Risk-weighted assets (RWAs)
Leaked EU proposals show FRTB divergence on carbon trading
EC takes up Isda call to cut standardised risk-weight; unclear if it applies to non-EU markets
HSBC faces capital headwinds as regulatory changes kick in
Bank expects its CET1 capital ratio to fall 100–120bp through 2022, with regulation taking the heaviest toll
Barclays’ risk pare-back sees market RWAs fall £3bn
The majority of market risk is now assessed under the regulator-set standardised approach
US banks step up FX optimisation push as SA-CCR looms
With swaps and forwards hit hard by new capital measure, dealers turn to vendors and bilateral restructuring
Regulatory feedback adds $23bn to Goldman’s RWAs
The revision to the bank's standardised RWAs brought it closer to hit the so-called Collins floor
Making the cut: EU eyes Isda’s carbon trading proposals
EBA fears suggested treatment of emissions would be misaligned with rest of FRTB
Early SA-CCR adoption to lop 120bp off Morgan Stanley’s CET1 ratio
The planned switch is set to increase the bank’s RWAs by between $35bn and $45bn
Weather, or not: is climate risk just part of credit risk?
Practitioners divided on whether climate risk can fit into existing credit risk weights
Basel III output floor set to bind 25% of large banks
Risk-based capital requirements would constrain the largest share of international lenders
Systemic US banks’ bail-in buffers rose in Q2
Morgan Stanley posts largest amount of headroom, while Citi, State Street and Wells Fargo trail behind
EC expected to apply output floor at group level only
‘Parallel stacks’ proposal unlikely to appear in first draft of CRR III, due next month
Study fuels doubt over benefits of climate risk-weights
Research finds both green supporting factor and carbon penalising factor have drawbacks
FSB debates how to fit climate risk into capital rules
Regulators ponder whether climate risk needs new RWAs or recalibration of existing ones
StanChart’s CVA charge up 19% in Q2
Higher capital requirements also at Barclays, Lloyds and NatWest, with HSBC the only outlier among top UK banks
Majority of US G-Sibs’ assets attract sub-100% risk-weighting
Risk Quantum analysis shows top US banks retrenched to lower-risk assets through the pandemic
Citi hits the Collins floor
Of the eight systemic banks in the US, Goldman Sachs remains the only one above the threshold
RWA density at Goldman drops to seven-year low
Change to the distribution of the bank’s exposures by risk weighting likely contributed to the reduction
RBC lifts CET1 ratio by 80bp with model parameter update
Reclassification of small business clients carves out C$26 billion of credit risk
Deutsche sees equity RWAs jump 29% on new EU rules
CRR II requires banks to calculate exposure they would incur to honour guaranteed returns on investment products
Internal model revamp adds €3.2bn to Commerz’s CCR RWAs in Q2
IMM update drove most of 37.8% increase in total CCR RWAs
BoE floor could double capital charges on HSBC’s UK home loans
New rules could forcibly push up residential mortgage portfolio’s 5% risk density
Citi leads US banks in shrinking market risk
First aggregate drop in capital charges stemming from market risk since mid-2020
End of SVAR relief hikes market risk at Canada’s ‘Big Five’
Market RWAs increased by C$13.9 billion over the three months to end-July
Deutsche takes €17.7bn RWA add-on in final Trim hit
Leveraged loan portfolio among targets of ECB’s remedies