Standardised approaches
Nine jurisdictions yet to finalise Basel III rules
Turkey and South Africa worst laggards, with no final drafts published
ANZ takes A$20bn RWA add-on from capital floor
Charges linked to output floor adjustment rose sevenfold in the second quarter
Nykredit reclassifies Dkr70bn of credit risk to A-IRB
Reserves held in anticipation of upcoming regulatory requirements transferred from F-IRB approach in Q2
New CRE model adds $1.8bn to UBS’s RWAs
Swath of exposures moved from standardised to IRB approach in the second quarter
EU banks lose relief on model test after FRTB delay
Deferment of new trading book regime to January 2026 eats into transition period for “erratic” P&L attribution test
Some EU banks wanted option to start FRTB on time
Representatives of member states raised possibility with European Commission at July meeting discussing the delay
NatWest securitisation RWAs hit record high in Q2
Higher amounts of significant risk transfers originated by the bank behind latest increase
The challenges of standardised credit risk assessments for banks under Basel III
A white paper addressing the challenges of standardised credit risk assessments (SCRA) for bank exposures under Basel III, including changes to risk-weighted assets and SCRA implementation
Study finds just 10 banks plan to apply for FRTB models
Research provides extra insight on reasons for decline in internal models
Discord deepens over fund-linked trades in FRTB
More banks use punitive approach to capital treatment under new trading book regime, irking regulators
Vendors lack silver bullet for FRTB’s fund-linked issue
EU and UK legislators tried to ease capital charge by leaning on vendors, but problems persist
Shift to SEC-SA pushes Helaba’s charges for securitisation exposures to record high
Standardised RWAs account for 63% of the bank’s total following fivefold increase
Does Basel’s internal loss multiplier add up?
As US agencies mull capital reforms, one regulator questions past losses as an indicator of future op risk
RBI’s structural FX charges climb on unhedgeable ruble
Trading-book RWAs under the standardised approach have soared 234% since Ukraine invasion
Why FRTB models are on the edge of extinction
With only four banks known to be applying to use internal models for market risk, the fate of advanced modelling looks precarious
FRTB data-quality issues persist amid shifting start dates
Even the standardised approach poses tricky market and reference data challenges
Model teams fear budget cuts as FRTB wipeout looms
Senior modellers think supervisory intervention is needed to prevent funding drought
At BayernLB, Nykredit and Erste, op risk charges hit multi-year highs
Annual model recalibrations responsible for double-digit rises
Loss of diversification benefits ‘will drive higher FRTB charges’
Independent study backs industry’s claims of significant rise in market risk capital requirements
Norinchukin hit with 54% rise in op RWAs
Recalibration of underlying parameters is first under new standardised measurement approach