Loss
US banks underestimate loan losses in Fed stress test
Systemic lenders predict 34% lower hit to their loan books in latest DFAST exercise
Nationwide’s IRB charges up 89% on PRA’s parameter curbs
The building society’s strict focus on mortgages meant impact was all-sweeping
Initial margin at Ice Europe up 15% over Q1
IM held against F&O positions hit all-time high, as number of margin breaches nudged higher
Pimco loses $400m on failed Russia CDS bets
Revised markdowns suggest bond giant has already crystallised losses on sold credit default swaps
Norinchukin’s capital dented by crashing bond prices
The bank lost three percentage points of CET1 ratio in Q1 as contribution from AOCI halved
The stETH slide and what it means for crypto liquidity
Q&A: Automated market-making may have contributed to depegging, says a crypto fund manager
Eurex’s fixed income and IRS units hit by almost 700 breaches
Peak breaches in Q1 were €706 million and €214 million in size, respectively
Morgan Stanley incurs two VAR breaches
The latest backtesting exceptions put the bank one step closer to triggering a capital requirement hike
Nickel price chaos triggered $2bn margin breach at LME
The CCP reported its largest breach ever in March, as commodities prices went wild
Standard risk measures low-balled Archegos exposures
When a potential blow-up doesn’t show up, what use are VAR, SA-CCR and stress tests?
JP Morgan leads US banks on surging VAR capital charges
Requirements connected to commodity positions jumped 426% in the first quarter
No soft landings in flight to safety from Russia
Impact of Ukraine invasion hit bank balance sheets hard; its effects look set to continue
Nomura switches to lower-confidence VAR model
Internal measure of potential market loss brings bank in line with the likes of JP Morgan and BofA
RBI’s market risk gauges go haywire on Ukraine war fallout
Portfolio reshuffling helps Austrian bank contain RWA impact
UniCredit takes 92bp core ratio hit as Russian risks bite
Italian lender books €1.2bn of provisions, €9.5bn of new RWAs
NatWest’s market RWAs up 8% on higher VAR multiplier
Bank incurred regulatory backtesting exceptions amid heightened market volatility
Fair-value losses shave 50bp off HSBC’s CET1 ratio
Further buybacks in the latter part of 2022 unlikely as core ratio falls close to bank’s own guidance
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’s VAR climbs to $98 million in Q1
Commodity and interest rate risk push average VAR to its highest reading since 2020
Stocks and bonds start to move in step, making quants jittery
Long-established inverse correlation between asset classes breaks down during first quarter
In roiling markets, fraud rises. Banks want to understand why
Disruption from Ukraine and Covid puts managers on alert for misconduct, as risk controls are stretched to the max
EU banks racked up VAR breaches in 2021
Crédit Agricole and ING Bank hit with higher multipliers after exception count rises
US unit of Barclays close to a VAR breach in Q4
Largest loss-to-VAR ratio at the firm was highest among 10 US intermediate holding companies
Barclays’ modelled RWAs jump 71%
SVAR pinned to Covid-19 panic drives latest quarterly increase