Banking book
EU banks fear green asset ratios paint an unfair picture
Industry lobbyist clashes with lawmaker over usefulness of new sustainability disclosure
Filling the gaps in Basel’s interest rate risk measures
Reverse stress-testing or VAR may work better than existing outlier tests, but are hard to manage
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
Asset-liability management: Special report 2023
There is nothing new about the dynamics behind the ALM banking crisis of earlier this year: maturity transformation, liquidity risk and interest rate risk are at the heart of the traditional banking business model. But these old threats have been given…
Regulators’ remorse: SVB and the case for IRRBB capital charges
Basel Committee chair among those who say Pillar 1 capital requirement could have helped control SVB risks
Europe’s new IRRBB test: the riddle with no answer
A proposed compromise on net interest income test is not scientific, but exact calibration may be impossible
Banks dispute EBA’s new threshold for IRRBB test
Banks say new proposal for identifying outliers on net interest income is still too severe
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
Like SVB, five other US lenders saw negative NII growth in 2022
Ally, Customers, First Foundation, Morgan Stanley and PacWest were pressured by rising rates
Ahead of collapse, SVB’s interest expense climbed 1,700%
Lending income failed to keep pace with higher deposit costs as Fed reshaped rates environment
Why risk managers don’t trust the EU’s new IRRBB test
And why there may never be a perfect way of assessing the risks of changes in net interest income
ECB promises ‘proportionate’ approach to interest rate risk
But banks still fear regulatory and investor response if many are classed as outliers
More EU banks will fail new IRRBB test as rates push upwards
Half of all EU banks could cross outlier threshold for new test of net interest income
RBI’s VAR gauges hit new record
Banking and trading book risk rose in Q3 amid shifts in risk factor mix
As interest rates surge, bankers fret over last year’s models
IRRBB modellers trying to predict client behaviour have little relevant data to fall back on
NatWest cuts banking book market risk by 48%
Lower credit spread risk from bond disposals partly offset by interest rate risk on hedges
US banks’ Brexit gambit hit by EU cross-border ban
US firms trying to Brexit-proof their European operations could now be hit by CRD VI
Fair-value losses derail payout plans at State Street, BNY
Hit to capital adequacy from available-for-sale book forces rethinks on rate sensitivity
SocGen, ING most exposed to rate shocks among EU banks
Banks’ economic value of equity would shrink under higher rates scenarios
FRTB capital quirk for sovereign bonds bewilders banks
EU treatment of govvies under internal models is worse than standardised approaches