Capital requirements
Nordea faces higher capital requirement following ESRB recommendation
A decision by the Finnish Financial Supervisory Authority may add 95bp to the bank’s CET1 capital ratio requirement
UBS incurred two VAR breaches in Q2
Risk Quantum understands the VAR backtesting exceptions stemmed from the Archegos blowout
The changing shape of bank credit risk post-Covid‑19
As banks and fellow market participants manage a return to some sense of normality following the Covid-19 pandemic, what are the likely long-term implications for data and credit risk management?
End of SLR relief weighs on JP Morgan
All eight US systemic banks saw their supplementary leverage ratio drop in Q2
ECB tightens grip on back-to-back booking models
Supervisor could impose large exposures limit for intragroup trades, even if UK granted equivalence
Nomura understated VAR capital charges by 13% in H2 2020
VAR RWAs should have been ¥122 billion higher than originally stated at end-December
Time for BoE to rethink the leverage ratio
The disparity of treatment keeps UK banks on an unlevel playing field
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