Balance sheet
Bailed-out Uniper suffered €14bn derivatives markdown in H1
Company cut value of gas forwards contracts due to risk of reduced deliveries from Russia
BNY Mellon, Schwab would benefit most from SLR relief
A repeat of the pandemic carve-out would boost average ratio across US banks by 45bp
Fed ‘tailoring’ led to larger, less capitalised regional US banks
Lenders freed from toughest requirements in 2018 grew balance sheets but saw capital ratios slip
HSBC exhausts leverage headroom in Fed stress tests
Goldman Sachs worst performer among US banks
Interest rate swaps help BMO keep M&A deal on track
Hedges to safeguard the Bank of the West acquisition have already yielded $2.7bn in mark-to-market gains
Banks’ loan-loss forecasts diverge in BoE climate exercise
Dispersion of estimates for corporate impairments highlights variety of assumptions for modelling climate risk
No soft landings in flight to safety from Russia
Impact of Ukraine invasion hit bank balance sheets hard; its effects look set to continue
China’s top banks slashed market RWAs by $15bn in 2021
Aggregate market RWAs at top five lenders down 17% in year marred by domestic and overseas volatility
Fair-value losses derail payout plans at State Street, BNY
Hit to capital adequacy from available-for-sale book forces rethinks on rate sensitivity
Goldman, JP and BofA face higher G-Sib surcharges
Banks could see an extra 50 basis points of capital add-on without remedial action
Aon chief executive Greg Case: resilience protects, but it also promotes growth
As chief executive of a company whose raison d’être is helping firms make better decisions, Greg Case has wide-ranging knowledge and a nuanced perspective to share on resilience and its importance in volatile times
Raiffeisen’s Russia assets hit new high at end-2021
The Austrian lender kept growing its balance sheet in the country even as Moscow’s manoeuvres put it on a path to all-sweeping sanctions
Shadow US banks cool on riskier leveraged loans
Lowest-quality syndicated loans held by non-banks fall, though they remain well above pre-pandemic levels
On comprehensive balance sheet stress testing and net interest income risk attribution
In this paper the authors propose a framework for granular-level stressed net interest income calculation and profit-and-loss risk attribution.
Foreign banks flocked to Treasuries and Fed in Q3
Claims rose at fastest annual pace since early pandemic amid inflation jitters
Bank of America’s VAR drops 19% in Q4
Average one-day trading VAR falls to lowest point since Q1 2020
Citi bolstered CET1 ratio on eve of SA-CCR switch
Standardised RWAs dropped 5% in Q4, boosting the bank’s core ratio by 55bp
New model simplifies loan-loss forecasts. Some say it’s too simple
Modelling approach devised by Commerzbank quant promises to ease computational burden, but may not suit complex portfolios
TLAC buffers up at all but three systemic US banks
BNY Mellon, Citi and Wells Fargo saw their headroom shrink from a year ago
Risks building at Goldman and Wells Fargo
RWA density edged higher at two dealers in the third quarter
TD Bank’s CRO on the importance of staying nimble
Downturn readiness exercises helped bank weather Covid credit shock
Measuring climate risk: what’s possible now
Governmental and societal pressure on banks and asset managers to help manage climate risk and disclose progress toward a sustainable future is high. Institutions are working to quantify the impact of climate change on their balance sheets and want to…
Nomura’s LCR hits new record
Glut of HQLA stock compounds lower cash outflows to push ratio to 273%
EU banks’ derivatives exposures jumped 36% in H1
Top banks added €235bn since December, amid switch to SA-CCR and a new leverage ratio template