Risk-weighted assets (RWAs)
Following Fed changes, Morgan Stanley’s leverage bind to loosen
Bank chief cannot see capital requirements going up when stress capital buffer and new SLR come into effect
Citi approaches capital target
CET1 capital has dropped 1.8% on the quarter following post-CCAR distributions
UK banks accelerate RWA increases in Q2
Market and operational RWAs return to growth after shrinking in Q1
Goodwill makes up $69bn of BAML’s equity
Across eight US G-Sibs, goodwill comprises 18.7% of pre-adjusted CET1 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
Asset correlation estimation for inhomogeneous exposure pools
This study investigates the systematic error that is made if the exposure pool underlying a default time series is assumed to be homogeneous when in reality it is not.
Over three years, credit risk has built up at Swiss banks
Credit Suisse has also reduced the portion of its credit RWAs calculated using internal models
When regulators become nationalists
EU’s new treatment of bank software assets is partly a response to global competitive pressures
Credit risk grows share of big EU banks’ RWAs
Deutsche Bank leads the field, with credit RWAs increasing share of total by 294bp year-on-year
Enria: no reason for EU to deviate from Basel output floor
ECB supervision chief urges lawmakers to implement contentious Basel III model constraints
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
RBC expands market risk model scope
Moving assets off standardised approach contributed to 6% quarter-on-quarter RWA decline
Two US dealers grow appetite for counterparty risk
JP Morgan sees risk weight of portfolio climb to 41.5%
At US G-Sibs, market RWAs fall $18bn in Q2
Fall in VAR-based measures of risk behind the decrease
US G-Sibs’ TLAC buffers vary
Morgan Stanley and Goldman Sachs have eligible TLAC equal to 50.8% and 44.7% of RWAs, respectively
Goldman’s op RWAs fall 8% in Q2
Removal of op risk events from AMA model dataset reduced capital requirement
‘Regulatory headwinds’ add €13bn to UniCredit’s RWAs
Frontloading of credit risk model guidelines saps CET1 ratio by 40bp
JP Morgan model updates shave $6.8bn off market RWAs in Q2
Year-on-year, model updates take net $21.1 billion off its RWA total
Saudi bank merger lowers RBS’s credit RWAs
Standardised credit RWAs fall 23% quarter-on-quarter
Model update pushes ING’s op RWAs up 17%
Changes to AMA model behind €6.2 billion uplift