Risk-weighted assets (RWAs)
Regulatory headwinds to amp Deutsche’s RWAs in 2021
Targeted review of internal models to add €4bn of RWAs in 2021
EU targets late 2024 for FRTB internal model reporting
Final IMA rules to be adopted in mid-2021 with three-year implementation period
UBS factors in Covid shock to stressed VAR, causing RWA surge
Market RWAs increased 11% quarter on quarter
At US G-Sibs, modelled RWAs outpaced standardised in 2020
Ratio of advanced approaches RWAs to regulator-set measure declined in the wake of the Covid recession
Goldman’s 2020 VAR was its highest in nine years
Trading revenues at the New York-based dealer were the highest in a decade
Four in five European banks don’t model their op risks
Advanced measurement approach is the preserve of large banks
US regulator casts doubt on key SA-CCR netting benefit
OCC rejects suggestion banks can net certain cleared client exposures; Fed stays silent
Output floor to drive Basel III capital increase at EU banks
About 40% of total Tier 1 capital surge due to limits on modelled RWAs
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
Wind-down of Deutsche’s ‘bad bank’ slows
German lender expects capital release unit to be €51 billion in size in 2022
CVA charges for Canadian dealers edge off Covid highs
At CIBC, CVA charges fell 12% quarter on quarter
Intesa’s RWAs bloat on UBI merger
Credit risk-weighted assets increased 16% post-takeover
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
State-backed Covid loans have light capital impact – EBA
Average risk density of guaranteed loans was 18% at end-June
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
Aussie bank loan-loss provisions top A$11bn
Westpac absorbed the largest charge of the ‘Big Four’
Citi’s counterparty credit risk edged higher in Q3
Risk-weighted assets for OTC derivatives, repo, margin loans jump 11%
US systemic banks’ op risk charges fell in Q3
Bank of America’s charge falls 26% following a model change
Lloyds’ the outlier as UK banks crush CVA charges in Q3
Aggregate CVA RWAs of top five UK banks fell 21%
French rivals BPCE, SocGen see market risks fall in Q3
Market RWAs drop 24% at SocGen quarter on quarter
ING’s op risk charge jumped €228m in Q3
Op RWAs had been falling since Q3 2019
BNP Paribas’ RWAs shrank over €10bn in Q3
CET1 ratio climbed 20bp to 12.6%