Credit risk
Smaller US banks hold over half of CRE loans
Lenders under $50bn in assets reported record $1.7 trillion of exposures at end-2023
Harsh judgements: why Stateside lenders are upping the Q-factor
As CRE stalls, qualitative adjustments are forming a larger part of US banks’ credit risk allowances
Traders eye negative CDS-bond basis
Changed market dynamic can be profitable for those firms able to capture it
ECB raised Pillar 2 charges for just three CRE-heavy banks in latest SREP
Pfandbriefbank and Luminor saw largest increases across 106 banks subject to 2023 assessment
European regulators turn up the heat on IFRS 9 model overlays
After warnings from EBA and BoE, risk managers urge ‘soul-searching’ on post-model adjustments
First Citizens’ high-volatility CRE loans doubled last year
Rise in 150%-weighted class of exposures largest among 260 US lenders
Capital One’s credit exposure riskiness set to rise post-merger
Discover acquisition would push share of assets with 100% risk-weight to six-year high, pro forma analysis shows
Rabobank cuts back on ECL overlays
Improved backtesting performance reduces add-ons to allowances to lowest in five years
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
Hedge funds push for transparency in credit determinations
Proposals include more disclosure around meetings and detailed rulings of credit events
Shinhan, Kookmin set aside record reserves amid real estate worries
Kookmin provisions account for 38% of income; 23% for Shinhan
UBS predicts RWA cuts hampered by Basel III, model updates
Planned wind-down of unwanted Credit Suisse assets to be offset by $25 billion in add-ons
Discover and Synchrony net charge-offs keep climbing higher
Bad loan write-offs projected to rise further in 2024 as credit quality deteriorates
Multi-factor default correlation model estimation: enhancement with bootstrapping
The authors propose using a three-factor Merton model to allow more accurate quantification when investigating the credit risk of portfolios.
Soured CRE loans pile up at BofA, Wells Fargo and PNC
Proportion of non-performing loans surges past the pandemic’s worst stretches
Emerging lessons from the current credit risk cycle
Experts discuss the challenges of higher inflation and interest rates, the impact on defaults, innovations in credit risk modelling and predictions for 2024
Structured credit: the outlook for 2024
In this webinar produced by Risk.net in association with Numerix, experts discuss the risks, opportunities and outlook for structured credit markets in 2024
At Canada’s big five, impairments keep creeping up
BMO leads the group with bad loans up 39% quarter on quarter
SA-CCR charges double at OCBC in Q3
Singaporean bank’s counterparty credit risk up 28% to multi-year high
Tackling credit risk in turbulent times
Survey reveals Apac CROs’ top credit risk priorities
US climate guidance stokes debate over defining material risks
Banks welcome flexibility, but it could lead to big divergence on climate risk management