Balance sheet
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
RMB house of the year: Standard Chartered
Asia Risk Awards 2021
BNP Paribas leads EU banks on repo exposures
French bank increased securities financing transactions by €66bn in the first half of the year, the most among the bloc’s top lenders
Off-balance-sheet exposures at US systemic banks jump $42bn
JP Morgan, Goldman Sachs and Citi drove the overall increase in the second quarter
Majority of US G-Sibs’ assets attract sub-100% risk-weighting
Risk Quantum analysis shows top US banks retrenched to lower-risk assets through the pandemic
Nomura’s LCR rebounds after early-year dip
Cooling cash outflows at the ratio's denominator compounded HQLAs increase
Capital One’s Tier 1 leverage ratio climbs 70bp in Q2
Higher AT1 reserves helped boost the leverage adequacy to 12.4%
The changing shape of bank credit risk post-Covid‑19
As banks and fellow market participants manage a return to some sense of normality following the Covid-19 pandemic, what are the likely long-term implications for data and credit risk management?
BofA grows securities book, but shuns US Treasuries
The bank adds $78.7bn in Q2, mostly in the held-to-maturity book
Seeking SCB relief, Goldman cuts equity investments
Plans for less capital-intensive balance sheet could shave 140bp off capital requirements
Covid-forborne EU loans sour faster as more exit moratoria
Exposures classified as stage two rose 37% in the first three months of 2021
JP Morgan, BofA face higher G-Sib surcharges
Both banks could face an extra 50 basis points of capital add-on without remedial action
Wells Fargo’s off-balance-sheet exposures up $54bn
Total OBS exposures across the US largest systemically important institutions hit $3.04trn in Q1
Deutsche leads eurozone banks on exempted exposures
German bank increased central bank reserves currently excluded from leverage ratio the most in Q1