Capital requirements
Basel haircut floors threaten securities financing desks
Banks fear capital hit unless regulators provide exemption for stock borrowing
Santander tames its trading risk
Group value-at-risk falls 40% in 2018
Unmoved, Fed stands by G-Sib surcharge
Facing down frenetic lobbying and even US Treasury, central bank doesn’t blink on surcharge
One-quarter of market risk not modellable
US banks have largest portion of capital requirement set by the SA
Fed to persist with insurance capital proposals
Quarles indicates Fed will follow through on building block approach designed by previous board
Optimism fades to uncertainty on banks’ CECL proposal
As crunch FASB meeting approaches, most decline to speculate on outcome
Goldman edges closer to Collins floor
Six of the eight US G-Sibs are currently below the Collins floor
Charles River purchase drains State Street’s capital
Depleted CET1 capital ratio spells trouble for 2019 stress tests
Goldman restores capital buffer after Trump tax hit
CET1 ratio hits two-year high
Standardised approaches lose out in FRTB update
Ratio of standardised approach to IMA capital estimated to increase
Fed shackles weigh on Wells Fargo
Total assets and risk-weighted assets down 3% on end-2017
Citi’s standardised and modelled RWAs drift apart
SA risk-weighted assets $38 billion higher than modelled equivalents
EU bank capital ratios creep up in Q3
Average transitional ratio increases to 14.7%
EU banks punished over lowball credit risk estimates
Two of 17 firms facing follow-up inspections will be hit by capital add-ons
AIIB risk chief on steering China’s World Bank rival
Martin Kimmig on the Asian Infrastructure Investment Bank’s challenge of overcoming patchy credit data
Bond trading dominates EU bank market risk
Traded debt position risk accounts for 60% of market risk capital requirements
Nordic banks shoulder weightiest capital buffers in EU
DNB Bank has 9.10% combined buffer, the largest of stress-tested banks
IFRS 9 hits standardised banks harder than IRB peers
Capital wallop over eight times greater for SA banks than IRB
EU countries accelerate countercyclical buffer increases
Eleven EU members currently apply CCyBs, with Bulgaria the most recent country to join the club
BNPP leads big EU banks in growing IRB exposures
French bank adds €25 billion of modelled exposures in third quarter
JP Morgan’s CVA charge jumps $203m in Q3
Median CVA capital charge for US G-Sibs was $2.1bn in third quarter
Systemic risk in the financial system: capital shortfalls under Brexit, the US elections and the Italian referendum
This paper uses SRISK to quantify the estimated capital shortfalls of financial institutions under three relevant stress events that occurred in 2016: Brexit, the Trump election and the Italian referendum.
ING reaps third-quarter CVA capital savings
Intesa and Caixabank also see CVA charges decline
StanChart CVA charge jumps 161% in Q3
Charge rises to $99 million in three months to end-September