Capital floor
EC expected to apply output floor at group level only
‘Parallel stacks’ proposal unlikely to appear in first draft of CRR III, due next month
Citi hits the Collins floor
Of the eight systemic banks in the US, Goldman Sachs remains the only one above the threshold
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
ABN Amro shed €4.5bn non-core RWAs in Q2
Bank seeks to prepare books for Basel IV
ECB sees slim gains, larger losses if EU tweaks Basel III
Staff paper says using parallel stack output floor would push up funding costs longer-term
Isda disputes excessive FRTB charges for carbon trading
EU carbon certificates show lower volatility and higher netting than Basel approach assumes
Basel would readjust leverage ratio if reserves exempted
Basel’s Rogers says permanent relief for central bank reserves should lead to higher minimum ratio
ABN Amro’s market risk charge grew 54% over Q1
Dutch bank hit with higher VAR and SVAR multipliers
Citi edges towards Collins floor
The gap between standardised and advanced RWAs has shrunk significantly during Q1
Portfolio shifts aided credit RWA reductions at Dutch banks in 2020
At ING, 0% risk-weighted sovereign exposures kept a lid on RWA inflation
Output floor to drive Basel III capital increase at EU banks
About 40% of total Tier 1 capital surge due to limits on modelled RWAs
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
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
Modelled RWAs diverge from standardised at Goldman Sachs
Advanced approaches RWAs are now 10% higher than standardised
The Fed’s stress capital buffer: relaxed but not relaxing
Bankers welcome key methodology improvement, but final rule could still curb dividends
EU banks face near €18bn capital shortfall through output floor
Twenty-one out of 51 banking groups surveyed would be constrained by the output floor
Goldman hits the Collins floor
Changes to loss-given-default models caused advanced approaches credit RWAs to plummet
US sidetracks bid to end European CVA exemption
Fed’s change to SA-CCR capital renews EU industry calls to preserve carve-out
EBA’s Campa: reduce Pillar 2 charges to offset output floor
Bankers plead for smaller capital hit and more predictability on implementation of Basel III
Wells Fargo could escape Collins floor
Op risk-weighted asset increases see advanced RWAs near standardised measures
Double trouble: don’t blur FRTB deadlines, warns ECB
Ignoring reporting model deadline could muddy capital approval cut-off
Basel output floor to bind 29% of big banks
But risk-based capital requirements would constrain the largest number of international lenders
Enria: no reason for EU to deviate from Basel output floor
ECB supervision chief urges lawmakers to implement contentious Basel III model constraints
2022 – A market risk odyssey
Though January’s final version of FRTB offered no great surprises to those who have followed the regulation since its inception, banks now have a greater idea of what is required of them. Bloomberg explores the importance for banks to have FRTB…