Mortgages
Nationwide’s IRB charges up 89% on PRA’s parameter curbs
The building society’s strict focus on mortgages meant impact was all-sweeping
Can we take the “stress” out of stress testing? Applications of generalized structural equation modeling to consumer finance
This paper provides a practical introduction to the GSEM statistical framework in risk management, and it illustrates the game-changing potential of this methodology with two empirical applications.
Polish mortgage claims push RBI’s op risk up 43%
Following the latest increase, op risk makes up 11% of the bank’s total RWAs
Model clampdown costs NatWest 157bp of CET1 ratio
Measures to remedy internal model deficiencies added £14.8 billion RWAs overnight
Rabobank sees 5–10% RWA inflation from Basel III
Dutch mortgage floor and other model curbs set to accelerate reforms’ impact
RWA increase puts ABN’s core ratio closer to Basel III estimate
Higher RWAs shrink gap between actual and pro forma ratios
EU regulators warn Basel III deviations could last forever
CRR III allows European Commission to extend transitional rules for SA-CCR
Internal risk floors add $7.1bn to Westpac’s retail RWAs
Bank braces for tighter capital rules and roll-off of Covid measures
HSBC faces capital headwinds as regulatory changes kick in
Bank expects its CET1 capital ratio to fall 100–120bp through 2022, with regulation taking the heaviest toll
BoE floor could double capital charges on HSBC’s UK home loans
New rules could forcibly push up residential mortgage portfolio’s 5% risk density
The unintended consequences of ring-fencing
Rules aimed at protecting UK depositors may be putting too much froth into the credit market
Safety first: UK set to keep ring-fencing but may ease rules
There is also pressure to make changes to tackle banks’ overexposure to retail debt due to the rules
Loan losses: Banks’ estimates out of sync with Fed’s
Wells Fargo worst performer in latest DFAST exercise
At Lloyds, more loans miss repayments as they exit moratoria
Majority of delinquent loans are mortgages
NatWest cut markets unit RWAs by almost one-third in 2020
NatWest Markets now makes up 16% of group RWAs
NAB’s bad loans ratio climbs as Covid moratoria expire
Australian lender sees percentage of past due and impaired loans hit 1.18%
Parallel lines: EU begins fight over Basel output floor
Leaked plan to exclude buffers from floor would please EU banks, could anger Basel and US
US banks cede to SOFR lending as credit hopes fade
Critics of risk-free rate say dynamic spread will be too late for transition
New Tradeweb/IBA benchmark tipped as ‘competitor’ to SOFR
Forward-looking risk-free rate aimed at US mortgage market could have broader applications
Discover, Capital One loans ravaged by Fed stress test
Credit card losses especially pronounced among regional US lenders
SOFR phase-in for cash products sparks ‘mismatch’ fears
Official proposal for one-year transition period could lead to basis risk, participants say
Bleak macro view pushes Lloyds’ ECL over £5bn
Anticipated loan losses for commercial loans up 39% on end-2019
RFRs hit Main Street as Swiss banks launch Saron mortgages
Negative rates ease path for compounded Saron home loans without lags or lookbacks
Lawyers pick holes in Libor statutory fix
US ‘tough legacy’ contracts open to legal challenge even if proposed New York law is passed