Banks
Santander, Credit Suisse hit hardest by AOCI in Europe
Unrealised losses, mostly from exchange rate swings, shave huge chunks off CET1 capital
Why US bank regulation needs a system upgrade
SVB collapse shows supervisory framework is not fit for a changing industry and new systemic risks
US banks vulnerable to losses if HTM securities need to be sold
Overall mark-to-market value $300bn lower than amortised cost across 30 banks
Revealed: where banks are (literally) warehousing their swaps
As derivatives notional grows, dealers experiment with novel storage solutions
First Citizens closer to tighter rules after SVB deal
With assets more than doubling to $219bn, acquisitive bank flirts with category III designation
ING’s Russia loans sour five times faster than UniCredit’s
Risk density of Dutch bank’s Russia portfolio soars from 54% to 229% during 2022
Indonesia readies close-out netting after passing P2SK Law
Bankruptcy law changes remove close-out netting obstacles
HTM securities hit $2.5trn at US banks in 2022
BofA, First Foundation and Wells Fargo reported largest share of HTM to total securities behind SVB
Before collapse, Credit Suisse projected lowest cash outflows since 2018
Customers were expected to withdraw just $91bn in a 30-day stress period despite heavy outflows going into 2023
Credit Suisse’s funding disclosures raise questions
The bank reported $141 billion of “other exposures” in NSFR at the end of 2022
Funding, wealth transfer and financial stability in the post-Libor era
Adjusting RFR with a funding premium may aid economic growth and stability
At regional US banks, BTFP-eligible securities top $300bn
Assets classified as held-to-maturity made up less than 19% of aggregate securities portfolios in 2022
UBS takeover of Credit Suisse to trigger higher G-Sib surcharge
At 14.2%, UBS’s CET1 capital ratio is more than sufficient to absorb the deal
First Republic had just $11bn eligible for Fed’s new facility
The bank held nearly $20bn of municipal bonds, representing over 60% of its securities portfolio
US regional banks hold smaller proportion of high quality assets
Share of Level 1 assets at Capital One, Truist, US Bancorp lowest across US banks subject to LCR
At US banks, less than 50% of liquid assets classified as AFS
Goldman Sachs reported smallest proportion relative to HQLAs across US banks subject to LCR
Like SVB, five other US lenders saw negative NII growth in 2022
Ally, Customers, First Foundation, Morgan Stanley and PacWest were pressured by rising rates
Ahead of collapse, SVB’s interest expense climbed 1,700%
Lending income failed to keep pace with higher deposit costs as Fed reshaped rates environment
Small banks set for 2% capital reduction under Basel III
Lower leverage ratio requirements expected to offset Tier 1 capital increases for credit risk and output floor
Strict term SOFR trading rules ‘permanent’, says Fed’s Bowman
Official says restrictions on use of term SOFR swaps “should not be expected to change”
RBC’s settlement risk charges blow up 260%
C$3.5 billion RWA figure marks one of the heftiest capitalisation of held-up trades ever by a bank
BMO, TD and US Bancorp hit by out-of-the-money goodwill hedges
Derivatives meant to offset dilution of capital in acquisitions turned loss-making as yields temporarily slumped
VAR tail grew fatter at Bank of America in 2022
Gap between 95% and 99% confidence levels widens to 10-year record
SocGen’s VAR up 33% in Q4
Gap with French rival BNP Paribas shrinks to just €9 million, the least since mid-2020