Mortgages
Nordea’s credit RWAs surge €19bn as ECB approves new retail models
Revised risk-weightings for mortgages drive sharp rise in credit risk
At some US regionals, CRE loans eclipse tangible equity by up to 7x
Valley National, NYCB and First Foundation the most levered in a sample of 30 banks
Shinhan, Kookmin set aside record reserves amid real estate worries
Kookmin provisions account for 38% of income; 23% for Shinhan
Soured CRE loans pile up at BofA, Wells Fargo and PNC
Proportion of non-performing loans surges past the pandemic’s worst stretches
CRE books at Goldman, Morgan Stanley most laden with provisions
Duo increased allowance coverage fastest among top US banks since September 2022
At US banks, paper losses on HTM securities hit new high
Bank of America leads way as mortgage-backed securities drive aggregate rise in Q3
Western Alliance cuts repos, increases reliance on warehouse borrowing
Drawdown from expanded revolving line helps cut $2bn of costly overnight funding
Nordic banks’ RWAs rise $9bn on Swedish risk-weight floor rejig
Constraints on real-estate exposure modelling result in Pillar 2 charges moving to Pillar 1 requirements
Impaired loans surpass pandemic peaks at CIBC, Scotiabank
At five Canadian banks, troubled loans up 40% year-on-year
ECB mulls intervention on uneven banking book reporting
Inconsistency among EU banks on whether deposits and loans are in scope for credit spread risk
DFAST mortgage loss rate doubles 2022 figure
At $6.9bn, JP Morgan would bear brunt of losses, according to Fed projections
Five banks lowballed loan losses in latest DFAST
Banks project $23bn smaller hit to loan portfolios, with Wells Fargo and Citi the most off-target
Lenders try to move fast and fix things in UK BTL market
Relaxing stress tests when buy-to-let clients switch banks to remortgage is key to avoiding a credit squeeze
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
Schwab turns to costly FHLB advances as deposits drop
Bank draws $45.6 billion in facilities carrying four times the interest rate paid on deposits
US banks seize chance to transfer securities from HTM to AFS
Wells Fargo, JP Morgan and Citi reclassify $34bn following new hedge accounting treatment
At regional US banks, BTFP-eligible securities top $300bn
Assets classified as held-to-maturity made up less than 19% of aggregate securities portfolios in 2022
Fed’s climate stress test whips up storm for banks
Long-awaited US climate risk exercise puts tough pressure on banks’ data and models
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
The impact of rising interest rates on risk models and balance sheet management
In this podcast, ALM and treasury experts discuss how global rate hikes are triggering changes to balance sheet management, behavioural modelling and hedging
Rabobank closes gap to Basel III after RWA top-ups
Mortgage floor, other model corrections bring forward reforms’ forecast impact