Risk-weighted assets (RWAs)
Trim, SA-CCR weigh on Santander’s RWAs
Regulatory changes and model updates shave 24bp off the bank’s CET1 ratio
Model change cuts Barclays’ VAR 21% in H1
Reducing historical lookback period from two years to one shaves £5m off bank’s average VAR
After bruising EU model review, banks ask: ‘Why bother?’
Post-Trim changes erode capital savings from internal models while raising their running costs
EBA guidelines on IRB boosts Danske’s credit RWAs
The bank expects further increases in the second half of the year after adding $3.17 billion in Q2
Isda disputes excessive FRTB charges for carbon trading
EU carbon certificates show lower volatility and higher netting than Basel approach assumes
UBS revises credit and counterparty risk estimate
Changes to the bank’s models and methodology expected to add $6bn in second half of the year
Basel III standardised credit risk assessment – What you need to know
Basel III updates take a more sensitive approach to calculating risk weightings and capital charges. Paul Whitmore, global head of counterparty risk solutions at Fitch Solutions, explains how credit risk professionals can prepare
UK banks’ RWAs near record low – BoE
Lower credit and counterparty RWAs led the quarterly drop, latest figures show
Nomura understated VAR capital charges by 13% in H2 2020
VAR RWAs should have been ¥122 billion higher than originally stated at end-December
Credit risk exposures shrink share of top UK banks’ RWAs
Barclays reported the biggest drop, both on a quarterly and yearly basis
Post-merger, Caixa’s credit RWAs jump 47%
In RWA terms, the newly created entity is now bigger than Commerzbank and Rabobank
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
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
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
UniCredit cut RWAs the most of EU systemic banks in Q1
The €10.8 billion cull helped improve the Italian bank’s CET1 ratio 52bp
ANZ expanded credit model in Q1
Risk density of overall loan book declined quarter on quarter
BNP Paribas’ VAR hit 12-year high in Q1
Equity portfolio VAR surged 27% quarter on quarter
Deutsche slashed market RWAs by one-fifth in Q1
Macro-hedging touted as RWA-saving tool
Trading VAR at UBS peaked after Archegos blow-up
Swiss bank still posted a fall in market RWAs quarter on quarter
Archegos debacle prompts Credit Suisse to slash prime services
Executives pledged $35 billion of cuts to investment bank leverage exposure
ECB’s models review heaped €275bn of extra RWAs on banks
Average bank CET1 capital ratio fell 71bp through Trim process