Capital adequacy
UBS factors in Covid shock to stressed VAR, causing RWA surge
Market RWAs increased 11% quarter on quarter
At US G-Sibs, modelled RWAs outpaced standardised in 2020
Ratio of advanced approaches RWAs to regulator-set measure declined in the wake of the Covid recession
BoE to test UK banks against double-dip Covid recession
Stress simulation falls short of actual coronavirus crisis shock to the UK economy
JP Morgan calls for SLR relief to be made permanent
Around 16% of the bank’s exposures were excluded from the ratio in Q4
Skin in the game of top CCPs varies
The average default fund has less than 4% of total resources contributed by the host CCP itself
Barclays leads Europe’s banks on trading risks
Top 20 banks with most trading risks accounted for 79% of market RWAs across EBA sample
Smaller US banks grew faster than larger rivals in Q3
Lenders less than $1 billion in size increased loans 16% over the quarter
US banks fear Q1 stress capital buffer reset
Fed left buffers on hold after latest stress test, but can change them until March 31, 2021
Regional banks, FBOs found second round of Fed tests tougher
DB, HSBC, PNC, US Bancorp and TD Group saw their peak-to-trough CET1 ratio depletion increase most
Fed’s Covid stress tests strain top banks’ leverage ratios
Citi, Goldman, JP Morgan, Morgan Stanley all had projected post-stress SLRs below 5%
IFRS 9 relief added €30bn to EU bank capital post-Covid
Greek banks are top beneficiaries of emergency measures
EU changes to Basel III would soften capital blow
“Parallel stacks” approach would reduce capital shortfall by 70%
Basel FRTB capital impact study confused by outliers
“Conservative estimation” of market risk capital uplift averages 69%
Wind-down of Deutsche’s ‘bad bank’ slows
German lender expects capital release unit to be €51 billion in size in 2022
Intesa’s RWAs bloat on UBI merger
Credit risk-weighted assets increased 16% post-takeover
Having cut risk, Wells Fargo may win a lower G-Sib surcharge
The San Francisco-based bank has lowered its systemic risk score through 2020
SA-CCR proves a bitter pill for US banks to swallow
Dealers concerned new regime will punish some business lines with rise in risk-weighted assets
Scotiabank’s capital ratio improves on fading market risks
VAR-based RWAs dropped 44% quarter on quarter
Capital cliff effect awaits EU banks as Covid support wanes
CET1 ratios have benefited from state intervention, but could drop sharply as measures expire
EU Covid policies resurrect sovereign doom loop fears
Italian banks could see holdings of home country debt increase to 17% of their total assets
Covid-19 overwhelmed stress-testing models – banks
Risk USA: lenders forced to apply management overlays to models skewed by macro inputs
Almost G-Sibs: five banks near systemic designation
Chinese banks continue to grow systemic footprints
At global banks, underwriting activity surged in 2019
JP Morgan led the world with €459.3 billion of transactions
Lloyds’ the outlier as UK banks crush CVA charges in Q3
Aggregate CVA RWAs of top five UK banks fell 21%