Capital requirements
Fourteen EU banks face sanctions for poor market risk models
Twenty lenders lowballed capital requirements
Model change pumps up Deutsche’s VAR capital charge
Switch to historical simulation approach increases requirement by 71%
Put options power up variable annuities
Insurance quants increase risk-adjusted profits using novel hedging technique
IFRS 9 relief added £8bn to UK banks’ capital buffers in 2020
Lloyds’ CET1 ratio reaped a 120bp benefit
Optimisation firms prep for SA-CCR boom
Flush with new cash, vendors ready rebalancing services ahead of risk-sensitive leverage framework
Impact of hedging strategies on variable annuities
Put options may reduce the cost of hedging strategies for insurers
Regulatory arbitrage in the use of insurance in the new standardized approach for operational risk capital
Basel’s new standardized approach (SA) for operational risk capital may allow for regulatory arbitrage through the use of insurance. Under the SA, banks will likely have an incentive to insure recurring losses. Such insurance can meaningfully reduce…
Credit Suisse updates VAR disclosure to cover banking book
Non-trading positions accounted for 31% of market risk exposure in Q3
Korea lifers set to increase hedging as accounting shake-up looms
Bond forwards likely to be favoured instrument, but interest rate swaps market could develop
EU banks count capital benefits of new software treatment
Deutsche Bank reaps 43bp gross benefit
Synthetic risk transfer plumps SocGen’s capital buffer
Risk transfer and CET1 relief smooth out add-on for model risk at the French bank
Solvency ratios of EU life insurers continued to fall in Q3
In contrast, the median capital ratio of groups and non-life firms increased
Ending leverage ratio relief could force US banks to downsize
Biggest lenders may have to limit repo activity to manage leverage capital, observers say
ECB’s Covid capital relief boosted too-big-to-fail banks
Capital headroom increased 176%
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
The slow corporate embrace of CSAs
Risk.net research finds 28 of 50 large companies now have CSAs – but has the trend run its course?
Goldman’s 2020 VAR was its highest in nine years
Trading revenues at the New York-based dealer were the highest in a decade
JP Morgan calls for SLR relief to be made permanent
Around 16% of the bank’s exposures were excluded from the ratio in Q4
Barclays leads Europe’s banks on trading risks
Top 20 banks with most trading risks accounted for 79% of market RWAs across EBA sample
Four in five European banks don’t model their op risks
Advanced measurement approach is the preserve of large banks
Guy Debelle on the FX Global Code and the rise of the buy side
Asia Risk 25: Code’s creators considering updates to sections on last look and pre-hedging
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