Risk weights
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
The strange effect of US clampdown on FRTB models
Ban on internal models for trading book default risk could provide some banks with unexpected capital relief
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
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
US banks’ risk-free exposures keep falling
Assets with 0% risk-weighting lowest proportionally since Q1 2020, replaced by riskier exposures
Deutsche disbands CRU as ‘bad bank’ exposures fall to €22bn
Remainder of unwanted book to be allowed to roll to maturity
SEB’s market RWAs drop 20% as FX positions recede
Fall in currency exposures below EU’s threshold in Q4 reversed Skr5.3bn RWA hit from previous quarter
IRB risk-weights highest at smallest EU banks – ECB
Lenders with less than €30 billion in assets consistently report lower risk densities than bigger banks across all modelled portfolios
At US banks, risk-free exposures hit lowest in two years
Just under a third of credit assets carried a 0% risk-weight in Q3
Some euro banks modelled lower mortgage risk in H1
Italian and Belgian lenders reported steepest drops in risk density despite recessionary threat
Basel III output floor set to bind 24% of banks
Latest BCBS monitoring report shows four-fold increase over next seven years
Smaller EU nations stare down giants in capital floor standoff
EU member states clash over severity of internally modelled output floors for cross-border bank groups
Internal risk floors add $7.1bn to Westpac’s retail RWAs
Bank braces for tighter capital rules and roll-off of Covid measures
Majority of US G-Sibs’ assets attract sub-100% risk-weighting
Risk Quantum analysis shows top US banks retrenched to lower-risk assets through the pandemic
BoE floor could double capital charges on HSBC’s UK home loans
New rules could forcibly push up residential mortgage portfolio’s 5% risk density
Sign prediction and sign regression
This paper proposes an approach whereby the loss function regularizes the errors in prediction in different ways.
Parallel lines: EU begins fight over Basel output floor
Leaked plan to exclude buffers from floor would please EU banks, could anger Basel and US
Change to risk-weight floor amps EU banks’ securitisation RWAs
BNP Paribas’ banking book securitisation RWAs increased 32% on end-2019
Risk density of top US banks edged down in Q1
Banks piled up assets with low risk-weightings in the first quarter
The UK’s path to EU equivalence: détente or detour?
Race to meet post-Brexit cross-border trading requirements will go down to the wire
Low risk assets pile up at systemic US banks
Sub-100% risk-weighted assets increased by $157.9 billion
Lower risk-weights for real estate free up Nordea’s capital
ECB cut risk-weights for Swedish and Norwegian commercial real estate to 50% at year-end
The backlash against green weightings
Banks get a lot of flak for not doing enough to mitigate climate risks
Structural snags frustrate STS for synthetics
Curbs on excess spread and collateral stymie route to ‘high-quality’ signifier