Capital requirements
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
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
Modeling multivariate operational losses via copula-based distributions with g-and-h marginals
In this paper, the authors propose a family of copula-based multivariate distributions with g-and-h marginals.
Indian banks struggle to make gains from close-out netting law
Lawyers say undocumented derivatives trades hinder the audit trail needed to secure capital benefits
Nordea’s trading VAR keeps climbing amid rate hike jitters
Trading risk gauge surged 17% through Q4
UBS incurred a VAR breach in Q4
The latest larger-than-expected loss – the fourth in 2021 – leaves the bank one step closer to higher capital requirements
Deutsche’s op RWAs down 10% in 2021
‘Bad bank’ unwinding pushed op risk at multi-year low
All top US banks below Collins floor
None of the eight systemic banks in the country above the threshold for the first time since 2015
EU looks to close Brexit escape route from ECB supervision
Changes to capital regulation would stop national rulebook arbitrage deployed post-Brexit
SA-CCR switch pushes Goldman below Collins floor
Early adoption at the end of 2021 adds $15 billion of RWAs
Wells Fargo RWAs drift apart
Standardised RWAs have increased for three consecutive quarters, putting pressure on the bank’s CET1 capital ratio
Citi bolstered CET1 ratio on eve of SA-CCR switch
Standardised RWAs dropped 5% in Q4, boosting the bank’s core ratio by 55bp
Some EU banks keep underprovisioning for ECLs
Divergences between accounting and regulatory markdowns remains high at some top lenders
New branch rules threaten Japanese banks’ EU plans
Draft CRR III may cause foreign banks to think twice before expanding in the EU
Spanish regional bank’s CVA charge up 30-fold on SA-CCR
Banco de Crédito Cooperativo saw end-June charges balloon the most year-on-year across a sample of 120 European banks
SA-CCR brings little succour for FX dealers and clients
Spreads on swaps and forwards likely to widen as banks adjust to capital-intensive regime
EU banks with thinnest buffers tap heftiest IFRS 9 capital add-backs
EBA data shows lenders whose capital benefitted most from transitional loan-loss relief also have skinniest CET1 capital ratios
EU offers reprieve for fund-linked derivatives trades
Banks hope FRTB draft allowing fund managers to supply standardised inputs will cut risk weights
JP Morgan, Goldman lead US banks in cutting VAR-based charges
On aggregate, requirements connected to commodity positions fell the most, down 28% from end-June
New FRTB timeline makes Europe’s reporting phase ‘obsolete’
European Commission pencils in capital requirements to start at the same time as reporting exercise – or even before
Bank of America, BNY Mellon incur VAR breaches
The second consecutive backtesting exception for the custodian bank brings it closer to a higher multiplier
Basel crypto rules: bad for traders, good for risk managers?
Practitioners divided over potential bank capital treatment for assets with no intrinsic value
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