Norinchukin’s market RWAs blow up 342% in Q3
Fierce increase under FRTB regime lops 117bp off bank’s CET1 ratio
The Norinchukin Bank’s market risk capital requirements skyrocketed 342% in the three months to end-September, marking one of the steepest quarterly swings recorded under the Basel III framework among banks globally.
The bank’s market risk-weighted assets (RWAs) – calculated exclusively under the standardised approach since the bank became subject to the Fundamental Review of the Trading Book in March 2023 – ballooned to ¥2.37 trillion ($15.4 billion) from a record low of ¥535.1 billion set in
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