Banks
The impact of treasury operations and off-balance-sheet credit business on commercial bank credit risk
Using a vine copula, he authors demonstrate that global systemically important banks face lower credit risk using data from commercial banks based on three risk factors.
Eurozone needs harmonised resolution tools, officials say
Commission proposals could bolster stability and common deposit insurance plans, say supervisors
Cyber risk definition and classification for financial risk management
The authors put forward a definition and classification scheme for cyber risk than can be used as a template for data collection by financial institutions.
MUFG’s settlement risk surges fourteenfold
Risk-weighted assets for Japanese lender’s unsettled transactions cross ¥300 billion mark in the first three months of 2023
Bank of the West brings C$730m in loan provisions to BMO
Acquired book comes with 2.5x the quarterly charges booked by BMO standalone
US arms of Credit Suisse, SMBC stumble on VAR
Breaches of trading forecasts in Q1 result in higher value-at-risk multipliers for the duo
Taking stock: putting a price on US bank regulation post-SVB
Tougher requirements could “blow a hole” of 200+bp in regulatory capital ratios – and cripple equity returns
Three FHLBs increase loans by $150bn in Q1
Atlanta, Cincinnati and Dallas dominate first-quarter lending splurge despite accounting for just 37% of total assets
Client margin for swaps hit all-time high in March
Wells Fargo, Goldman and BNP Paribas reach record figures, but overall trend driven by five big dealers
At US banks, share of HTM securities ticks up in Q1
Despite liquidity squeeze, regional banks increased proportion to a six-year high
Zero-day spikes vanish as bank worries exceed inflation fears
Implied volatility for short-dated options points to shift in sentiment after SVB failure
The information value of past losses in operational risk
The authors argue that past operational losses inform future losses at banks and that the information provided by past losses results from their capturing factors that are hard to quantify in other tests.
Europe’s new IRRBB test: the riddle with no answer
A proposed compromise on net interest income test is not scientific, but exact calibration may be impossible
Interest rate risk drives ING’s VAR to two-year high
Dutch lender’s trading risk indicator averaged €14 million in Q1
JP Morgan on course to escape Collins floor
Gap between standardised and modelled RWAs at its smallest since 2016
Bucking UK trend, StanChart’s LCR jumps in Q1
Sharp reduction in projected net cash outflows pushes liquidity ratio to highest point since 2017
US regionals remain laggards on EVE measure
Majority of lenders in Q1 did not report key metric that could have detected SVB’s risks
US commercial bank deposits see biggest drop in 50 years
Depositors pulled record $317bn in March; preliminary April figures suggest banking system still fragile
Western Alliance, PacWest put $9.8bn of loans up for sale
Embattled banks to dispose of 13% and 10% of respective loan books as strategic options talks continue
FHLB advances hit record $1trn as banks scramble for funding
Schwab, Truist and First Republic heaviest users of Federal facility in Q1
US MMFs’ holdings hit record as deposits flee banks
Funds run by JP Morgan, Fidelity and Goldman behind half of new investments in March
Some investors see value in beaten-down AT1s
CoCos are trading at a discount on fears that European issuers won’t call the bonds. But buy-siders say this risk is overstated
UBS’s risk density set to increase after Credit Suisse takeover
Rescued bank’s RWA-to-exposure ratio rose at faster clip prior to collapse
Synchrony and Discover lead US banks on rising net charge-offs
Executives expect trend to continue as credit normalisation proceeds apace