IRRBB
Asset-liability management: Special report 2023
There is nothing new about the dynamics behind the ALM banking crisis of earlier this year: maturity transformation, liquidity risk and interest rate risk are at the heart of the traditional banking business model. But these old threats have been given…
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
MCB’s interest rate risk widens as funding turns costlier
Rotation into remunerated deposits and short-term borrowing raises liabilities’ sensitivity
Regulators’ remorse: SVB and the case for IRRBB capital charges
Basel Committee chair among those who say Pillar 1 capital requirement could have helped control SVB risks
Basel’s IRRBB shock scenario update hit by US crisis
Recalibration of shocks had been touted for Q3, but wider rethink may now cause delay
After SVB downfall, EBA stress test seeks out unrealised losses
European regulator asks for data on the fair value and sensitivity of bonds and their hedges
Risk modellers navigate fearful new world of depositor behaviour
Silicon Valley Bank suffered fastest bank run in history, but how should others respond?
Western Alliance’s rate-risk gauge breaches internal guidance
EVE depletion for 100bp and 200bp hike scenarios highest disclosed by any US regional bank
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
Hear no EVE, see no EVE
The Fed chastised SVB for poor rate-risk monitoring, but most US banks’ disclosures remain focused on earnings alone
US regionals remain laggards on EVE measure
Majority of lenders in Q1 did not report key metric that could have detected SVB’s risks
Banks dispute EBA’s new threshold for IRRBB test
Banks say new proposal for identifying outliers on net interest income is still too severe
SVB failure signals Fed’s need for a speed rethink
Rapid transition to large-bank bracket left supervisors flat footed on rate risk
Regulating interest rate risk
Over the past decade, regulators have introduced stress tests, liquidity and funding standards – and overhauled rules specifically on IRRBB – that have all had some bearing on the current crisis. But they haven’t yet been implemented fully, or equally,…
Bank runs prompt rethink of IRRBB deposit models
ALM managers are looking for ways to separate the impact of rate hikes from idiosyncratic risks
Kneejerk regulatory reaction to SVB risks lending squeeze
Risk manager at regional bank says any Dodd-Frank 2.0 would be ‘fighting the last war’
Five regional banks predict lower income from higher rates
IRRBB simulations show lending revenue shrinking as Fed policy gets tighter
Deutsche Bank health check comes back clean
From capitalisation to derivatives, Germany’s top bank displays as robust a prudential profile as its peers
SVB opens floodgates on liquidity buffers debate
European regulator says HQLAs should be booked at fair value, but not everyone agrees
SVB wouldn’t happen in Europe, says Deutsche CIB head
Campelli also thinks Credit Suisse’s bailed-in AT1 bonds acted as originally intended
CaixaBank, UniCredit most exposed to rate increases in Europe
Banks report largest hits in IRRBB tests, but remain clear of fail threshold
EU banks need ‘billions’ in hedges to pass new NII test
Declines in net interest income can be hedged, but the markets may struggle to handle the demand
Missing Basel metric could have revealed SVB risks
US regulators did not implement economic value of equity test that SVB failed badly in 2021
Ahead of collapse, SVB’s interest expense climbed 1,700%
Lending income failed to keep pace with higher deposit costs as Fed reshaped rates environment