Capital requirements
JP Morgan braces for 4% G-Sib surcharge
Fifty-basis point increase to capital ratio looms
EU banks’ capital gauges show mixed recovery from Covid hit
Tier 1 leverage ratios fall for second quarter in a row
Dutch banks seek quantum edge for stress tests
ABN, ING and Rabobank working together; US quantum developer seeks patent for CCAR
Systemic banks’ leverage exposures gyrated over H1
Temporary relief measures held down growth of exposures at US, Swiss lenders
One-fifth of SocGen’s securitisations have STS label
French bank held €7 billion of simple, transparent, standardised securitisations as of end-June
Change to risk-weight floor amps EU banks’ securitisation RWAs
BNP Paribas’ banking book securitisation RWAs increased 32% on end-2019
JP Morgan shook up market risk stress tests in Q2
Bank switched stressed VAR historical periods 60 times
Regulatory compliance – A little proactivity goes a long way
Regulatory compliance has historically been viewed by the majority of capital markets participants as an unavoidable cost of doing business. Refinitiv explores why it may be time for firms to change their perspectives and approach various compliance…
The long-term effect of Covid-19 on market risk capital
Covid-19 has replaced the global financial crisis in some banks’ stressed VAR calculations
BofA becomes first US bank to adopt SA-CCR
Move cut leverage exposure by $66bn, but other banks wary of trade-offs
Fix to Fed stress test snafu lowers two banks’ capital charges
Goldman, Morgan Stanley see stress capital buffer cuts
Swiss banks plumped liquidity buffers in Q2
Credit Suisse’s HQLA increases 26% quarter-on-quarter
The unintended impact of swap stays on financial stability
As swaps leverage shrinks, bankruptcy stay rules are not guaranteed to reduce systemic risk, says economist
Covid recession makes US insurers’ junk bond piles riskier
About $227.5 billion of firms’ debt holdings are BB+ rated or lower
RBC’s VAR doubled in pursuit of trading windfall
Stressed VAR also surged as the bank switched stress periods
BMO, Scotia crush CVA charges
CVA capital requirement fell 48% at BMO last quarter
How Deutsche shrank its systemic footprint
Total exposures have fallen one-third since 2013
CVA desks arm themselves for the next crisis
March’s volatility forces dealers to fine-tune hedging strategies
Barclays led European banks on derivatives notionals in 2019
Deutsche Bank cut notionals 10% last year
Market, interest rate risks surged at Commonwealth Bank in H1
Market RWAs jumped 129% over the first half
ABN Amro crushes CVA charge with index hedges in H1
Risk-weighted assets for CVA drops 48% in six months to end-June
EBA’s software compromise draws fire on two fronts
UK regulator suggests it will neuter the proposed capital relief, which banks say doesn’t go far enough
Internal stress tests of EU banks not up to scratch – ECB
Only one in 10 banks’ internal tests are tougher than supervisor-run programmes
Shift out of models nets ING €8bn of sovereign RWA relief
Of standardised approach government debt exposures, 24% had a zero risk-weighting in Q2