Loss
StanChart racked up three VAR breaches in H1
Market volatility triggers VAR model review at the UK bank
Fleeting volatility vexes trend followers
Jumpy markets give quant firms the jitters as tried-and-tested strategies struggle in 2023
Sizing cyber: banks split on who owns and measures hack threats
G-Sibs split on risk modelling and management for IT disruption and infosec
Op Risk Benchmarking: Inside the G-Sibs
New initiative scrutinises op risk measurement and management practices at the world’s largest banks
US banks’ stress-test projections stray further from Fed’s in 2023
Average gap between Fed- and bank-estimated depletions more than double from previous two DFASTs
DFAST mortgage loss rate doubles 2022 figure
At $6.9bn, JP Morgan would bear brunt of losses, according to Fed projections
Five banks lowballed loan losses in latest DFAST
Banks project $23bn smaller hit to loan portfolios, with Wells Fargo and Citi the most off-target
Citi’s stress-test estimates out of sync with Fed’s
Bank lowballed capital hit in DFAST 2023 more than any other US systemic lender
Unrealised losses down but not out in latest DFAST
Bank of America would emerge from Fed’s scenario with $22 billion net AOCI gain
Bank of the West brings C$730m in loan provisions to BMO
Acquired book comes with 2.5x the quarterly charges booked by BMO standalone
US arms of Credit Suisse, SMBC stumble on VAR
Breaches of trading forecasts in Q1 result in higher value-at-risk multipliers for the duo
Western Alliance, PacWest put $9.8bn of loans up for sale
Embattled banks to dispose of 13% and 10% of respective loan books as strategic options talks continue
Synchrony and Discover lead US banks on rising net charge-offs
Executives expect trend to continue as credit normalisation proceeds apace
First Republic taps Fed facilities in effort to plug funding hole
Discount window and BTFP provide temporary relief as deposits slump $72bn in Q1
For 11 US regionals, capital adequacy hinges on AOCI waiver
A repeal of the 2019 provision would hit KeyCorp and Charles Schwab the most
At US banks, less than 50% of liquid assets classified as AFS
Goldman Sachs reported smallest proportion relative to HQLAs across US banks subject to LCR
BMO, TD and US Bancorp hit by out-of-the-money goodwill hedges
Derivatives meant to offset dilution of capital in acquisitions turned loss-making as yields temporarily slumped
ING’s op RWAs climb 7% on AMA update
Second quarterly rise in a row erases most of the reduction in the first half of 2022
Capital One’s loan charge-offs surge 54% in Q4
Amount of credit cards and consumer loans getting written off approaches pre-pandemic levels
BofA’s DVA losses inflated to $193m in Q4
Latest hit is largest since 2020, but still leaves positive result for 2022
IRB risk-weights highest at smallest EU banks – ECB
Lenders with less than €30 billion in assets consistently report lower risk densities than bigger banks across all modelled portfolios
FSB: third of climate stress tests not tackling physical risk
Six jurisdictions conducted exercises only for transition risk
Rifts widen across EU banks’ trading results
Largest fair-value hits from HFT assets moved further from median in H1
Ice Europe made $7.8bn VM call in Q3
Highest cash call on record triggered by higher commodity prices as Europe energy crisis persists