Risk Quantum
Big EU banks’ Level 3 assets up 25% in 2018
Hard-to-value assets rise €35 billion year-on-year
US G-Sibs’ TLAC buffers vary
Morgan Stanley and Goldman Sachs have eligible TLAC equal to 50.8% and 44.7% of RWAs, respectively
Citi’s swaps clearing unit boosts client margin by $2bn
The largest FCM accounts for 27.1% of all required client margin
To be resolved: inside banks’ ‘living wills’
Non-bank units and service providers make up large share of groups’ critical functions
Commerz pays €277 million in bank levies in H1
Payment to European Single Resolution Fund up €17 million year-on-year
Goldman’s op RWAs fall 8% in Q2
Removal of op risk events from AMA model dataset reduced capital requirement
‘Regulatory headwinds’ add €13bn to UniCredit’s RWAs
Frontloading of credit risk model guidelines saps CET1 ratio by 40bp
Sliding rates dent Legal & General’s capital ratio
Solvency capital requirement rises to £8.2 billion from £7.9 billion over first half of 2019
ABN Amro cuts op RWAs by €1bn
Model updates lower AMA-calculated portion of op risk capital
EU banks relax credit terms for OTC trades – ECB
Price and non-price trade conditions likely to ease for most firms in Q3
Barclays seeks op risk capital relief
Bank claims that lifting of capital floor would raise CET1 ratio roughly 60 basis points
JP Morgan model updates shave $6.8bn off market RWAs in Q2
Year-on-year, model updates take net $21.1 billion off its RWA total