Risk-weighted assets (RWAs)
Modelled RWAs diverge from standardised at Goldman Sachs
Advanced approaches RWAs are now 10% higher than standardised
Advanced approaches continue to bind Citi in Q2
Modelled RWAs fall slower than standardised over the three months to end-June
US banks face capital hit from resurgent advanced approaches
Banks pushed onto internal models wrestle with procyclical capital charges
Capital relief trades make slow comeback from Covid slump
European synthetic credit risk transfer market now more expensive for banks
Deutsche insists Covid-19 won’t derail ‘bad bank’ wind-down
Lender actively seeking buyers for remaining derivatives portfolios ahead of 2022 target, says CRO
CVA capital charges jumped 50% at systemic US banks in Q1
Goldman Sachs’ charge climbs 76% quarter-on-quarter
EU urged to pass permanent market risk capital relief
Council agrees temporary changes, but ECB’s Enria wants legislators to trust supervisors
Credit Suisse nets 37% sovereign RWA cut
At end-2019, 75% of its government portfolio was under the standardised approach, up from 14% the year prior
Risk density of top US banks edged down in Q1
Banks piled up assets with low risk-weightings in the first quarter
EU Parliament ‘likely’ to allow market risk capital relief
MEPs propose allowing supervisors to temporarily exclude Covid-related backtesting exceptions
Counterparty risk capital charges up 20% at top UK banks
StanChart CCR capital requirement jumps 41% over the first quarter
Citi’s counterparty credit risk charge up 38% in Q1
Probability of default of portfolio increases to 0.73% from 0.68%
Though Covid crisis rages, US banks’ op RWAs fall
Wells Fargo sees op RWAs fall $2.9 billion
Credit models at odds with standardised approach on Covid
Increase to advanced approaches RWAs far outpaces growth to standardised
UK banks eye Pillar 2 savings after PRA intervention
Top lenders could free £4.4 billion of capital
BBVA trims capital target following ECB relief measures
Spanish lender targets 225-275bp CET1 management buffer
CVA, market RWAs more than double at UBS in Q1
Overall risk-weighted assets increased 10% on end-2019
European banks seek capital relief for CVA hedges
Volatile trading in March caused CVA hedges to dominate market risk RWAs at some smaller dealers
Output floor cliff edge effects threaten EU banks
Capital measure to have uneven impact across five-year phase-in
Eurozone banks fear market risk capital hike due to Covid-19
Hopes that ECB will fix double-counting as VAR breaches rise on market volatility
ECB data spotlights credit risk-weight disparities
Weightings applied to standardised approach exposures far exceed those for IRB equivalents
UK banks’ RWAs plummeted in Q4 2019
Risk drop-off helped raise aggregate CET1 ratio
ECB cuts top banks’ required capital by over €350bn
Capital conservation requirement and Pillar 2 guidance amounts relaxed, countercyclical capital buffers encouraged to fall
The open data revolution in banking falls short
Lax Pillar 3 rules are leading to inconsistent data being collected