Capital adequacy
EU banks set for 6.7% capital hike on output floor tweaks removal
Unwind of EU-specific transitional arrangements could suddenly inflate Tier 1 risk-based charges, EBA analysis suggests
Goldman most threatened by Fed’s rejig of modelled capital charges
End of credit risk modelling and scaling up of SCB’s role could tip six US banks below minimum requirements
AOCI reinclusion would push 10 US banks below capital requirements
KeyCorp, Truist and UBS Americas the worst affected by removal of paper-loss waiver
The AOCI elephant in the DFAST room
After March’s banking crisis, Fed stress tests should adopt harsher and wider ranging rate scenarios
US banks’ stress-test projections stray further from Fed’s in 2023
Average gap between Fed- and bank-estimated depletions more than double from previous two DFASTs
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
In DFAST, banks clear 4.5% minimum but breach all-in buffers
Forty-three percent of participants would have seen capital plans rejected under pre-2020 CCAR regime, up from 30% last year
US Bancorp, Citizens head for tighter ‘tailored’ standards
Banks on track for stricter capital and liquidity rules, while tiered US standards come under scrutiny
Goldman on course for 3.5% G-Sib surcharge
Bank faces 50bp of extra capital add-on from 2025 in the absence of risk score reduction by year-end
Fed’s discount window comes in from the cold
BTFP offers zero haircuts on collateral, but long-term usage is not recommended
For 11 US regionals, capital adequacy hinges on AOCI waiver
A repeal of the 2019 provision would hit KeyCorp and Charles Schwab the most
Santander, Credit Suisse hit hardest by AOCI in Europe
Unrealised losses, mostly from exchange rate swings, shave huge chunks off CET1 capital
Deutsche Bank health check comes back clean
From capitalisation to derivatives, Germany’s top bank displays as robust a prudential profile as its peers
BMO, TD and US Bancorp hit by out-of-the-money goodwill hedges
Derivatives meant to offset dilution of capital in acquisitions turned loss-making as yields temporarily slumped
Rabobank closes gap to Basel III after RWA top-ups
Mortgage floor, other model corrections bring forward reforms’ forecast impact
CBA’s IRRBB charges finally ease
After over a year of surging charges for interest rate risk, last quarter of 2022 brought reprieve
Swedbank takes $3.47bn RWA hit from credit model overhaul
Rejig of IRB models is expected to reduce the bank’s Pillar 2 requirement
UK life insurers pass BoE stress test with 64% hit to surplus capital
Sector deemed resilient, but plausibility of some management actions questioned
BNY Mellon, Goldman join Citi in escaping Collins floor
Outpaced drop in standardised RWAs pushes banks above threshold – but custodian only bank to reap benefits
ECB ratchets up Pillar 2 charges across top lenders
UniCredit, BNP Paribas, SEB and Swedbank worst-hit in latest SREP round
BMO suffers C$10bn capital floor bite
Charges to constraint-modelled RWAs rose sixfold during Q3
Japan dealers’ derivatives exposures keep inflating
MUFG, SMFG and SMTH added almost ¥6 trillion to their balance sheets in the three months to end-September
What happens when a bank drops off the systemic risk radar?
Russia’s Sberbank skipped this year’s G-Sib assessment. But just because a bank is invisible doesn’t mean it no longer poses a risk
European banks’ CVA RWAs up €2.2bn in Q3
Banco Sabadell, Intesa Sanpaolo and ING Bank reported largest quarterly increases