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FRTB capital quirk for sovereign bonds bewilders banks

EU treatment of govvies under internal models is worse than standardised approaches

United kingdomPanayiotis dionysopoulosThomas obitzEuropean unionInternational swapsDerivatives associationBasel committeeBasel committee on banking supervisionEuropean central bankEuropean commissionBanking supervisionFundamental reviewTrading bookCapital requirements regulationSingle supervisory mechanismBasel committee on banking supervision bcbs

The changing face of credit portfolio management at banks

The final Basel III framework will require banks to rethink capital allocation and risk transfer strategies in light of new rules on calculating risk-weighted

Moody 039s analyticsBasel iiiIsk weighted assets rwasStandardised approachesRedit portfolio management cpmRisk management

Citi s stress-test estimates out of sync with Fed s

Bank lowballed capital hit in DFAST 2023 more than any other US systemic lender

Risk quantumCommon equity tierBank of americaBny mellonFederal reserveGoldman sachsJp morganMorgan stanleyState streetWells fargoNited states usCapital bufferCapital ratioOmmon equity tier 1 cet1 capitalDodd frank actFinancial markets

IRC capital charges surge at Deutsche and Intesa

Risk-weighted assets covering default and downgrade of traded bonds all but double at Italian lender

Intesa sanpaoloEuropean unionDeutsche bankAbn amroBnp paribasCrédit agricoleDanske bankDeutsche bankNg groupIntesa sanpaoloSociete generaleNcremental risk charge ircNternal models approach imaIsk weighted assets rwasTrading bookCorporate bonds

Citi s CVA charge up 7% in Q1

Bank retains the highest capital requirements of any US dealer, ahead of JP Morgan and Bank of America

Jp morganNited states usCredit valuation adjustment cvaCounterparty credit riskCounterparty riskCredit spreadsIsk weighted assets rwasCapital requirementsInternal modelsIsk quantum

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