Capital requirements
Stress buffer will not upend Citi’s capital plans
CET1 capital at lowest level since Q3 2013
OCC member default fund contributions up $1bn in Q3
Peak initial margin call was $9.9 billion in Q3
HSBC leads EU banks on VAR measures
In aggregate, IMA risk exposures focused on traded debt
Loosening ties, pt 2: how US G-Sibs cut intra-system liabilities
Citi and Goldman expelled huge amounts of deposits in Q4 2017
Outsourced model validation: is it viable?
Consortium promises cost savings in outsourcing model validation, but some say pooling doesn’t float
How US G-Sibs shrink down at year-end
Derivatives exposure reductions make up bulk of year-end savings
Four UK banks improve resilience to stress tests compared with 2018
Aggregate CET1 capital ratio headroom over hurdle rate improves by 50 basis points
EU life insurers’ solvency ratios decay in first half
Aggregate SCR ratio for life undertakings down 9%, Q2 2018–Q2 2019
Solvency II relief measures lift EU insurer capital ratios by a third
UK firms benefit most from long-term guarantee and transitional benefits
UK banks could withstand leveraged loan crisis
Losses projected to hit overall CET1 capital ratios by 40 basis points
G-Sibs in US grow leverage exposures faster than EU rivals
HSBC saw exposures fall 2.81% in Q3
EU supervisors set capital add-ons for 21 insurers in 2018
One Norwegian insurer had an add-on contributing 80% to their SCR
Big Canadian banks face C$1bn capital hike on securitisation changes
RBC faces C$551 million uplift alone
EU banks eye savings following Pillar 2 update
ECB estimates CET1 relief of 90 basis points
Five eurozone G-Sibs cut op RWAs in Q3
Deutsche Bank cut €5.7 billion quarter on quarter
IFRS 9 transitional measures saved EU banks €22bn
Four Greek banks claim €1.2 billion of capital relief on average
Santander’s CVA charge up 15% in Q3
Other eurozone G-Sibs see their CVA requirements fall
The backlash against green weightings
Banks get a lot of flak for not doing enough to mitigate climate risks
Basel risk weight functions and forward-looking expected credit losses
The authors establish that the combination of lifetime ECL and the Basel Capital Adequacy Framework, which relies on a one-year horizon, results in capital overestimation. Alongside this finding, and in order to alleviate the problem, they propose two…
New CVA regime to hike affected RWAs fivefold at EU banks
Systemically important lenders face 622% increase in CVA RWAs; but effect could be less if existing exemptions are carried over
FRTB to double market RWAs of EU banks
Risk-weighted assets across 44 banks to increase 105% on average
RWA density drops at Goldman Sachs
Bank built up stocks of risk-free assets in third quarter
BMO braces for SA-CCR, revised securitisation charges
Bank expects C$100m equity hit through introduction of IFRS 16
Appetite for corporate credit risk grows at EU banks
Total credit RWAs increase 3.2% from end-September 2018 to end-June 2019