Liquidity
Integrating ECL onto a stress-testing platform: portfolio composition
How to grow a portfolio that is internally consistent with a stress scenario
First Republic taps Fed facilities in effort to plug funding hole
Discount window and BTFP provide temporary relief as deposits slump $72bn in Q1
Why tougher liquidity rules may not reduce the risk of bank runs
EU regulator and industry experts say LCR reform is the wrong response to Credit Suisse and SVB
Equity traders ticked off by SEC price increment plan
BlackRock and Citadel Securities push back on minimum price increments for OTC equities trades
As PNC bleeds non-interest deposits, US Bancorp picks up more
Divergence in savings mix follows March’s deposit flight
Schwab turns to costly FHLB advances as deposits drop
Bank draws $45.6 billion in facilities carrying four times the interest rate paid on deposits
Token effort is no blockchain boon for illiquid assets
Cash-like tokenised instruments find takers; initiatives based on less liquid assets struggle to take off
Lending via Fed’s BTFP overtakes discount window
Emergency facility extended $79bn last week, $10bn more than central bank’s traditional credit lending tool
First Republic burned through short-term investments in 2022
Cash and securities maturing within a year went from over- to undermatching short-term funding liabilities
The Catch-22 of US banks’ liquidity buffers
US banks are using held-to-maturity bonds to underpin liquidity adequacy, grating against accounting guidance. What happens if they’re forced to sell?
Why US bank regulation needs a system upgrade
SVB collapse shows supervisory framework is not fit for a changing industry and new systemic risks
Leaders’ panel: risk culture 2.0: redefining attitudes and behaviours in an era of change
Amid an increasingly complex risk landscape, regulators’ expectations around culture and conduct have become more stringent.
US banks vulnerable to losses if HTM securities need to be sold
Overall mark-to-market value $300bn lower than amortised cost across 30 banks
Liquidity risk learnings in the banking industry
Sidhartha Dash, chief researcher at Chartis Research (part of Risk.net's digital network), talks to Steve Pemberton, chief executive of Coherent Europe, about the dynamics and challenges surrounding liquidity risk in the banking industry
Ice Clear Credit worst-case liquidity scenario worsens by half
Estimated largest payment obligation at highest ever level in euros in Q4 2022
Deutsche Bank health check comes back clean
From capitalisation to derivatives, Germany’s top bank displays as robust a prudential profile as its peers
SVB opens floodgates on liquidity buffers debate
European regulator says HQLAs should be booked at fair value, but not everyone agrees
ESG strategies special report
This Risk.net special report sponsored by SAS features a series of articles that reflect on the latest initiatives for consistent standardised global frameworks for measuring ESG, consider the methodologies investors are using to make measurable progress…
Podcast: Barzykin and Guéant on FX market-making
Industry quant teams up with academics to build better risk tools for FX markets
Integrating ECL onto a stress-testing platform: credit risk characteristics
How credit loss in the ECL process can leverage changes in the credit risk profile of a portfolio during a stress scenario
Before collapse, Credit Suisse projected lowest cash outflows since 2018
Customers were expected to withdraw just $91bn in a 30-day stress period despite heavy outflows going into 2023
Credit Suisse’s funding disclosures raise questions
The bank reported $141 billion of “other exposures” in NSFR at the end of 2022
Integrating ECL onto a stress-testing platform: scenarios
Strategies for producing stress-testing ECL values that comply with IFRS 9, as well as CECL standards
First Republic had just $11bn eligible for Fed’s new facility
The bank held nearly $20bn of municipal bonds, representing over 60% of its securities portfolio