Residential mortgages
Comerica, Popular and Ally most battered by agency RMBS markdowns
One-fifth of investment’s value eroded as of December 2024
Machine learning prediction of loss given default in government-sponsored enterprise residential mortgages
The authors apply machine learning techniques to Loss Given Default estimation, identifying key variables in LGD prediction and evaluating the performance of various models.
UBS Americas’ delinquent mortgages up sixfold post Credit Suisse merger
Share of delinquent exposures jumps to 1.2% of bank’s total real estate loan portfolio
Impaired loans surpass pandemic peaks at CIBC, Scotiabank
At five Canadian banks, troubled loans up 40% year-on-year
Rabobank closes gap to Basel III after RWA top-ups
Mortgage floor, other model corrections bring forward reforms’ forecast impact
Nordea marks down Danish mortgages by €29 million
House price declines mark ominous signal for other supercharged markets
Some euro banks modelled lower mortgage risk in H1
Italian and Belgian lenders reported steepest drops in risk density despite recessionary threat
Model clampdown costs NatWest 157bp of CET1 ratio
Measures to remedy internal model deficiencies added £14.8 billion RWAs overnight
Smaller EU nations stare down giants in capital floor standoff
EU member states clash over severity of internally modelled output floors for cross-border bank groups
EU lawmakers’ demand for local capital floors alarms banks
Multiple output floors applied to each entity raises fears of capital increase for large groups
RWA increase puts ABN’s core ratio closer to Basel III estimate
Higher RWAs shrink gap between actual and pro forma ratios
Internal risk floors add $7.1bn to Westpac’s retail RWAs
Bank braces for tighter capital rules and roll-off of Covid measures
A prudent loss given default estimation for mortgages. II
This paper introduces a prudent methodology to accurately estimates loss given default for mortgage portfolios and to stress test those portfolios effectively.
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
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