Loss
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
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
Synchrony and Discover lead US banks on rising net charge-offs
Executives expect trend to continue as credit normalisation proceeds apace
First Republic taps Fed facilities in effort to plug funding hole
Discount window and BTFP provide temporary relief as deposits slump $72bn in Q1
For 11 US regionals, capital adequacy hinges on AOCI waiver
A repeal of the 2019 provision would hit KeyCorp and Charles Schwab the most
At US banks, less than 50% of liquid assets classified as AFS
Goldman Sachs reported smallest proportion relative to HQLAs across US banks subject to LCR
BMO, TD and US Bancorp hit by out-of-the-money goodwill hedges
Derivatives meant to offset dilution of capital in acquisitions turned loss-making as yields temporarily slumped
ING’s op RWAs climb 7% on AMA update
Second quarterly rise in a row erases most of the reduction in the first half of 2022
Capital One’s loan charge-offs surge 54% in Q4
Amount of credit cards and consumer loans getting written off approaches pre-pandemic levels
BofA’s DVA losses inflated to $193m in Q4
Latest hit is largest since 2020, but still leaves positive result for 2022
IRB risk-weights highest at smallest EU banks – ECB
Lenders with less than €30 billion in assets consistently report lower risk densities than bigger banks across all modelled portfolios
FSB: third of climate stress tests not tackling physical risk
Six jurisdictions conducted exercises only for transition risk
Rifts widen across EU banks’ trading results
Largest fair-value hits from HFT assets moved further from median in H1
Ice Europe made $7.8bn VM call in Q3
Highest cash call on record triggered by higher commodity prices as Europe energy crisis persists
US banks’ loss-to-VAR ratios fell in Q3
Largest daily trading losses were on average 84% of forecast, compared with 105% in Q2
Modeling very large losses. II
This paper presents a means to estimate very large losses by supposing the event is the result of a succession of factors and estimating the probability of each factor.
Erste, RBI top up provisions with €258m in overlays
Austrian lenders remain reliant on model supplements as energy squeeze looms
Barclays frees up £4.5bn RWAs after overissuance clean-up
The bank unwound hedges that safeguarded its buyback of mis-sold US notes
As interest rates surge, bankers fret over last year’s models
IRRBB modellers trying to predict client behaviour have little relevant data to fall back on
Barclays, Deutsche, Credit Suisse take $437m hit on leveraged loans
Higher interest rates eroded value of facilities stuck in pre-syndication during Q3
BNY, State Street took $6.5bn fair-value hit to bonds in Q3
Eroding prices of RMBSs and govies keep widening unrealised losses
Morgan Stanley’s VAR averaged $61m in Q3
Trading risk indicator surged 33%, second-hottest reading since 2013
Bailed-out Uniper suffered €14bn derivatives markdown in H1
Company cut value of gas forwards contracts due to risk of reduced deliveries from Russia
EU banks add overlays as crises evade modelling
Lenders buttress provisions against unpredictable fallout from Russia's invasion of Ukraine