Risk-weighted assets (RWAs)
Market, interest rate risks surged at Commonwealth Bank in H1
Market RWAs jumped 129% over the first half
Goldman’s op RWAs climb $13bn on 1MDB settlement
Bank settled with Malaysian government for $2.5 billion in July
EBA’s software compromise draws fire on two fronts
UK regulator suggests it will neuter the proposed capital relief, which banks say doesn’t go far enough
Goldman breached VAR limit 16 times in H1
US dealer also racked up 40 days on which trading profits exceeded $100 million
CRR ‘quick fix’ pushes UniCredit’s RWAs lower
Italian bank nets €2.4 billion of RWA relief from regulatory changes
Shift out of models nets ING €8bn of sovereign RWA relief
Of standardised approach government debt exposures, 24% had a zero risk-weighting in Q2
BPCE’s capital ratio falls as it waits on Covid loan relief
Delay to state guarantee benefits took 32bp off of CET1 ratio
Natixis’s market RWAs grew 49% over Q2
Average VAR spiked to €18 million over Q2
NatWest reaps benefits of PRA’s market risk relief
Suspension of capital multiplier contributes to £1.5 billion of RWA savings
Covid hammered CEE banks’ capital ratios
One-quarter of EU banks have CET1 ratios below 13%
Trading VAR surged at Credit Suisse in Q2
Market risk-weighted assets up 20% quarter-on-quarter
Deutsche slashed ‘bad bank’ RWAs in H1
Leverage exposures linked to capital release unit have fallen 20% in six months
Top US banks reined in RWAs in Q2
Credit exposures fall after a wild first quarter
Dealers eye model change to cure CVA capital headache
With hopes of EU regulatory carve-out fading, some banks are taking matters into their own hands
At Danske Bank, market RWAs soar as credit risks dip
Bond binge contributes to 36% increase in market risk charge
Modelled RWAs diverge from standardised at Goldman Sachs
Advanced approaches RWAs are now 10% higher than standardised
Advanced approaches continue to bind Citi in Q2
Modelled RWAs fall slower than standardised over the three months to end-June
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
Deutsche insists Covid-19 won’t derail ‘bad bank’ wind-down
Lender actively seeking buyers for remaining derivatives portfolios ahead of 2022 target, says CRO
CVA capital charges jumped 50% at systemic US banks in Q1
Goldman Sachs’ charge climbs 76% quarter-on-quarter
EU urged to pass permanent market risk capital relief
Council agrees temporary changes, but ECB’s Enria wants legislators to trust supervisors
Credit Suisse nets 37% sovereign RWA cut
At end-2019, 75% of its government portfolio was under the standardised approach, up from 14% the year prior
Risk density of top US banks edged down in Q1
Banks piled up assets with low risk-weightings in the first quarter