Capital requirements
Giant US banks outgrew smaller rivals in Q1
Banks over $10 billion in size also saw Tier 1 leverage ratios fall furthest
US banks face capital hit from resurgent advanced approaches
Banks pushed onto internal models wrestle with procyclical capital charges
Capital relief trades make slow comeback from Covid slump
European synthetic credit risk transfer market now more expensive for banks
Prudential filters crimp some banks’ own funds, boost others
Two banks saw CET1 climb more than 5% at end-2019 through the EU’s valuation adjustments
Time for the standardised approaches to shine
Banks are playing a canny game of capital optimisation by toggling between internal models and regulator-set approaches
EU bank credit models neglect peripheral countries
A majority of non-core EU exposures are under the standardised approach
Market risks push up top EU insurers’ capital charges
Allianz sees SCR for market risk surge 28% year-on-year
A new risk era – Recovering stronger from the pandemic
Jose Ribas, global head of risk and pricing solutions at Bloomberg, discusses how risk management at financial institutions is changing in the wake of the pandemic and the subsequent volatility, the role of regulations and how technology can help risk…
CVA capital charges jumped 50% at systemic US banks in Q1
Goldman Sachs’ charge climbs 76% quarter-on-quarter
Greek, Italian banks lead EU on IFRS 9 capital relief
Intesa Sanpaolo saw CET1 capital add-in of €2.6 billion
Regulators and banks clash on FRTB capital impact study
Basel and EBA call out two banks for using “overly conservative” survey assumptions
CIBC’s escape from SA-CCR lowers capital charge
Bank embraces internal model approach for derivatives portfolio
Risk density of top US banks edged down in Q1
Banks piled up assets with low risk-weightings in the first quarter
ECB’s Enria unsure banks will dip into capital buffers
Anxiety over investor and rating agency reaction may limit banks’ use of Covid relief measures
Counterparty risk capital charges up 20% at top UK banks
StanChart CCR capital requirement jumps 41% over the first quarter
Trading losses at US units of Deutsche, RBC exceed VAR by 1,000%
Wild markets overwhelmed foreign banks’ value-at-risk estimates
Systemic US banks incurred 42 VAR breaches in Q1
Leading dealers saw actual losses over four times greater than their VAR estimates on some days
Eurozone bank capital buffers swell on Covid relief measures
Average buffer increases to 393bp across 14 eurozone lenders
Six VAR breaches at ABN Amro in Q1
Market risk capital charge climbs 57% in response
A zombie US capital ratio comes back to life
SLR rollback could mark the return of 1990s Tier 1 leverage ratio as a binding constraint
Credit models at odds with standardised approach on Covid
Increase to advanced approaches RWAs far outpaces growth to standardised
UK banks eye Pillar 2 savings after PRA intervention
Top lenders could free £4.4 billion of capital
Capital overhaul depresses Crédit Agricole’s solvency ratio
Wind down of “Switch” mechanism may have come at a bad time for the French lender
Covid-19 chaos drains Axa’s Solvency II ratio
French insurer’s regulatory capital ratio is at its lowest since the Solvency II regime took effect