Mortgages
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
Stress test projected loan losses fall $18bn
Credit card loss rates account for 36.3% of total loan losses under severely adverse scenario
Now under aegis of ECB, Nordea RWAs spike 29%
Imposition of Swedish mortgage floor adds €10.6 billion of risk-weighted assets alone
Metro Bank loan blunder perplexes industry
Bankers surprised risk-weight errors went unnoticed, warn they could harm bank’s IRB aspirations
Loan losses bedevil Lloyds in EU stress tests
UK bank saw largest CET1 decline due to asset impairment of EU-wide sample
Model changes threaten 30% rise in Nordea's RWAs
Imposition of new risk weight floors will harm bank's capital ratio
Ibor transition valuation and risk management considerations
The impending move from interbank offered rates to alternate reference rates will require important changes to many valuation and risk management processes and infrastructure. EY Financial Services’ Shankar Mukherjee, Michael Sheptin and John Boyle…
Procyclicality of capital and portfolio segmentation in the advanced internal ratings-based framework: an application to mortgage portfolios
This paper investigates the procyclicality of capital in the advanced internal ratings based (A-IRB) Basel approach for retail portfolios, and identifies the fundamental assumptions required for stable A-IRB risk weights over the economic cycle.
Mortgage add-on elevates ING credit risk
Credit RWAs up 4.2% on loan growth and Belgian regulator-set multiplier
Consumer risk appetite, the credit cycle and the housing bubble
In this paper, we explore the role of consumer risk appetite in the initiation of credit cycles and as an early trigger of the US mortgage crisis.
UniCredit sheds €10.5 billion in toxic loans
Net write-downs on all loans fell to €496 million in the quarter, down from €835 million in December, an improvement of 40%, as a result of improved asset quality
NAB model change boosts mortgage RWAs
Residential mortgage RWAs leap A$10.6 billion
RBS model change loads on credit RWAs
RBS's total RWAs increase for the first time since 2015
Libor death threatens to blow hole in hedges
Isda AGM: BlackRock, Fed stress need for fallbacks to marry up across rates universe
UBS warns of 6% increase in credit RWAs in 2018
The bank's credit RWAs continue upward trend
BAML approaches Collins floor
The gap between RWAs calculated under the two approaches continues to shrink
Power to the people: US bourse bets on retail rush into swaps
Eris Exchange hopes retail access to its swap futures will usher in new era of swaps for all