Capital requirements
Op risk update lops £72m off NatWest’s capital requirement
RWAs for operational risk fell 4% in Q1
Isda poised to issue India netting opinion
Dealers say ability to apply close-out netting for capital calculations will boost derivatives market
Derivatives footprint of top EU banks shrinks
Deutsche Bank reduced these exposures by 12% alone
Archegos debacle prompts Credit Suisse to slash prime services
Executives pledged $35 billion of cuts to investment bank leverage exposure
Prudential filters took a smaller bite out of bank capital in 2020
Additional valuation adjustments deducted €1.3 billion less from CET1 at top banks
Share of small EU bank assets under standardised approach grew in 2020
At small banks, SA covered 88% of credit exposures
Fed economist sounds alert over op risk capital arbitrage
Insurance payouts could allow banks to pare back capital without equivalent reduction in risk, says paper
Securitisations lowered Intesa’s credit RWAs in Q4
Synthetic securitisation shaved €2.2 billion off of credit RWAs alone
Equity growth slowed at US banks in 2020
CET1 ratios of biggest US banks were largely flat on 2019
Hong Kong banks await guidance on IRRBB for risk-free rates
HKMA will steer how historical volatility data can be used for valuing new options contracts
SocGen’s STS securitisations hit €9 billion in 2020
‘Simple, transparent and standardised’ exposures had half the capital charges of the rest of the book
Top US banks to lose out from end of SLR relief
Average G-Sib will see SLR decline 90 basis points using Q4 2020 figures
SA-CCR more a burden to Credit Suisse than UBS in 2020
At Credit Suisse, SA-CCR RWAs increased 134%
Fourteen EU banks face sanctions for poor market risk models
Twenty lenders lowballed capital requirements
Model change pumps up Deutsche’s VAR capital charge
Switch to historical simulation approach increases requirement by 71%
Put options power up variable annuities
Insurance quants increase risk-adjusted profits using novel hedging technique
IFRS 9 relief added £8bn to UK banks’ capital buffers in 2020
Lloyds’ CET1 ratio reaped a 120bp benefit
Optimisation firms prep for SA-CCR boom
Flush with new cash, vendors ready rebalancing services ahead of risk-sensitive leverage framework
Impact of hedging strategies on variable annuities
Put options may reduce the cost of hedging strategies for insurers
Regulatory arbitrage in the use of insurance in the new standardized approach for operational risk capital
Basel’s new standardized approach (SA) for operational risk capital may allow for regulatory arbitrage through the use of insurance. Under the SA, banks will likely have an incentive to insure recurring losses. Such insurance can meaningfully reduce…
Credit Suisse updates VAR disclosure to cover banking book
Non-trading positions accounted for 31% of market risk exposure in Q3
Korea lifers set to increase hedging as accounting shake-up looms
Bond forwards likely to be favoured instrument, but interest rate swaps market could develop
EU banks count capital benefits of new software treatment
Deutsche Bank reaps 43bp gross benefit
Synthetic risk transfer plumps SocGen’s capital buffer
Risk transfer and CET1 relief smooth out add-on for model risk at the French bank