Risk-weighted assets (RWAs)
Europe’s countercyclical buffers buck recession trends
Almost half of EBU’s members have set out CCyB hikes; five plan two or more before mid-2023
A chilly reception for climate risk capital
Bankers don’t believe climate-adjusted risk-weights will enter EU prudential framework – not for now, at least
China’s ABC, BoC buck H1 trend and cut market risk
Market risk charges keep rising at CCB, ICBC and all non-systemic banks
BoComm’s CET1 ratio drops to lowest since 2013
RWAs jumped 8% in the first half, dragging capital adequacy down 63bp
EU Parliament creates multiverse of SA-CCR outcomes
Some MEPs want to ease rules further than EC draft; others want return to undiluted Basel text
ING’s market RWAs jump 30% as FX positions breach waiver limit
Increase arose from stricter EU rules under which FX exposures qualify as structural hedges
Morgan Stanley’s top-of-the-league TLAC rises further
The bank’s bail-in RWA buffer, already the highest among US peers, rose five percentage points in Q2
JP Morgan’s VAR multiplier increases following Q2 breach
Citi also reported one backtesting exception but kept VAR-based market risk capital requirement flat
Westpac’s IRRBB charges rose faster than peers’ in Q2
Over 9% of bank’s total RWAs linked to interest rate risk, up from 6% three months earlier
Archegos revives Lehman-era trade booking controversy
Experts debate whether defaulted TRS positions should have become house exposures immediately
BNP Paribas’ CVA capital charge hits record high
Risk-weighted assets for potential drop in value of derivatives instruments reached €6bn in June
Commerz’s VAR multiplier ratchets up after H1 breaches
Bank dodged increase in market RWAs by rebalancing to a lower-risk trading portfolio
Barclays adds £984m to ETN snafu bill
Market sell-off in Q2 has increased cost of buying back notes mis-sold by the bank in 2019
Deutsche’s market RWAs climb 28% as VAR multiplier bites
RWAs in the ‘corporate and other’ segment surged to €7.8bn in Q2 from €715m at end-2021
UniCredit rebounds on ruble rally, Russia RWA cut
Strengthening profile of Russian operations added 62bp to the bank’s CET1 ratio in Q2
UBS’s investment bank sees RWAs surge as revenue slows
Market risk exposure jumped 25% to $13.1 billion in Q2, the highest level in more than three years
Danske breaches VAR four times, spurring RWA hike
Fifth hypothetical breach in six months triggers VAR multiplier increase
At SEB, CVA charges diverge from Nordic peers
Bank’s credit valuation adjustment RWAs kept rising in Q2
Citi, BNY Mellon escape Collins floor
Both banks return above the threshold after just two quarters
Banks turn away from FRTB internal models in Europe
Drawbacks mean even fewer model approval applications planned than past ECB survey suggested
Nationwide’s IRB charges up 89% on PRA’s parameter curbs
The building society’s strict focus on mortgages meant impact was all-sweeping
VAR multiplier hike sends UniCredit’s IMA charges up 23%
Market volatility following the invasion of Ukraine one of the drivers behind the increase
Polish mortgage claims push RBI’s op risk up 43%
Following the latest increase, op risk makes up 11% of the bank’s total RWAs
Late EU clearing house recognition spooks dealers
Bank capital requirements on exposures to affected foreign CCPs could jump after June 28 deadline