Retail loans
US banks endure climb in charge-off rates
Write-offs spread from consumer and CRE portfolios to other corporate lending
Goldman writes off $506m of intangibles in GreenSky disposal
Only sliver of original investment to return to CET1 capital
Capital One’s loan charge-offs surge 54% in Q4
Amount of credit cards and consumer loans getting written off approaches pre-pandemic levels
Top US lenders book $6.2bn in provisions in Q4
Loan-loss charges at Bank of America, Citi, JP Morgan and Wells Fargo hit highest since pandemic outset
HSBC’s quarterly UK provisions rose 111% in Q3
Uncertainty around interest rates and political stability reflected in model overlays
New model simplifies loan-loss forecasts. Some say it’s too simple
Modelling approach devised by Commerzbank quant promises to ease computational burden, but may not suit complex portfolios
Libor is ending, and corporates need to know their options
Banks must speak to Main Street now if US Libor transition is to succeed, argue ARRC working group leaders
EU banks’ credit risk estimates stabilised at year-end
Weighted average corporate borrower PD across countries climbed to 2.15%
‘Big Five’ Canadian banks’ provisions doubled in pandemic year
However, over three months to end-January, set-asides dropped dramatically
At Lloyds, more loans miss repayments as they exit moratoria
Majority of delinquent loans are mortgages
Covid policy risk hangs over bank stress tests
Banks and regulators are second-guessing the policy response to new outbreaks
EU banks’ credit risk estimates deteriorated in Q2
Weighted average corporate borrower PD across countries climbed to 2.04%
EU banks’ Q1 credit risk estimates show little Covid effect
Probability of defaults for retail exposures edged up only slightly quarter-on-quarter
Bleak macro view pushes Lloyds’ ECL over £5bn
Anticipated loan losses for commercial loans up 39% on end-2019
RFRs hit Main Street as Swiss banks launch Saron mortgages
Negative rates ease path for compounded Saron home loans without lags or lookbacks
Credit portfolio manager of the year: NatWest Bank
Risk Awards 2020: Big deals and big ideas have helped transform stress-test laggard to leader
US Bancorp slashes bad assets 5% in Q2
Total amount of toxic assets stood at $953 million at end-June
Consumer loan surge quintuples Goldman’s loan-loss reserves
Retail loan portfolio doubles year-on-year to $5 billion
US Bancorp cuts $87 million of soured loans
Ratio of toxic assets to total loans fall 19% quarter-to-quarter
TD Bank expands credit risk model
Retail A-IRB assets grow 12% quarter to quarter
Asset correlation of retail loans in the context of the new Basel Capital Accord
The approach to the measurement of credit risk recommended by the new Basel Capital Accord (Basel II) gives a wide choice of basic risk estimators. However, the rules for estimating asset correlations are defined in an ambiguous manner.