Capital requirements
Credit risk capital models hanging by a thread in the US
Industry insiders expect Fed to drop IRB and IMM when adopting Basel III, but market risk models may survive
Basel chair stands by tough capital rules for crypto assets
Isda AGM: Hernandez de Cos is unmoved by arguments that high risk weights will push banks out of crypto
Is Citi’s SA-CCR hit a sign of things to come?
Higher capital costs for dealing in uncollateralised FX swaps and forwards could impact banks and clients alike
ING takes €1.6bn capital hit on Russia exposures
Bank adds €834 million of provisions and takes €9 billion of new credit RWAs
BNP Paribas notches three VAR breaches in Q1
Latest count puts bank on cusp of capital penalty
Fortunes of VAR: dealers decry effect of war on risk models
European banks with large Russian derivatives exposures face risk of backtesting exceptions – and higher capital requirements
NatWest’s market RWAs up 8% on higher VAR multiplier
Bank incurred regulatory backtesting exceptions amid heightened market volatility
Market volatility weighs on UBS
Higher VAR and SVAR charges lifted market RWAs by $2.9bn in Q1
US trading blunder costs Barclays £2.8bn in credit RWAs
The latest hit follows a £540 million provision to cover the over-issuance of structured notes
US banks anticipate delay to Basel III implementation
New Fed supervision head expected to align schedule with EU and Japan, but time is tight
Nordea’s CVA charge jumps 30% in Q1
Highest reading for the Finnish bank since the start of 2019
Basel rules mean banks can’t compete with Coinbase – Goldman
Proposed 1,250% risk weight for crypto holdings undercuts banks’ push into burgeoning market
China’s top banks slashed market RWAs by $15bn in 2021
Aggregate market RWAs at top five lenders down 17% in year marred by domestic and overseas volatility
Standardised approach extends reach over US banks’ RWAs
Gap between standardised and advanced RWAs at its widest ever for BofA, BNY Mellon, Morgan Stanley and Wells Fargo
Isda broadens FRTB carbon trading study to win over sceptics
New study shows risk weights too high for US markets, but data from 2008 still missing
HSBC, StanChart face capital hit on cleared renminbi trades
Lack of UK recognition for Shanghai Clearing House could prompt banks to reduce exposures
EU banks decry threat of capital hit to UK CCP exposures
EBA says supervisors could apply charges to “excessive exposures” of euro derivatives at all non-EU clearing houses
Goldman, JP and BofA face higher G-Sib surcharges
Banks could see an extra 50 basis points of capital add-on without remedial action
EU banks racked up VAR breaches in 2021
Crédit Agricole and ING Bank hit with higher multipliers after exception count rises
UniCredit cuts market RWAs by 9%
Removal of capital requirements for FX risk sheds standardised RWAs by 68% in three months
US unit of Barclays close to a VAR breach in Q4
Largest loss-to-VAR ratio at the firm was highest among 10 US intermediate holding companies
What do regulators need from governments on climate change?
To reduce the number of climate risk scenarios, lawmakers need to start being more specific
HSBC’s SA market RWAs double on new structural FX rules
Move from Pillar 2 to Pillar 1 for unhedged FX risk adds $6.8bn of RWAs
Apollo, KKR, Ares and the Bermudan CLO arbitrage
‘Capital efficiency’ may explain a 1,100% surge in life assets reinsured on the Atlantic island