Credit spread risk in the banking book
Banks hold 73% of liquidity buffer in cash and Level 1 assets, on average
Largest lenders hold highest share of central bank reserves in buffer, latest analysis shows
ECB finds holes in banks’ credit spread risk nets
Banks censured for insufficient evidence to support exclusion of products from CSRBB perimeter
Wells Fargo assets surpass $2trn as cap lift fuels expansion
Bank’s total assets rise $82bn in Q3, driven by federal funds, securities and loans
European banks search for consensus on credit spread risk
New EBA guidelines spawn diverging interpretations of which products must be assessed for CSRBB
JP Morgan SE allocates €318m for structural credit spread risk
Bank’s EU arm among first to disclose figure following EBA’s diktat on more granular monitoring of CSRBB
Europe’s lenders sail into uncharted waters of the banking book
Regulators are pushing banks to map their credit spread risk. Here be dragons?
ECB mulls intervention on uneven banking book reporting
Inconsistency among EU banks on whether deposits and loans are in scope for credit spread risk
Definition of credit spread risk unclear in EBA proposals
Market participants say banking book guidelines will be difficult to follow
Basel cuts credit spread charge from banking book work
Charge was felt to be "too difficult to capture" without complex rules