Regional banks
First Republic burned through short-term investments in 2022
Cash and securities maturing within a year went from over- to undermatching short-term funding liabilities
Did US hedge accounting rules contribute to SVB’s recklessness?
Hedging and directional risk-taking was a problem, but FASB regime may have complicated matters
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
First Citizens closer to tighter rules after SVB deal
With assets more than doubling to $219bn, acquisitive bank flirts with category III designation
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
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
Fed ‘tailoring’ led to larger, less capitalised regional US banks
Lenders freed from toughest requirements in 2018 grew balance sheets but saw capital ratios slip
New model simplifies loan-loss forecasts. Some say it’s too simple
Modelling approach devised by Commerzbank quant promises to ease computational burden, but may not suit complex portfolios
The Libor replacement stakes: runners and riders
Credit-sensitive rates Ameribor and BSBY nose ahead of Ice, Markit and AXI; regulators keep watchful eye
US unit of BBVA on the brink of a VAR breach in Q1
Largest loss-to-VAR ratio at the firm was highest among the 12 intermediate holding companies
PNC appoints new chief risk officer
Super-regional, soon to be US’s fifth-biggest bank, switches risk chief
SOFR credit debate is “hindrance” to corporate transition
Libor Telethon 2020: NACT chair calls for clear path towards SOFR adoption before 2023 switch-off
Bloomberg joins race for SOFR credit add-on
Benchmark provider building bolt-on adjustment from short-term bank lending data
First Ameribor bond bolsters SOFR alternative
Signature Bank sets sub debt milestone for aspiring Libor replacement; swaps expected to follow
Markit plans SOFR credit spread add-on using CDS data
Vendor taps vast pool of credit market data to create new benchmark “not dissimilar” to Libor
FCA dismisses Libor credit component concerns
UK regulator bemused by distress raised by US regional banks to Fed
Smaller Japan banks set to adopt CVA accounting
IFRS convergence levels playing field as regional banks start to price in credit risk
A helping hand – Addressing industry concerns
The Basel Committee on Banking Supervision’s final revisions to the FRTB guidelines aim to address industry concerns around complexity and capital implications. A forum of industry leaders discusses whether the changes have been effective and how banks…
US mid-sized banks may bulk up. (Is that safe?)
The crisis over a decade gone, the Fed’s ‘tailoring’ proposal will greatly relax rules on the mid-tier
FASB bins regional bank CECL proposal
Plan would have allowed smaller lenders to reduce capital impact of expected losses
Buoyant US economy, harsher CCAR for regionals
Strong correlation between US GDP variable and CET1 burn at mid-size domestic banks
Optimism fades to uncertainty on banks’ CECL proposal
As crunch FASB meeting approaches, most decline to speculate on outcome
Complying with regulatory initial margin and automating the collateral management process
Since the introduction of uncleared margin rules, collateral management has been thrust into the regulatory spotlight, becoming a priority for firms with over-the-counter derivatives portfolios
PNC’s risk chief on life as an in-betweener
Regulatory relief has bypassed the 'super-regionals', says CRO