Standardised approaches
FRTB comes too late for Covid crisis
Expected shortfall would stop Basel 2.5 duplicate capital charges, but backtesting still a problem
Citi, Goldman edge above Collins floor
Both banks’ risk-based capital requirements will be set using advanced approach
ECB data spotlights credit risk-weight disparities
Weightings applied to standardised approach exposures far exceed those for IRB equivalents
Barclays used securitisations as credit risk shield in 2019
Risk-weighted assets for these exposures increased 44%
Low risk assets pile up at systemic US banks
Sub-100% risk-weighted assets increased by $157.9 billion
UK bank market RWAs ebbed in 2019
HSBC shed $5.9 billion of market RWAs in 2019
Goldman hits the Collins floor
Changes to loss-given-default models caused advanced approaches credit RWAs to plummet
Some EU banks can’t explain lowball credit model outputs
Negative unjustified deviations in capital requirements most widespread for corporate portfolios
EU banks pare back commodities risk
Risk-weighted assets for commodities trading positions under standardised approach fall almost 30%
Op risk modelling limited to largest EU banks
Smallest banks do not use AMA at all
Five eurozone G-Sibs cut op RWAs in Q3
Deutsche Bank cut €5.7 billion quarter on quarter
FRTB to double market RWAs of EU banks
Risk-weighted assets across 44 banks to increase 105% on average
Appetite for corporate credit risk grows at EU banks
Total credit RWAs increase 3.2% from end-September 2018 to end-June 2019
Wells Fargo could escape Collins floor
Op risk-weighted asset increases see advanced RWAs near standardised measures
JP Morgan revs up securitisation engine
Exposures receiving securitisation capital treatment increase by $13.7 billion year-on-year
Chafing under capital rules, JP Morgan sells home loans
Standardised risk weights for residential mortgages far exceed modelled equivalents
Loan appetite pushes credit risk higher at Goldman Sachs
Standardised credit RWAs for loans up 19% since end-2017
Op risk charges weigh on ANZ
RBNZ model ban and Apra op risk overlay push RWAs higher
Eurozone G-Sibs’ modelled risk weights well below average
Six of eight systemic lenders have modelled risk weights lower than the G-Sib and European mean
Double trouble: don’t blur FRTB deadlines, warns ECB
Ignoring reporting model deadline could muddy capital approval cut-off
PRA grants Barclays £1bn op risk capital relief
Op RWAs fall to £42.5 billion in Q3
Europe’s new default rules: a defined benefit?
EBA’s single definition of default will have multiple effects for credit risk management, say consultants from PwC
Over three years, credit risk has built up at Swiss banks
Credit Suisse has also reduced the portion of its credit RWAs calculated using internal models
Enria: no reason for EU to deviate from Basel output floor
ECB supervision chief urges lawmakers to implement contentious Basel III model constraints