Search Results for “probability of default” – Page 6 – Digital Finance Analytics (DFA) Blog

Affluent suburbs feel heat from rising property costs

The Australian Financial Review featured the Digital Finance Analytics probability of default modelling today. We discussed our analysis on the blog recently. Property buyers in some of the nation’s swankiest suburbs are among those under most stress keeping up mortgage repayments, according to an analysis by postcode of income and debt levels. The young affluent in plush … Continue reading “Affluent suburbs feel heat from rising property costs”

Delayed Completion of Basel 3 Reform Is Credit Negative for Banks

According to Moody’s the 3rd January announcement from the Basel Committee on Banking Supervision (BCBS) that the final decision on the completion of the Basel 3 reform (also referred to as Basel 4) has been postponed, is credit negative for Banks. The delay could also dent investors’ confidence in banks’ capital ratios and result in … Continue reading “Delayed Completion of Basel 3 Reform Is Credit Negative for Banks”

EU Covered Bond Liquidity Buffer Could Be Rating Positive

Fitch Ratings says the introduction of liquidity buffers as recommended by the European Banking Authority (EBA) could in some cases increase the difference between the Issuer Default Rating (IDR) and covered bond rating determined by Fitch. The potential for rating upgrades would apply to legislative covered bonds secured by standard assets such as mortgages and … Continue reading “EU Covered Bond Liquidity Buffer Could Be Rating Positive”

Mortgage Stress Covers 18.5% Of Book Value

Containing our latest series on mortgage stress and probability of default, we look further at the distribution of mortgage stress and potential defaults, using data from our household surveys, which includes results up to the middle of December 2016. Building on the data we discussed yesterday, it is worth remembering that the bulk of mortgages … Continue reading “Mortgage Stress Covers 18.5% Of Book Value”

Which Loans Are Most At Risk?

Following yesterdays post on our latest Probability of Default Modelling, we received a number of requests for more detailed information, and especially where the risks of default are highest within the portfolio. So today we provide some further analysis, cutting the probability of default metrics by some additional dimensions. We make the point that granular … Continue reading “Which Loans Are Most At Risk?”

RBA On Inner City Apartment Exposures

The latest RBA Financial Stability Review includes coverage on the Banks’ Exposures to Inner-city Apartment Markets. They say banks are most exposed to inner-city housing markets through their mortgage lending rather than via their development lending. Sydney and Melbourne have the largest exposures. That said, they downplay the risks, thanks to the run-up in prices … Continue reading “RBA On Inner City Apartment Exposures”

Norway Tightens Mortgage Underwriting Standards

Moody’s says Norway’s Proposed Tighter Mortgage Underwriting Standards Are Credit Positive for Banks and Covered Bonds. On 8 September, Norway’s Financial Supervisory Authority (FSA) published a proposal for tighter mortgage underwriting limits. The proposed regulation, made to the Ministry of Finance, includes a limit of 5x loan value to the borrower’s gross income; requiring loans … Continue reading “Norway Tightens Mortgage Underwriting Standards”

Bank of England Tightens IRB Mortgage Models

The UK Prudential Regulation Authority (PRA) proposes to set out a revised approach to IRB risk weights for residential mortgage portfolios and guidance as to how firms model probability of default (PD) and loss given default (LGD) for these exposures. The effect will be in some cases to lift the amount of capital held against … Continue reading “Bank of England Tightens IRB Mortgage Models”

Less Model Reliance Should Reduce Bank Ratio Variation – Fitch

The Basel Committee on Banking Supervision has proposed that banks should stop using models to calculate capital for some hard-to-model portfolios and face significant constraints on model usage for others. If adopted, this should reduce variation in capital adequacy ratios across banks, says Fitch Ratings. But this increases the need for the Committee to develop … Continue reading “Less Model Reliance Should Reduce Bank Ratio Variation – Fitch”