Risk-weighted assets (RWAs)
Lloyds’ IMA RWAs up 43% in run-up to Ibor switch
VAR multiplier and RNIV charges rose in 2021 on account of transition risk
Model clampdown costs NatWest 157bp of CET1 ratio
Measures to remedy internal model deficiencies added £14.8 billion RWAs overnight
HSBC’s SA market RWAs double on new structural FX rules
Move from Pillar 2 to Pillar 1 for unhedged FX risk adds $6.8bn of RWAs
Barclays’ modelled RWAs jump 71%
SVAR pinned to Covid-19 panic drives latest quarterly increase
Smaller EU nations stare down giants in capital floor standoff
EU member states clash over severity of internally modelled output floors for cross-border bank groups
Citi leads US banks in cutting market risk
Aggregate market RWAs across systemic banks down $26 billion, despite Bank of America bucking the trend
EU lawmakers’ demand for local capital floors alarms banks
Multiple output floors applied to each entity raises fears of capital increase for large groups
Regulation triple-whammy lops 63bp off StanChart’s CET1
January 1 saw the introduction of SA-CCR, curbs on IRB modelling and the reversal of software capitalisation benefits
FRTB capital quirk for sovereign bonds bewilders banks
EU treatment of govvies under internal models is worse than standardised approaches
Rabobank sees 5–10% RWA inflation from Basel III
Dutch mortgage floor and other model curbs set to accelerate reforms’ impact
Top US banks record 14 VAR breaches
JPM, Morgan Stanley, BofA, Citi, Goldman and State Street wrong-footed in volatile end to 2021
Credit portfolio manager of the year: Intesa Sanpaolo
Risk Awards 2022: Italy’s largest lender is one of the EU’s strongest thanks to smart securitisations
JP Morgan incurs eight VAR breaches, triggering capital hike
Largest trading loss in Q4 reached 207% of the bank’s VAR limit
EU banks fear outlier status on non-modellable risk charges
Dealers face disadvantage if EU implements more granular and costly version of FRTB than US, UK
CBA sees minimum CET1 up 225bp under Basel III
Apra’s review of the country’s capital framework leaves less wiggle room from January 2023
RWA increase puts ABN’s core ratio closer to Basel III estimate
Higher RWAs shrink gap between actual and pro forma ratios
The Collins flaw: backstop turned binding constraint
US legislative tweak was meant to prevent banks from using their own capital models too liberally. It’s now something different
CBA’s IRRBB charge up 37% in volatile Q4
Volatility in Australian dollar swap rates the culprit for the increase
Netting challenges push ING’s market RWAs up 64%
A regulatory issue left the bank unable to consolidate cross-border positions in Q4
Apra’s overlay pushes CBA’s market RWAs up 30%
Market risk is at the highest level since Q4 2020
Regulatory straitjacket adds $7bn to Danske’s credit RWAs
Remedials to improve internal models push total RWAs up 5%
UBS sees $20bn RWA impact from Basel III
Increase expected to materialise by 2024 following the implementation of new rules on FRTB, CVA, credit and operational risk
Deutsche’s op RWAs down 10% in 2021
‘Bad bank’ unwinding pushed op risk at multi-year low