Capital ratio
DFAST 2024: IHCs outperform US banks despite steeper CET1 ratio decline
US subsidiaries of Deutsche Bank, UBS and RBC lead intermediate holding companies in biggest capital requirement drops
HSBC North America breached leverage ratio minimum in latest DFAST
Ratio of UK bank’s US subsidiary ended stress test 20 basis points below regulatory threshold
Eleven banks fall below buffer requirements in latest DFAST
Goldman Sachs worst performer among 31 participating banks, with 450bp gap between stressed CET1 ratio and all-in capital requirements
New real estate model adds €14bn to Rabobank RWAs
CET1 ratio down 1.2pp as capital stays flat
Norinchukin’s paper losses double to record high
Latest AOCI fluctuation knocks 29% off CET1 capital
ABN Amro takes €1.7bn RWA add-on from credit models rejig
Just over 40% of credit risk RWAs still calculated under the A-IRB approach, down from 90% two years ago
Loss of ruble volatility waiver costs UniCredit €2.2bn in RWAs
Lender forced to capitalise FX risk from Russian operations after ECB withdraws key exemption
KBC takes €8.2bn RWA add-on post ECB model review
Regulatory intervention and share buyback contribute to sink bank’s core ratio to lowest point since 2016
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
Adjusted for AOCI, ratios at five regional banks fall short
Impact of reinclusion on CET1 capital ratio would trip up Truist, Ally and others
State Street suffers largest loss from securities sale since 2010
$294 million hit drives net income down 45% to six-year low
JP Morgan, BofA say Basel III plan could wipe out capital cushion
Banks forecast $82 billion cumulative hike in capital requirements from Fed proposals
Five US banks add $7bn in unrealised losses in Q3
Deductions at JP Morgan and Wells Fargo surge by more than $2 billion each
PE funds exit boots Wells Fargo’s capital ratio
Two billion dollars of investment sales in Q3 added 14bp to CET1
AgBank’s regulatory VAR hits record high in first half
Chinese bank’s market risk up by over a third to highest level in a decade
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
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
Citi’s stress-test estimates out of sync with Fed’s
Bank lowballed capital hit in DFAST 2023 more than any other US systemic lender