Risk-weighted assets (RWAs)
EU offers reprieve for fund-linked derivatives trades
Banks hope FRTB draft allowing fund managers to supply standardised inputs will cut risk weights
Deutsche’s market RWAs hit 5-year low on VAR multiplier cut
Regulatory audit greenlit 0.5x cut in multiplier following bank’s overhaul of VAR approach
The impact of European gas prices on climate goals
As governments increase their focus on climate change following the UN Climate Change Conference, COP26, ZE Power asks whether high gas prices in Europe could derail decarbonisation efforts
Hedge fund stake exit helps Credit Suisse cut VAR
Market risk-weighted assets at the AM unit drop almost 95% following the move
Climate transition and bonds: risk or opportunity?
Measuring climate risk on bonds is a nascent discipline. Andy Sparks, fixed income and multi-asset product research at MSCI, looks at how to apply climate analytics to fixed income portfolios
NAB’s market RWAs down 25%
Quarterly RWA reduction partially offset by higher interest rate risk in the banking book
Commerzbank’s op RWAs rise €1.2bn on SA switch
Transition to new framework under Basel II pushes op risk to two-year high
Data-driven execution: looking back to see forward
Reviewing favourable outcomes and attempting to replicate them is by no means a new concept across the capital markets. Portfolio managers, execution professionals and risk managers use this principle to drive their decisions, although it is really only…
PRA sets StanChart’s structural FX risk under Pillar 1 requirement
Market RWAs expected to rise $3 billion–4 billion next quarter as a result
Credit Suisse set for op RWA hike as litigation charges pile on
Sfr1bn increase expected to accrue over the next six months
Internal risk floors add $7.1bn to Westpac’s retail RWAs
Bank braces for tighter capital rules and roll-off of Covid measures
VAR model update cuts NatWest’s market RWAs by 26%
Market RWAs fell from £10.9 billion to £8 billion in Q3 following regulatory approval for a VAR update linked to Libor cessation
Santander’s VAR surges 17% in Q3
Macroeconomic jitters push credit spread and interest rate risk up, but bank’s traders net income windfall
Finma hits UBS with $7bn add-ons
Bank’s prime brokerage unit and VAR model targeted by the Swiss regulator
Leaked EU proposals show FRTB divergence on carbon trading
EC takes up Isda call to cut standardised risk-weight; unclear if it applies to non-EU markets
HSBC faces capital headwinds as regulatory changes kick in
Bank expects its CET1 capital ratio to fall 100–120bp through 2022, with regulation taking the heaviest toll
Barclays’ risk pare-back sees market RWAs fall £3bn
The majority of market risk is now assessed under the regulator-set standardised approach
US banks step up FX optimisation push as SA-CCR looms
With swaps and forwards hit hard by new capital measure, dealers turn to vendors and bilateral restructuring
Regulatory feedback adds $23bn to Goldman’s RWAs
The revision to the bank's standardised RWAs brought it closer to hit the so-called Collins floor
Making the cut: EU eyes Isda’s carbon trading proposals
EBA fears suggested treatment of emissions would be misaligned with rest of FRTB
Early SA-CCR adoption to lop 120bp off Morgan Stanley’s CET1 ratio
The planned switch is set to increase the bank’s RWAs by between $35bn and $45bn
Weather, or not: is climate risk just part of credit risk?
Practitioners divided on whether climate risk can fit into existing credit risk weights
Basel III output floor set to bind 25% of large banks
Risk-based capital requirements would constrain the largest share of international lenders
Systemic US banks’ bail-in buffers rose in Q2
Morgan Stanley posts largest amount of headroom, while Citi, State Street and Wells Fargo trail behind