Capital requirements
StanChart’s CVA charge jumps 39% in Q3
CVA accounts for an ever-increasing portion of the bank’s total counterparty credit risk
Goldman, BBVA and TD Group incur VAR breaches in Q3
US unit of TD Group endures four breaches in three months to end-September
Citi’s counterparty credit RWAs surge 12% in Q3
Bank has increased OTC derivatives exposures 15% year-to-date and repo exposures by 37%
IFRS 9 capital relief saves Lloyds £768m
Phase-in measures ameliorate CET1 hit of higher loan-loss provisions
EBA’s Campa: reduce Pillar 2 charges to offset output floor
Bankers plead for smaller capital hit and more predictability on implementation of Basel III
Wells Fargo could escape Collins floor
Op risk-weighted asset increases see advanced RWAs near standardised measures
JP Morgan revs up securitisation engine
Exposures receiving securitisation capital treatment increase by $13.7 billion year-on-year
Commerzbank plumps capital buffer with AT1 bond sale
Bail-in instrument helps expand buffer above MDA limit to around 220bp
UniCredit bolsters capital ratio on Fineco sale
Italian bank also offloaded Mediobanca stake
Generali’s solvency ratio continues to slide
Rate cuts, bond movements hike SCR and bite into own funds
Wells Fargo op risk charge jumps $3.6bn in Q3
San Francisco-based lender still bound by standardised capital approach
SocGen’s CET1 ratio shoots higher as revamp continues
French bank sheds €7.1 billion of RWAs in Q3
FRTB costs force banks to weigh IMA desk by desk
Risk USA: Some desks “may not be able to pass these more rigorous standards”, says Morgan Stanley FRTB lead
Lloyds’ counterparty credit risk charge rises £60m in Q3
Charge for mark-to-market changes to derivatives increases 10%
Capital issuance spree boosts Credit Suisse’s Tier 1 buffers
Contingent note sale pushes additional Tier 1 capital up 22%
VAR breaches push NatWest Markets’ RWAs higher
Turbulence in rates behind higher market risk charges
Double trouble: don’t blur FRTB deadlines, warns ECB
Ignoring reporting model deadline could muddy capital approval cut-off
CECL could force Capital One’s loss reserves up 40%
Loss allowances could jump to almost $10 billion on January 1, 2020
Europe’s new default rules: a defined benefit?
EBA’s single definition of default will have multiple effects for credit risk management, say consultants from PwC
Frandt or foe? FCMs hit back at Esma buy-side clearing salvo
Esma pushes dealers to publish standardised fee schedules amid clearing capacity fears
RBS’s leverage ratio sinks as balance sheet swells
NatWest Markets RWAs also increased on the quarter as derivatives positions deteriorated
Denmark, Slovakia hike countercyclical buffers
Eight countries have increased their CCyB year-to-date
Keeping watch: EBA stress-testing head plans overhaul
Top-down approach, dynamic balance sheet and multiple shock scenarios all possible for 2022
Some eurozone banks have thin leverage capital buffers
Tier 1 capital surpluses above regulatory minimums range between 31% and 123%