Capital requirements
FRTB costs force banks to weigh IMA desk by desk
Risk USA: Some desks “may not be able to pass these more rigorous standards”, says Morgan Stanley FRTB lead
Lloyds’ counterparty credit risk charge rises £60m in Q3
Charge for mark-to-market changes to derivatives increases 10%
Capital issuance spree boosts Credit Suisse’s Tier 1 buffers
Contingent note sale pushes additional Tier 1 capital up 22%
VAR breaches push NatWest Markets’ RWAs higher
Turbulence in rates behind higher market risk charges
Double trouble: don’t blur FRTB deadlines, warns ECB
Ignoring reporting model deadline could muddy capital approval cut-off
CECL could force Capital One’s loss reserves up 40%
Loss allowances could jump to almost $10 billion on January 1, 2020
Europe’s new default rules: a defined benefit?
EBA’s single definition of default will have multiple effects for credit risk management, say consultants from PwC
Frandt or foe? FCMs hit back at Esma buy-side clearing salvo
Esma pushes dealers to publish standardised fee schedules amid clearing capacity fears
RBS’s leverage ratio sinks as balance sheet swells
NatWest Markets RWAs also increased on the quarter as derivatives positions deteriorated
Denmark, Slovakia hike countercyclical buffers
Eight countries have increased their CCyB year-to-date
Keeping watch: EBA stress-testing head plans overhaul
Top-down approach, dynamic balance sheet and multiple shock scenarios all possible for 2022
Some eurozone banks have thin leverage capital buffers
Tier 1 capital surpluses above regulatory minimums range between 31% and 123%
PNC eyes $50m windfall from regulatory easing
Capital relief could be used to plump shareholder distributions next year
Podcast: Mats Kjaer on how trades affect the balance sheet
Bloomberg quant has developed a balance-sheet model for XVA pricing
Citi approaches capital target
CET1 capital has dropped 1.8% on the quarter following post-CCAR distributions
In the balance redux
Mats Kjaer developes a dynamic balance-sheet pricing model for valuation adjustments
Capital cut for synthetic securitisations splits regulators
European rulemakers wary of diverging from Basel standards
Large banks set for capital boost through Fed’s AOCI opt-out
Unrealised losses on certain assets will not longer filter in CET1 capital for non-systemic lenders
US bank minnows growing faster than giants
Banks $1 billion to $10 billion in size accumulated assets at faster rate than those over $10 billion in size in 2018
Gaming tests, loss provisions and synthetic Libor
The week on Risk.net, September 28–October 4, 2019
Basel III heralds wild CVA capital swings
Minimum required capital for CVA to climb 64% for large banks, but some banks will see falls of up to 67%
Basel output floor to bind 29% of big banks
But risk-based capital requirements would constrain the largest number of international lenders
European banks set for 18.6% capital hike under Basel III
Model output floor and higher credit and op risk charges will drive most of the increase
EU banks grapple with NMRF proposals for volatility models
EBA options for lighter capital treatment of parametric curves could prove impractical