Capital requirements
Basel FRTB capital impact study confused by outliers
“Conservative estimation” of market risk capital uplift averages 69%
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
FSB offers loud warning and muted response on climate risk
Global regulators say risks are near-term and cross-border, but propose only data collection
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
Podcast: Matthias Arnsdorf on a new – and cheaper – KVA
Quant proposes approach anchored by a dealer’s default rate rather than its return on equity
Fed will start FRTB model approvals for US banks in 2021
Senior official says banks should now be deciding desk structure and readying backtests
Systemic US banks’ market risk charges fall from Covid highs
Citi an outlier as its capital requirements increase in Q3
Isda study reveals size of Covid’s trading book capital hike
Procyclicality led to aggregate 25% rise in market, CVA risk-weighted assets
EU’s dividend ban overshadows reform effort
Banks may be reluctant to run down buffers even if regulators soften the MDA threshold for payouts
US systemic banks’ op risk charges fell in Q3
Bank of America’s charge falls 26% following a model change
At global banks, underwriting activity surged in 2019
JP Morgan led the world with €459.3 billion of transactions
Top US banks have become less of a systemic risk, says FSB
JP Morgan relegated as the world’s most systemically important lender
G-Sibs see little sign of relief on Fed’s systemic buffer
Central bank liquidity and Treasuries will push US firms into higher G-Sib buckets
Lloyds’ the outlier as UK banks crush CVA charges in Q3
Aggregate CVA RWAs of top five UK banks fell 21%
Funding pain prompts calls to rehome FVA
Dealers push to move derivatives funding costs out of P&L following March’s outsize losses
BNP Paribas’ RWAs shrank over €10bn in Q3
CET1 ratio climbed 20bp to 12.6%
Covid measures burnished NatWest’s capital ratios in Q3
UK bank’s CET1 ratio benefited 100bp from IFRS 9 relief alone
CFTC’s swap stay plan for clearing houses sparks alarm
Lawyers warn proposal could invalidate close-out netting and expose members to higher risks
SFC’s Alder looks to shake up liquidity rules post-Covid
Asia Risk 25: HK regulatory head says central banks must “never have to step in again” to bail out investors
BoJ stress tests pressure top banks’ buffers
Capital ratios of internationally-active dealers projected to fall to 7.6% in worst-case scenario
Banks, regulators call for global climate risk standards
Carney and Winters warn private sector cannot move much further without lawmakers
Basel’s Rogers: little evidence capital buffers have failed
Top regulator disputes idea banks are unable to run down buffers, urges better communication
Wells Fargo eyes escape from Collins floor
Advanced and standardised RWAs are just 1% apart