Capital requirements
NatWest’s market RWAs up 8% on higher VAR multiplier
Bank incurred regulatory backtesting exceptions amid heightened market volatility
Market volatility weighs on UBS
Higher VAR and SVAR charges lifted market RWAs by $2.9bn in Q1
US trading blunder costs Barclays £2.8bn in credit RWAs
The latest hit follows a £540 million provision to cover the over-issuance of structured notes
US banks anticipate delay to Basel III implementation
New Fed supervision head expected to align schedule with EU and Japan, but time is tight
Nordea’s CVA charge jumps 30% in Q1
Highest reading for the Finnish bank since the start of 2019
Basel rules mean banks can’t compete with Coinbase – Goldman
Proposed 1,250% risk weight for crypto holdings undercuts banks’ push into burgeoning market
China’s top banks slashed market RWAs by $15bn in 2021
Aggregate market RWAs at top five lenders down 17% in year marred by domestic and overseas volatility
Standardised approach extends reach over US banks’ RWAs
Gap between standardised and advanced RWAs at its widest ever for BofA, BNY Mellon, Morgan Stanley and Wells Fargo
Isda broadens FRTB carbon trading study to win over sceptics
New study shows risk weights too high for US markets, but data from 2008 still missing
HSBC, StanChart face capital hit on cleared renminbi trades
Lack of UK recognition for Shanghai Clearing House could prompt banks to reduce exposures
EU banks decry threat of capital hit to UK CCP exposures
EBA says supervisors could apply charges to “excessive exposures” of euro derivatives at all non-EU clearing houses
Goldman, JP and BofA face higher G-Sib surcharges
Banks could see an extra 50 basis points of capital add-on without remedial action
EU banks racked up VAR breaches in 2021
Crédit Agricole and ING Bank hit with higher multipliers after exception count rises
UniCredit cuts market RWAs by 9%
Removal of capital requirements for FX risk sheds standardised RWAs by 68% in three months
US unit of Barclays close to a VAR breach in Q4
Largest loss-to-VAR ratio at the firm was highest among 10 US intermediate holding companies
What do regulators need from governments on climate change?
To reduce the number of climate risk scenarios, lawmakers need to start being more specific
HSBC’s SA market RWAs double on new structural FX rules
Move from Pillar 2 to Pillar 1 for unhedged FX risk adds $6.8bn of RWAs
Apollo, KKR, Ares and the Bermudan CLO arbitrage
‘Capital efficiency’ may explain a 1,100% surge in life assets reinsured on the Atlantic island
Smaller EU nations stare down giants in capital floor standoff
EU member states clash over severity of internally modelled output floors for cross-border bank groups
Citi leads US banks in cutting market risk
Aggregate market RWAs across systemic banks down $26 billion, despite Bank of America bucking the trend
EU lawmakers’ demand for local capital floors alarms banks
Multiple output floors applied to each entity raises fears of capital increase for large groups
Top US banks record 14 VAR breaches
JPM, Morgan Stanley, BofA, Citi, Goldman and State Street wrong-footed in volatile end to 2021
Severe but plausible – or not?
In this paper, the authors apply a measure of statistical unusualness, called the Mahalanobis distance, to assess the plausibility of the scenarios used in the Federal Reserve's stress tests.
Innovation in technology: International Swaps and Derivatives Association
Risk Awards 2022: Isda takes a fintech turn with quant analysis tool Perun, leveraging data standards legacy