Credit risk
Credit data: US slowdown starts to bite for high yield
Credit quality in the US is turning, while the UK is sliding sharply, writes David Carruthers
Banks feel chill of exposure from Fed’s SCCL
US rules on counterparty credit limit pose challenges for risk and regulatory teams despite proposed delay, says expert
Trim review pumps up Commerzbank’s credit RWAs
Additional RWA increases also expected in coming quarters
Morgan Stanley, Wells not sold on AI for credit scoring
Risk USA: Lenders warn on AI model risks and use of non-traditional data
PRA drops ‘timely’ payouts in credit risk insurance
Plan for expeditious timeframe set aside to delight of banks worried about retaining capital breaks
CECL prompts loan sales, hunt for insurance
Risk USA: ‘CECL hogs’ could deplete capital ratios and be a drag on earnings
Chafing under capital rules, JP Morgan sells home loans
Standardised risk weights for residential mortgages far exceed modelled equivalents
Loan appetite pushes credit risk higher at Goldman Sachs
Standardised credit RWAs for loans up 19% since end-2017
Impairment charge up 58% at BBVA
Write-offs and higher provisions take big bite out of bank’s income
Structural snags frustrate STS for synthetics
Curbs on excess spread and collateral stymie route to ‘high-quality’ signifier
Credit model update holds down loss provisions at Deutsche
German lender saved €167 million through model refinements
CECL could force Capital One’s loss reserves up 40%
Loss allowances could jump to almost $10 billion on January 1, 2020
Europe’s new default rules: a defined benefit?
EBA’s single definition of default will have multiple effects for credit risk management, say consultants from PwC
Nordea builds loan-loss provisions following ECB scrutiny
Net loan losses jump to €331 million in Q3
Basel III risk-weight changes to tax European banks most
Risk-weighting of IRB exposures to increase 2.8% overall
At large US banks, credit loss reserves up 12% in Q3
JP Morgan took $1.5 billion of provisions in the third quarter alone
Best CVA practices in Japan
At a recent roundtable in Tokyo, banks and regulators discussed progress on credit valuation adjustment (CVA). While, in many respects, the work towards implementing best practices in the country is on track, challenges remain in resourcing and…
The greening of Natixis’s balance sheet
Green weighting factor will be used to adjust the credit RWAs of loans
Capital cut for synthetic securitisations splits regulators
European rulemakers wary of diverging from Basel standards
Borrower default estimates continue to improve at EU banks in Q2
Greek corporate creditworthiness improves the most of 39-country sample quarter-on-quarter
UK banks accelerate RWA increases in Q2
Market and operational RWAs return to growth after shrinking in Q1
Greece leads EU on cutting toxic loans in Q2
Non-performing loan ratio of Greek banks falls to 39.2% from 44.8% a year ago
Basel output floor to bind 29% of big banks
But risk-based capital requirements would constrain the largest number of international lenders
IFRS 9 flings loan-loss provisions haphazardly higher
Under the standard, cash piles for bad loans were expected to ramble. Just not quite so much