Banks
Morgan Stanley curbs SA-CCR impact on core ratio
Impact of early implementation far below original estimates thanks to mitigatory action
Bank of America’s VAR drops 19% in Q4
Average one-day trading VAR falls to lowest point since Q1 2020
SA-CCR switch pushes Goldman below Collins floor
Early adoption at the end of 2021 adds $15 billion of RWAs
Wells Fargo RWAs drift apart
Standardised RWAs have increased for three consecutive quarters, putting pressure on the bank’s CET1 capital ratio
Citi bolstered CET1 ratio on eve of SA-CCR switch
Standardised RWAs dropped 5% in Q4, boosting the bank’s core ratio by 55bp
SMFG reports highest power sector emissions intensity
Across all systemic banks, only eight dealers disclose their GHG emissions for this field
SA-CCR halts Citi’s buybacks plan
Bank will pause stock buybacks until new year to mitigate new methodology impact and create extra capital headroom
TLAC buffers up at all but three systemic US banks
BNY Mellon, Citi and Wells Fargo saw their headroom shrink from a year ago
Most G-Sibs fail to disclose financed emissions
None of the world’s top 30 banks disclose climate impact of their whole portfolio
Deutsche’s market RWAs hit 5-year low on VAR multiplier cut
Regulatory audit greenlit 0.5x cut in multiplier following bank’s overhaul of VAR approach
Hedge fund stake exit helps Credit Suisse cut VAR
Market risk-weighted assets at the AM unit drop almost 95% following the move
ABN Amro’s market risk drops as VAR falls 53%
Total market RWAs down 4% quarter on quarter
NAB’s market RWAs down 25%
Quarterly RWA reduction partially offset by higher interest rate risk in the banking book
Commerzbank’s op RWAs rise €1.2bn on SA switch
Transition to new framework under Basel II pushes op risk to two-year high
EU software capital reversal to hit Lloyds, Barclays the most
Top UK banks boost CET1 ratios in Q3 as the PRA confirms capital benefit will end on January 1
PRA sets StanChart’s structural FX risk under Pillar 1 requirement
Market RWAs expected to rise $3 billion–4 billion next quarter as a result
Credit Suisse set for op RWA hike as litigation charges pile on
Sfr1bn increase expected to accrue over the next six months
Internal risk floors add $7.1bn to Westpac’s retail RWAs
Bank braces for tighter capital rules and roll-off of Covid measures
Nomura’s LCR hits new record
Glut of HQLA stock compounds lower cash outflows to push ratio to 273%
Nomura nets ¥3.8 billion from CVA and DVA gains
Windfall offsets previous quarter’s loss more than three times over
VAR model update cuts NatWest’s market RWAs by 26%
Market RWAs fell from £10.9 billion to £8 billion in Q3 following regulatory approval for a VAR update linked to Libor cessation
State Street shrinks gap in the custody assets race
Boston-based bank reports largest quarterly increase among top US custodians
Santander’s VAR surges 17% in Q3
Macroeconomic jitters push credit spread and interest rate risk up, but bank’s traders net income windfall
Finma hits UBS with $7bn add-ons
Bank’s prime brokerage unit and VAR model targeted by the Swiss regulator