Risk-weighted assets (RWAs)
How to solve the Fed’s $300bn FRTB problem
A sacrifice will have to be made to ensure new market risk rules meet demands for capital neutrality
US banks notch most VAR overshoots since pandemic
Dealers’ gauges underestimated trading inventory price swings on 34 occasions during Q2
Nomura wins NMRF reprieve from Japan’s FSA
Relief granted due to scarcity of vendors offering pricing data for market risk models
Large US banks pile up CVA charges amid tariff shock
JP Morgan’s CVA risk-weighted assets saw largest jump in second quarter since Covid-19
How some banks aced the EBA stress test
Four banks actually increased their capital ratios, while US subsidiaries were hit worst
CVA risk hits record highs at DBS and UOB
Singaporean banks post biggest RWA increases since 2022
Fed’s new leverage ratio: the horse that never left the gate
Most of the biggest dealers aren’t leverage constrained now, and experts are sceptical that banks will use the extra capacity for Treasuries
Full output floor would cut average CET1 ratio by 70bp
Phased-in Basel III rules would add over €500bn to RWAs at 64 European banks in downturn
EU banks face €500bn RWAs surge from full output floor
Risk charges to rise 8% on average under fully phased-in rules by 2033
Basel III overhaul doubles Nomura’s credit risk
Surge reflects asset migration and new equity treatment
UBS RWAs rise $19bn amid FX swings
Weaker US dollar against Swiss franc pushes total RWAs past $500bn
Deutsche Bank projects €118bn RWA hit from output floor
Mitigation efforts expected to reduce charges significantly, bank says
SEB’s market risk add-on swells 153% in Q2
Temporary adjustment more than doubles as internal model change awaits sign-off
Citi’s modelled RWAs outpace standardised by record $152bn
Widening RWA output gap puts Collins floor back in spotlight
Market shocks push IRC to records at EU banks
Component for default and migration risk hits new highs at several dealers
US bank CCP default fund contributions climb to record $90bn
G-Sibs’ exposures soar 48% over 18 months with Wells Fargo quadrupling its stake
CVA risk charges spike 73% at EU banks under Basel III
Crédit Agricole leads surge, as basic approach dominates CVA capital calculations
Basel III overhaul triggers credit RWA reshuffle at EU banks
A-IRB down by a third, F-IRB more than doubles and standardised approach up by a quarter
UniCredit’s market RWAs would inflate 75% under FRTB
Pro forma figures for capital floor give first look at de-modelling impact on a major EU dealer
Morgan Stanley, Goldman to benefit most from TLAC and LTD reform
Fed’s eSLR overhaul slashes requirements for large US banks, ushering in lighter capital demands
StanChart market RWAs surge to record $37bn
SVAR jump alongside higher interest rate and FX risk behind Q1 spike
EBA mulls rule changes to speed up model approval process
Risk Live: Reducing compliance burden of credit risk model updates can aid banks and supervisors
CRR III curbs charges for BPCE’s equity stakes
RWAs for subsidiaries outside prudential consolidation drop 82% after Basel revamp
Wells Fargo’s seven-year freeze sees rivals surge ahead
Risk density and loan growth lagged as Fed enforced asset cap