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The AOCI elephant in the DFAST room

After March’s banking crisis, Fed stress tests should adopt harsher and wider ranging rate scenarios

Michael barrBank policy instituteSilicon valley bankFrank actFederal reserveNited states usDodd frank actStress testingVailable for sale afsArk to market valuationFair value2023 banking crisisCapital adequacyCapital requirementsOmmon equity tier 1 cet1 capitalCcumulated other comprehensive income aoci

BofA cut $89 billion of AFS securities in H1

Pivot away from fair-value bond investments most sweeping among large US banks

United statesAlastair borthwickFirst republic bankJp morganFirst republicRisk quantumBank of americaNited states usCcumulated other comprehensive income aociVailable for sale afsEld to maturity htmDebt securitiesS treasuriesYield curveArk to market valuationFair value

Five US banks would breach CET1 buffers on AFS loss reinclusion

Fed’s vice-chair proposal to scrap AOCI waiver would cripple KeyCorp the most

Michael barrThird bankFederal reserveFifth third bankCommon equity tierAlly financialPnc bankCharles schwabM ampt bankHuntington bancsharesFifth third bankFirst citizens bankUs bancorpCitizens financial groupBank of montreal bmoAlly financial

BNP Paribas, SocGen brace for more hits from TLTRO hedge unwinds

Duo expect combined €600m in losses after already booking €500m in first quarter

Societe generaleEuropean central bankBnp paribasBnp paribasNg groupAbn amroEuropean central bank ecbCrédit agricoleInterest rate riskNterest rate swapsInterest ratesMonetary policyArk to market valuationIsk quantum

After SVB downfall, EBA stress test seeks out unrealised losses

European regulator asks for data on the fair value and sensitivity of bonds and their hedges

European banking authorityEuropean unionEuropean banking authority ebaSilicon valley bankFair valueFair value accountingHedge accountingStress testingBalance sheetProfit amp lossp amplInterest rate riskAsset and liability management almEld to maturity htmCcumulated other comprehensive income aociArk to market valuationCapital ratio

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