Capital requirements
Credit risk exposures shrink share of top UK banks’ RWAs
Barclays reported the biggest drop, both on a quarterly and yearly basis
Banks urged to take action as FRTB implementation nears
While the Fundamental Review of the Trading Book (FRTB) has been a long time in the making, and implementation guidance remains sparse in some jurisdictions, banks cannot afford further delays in deciding their market risk model approach and putting the…
Fed casts doubt on future of Basel internal models in US
Banks warn Fed cannot keep commitment to avoid Basel III capital hike if it forbids models
Finma add-on inflates Credit Suisse’s credit RWAs
The Sfr5.8 billion additional capital buffer accounts for two-fifths of bank’s quarterly increase
BoE relief waives record £718bn off UK banks’ leverage exposures
On average, the UK leverage ratio of the top five lenders stood 80bp points higher than the CCR iteration in Q1
JPM records highest number of profit-making days in six years
In aggregate, US G-Sibs racked up 355 profit-making days over Q1
Goldman’s market RWAs grew $14.9 billion in Q1
The increase was largely due to higher VAR and SVAR measures
RWA density rises at Citi, BNY Mellon and State Street
The eight US G-Sibs reported total assets of $14.2 trillion, up 5% quarter on quarter
Basel would readjust leverage ratio if reserves exempted
Basel’s Rogers says permanent relief for central bank reserves should lead to higher minimum ratio
Commerzbank’s leverage ratio dips as balance sheet swells
German lender adds €37.2bn of leverage exposure in Q1
Commerzbank’s op RWAs hit 10-year low
The bank added 20bp to its CET1 capital ratio in Q1
ABN Amro’s market risk charge grew 54% over Q1
Dutch bank hit with higher VAR and SVAR multipliers
Citi edges towards Collins floor
The gap between standardised and advanced RWAs has shrunk significantly during Q1
ANZ expanded credit model in Q1
Risk density of overall loan book declined quarter on quarter
For EU banks, there can be no ‘back to normal’
The ECB’s recent review of risk models shows lenders got it all wrong pre-pandemic
Op risk update lops £72m off NatWest’s capital requirement
RWAs for operational risk fell 4% in Q1
Isda poised to issue India netting opinion
Dealers say ability to apply close-out netting for capital calculations will boost derivatives market
Derivatives footprint of top EU banks shrinks
Deutsche Bank reduced these exposures by 12% alone
Archegos debacle prompts Credit Suisse to slash prime services
Executives pledged $35 billion of cuts to investment bank leverage exposure
Prudential filters took a smaller bite out of bank capital in 2020
Additional valuation adjustments deducted €1.3 billion less from CET1 at top banks
Share of small EU bank assets under standardised approach grew in 2020
At small banks, SA covered 88% of credit exposures
Fed economist sounds alert over op risk capital arbitrage
Insurance payouts could allow banks to pare back capital without equivalent reduction in risk, says paper
Securitisations lowered Intesa’s credit RWAs in Q4
Synthetic securitisation shaved €2.2 billion off of credit RWAs alone
Equity growth slowed at US banks in 2020
CET1 ratios of biggest US banks were largely flat on 2019