Mortgages
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
CECL models may leave banks ill-prepared for next downturn
Mortgage backtest study shows some loan-loss models miss the mark
Top 10 operational risk losses of 2019
Fraud, embezzlement, tax evasion, subprime (still) and rogue trading – and Citi crops up twice. Data by ORX News
A new leaf: why a hedge fund manager bought a bank
Andy Redleaf founded a $6 billion hedge fund. Now he runs a small community bank
Chafing under capital rules, JP Morgan sells home loans
Standardised risk weights for residential mortgages far exceed modelled equivalents
Q&A: CFTC’s Behnam on tackling market risk in climate change
Commissioner wants to see new derivatives products to help mitigate climate threat
In hunt for yield, US insurers turn to illiquid assets
Mortgage exposures grow 72% in eight years since 2010
US Bancorp slashes bad assets 5% in Q2
Total amount of toxic assets stood at $953 million at end-June