Risk-weighted assets (RWAs)
State-backed Covid loans have light capital impact – EBA
Average risk density of guaranteed loans was 18% at end-June
Systemic US banks’ market risk charges fall from Covid highs
Citi an outlier as its capital requirements increase in Q3
Isda study reveals size of Covid’s trading book capital hike
Procyclicality led to aggregate 25% rise in market, CVA risk-weighted assets
Aussie bank loan-loss provisions top A$11bn
Westpac absorbed the largest charge of the ‘Big Four’
Citi’s counterparty credit risk edged higher in Q3
Risk-weighted assets for OTC derivatives, repo, margin loans jump 11%
US systemic banks’ op risk charges fell in Q3
Bank of America’s charge falls 26% following a model change
Lloyds’ the outlier as UK banks crush CVA charges in Q3
Aggregate CVA RWAs of top five UK banks fell 21%
French rivals BPCE, SocGen see market risks fall in Q3
Market RWAs drop 24% at SocGen quarter on quarter
ING’s op risk charge jumped €228m in Q3
Op RWAs had been falling since Q3 2019
BNP Paribas’ RWAs shrank over €10bn in Q3
CET1 ratio climbed 20bp to 12.6%
Covid measures burnished NatWest’s capital ratios in Q3
UK bank’s CET1 ratio benefited 100bp from IFRS 9 relief alone
Model tweaks, asset cull helped Credit Suisse cut RWAs in Q3
Model updates took Sfr 2.5 billion off its credit RWA total
FX headwinds cancel out HSBC’s Q3 RWAs cut
Portfolio reductions reaped $10.8 billion of RWA savings
Barclays’ RWAs shrank on Q3 tailwinds, but loan failures loom
Decline in loan creditworthiness has added £9.8 billion to RWAs year-to-date
UBS market RWAs dropped 25% in Q3 as VAR cooled
High value-at-risk outputs dropped out of averaging window in Q3
Systemic US banks’ RWAs edge lower in Q3
Bank of America reaps benefit of op risk cut
EBA’s software treatment offers banks meagre capital benefits
Three-year prudential amortisation approach more generous than initial two-year proposal
By crushing RWAs, Goldman sends its capital ratio soaring in Q3
Risk-weighted assets fall 5% in three months
Change to risk-weight floor amps EU banks’ securitisation RWAs
BNP Paribas’ banking book securitisation RWAs increased 32% on end-2019
BofA becomes first US bank to adopt SA-CCR
Move cut leverage exposure by $66bn, but other banks wary of trade-offs
Swiss banks plumped liquidity buffers in Q2
Credit Suisse’s HQLA increases 26% quarter-on-quarter
Model change erodes credit RWAs at TD
US retail loans have grown 23% in two years
RBC’s VAR doubled in pursuit of trading windfall
Stressed VAR also surged as the bank switched stress periods
Top US banks’ counterparties’ credit quality deteriorated in Q2
At Citi, exposures with a PD of 10% to 100% increased 73% quarter on quarter