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US banks IRRBB transparency: one step forward, two steps back

A year on from the 2023 crisis, more lenders monitor EVE sensitivity, but full Basel-like disclosures remain the exception

Silicon valley bankRisk quantumWells fargoGoldman sachsRegions bankPacwest bancorpBanc of californiaWestern alliance bankFederal reserveBasel committee on banking supervision bcbsNorth americaNited states usInterest rate riskConomic value of equity eveRisk sensitivityBasel iii

Basel s cherry-picking toughens IRRBB shock scenarios

European banks want higher outlier thresholds to offset higher confidence level in new standard

Basel committee on banking supervisionBasel committeeBanking supervisionBasel committee on banking supervision bcbsEuropean banking authority ebaAsset and liability management almBanking bookApital requirements directive crdConfidence intervalInterest rate derivativesNet interest incomeConomic value of equity eveBasel iii

Review of 2023: A hard road to a soft landing

Banks and regulators were caught in the crosswinds of the fight against inflation

United statesUnited kingdomChris slusherAndreas bohnMarco pistoiaStephen ryanAaron sarfattiAdrian dochertyScott cammarnDelphine reymondonBrett luddenDmytro mukhinMark cabanaHunter hayesPhil lloydIgnazio angeloni

Commerzbank s rate-shock loss sensitivity rises 33%

Bank’s liabilities modelled to reprice faster than assets in a 200bp parallel hike scenario

European central bank ecbInterest ratesInterest rate riskConomic value of equity eveAsset and liability management almIsk quantum

Filling the gaps in Basel s interest rate risk measures

Reverse stress-testing or VAR may work better than existing outlier tests, but are hard to manage

Silicon valley bankBasel committee on banking supervision bcbsFederal deposit insurance corporation fdicEuropean banking authority ebaFederal reserveFirst republic bankNited states usInterest rate riskPillar 2Net interest incomeBanking bookCapital ratioExpected shortfall esModel riskAlue at risk varStress testing

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