Capital requirements
Corporate loan exposures weigh on EU banks
Risk density across EU G-Sibs stood at 93% for corporate loan exposures
A helping hand – Addressing industry concerns
The Basel Committee on Banking Supervision’s final revisions to the FRTB guidelines aim to address industry concerns around complexity and capital implications. A forum of industry leaders discusses whether the changes have been effective and how banks…
RWA density at JP Morgan drops to six-year low
Bank’s asset portfolio has become less risk-heavy under standardised approach since 2013
Final rules on securitisation due by year-end, EBA says
European issuers forced to work with incomplete legislation for another six months at least
Getting risk models runway ready
Banks struggling with internal model requirements may soon opt for off-the-rack rather than bespoke
Can European banks crack the capital allocation code?
Banks “stuck on the same feedback loop” due to sheer weight of capital rules
Banco Santander’s CVA charge drops 20% in Q1
Three EU G-Sibs cut capital requirements, three increase them
European and UK leverage ratios fall in Q1
UK banks had leverage ratios on average 26bp higher than their continental European peers
Capital allocation under the Fundamental Review of the Trading Book
Quants propose an allocation method for internal model capital charges
Allianz’s counterparty risk charge up €102 million in 2018
Total solvency capital requirement down €600 million year-on-year
Axa market risk charge drops almost €3bn in 2018
Solvency capital requirement falls 9% year-on-year
Germany plans countercyclical buffer hike
Iceland, Bulgaria and France have also increased add-ons year-to-date
Most US G-Sib assets attract low risk weightings
Of total assets, 53% have a standardised risk weighting of 50% or lower
Over four years, US banks blitz correlation trading risks
JP Morgan’s CRM charge has fallen 94% since Q1 2015
Can bankers stop the trading book killer?
FRTB won’t obliterate your whole markets business any more, just some very specific parts
EU insurers’ solvency ratios weather UFR change
New fixing of ultimate forward rate increases firms’ solvency capital requirements
Morgan Stanley’s CVA charge swells 19% in Q1
Credit valuation adjustment capital charges have decreased at most G-Sibs year-on-year
Japanese banks inching away from US CLO market
New rules prevent firms investing in CLOs where originator is not obliged to retain risk
Fund-linked structured products face extinction under FRTB
Global market risk capital standards carry sky-high charges for fund derivatives
Generali’s solvency ratio falls on risk-free rate changes
Regulatory changes increased present value of liabilities
Aussie banks crush IRRBB capital charges
‘Big Four’ cut IRRBB RWAs by A$23 billion year-on-year
Whose leverage ratio is it anyway?
Basel's capital backstop has been distorted out of shape by supervisory meddling
Final FRTB tweak ‘will kill correlation trading’, say dealers
Some European banks plan to lobby ECB for relief when rules are transposed to local law