Capital requirements
Basel III capital shortfall estimate drops by €9 billion
Lower projected credit and market risk capital requirements and model output floor drive reduction
Metro Bank poised to miss MREL target
After a cancelled bond sale, UK lender is running out of time to raise bail-in capital
European FRTB proposals spark XVA overload fears
Banks warn of overly complex revaluation process and heightened risk of backtest fails
Game theory plays well for capital management
Barclays quants use Shapley method to optimise capital allocation
JP Morgan’s CVA charge jumps $249m in Q2
All US G-Sibs post higher CVA capital requirements for the quarter
Top UK banks cut CVA charges by 9% in Q2
Standard Chartered is only outlier among big five to see capital requirement rise
Reduced-form capital optimisation
A linear approximation to an allocation technique provides a solution for banks’ capital managment
Over two years, UK G-Sibs levered up in contrast to EU peers
But UK CRR leverage ratios still higher than eurozone rivals
Wells Fargo, BNY Mellon, State Street build repo exposures in Q2
Wells Fargo increases gross repo assets by 12.4% in three months to end-June
Revealed: FRTB impact three times higher than expected
Undisclosed Isda study finds capital hike outweighs previous Basel Committee estimate
Europe’s regulators grope for value of software
In the US, the cost of software is not taken out of capital. Europe is fumbling for something similar
MREL target drifts further out of Rabobank’s reach
Dutch bank has current MREL ratio of 27.8%, compared with target of 28.58%
State Street, UBS and TD Group incur VAR breaches
Backtesting exceptions cause TD Group's and State Street's market risk capital charge multipliers to climb
Sliding rates dent Legal & General’s capital ratio
Solvency capital requirement rises to £8.2 billion from £7.9 billion over first half of 2019
Holdco issuances spur Barclays’ MREL progress
UK bank issues £7.1 billion of MREL debt in first half of 2019
Basel III op risk method a stronger guard against losses – EBA
Number and size of op risk loss overshoots relative to capital would have been lower under new standardised approach
Regulatory changes swell RWAs at BBVA
Targeted review of internal models saps 13 basis points from CET1 capital in Q2
FRTB internal models in fight for survival
Basel III capital floor leaves banks struggling to justify own-models approach, say risk experts
Nordea’s CVA charge drops 34%
CVA requirements are at their lowest level since Q3 2018
Synthetic securitisations and Europe’s capital sweetener
Regulator weighs high-quality label for synthetic deals, but without favourable capital treatment
EBA data reveals disparities in LCR deposit-bucketing
Regulatory arbitrage concerns surface over classification of non-operational deposits
2022 – A market risk odyssey
Though January’s final version of FRTB offered no great surprises to those who have followed the regulation since its inception, banks now have a greater idea of what is required of them. Bloomberg explores the importance for banks to have FRTB…
The BoE leverage ratio: welcome relief or regulatory arbitrage?
UK banks are reaping higher capital savings through the BoE's leverage measure
Banks to Fed: reshape CCAR for peacetime
But Quarles deflates mood: banks using their own models for capital is “not under active consideration”