Capital requirements
EU bank capital ratios creep up in Q3
Average transitional ratio increases to 14.7%
EU banks punished over lowball credit risk estimates
Two of 17 firms facing follow-up inspections will be hit by capital add-ons
AIIB risk chief on steering China’s World Bank rival
Martin Kimmig on the Asian Infrastructure Investment Bank’s challenge of overcoming patchy credit data
Bond trading dominates EU bank market risk
Traded debt position risk accounts for 60% of market risk capital requirements
Nordic banks shoulder weightiest capital buffers in EU
DNB Bank has 9.10% combined buffer, the largest of stress-tested banks
IFRS 9 hits standardised banks harder than IRB peers
Capital wallop over eight times greater for SA banks than IRB
EU countries accelerate countercyclical buffer increases
Eleven EU members currently apply CCyBs, with Bulgaria the most recent country to join the club
BNPP leads big EU banks in growing IRB exposures
French bank adds €25 billion of modelled exposures in third quarter
JP Morgan’s CVA charge jumps $203m in Q3
Median CVA capital charge for US G-Sibs was $2.1bn in third quarter
Systemic risk in the financial system: capital shortfalls under Brexit, the US elections and the Italian referendum
This paper uses SRISK to quantify the estimated capital shortfalls of financial institutions under three relevant stress events that occurred in 2016: Brexit, the Trump election and the Italian referendum.
ING reaps third-quarter CVA capital savings
Intesa and Caixabank also see CVA charges decline
StanChart CVA charge jumps 161% in Q3
Charge rises to $99 million in three months to end-September
Brexit set to jack up banks’ capital costs
Split into UK and EU arms will reduce netting benefits and capital flexibility
Custody banks add $1.2trn assets, BNY Mellon overtakes State Street
The combined total hit $93 trillion at end-September
Leverage ratio unpopular among non-Basel countries
Few jurisdictions use measure to backstop risk-based capital frameworks
BNPP, Credit Suisse, State Street incur VAR breaches
BNP Paribas capital multiplier increases on seventh breach in nine months
FRTB spurs data mining push at StanChart
Bank building “single golden source” of trade data in a bid to lower NMRF burden
US banks continue to lop back market risk
Goldman Sachs, Morgan Stanley shrink requirements by over $1 billion year to date
Is operational risk regulation forward looking and sensitive to current risks?
This paper evaluates the operational risk capital requirements of large US banks to determine whether they are forward looking, sensitive to banks’ current exposures and designed to allow for risk mitigation.
UK and EU bank leverage ratios edge lower
Average European G-Sib ratio down 27bp year to date
Banks warned of capital add-ons for legacy Libor contracts
UK regulators’ letter to firms could be followed by Pillar 2 charge to speed transition to Sonia
Loan losses bedevil Lloyds in EU stress tests
UK bank saw largest CET1 decline due to asset impairment of EU-wide sample
Accounting change dents Aussie bank earnings
Four largest Australian lenders lose about $2bn in earnings on the switch to new accounting standard AASB 9
CFTC finds harmony harder than it sounds
James Schwartz and Chrys Carey, of counsels at Morrison & Foerster, explore the impact of a recent Commodity Futures Trading Commission white paper – including how its author’s suggestions would affect cross-jurisdictional application of its regulations …