Data
StanChart racked up three VAR breaches in H1
Market volatility triggers VAR model review at the UK bank
NatWest’s LCR dips 4% as liquidity buffers shrink
Drop in net cash outflows contributes to lowest ratio since 2018
ING’s market risk up 13% on higher SVAR
Q2 figures marked reversal of downward trend for modelled market RWAs
PacWest, Banc of California aim to slash emergency borrowings
Post-merger, the new regional lender could see wholesale funding fall from $16.2bn to $2.9bn
Deposit repricing shifts Zions’ IRR outlook
The bank reckons high pass-through of Fed hikes means its rate-shock exposure is lower than under standard modelling
Time deposits climb higher at US regional banks
Comerica and Zions reported largest quarterly increase in Q2
Pre-merger, PacWest reported record negative NII growth
Funding costs continue to outpace income growth at majority of US banks
Eight US banks slapped with higher capital buffers
US units of Deutsche and UBS hit with highest SCBs yet imposed by the Fed
MCB’s interest rate risk widens as funding turns costlier
Rotation into remunerated deposits and short-term borrowing raises liabilities’ sensitivity
Derivatives valuation swings lop $2.4bn off BofA’s income in Q2
DVAs and markdowns on fair-value hedges return to drag on dealer’s revenue
Free deposits keep fleeing US regional heavyweights
Drop in non-interest-bearing balances at Capital One, PNC Bank, Truist and US Bancorp accelerates in Q2
Modelled RWAs diverge further from standardised at BNY Mellon
Gap grows to highest since 2019, pushing bank high above Collins floor
Western Alliance cuts back on emergency funding
As deposits return, regional lender repays FHLB advances and other costly funding
SEB’s wholesale funding doubles following reporting error
Front-loading of 2023 funding plan contributes to Skr500 billion increase in H1
BofA cut $89 billion of AFS securities in H1
Pivot away from fair-value bond investments most sweeping among large US banks
JSCC’s IRS unit hit by record margin breaches
Interest rate volatility drives coverage level below CCP’s risk appetite, triggering IM methodology review
US G-Sibs face higher add-ons in Barr’s surcharge framework review
Fed vice-chair proposal to reduce ‘cliff effects’ could add between 40bp and 10bp to capital requirements
US banks’ stress-test projections stray further from Fed’s in 2023
Average gap between Fed- and bank-estimated depletions more than double from previous two DFASTs
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
Norinchukin’s credit RWAs up 31% on early Basel III opt-in
Bank’s standardised charges surge 19-fold following overhaul of models’ scope and parameters
Goldman could face higher capital charge under Barr proposal
Plans to prevent G-Sib score window dressing would penalise all US systemic banks bar Citi
DFAST mortgage loss rate doubles 2022 figure
At $6.9bn, JP Morgan would bear brunt of losses, according to Fed projections
Sovereign bonds top choice for IM collateral
Drive towards higher interest-earning assets strongest at CME and LCH among top CCPs
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