Risk-weighted assets (RWAs)
SocGen squeezes investment bank in RWA purge
Global banking division sees RWAs fall –17% in 2019
BNPP faces €67bn RWA hike under Basel III
Executives say ongoing capital generation and Pillar 2 changes will help keep CET1 ratio stable
Some EU banks can’t explain lowball credit model outputs
Negative unjustified deviations in capital requirements most widespread for corporate portfolios
Deutsche shrinks ‘bad bank’ 30% in 2019
Efforts to crush operational RWAs bore fruit last year
Defying headwinds, Santander posts record capital gains
CET1 ratio hits 11.65% at end-2019
Worth the cost? EU rethinks Mifid disclosure rules
Banks would gladly be rid of cost disclosures, but some clients want them improved, not scrapped
At UBS, asset cull drives down RWAs
Final quarter of 2019 saw risk-weighted assets fall $5.4 billion
Stress buffer will not upend Citi’s capital plans
CET1 capital at lowest level since Q3 2013
EU banks pare back commodities risk
Risk-weighted assets for commodities trading positions under standardised approach fall almost 30%
Five eurozone G-Sibs cut op RWAs in Q3
Deutsche Bank cut €5.7 billion quarter on quarter
Santander’s CVA charge up 15% in Q3
Other eurozone G-Sibs see their CVA requirements fall
The backlash against green weightings
Banks get a lot of flak for not doing enough to mitigate climate risks
Climate risk-weighting: the devil and the deep blue sea
Should capital charges be calibrated to climate risk? European banks test the waters
Basel risk weight functions and forward-looking expected credit losses
The authors establish that the combination of lifetime ECL and the Basel Capital Adequacy Framework, which relies on a one-year horizon, results in capital overestimation. Alongside this finding, and in order to alleviate the problem, they propose two…
RWA density drops at Goldman Sachs
Bank built up stocks of risk-free assets in third quarter
Appetite for corporate credit risk grows at EU banks
Total credit RWAs increase 3.2% from end-September 2018 to end-June 2019
In hunt for profitability, EU banks turn to risky assets
Exposures to high-risk items across EU banking sector hit €97.2 billion
Credit portfolio manager of the year: NatWest Bank
Risk Awards 2020: Big deals and big ideas have helped transform stress-test laggard to leader
JP Morgan takes axe to tough-to-model trading risks
US G-Sibs see market RWAs fall 4.1% quarter on quarter
StanChart’s CVA charge jumps 39% in Q3
CVA accounts for an ever-increasing portion of the bank’s total counterparty credit risk
Citi’s counterparty credit RWAs surge 12% in Q3
Bank has increased OTC derivatives exposures 15% year-to-date and repo exposures by 37%
EBA’s Campa: reduce Pillar 2 charges to offset output floor
Bankers plead for smaller capital hit and more predictability on implementation of Basel III
Wells Fargo could escape Collins floor
Op risk-weighted asset increases see advanced RWAs near standardised measures
Trim review pumps up Commerzbank’s credit RWAs
Additional RWA increases also expected in coming quarters