Risk-weighted assets (RWAs)
AgBank’s regulatory VAR hits record high in first half
Chinese bank’s market risk up by over a third to highest level in a decade
Norinchukin’s RWAs up 21% as Basel III formulas react to market volatility
Market charges up 230% in harsh test of new standardised approaches
UBS leapfrogs global peers following Credit Suisse takeover
Swiss lender reports big increases in RWAs, leverage exposures and other key metrics
Northern Trust’s market risk surges ninefold in Q2
Market risk exposure jumps to $673 million, the highest level on record
Comerica’s VAR multiplier spikes following eight breaches in Q2
Worst one-day trading loss at Dallas-based company was six times as large as its forecast
Goldman most threatened by Fed’s rejig of modelled capital charges
End of credit risk modelling and scaling up of SCB’s role could tip six US banks below minimum requirements
Nine US banks could be caught by Fed’s revised market risk rule
Expansion of trading risk charges to banks above $100bn in assets would also affect firms with minimal trading activity
HSBC’s trading VAR hits 10-year high
Interest rate risk behind trading risk gauge peaked in H1
The changing face of credit portfolio management at banks
The final Basel III framework will require banks to rethink capital allocation and risk transfer strategies in light of new rules on calculating risk-weighted assets, increased emphasis on the standardised approach and a new leverage ratio. CPM will be…
US banks eye collateralisation to tackle SA-CCR costs
Dealers are asking asset managers to post margin on their FX swaps and forwards to offer more competitive prices
Modelled RWAs diverge further from standardised at BNY Mellon
Gap grows to highest since 2019, pushing bank high above Collins floor
Citi’s stress-test estimates out of sync with Fed’s
Bank lowballed capital hit in DFAST 2023 more than any other US systemic lender
Partial relief for synthetic securitisation in final EU rules
Internal model banks will see punitive multiplier reduced, but standardised banks miss out
Plumb job: can Basel III unblock US credit risk transfer?
Deals from G-Sibs have slowed in recent years due to regulatory confusion over capital relief
SA-CCR charges surge at BNP Paribas and ING
Dealers’ RWAs rise combined €3.1bn in volatile Q1, among biggest quarterly jumps since SA-CCR’s EU debut
IRC capital charges surge at Deutsche and Intesa
Risk-weighted assets covering default and downgrade of traded bonds all but double at Italian lender
Citi’s CVA charge up 7% in Q1
Bank retains the highest capital requirements of any US dealer, ahead of JP Morgan and Bank of America
MUFG’s settlement risk surges fourteenfold
Risk-weighted assets for Japanese lender’s unsettled transactions cross ¥300 billion mark in the first three months of 2023
First Citizens leads regional bank rush for riskless assets
Share of 0% risk-weighted assets increases at small banks for first time in seven quarters
JP Morgan on course to escape Collins floor
Gap between standardised and modelled RWAs at its smallest since 2016
UBS’s risk density set to increase after Credit Suisse takeover
Rescued bank’s RWA-to-exposure ratio rose at faster clip prior to collapse
ING’s Russia loans sour five times faster than UniCredit’s
Risk density of Dutch bank’s Russia portfolio soars from 54% to 229% during 2022
RBC’s settlement risk charges blow up 260%
C$3.5 billion RWA figure marks one of the heftiest capitalisation of held-up trades ever by a bank
Nordea’s market RWAs drop 20% on Q4 SVAR cut
Last quarter marked reversal of fortunes after 30-month high hit in June