Capital requirements
Former clearing head urges ‘reasonable regulation’ of crypto
Risk USA: panellists complain current regulatory approach is ‘painful’ and doesn’t embrace innovation
FRTB starts ‘tug of war’ between front and back offices
Risk USA: dealers face trade-off between accuracy of pricing models and level of capital charges
Commerzbank’s op RWAs rise €1.2bn on SA switch
Transition to new framework under Basel II pushes op risk to two-year high
EU software capital reversal to hit Lloyds, Barclays the most
Top UK banks boost CET1 ratios in Q3 as the PRA confirms capital benefit will end on January 1
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
Measuring climate risk: what’s possible now
Governmental and societal pressure on banks and asset managers to help manage climate risk and disclose progress toward a sustainable future is high. Institutions are working to quantify the impact of climate change on their balance sheets and want to…
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
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
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
China, Turkey lead regulatory laggards on Basel III framework
Argentina, Australia, Brazil, Japan and Korea made no progress at all since May 2020
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
IMA to retain large role in setting market risk capital post-FRTB
Gyrations over 2020 mean a bigger share of market risk requirements could be underpinned by internal models post-reform
Basel III heralds 41% op risk jump for EU banks
Capital requirements set to rise almost 88% for those G-Sibs that don’t currently use the AMA
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
After Archegos, a bigger role for XVA desks?
Credit Suisse has stalled on call to expand XVA remit; others think it would have helped, but disagree on how
Basel III capital shortfall shrinks to €8bn
G-Sibs responsible for 77% of the aggregate deficit
European banks set for 17.6% capital hike under Basel III
Output floor expected to push Tier 1 capital requirements up 7.3% alone, latest BCBS monitoring report shows
Brainard: stablecoins ‘front and centre’ of regulatory focus
Contender for top Fed role also called for activation of countercyclical capital buffer
Euro swaps relocation stalls as equivalence deadline nears
Nine months before equivalence deadline, over 70% of EU euro swap trades still clear in the UK
EC expected to apply output floor at group level only
‘Parallel stacks’ proposal unlikely to appear in first draft of CRR III, due next month
Counterparty risk solution of the year: Moody’s Analytics
Asia Risk Awards 2021