x-axis is quarters and goes from Q3 2016 to Q4 2022. The y-axis is trillions of US dollars and goes from 0 to 5. There is a grey shaded vertical region on the figure from April 1, 2020 to March 31, 2021 representing the temporary exclusions that were made to the TLE calculation during this period. Prior to the temporary exemptions, the BHCs under examination had TLEs that were slowly increasing with the median TLE being approximately 2.5 trillion US dollars. During the exemption period, all TLEs initially decreased with each firm seeing a slightly positive increase or no increase in TLE throughout this period. After the exemptions expired, TLEs increased as the excluded items were re-added to the calculation. It is noteworthy that the TLE for JPMorgan Chase & Co. increased from approximately 3.5 to 4.5 trillion US dollars after the expiration.

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Figure 3. Tier 1 Capital

The figure is a line chart showing the Tier 1 capital for the big six BHCs. There are six series shown, “JP Morgan Chase & Co.” is shown as a solid grey line, “Bank of America Corporation” is shown as a dashed purple line, “Wells Fargo Corporation” is shown as a dotted black line, “Citigroup Inc.” is shown as a dashed and dotted green line, “Morgan Stanley” is shown as a dashed blue line, and “The Goldman Sachs Group, Inc.” is shown as a dashed orange line. The x-axis is quarters and goes from Q3 2016 to Q4 2022. The y-axis is billions of US dollars and goes from 0 to 300. There is a grey shaded vertical region on the figure from April 1, 2020 to March 31, 2021 representing the temporary exclusions that were made to the TLE calculation during this period. The figure indicates that the exclusions had no noticeable impact on Tier 1 capital. Moreover, this measure has been steadily increasing over the period shown for all firms but Wells Fargo and Citigroup which have both seen declines.

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Figure 4, Panel A. Total Contributions to TLE

The figure is a stacked bar chart showing the sum across the big six BHCs of items contributing to their TLEs in dollar terms. The x-axis is quarters and goes from Q3 2016 to Q4 2022. The y-axis is trillions of US dollars and goes from 0 to 20. There are vertical event lines on the figure – one before Q2 2020 and another after Q1 2021 – with the words “Temporary Exemptions” written above the bars during this period. This identifies the period over which Treasury securities and reserves were excluded from the TLE calculation. The figure has a total of 10 items being displayed “U.S. Treasury Securities” shown in black, “U.S. Treasury Securities - Exempt” shown in grey, “Reserves” shown in dark purple, “Reserves - Exempt” shown in light purple, “Total Off-Balance Sheet Exposures” shown in orange, “Total Exposures to Repo-Style Transactions” shown in light brown, “Total Derivatives Exposures” shown in pink, “Other On-Balance Sheet Exposures” shown in brown, “Loans and Lease Financing” shown in mustard yellow, and “Other Securities” shown in dark green. The figure shows that Loans and Lease Financing contributes about 4 trillion US dollars to TLE with the Treasuries and reserves categories increasing over the period shown. As of Q4 2022, Treasuries and reserves contribute 1.4 and 1.6 trillion US dollars, respectively, to TLE. Importantly, there were no major changes in Treasury holdings during or near the exemption period; though, reserves did increase during the exemption period.

Figure 4, Panel B. Percent Contributions to TLE

The figure is a stacked bar chart showing the percent contribution of individual TLE components to total TLE across the big six BHCs. The x-axis is quarters and goes from Q3 2016 to Q4 2022. The y-axis is percent and goes from 0 to 120. There are vertical event lines on the figure – one before Q2 2020 and another after Q1 2021 – with the words “Temporary Exemptions” written above the bars during this period. This identifies the period over which Treasury securities and reserves were excluded from the TLE calculation. The figure has a total of 10 items being displayed “U.S. Treasury Securities” shown in black, “U.S. Treasury Securities - Exempt” shown in grey, “Reserves” shown in dark purple, “Reserves - Exempt” shown in light purple, “Total Off-Balance Sheet Exposures” shown in orange, “Total Exposures to Repo-Style Transactions” shown in light brown, “Total Derivatives Exposures” shown in pink, “Other On-Balance Sheet Exposures” shown in brown, “Loans and Lease Financing” shown in mustard yellow, and “Other Securities” shown in dark green. The figure shows that Loans and Lease Financing compose approximately 25 percent of TLE with Treasuries and reserves composing increasingly large portions of TLE over time – sitting at approximately 8 and 10 percent, respectively, in Q4 2022.

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Figure 5, Panel A. Total Contributions by Security Type

The figure is a stacked bar chart showing the sum across the big six BHCs of securities contributions to their TLEs in dollar terms. The x-axis is quarters and goes from Q1 2015 to Q4 2022. The y-axis is trillions of US dollars and goes from 0 to 5. There are vertical event lines on the figure – one before Q2 2020 and another after Q1 2021 – with the words “Temporary Exemptions” written above the bars during this period. This identifies the period over which Treasury securities and reserves were excluded from the TLE calculation. The figure has a total of 6 items being displayed “U.S. Treasury Securities (AFS + HTM)” shown in grey, “U.S. Treasury Securities (AFS + HTM) - Exempt” shown in light grey, “U.S. Treasury Securities (Trading)” shown in black, “U.S. Treasury Securities (Trading) - Exempt” shown in dark grey, “Other Securities (AFS + HTM)” shown in teal, and “Other Securities (Trading)” shown in dark green. The figure shows that a majority of the securities holdings growth is attributable to Treasury securities with a large amount of growth seen during and after the exemption period. All other securities have steadily increased over time though to a lesser extent. Treasury securities held for trading and for other intentions have increased from about 140 and 282 billion US dollars to 337 billion and 1.05 trillion US dollars, respectively, over the period shown in the figure.

Figure 5, Panel B. Percent Contributions by Security Type

The figure is a stacked bar chart showing the percent contributions of specific securities across the big six BHCs to their summed total securities contribution to TLE. The x-axis is quarters and goes from Q1 2015 to Q4 2022. The y-axis is percent and goes from 0 to 120. There are vertical event lines on the figure – one before Q2 2020 and another after Q1 2021 – with the words “Temporary Exemptions” written above the bars during this period. This identifies the period over which Treasury securities and reserves were excluded from the TLE calculation. The figure has a total of 6 items being displayed “U.S. Treasury Securities (AFS + HTM)” shown in grey, “U.S. Treasury Securities (AFS + HTM) - Exempt” shown in light grey, “U.S. Treasury Securities (Trading)” shown in black, “U.S. Treasury Securities (Trading) - Exempt” shown in dark grey, “Other Securities (AFS + HTM)” shown in teal, and “Other Securities (Trading)” shown in dark green. The figure shows that a majority of the securities holdings growth is attributable to Treasury securities with a large amount of growth seen during and after the exemption period. All other securities have steadily increased over time though to a lesser extent. Treasuries held for trading and other intentions respectively composed about 11 and 28 percent of total securities contribution to TLE in Q4 2022.

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Figure 6. Share of Dealer Treasury Activities Relative to BHC

The figure is a line chart showing the share of dealer Treasury activities relative to BHC Treasury activities across the big six BHCs. The x-axis is quarters and goes from Q3 2016 to Q4 2022. The y-axis is percent and goes from 0 to 120. There are two lines, a dotted blue line for the ratio of dealer Treasury SFTs to BHC Treasury SFTs and a grey line for the ratio of dealer Treasury holdings to BHC Treasury holdings with both showing the average across the big six. Around each line there is a shaded region showing one cross-sectional standard deviation on either side of the line. There is a grey shaded vertical region on the figure from April 1, 2020 to March 31, 2021 representing the temporary exclusions that were made to the TLE calculation during this period. The Treasury SFT ratio has consistently been around 90 percent indicating that most of the Treasury SFTs are held at the dealer level. In contrast, the Treasury holdings ratio has declined notably since 2016 and as of Q4 2022 was around 22 percent indicating most of the Treasury holdings are not at the dealer.

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Figure 7. Share of Dealer Treasury Holdings Contribution to TLE

The figure is a line chart showing an estimate for the percent contribution of dealer Treasury holding to TLE across the big six BHCs. The x-axis is quarters and goes from Q3 2016 to Q4 2022. The y-axis is percent and goes from 0 to 5. There is a single solid grey line with a shaded region around it showing one cross-sectional standard deviation on either side of the line. There is also a grey shaded vertical region on the figure from April 1, 2020 to March 31, 2021 representing the temporary exclusions that were made to the TLE calculation during this period. The average contribution of dealer Treasury holdings to TLE is approximately 2 percent with a cross sectional standard deviation of 0.02 to 3.7 percent.

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Figure 8. Share of BHC Treasury Activities Relative to All Asset Classes

The figure is a line chart showing the share of BHC Treasury activities relative to all asset classes across the big six BHCs. The x-axis is quarters and goes from Q3 2016 to Q4 2022. The y-axis is percent and goes from 0 to 80. The figure has two lines, a dotted blue line representing the share of Treasury SFTs relative to all asset SFTs and a grey line showing the share of Treasury holdings relative to all securities holdings. Around each line there is a shaded region showing one cross-sectional standard deviation on either side of the line. There is a grey shaded vertical region on the figure from April 1, 2020 to March 31, 2021 representing the temporary exclusions that were made to the TLE calculation during this period. The share of Treasury SFTs has consistently been between 50 and 60 percent while the share of Treasury holdings has increased from around 24 percent to 40 period over the period shown.

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Figure 9. Share of Dealer Treasury SFT Contribution to TLE

The figure is a line chart showing an estimate of dealer Treasury SFTs contribution to TLE across the big six BHCs in percentage terms. The x-axis is quarters and goes from Q3 2016 to Q4 2022. The y-axis is percent and goes from 0 to 15. There is a single solid blue line with a shaded region around it showing one cross-sectional standard deviation on either side of the line. There is also a grey shaded vertical region on the figure from April 1, 2020 to March 31, 2021 representing the temporary exclusions that were made to the TLE calculation during this period. Over the period shown in the figure, the estimate remained at or near six percent indicating dealer Treasury SFTs do not significantly contribute to TLE.

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Figure 10. Treasury Positions – Dealer Level

The figure is an area chart showing Treasury long positions at the dealer level separated into encumbered and unencumbered positions for the big six BHCs. The x-axis is daily and goes from Q1 2017 to Q4 2022. The y-axis is billions of US dollars and goes from 0 to 400. At January 1, 2018 there is a vertical line identifying the eSLR start. There is also a grey shaded vertical region on the figure from April 1, 2020 to March 31, 2021 representing the temporary exclusions that were made to the TLE calculation during this period. The figure shows two regions, the lower region in the figure is a dark grey almost black color and represents encumbered long positions. The upper region of the figure is a lighter grey color representing unencumbered long positions. The figure shows that total Treasury long positions at the dealer have doubled over the past six years starting at just over 110 billion US dollars in 2017 and ending at just over 200 billion US dollars in 2022. Throughout this period, nearly all of the positions were encumbered with 90 percent being encumbered at the end of 2022. Finally, the figure shows that the Treasury exemption caused no noticeable change in behavior.

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Figure 11. Treasury SFTs – Dealer Level

The figure is an area chart showing Treasury SFTs, reverse repo and securities borrowing transactions, at the dealer level separated into encumbered and unencumbered positions for the big six BHCs. The x-axis is daily and goes from Q1 2017 to Q4 2022. The y-axis is billions of US dollars and goes from 0 to 1400. At January 1, 2018 there is a vertical event line identifying the eSLR start. There is also a grey shaded vertical region on the figure from April 1, 2020 to March 31, 2021 representing the temporary exclusions that were made to the TLE calculation during this period. The figure shows two regions, the lower region in the figure is dark blue and represents encumbered SFTs. The upper region of the figure is light blue representing unencumbered SFTs. The figure shows that there are about seven times as many encumbered Treasury SFTs as unencumbered Treasury SFTs – something that has been consistent over the period shown. Finally, the figure shows that the Treasury exemption caused no noticeable change in behavior.

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