Standardised approaches
BNY Mellon strengthens capital stack
CET1 capital increased 9% quarter-on-quarter
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
Time for the standardised approaches to shine
Banks are playing a canny game of capital optimisation by toggling between internal models and regulator-set approaches
EU bank credit models neglect peripheral countries
A majority of non-core EU exposures are under the standardised approach
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
CIBC’s escape from SA-CCR lowers capital charge
Bank embraces internal model approach for derivatives portfolio
Credit models at odds with standardised approach on Covid
Increase to advanced approaches RWAs far outpaces growth to standardised
FRTB comes too late for Covid crisis
Expected shortfall would stop Basel 2.5 duplicate capital charges, but backtesting still a problem
Citi, Goldman edge above Collins floor
Both banks’ risk-based capital requirements will be set using advanced approach
ECB data spotlights credit risk-weight disparities
Weightings applied to standardised approach exposures far exceed those for IRB equivalents
Barclays used securitisations as credit risk shield in 2019
Risk-weighted assets for these exposures increased 44%
Low risk assets pile up at systemic US banks
Sub-100% risk-weighted assets increased by $157.9 billion
UK bank market RWAs ebbed in 2019
HSBC shed $5.9 billion of market RWAs in 2019
Goldman hits the Collins floor
Changes to loss-given-default models caused advanced approaches credit RWAs to plummet
Some EU banks can’t explain lowball credit model outputs
Negative unjustified deviations in capital requirements most widespread for corporate portfolios
EU banks pare back commodities risk
Risk-weighted assets for commodities trading positions under standardised approach fall almost 30%
Op risk modelling limited to largest EU banks
Smallest banks do not use AMA at all
Five eurozone G-Sibs cut op RWAs in Q3
Deutsche Bank cut €5.7 billion quarter on quarter
FRTB to double market RWAs of EU banks
Risk-weighted assets across 44 banks to increase 105% on average
Appetite for corporate credit risk grows at EU banks
Total credit RWAs increase 3.2% from end-September 2018 to end-June 2019
Wells Fargo could escape Collins floor
Op risk-weighted asset increases see advanced RWAs near standardised measures
JP Morgan revs up securitisation engine
Exposures receiving securitisation capital treatment increase by $13.7 billion year-on-year