Risk weights
Europe expects FRTB to bite on XVA hedges
Risk Benchmarking: One-third of European dealers fear new market risk rules will have major effect on hedges
Market RWAs surge at mid-sized banks in Q2
Mizuho Americas adds $3.6 billion, while Northern Trust posts 212% increase
Risk density and capital requirements inversely related – FSI
Report says jurisdictions could be choosing between higher capital requirements or model restrictions
US banks show little risk shift after eSLR relief
Lowest-risk exposures hit record, but BNY drives largest reallocation
Erba myth: will US banks choose new capital measure?
B3E gives US banks a dilemma – adopt expanded risk-based approach, or a new standardised alternative
Saudi National Bank equity RWAs surge on Basel phase-in
Year-end risk-weight rise of 60pp triggers 18.2% spike in risk charges
EBA seeks to allay Simm divergence concerns
EU validator pledges to co-ordinate with global regulators, but retains ability to act alone “if needed”
Exposures with undisclosed risk-weights hit new highs at US banks
Assets in the ‘other’ category of standardised risk-weights grow to $700bn
China, US banks show highest global RWA density
American Express leads with risk density over 70%, ahead of Capital One and Truist
US G-Sibs post record secured finance flows in LCR
Q3 spike continues long-term shift toward secured funding and lending in liquidity stress scenario
ICBC’s equity fund RWAs surged fivefold in Q3
Less risk-sensitive mandate-based approach drives Chinese bank’s spike to record high
ABN Amro shifts 70% of credit risk to standardised approach
RWA increase from portfolio migration in Q3 offset by regulatory add-ons removal
First Citizens records steepest climb in HFI loan risk-weights
Regional lender led US banks in HFI risk-weight growth in Q2 as scrutiny of loan books deepens
EU securitisation rethink to boost mortgage-bearing SRTs?
Insurer participation and a lower risk weight could help make capital savings attractive to banks
Capital-neutral securitisation risk weights
A closed-form formula to allocate capital to the tranches of a securitisation is presented
Basel III overhaul triggers credit RWA reshuffle at EU banks
A-IRB down by a third, F-IRB more than doubles and standardised approach up by a quarter
CRR III curbs charges for BPCE’s equity stakes
RWAs for subsidiaries outside prudential consolidation drop 82% after Basel revamp
Wells Fargo’s seven-year freeze sees rivals surge ahead
Risk density and loan growth lagged as Fed enforced asset cap
Basel III prompts Scandi banks to redraw credit risk
Danske, Handelsbanken and Nykredit scale back A-IRB under new rules
European Commission changes tune on proposed FRTB multiplier
Banks fear departure from original diversification factor undermines case for permanent relief
A peek under the hood of Canadian banks’ new CVA machine
Disclosures from the country’s top dealers offer first glimpse of how FRTB reforms can reshape capital gauge for potential losses on derivatives