Risk-weighted assets (RWAs)
At UBS, asset cull drives down RWAs
Final quarter of 2019 saw risk-weighted assets fall $5.4 billion
Stress buffer will not upend Citi’s capital plans
CET1 capital at lowest level since Q3 2013
EU banks pare back commodities risk
Risk-weighted assets for commodities trading positions under standardised approach fall almost 30%
Five eurozone G-Sibs cut op RWAs in Q3
Deutsche Bank cut €5.7 billion quarter on quarter
Santander’s CVA charge up 15% in Q3
Other eurozone G-Sibs see their CVA requirements fall
The backlash against green weightings
Banks get a lot of flak for not doing enough to mitigate climate risks
Climate risk-weighting: the devil and the deep blue sea
Should capital charges be calibrated to climate risk? European banks test the waters
Basel risk weight functions and forward-looking expected credit losses
The authors establish that the combination of lifetime ECL and the Basel Capital Adequacy Framework, which relies on a one-year horizon, results in capital overestimation. Alongside this finding, and in order to alleviate the problem, they propose two…
RWA density drops at Goldman Sachs
Bank built up stocks of risk-free assets in third quarter
Appetite for corporate credit risk grows at EU banks
Total credit RWAs increase 3.2% from end-September 2018 to end-June 2019
In hunt for profitability, EU banks turn to risky assets
Exposures to high-risk items across EU banking sector hit €97.2 billion
Credit portfolio manager of the year: NatWest Bank
Risk Awards 2020: Big deals and big ideas have helped transform stress-test laggard to leader
JP Morgan takes axe to tough-to-model trading risks
US G-Sibs see market RWAs fall 4.1% quarter on quarter
StanChart’s CVA charge jumps 39% in Q3
CVA accounts for an ever-increasing portion of the bank’s total counterparty credit risk
Citi’s counterparty credit RWAs surge 12% in Q3
Bank has increased OTC derivatives exposures 15% year-to-date and repo exposures by 37%
EBA’s Campa: reduce Pillar 2 charges to offset output floor
Bankers plead for smaller capital hit and more predictability on implementation of Basel III
Wells Fargo could escape Collins floor
Op risk-weighted asset increases see advanced RWAs near standardised measures
Trim review pumps up Commerzbank’s credit RWAs
Additional RWA increases also expected in coming quarters
Wells Fargo op risk charge jumps $3.6bn in Q3
San Francisco-based lender still bound by standardised capital approach
SocGen’s CET1 ratio shoots higher as revamp continues
French bank sheds €7.1 billion of RWAs in Q3
Model tweaks lift Danske’s market RWAs 30%
Tough trading quarter could also have pushed VAR-based charges higher
Op risk charges weigh on ANZ
RBNZ model ban and Apra op risk overlay push RWAs higher
Lloyds’ counterparty credit risk charge rises £60m in Q3
Charge for mark-to-market changes to derivatives increases 10%
Model scrutiny depletes Santander’s capital ratio
Targeted review of internal models takes 28bp off CET1 ratio year-to-date