Risk weights
European Commission changes tune on proposed FRTB multiplier
Banks fear departure from original diversification factor undermines case for permanent relief
Nordea’s credit RWAs surge €19bn as ECB approves new retail models
Revised risk-weightings for mortgages drive sharp rise in credit risk
Scotiabank pivots to standardised approach for securitisation exposures
Risk-weighted assets under SEC-SA jump 450% in three months to end-July
New CRE model adds $1.8bn to UBS’s RWAs
Swath of exposures moved from standardised to IRB approach in the second quarter
NatWest securitisation RWAs hit record high in Q2
Higher amounts of significant risk transfers originated by the bank behind latest increase
As risk of US Basel delay grows, Europe is in a bind over CVA
European Commission may postpone FRTB, but it’s hard to separate surgically from rest of framework
Record number of US banks turned to riskless assets in Q1
Western Alliance leads pack with doubling of exposures in 0% bucket
Six Chinese banks set market risk records in Q1
Market RWAs spike 63% overall in first disclosures after rules update
EBA’s correlated currencies shake-up raises EU banks’ charges
Capital requirements for FX risk double after EUR/USD and other 196 pairs deemed no longer in sync
First Citizens’ high-volatility CRE loans doubled last year
Rise in 150%-weighted class of exposures largest among 260 US lenders
Capital One’s credit exposure riskiness set to rise post-merger
Discover acquisition would push share of assets with 100% risk-weight to six-year high, pro forma analysis shows
BoE puts American spin on fix for FRTB’s govvies dilemma
Four jurisdictions find four different ways to resolve Basel market risk capital quirk
Basel III endgame expected to push PNC’s RWAs up 3%
Forecast from US regional much tamer than increases expected by advanced-approach banks
State Street and Northern Trust offload riskless assets in Q3
Combined $40bn plunge sees both banks hit four-year lows
KBC takes €8.2bn RWA add-on post ECB model review
Regulatory intervention and share buyback contribute to sink bank’s core ratio to lowest point since 2016
Risk density edges higher at UBS’s legacy unit
New division established post Credit Suisse acquisition partly responsible for $785m quarterly loss
Nordic banks’ RWAs rise $9bn on Swedish risk-weight floor rejig
Constraints on real-estate exposure modelling result in Pillar 2 charges moving to Pillar 1 requirements
Riskless assets hit three-year low at top US banks
JP Morgan drives shift, shedding more than $65 billion in risk-free exposures
US banks’ RWA density dwarfs that of European peers
Truist, Capital One and PNC Bank lead with risk density above 65%
BNP Paribas’s default contributions hit record high in H1
Requirements from CCPs up 19% across 13 EU and UK banks
EU banks set for 6.7% capital hike on output floor tweaks removal
Unwind of EU-specific transitional arrangements could suddenly inflate Tier 1 risk-based charges, EBA analysis suggests