Banking book
A tech-driven transformation
A panel of experts explores how greater collaboration between risk and finance teams can garner significant benefits and add value, how technological innovation is making the regulatory landscape more complicated to navigate and produce transformative…
A helping hand – Addressing industry concerns
The Basel Committee on Banking Supervision’s final revisions to the FRTB guidelines aim to address industry concerns around complexity and capital implications. A forum of industry leaders discusses whether the changes have been effective and how banks…
UniCredit plans Italian bond retreat
The bank's BTP portfolio is currently larger than those of Intesa Sanpaolo, Banco BPM and Mediobanca combined
Structured product holdings fall at big US dealers
Morgan Stanley's portfolio more than halves in 2018 to $401 million
UK Treasury never analysed impact of risk weights for EU debt
Risk weight move seen as political threat to EU sovereign issuance to force Brexit equivalence deal
ABN Amro sustains assault on market risk
The bank's market RWAs dropped 24% quarter to quarter, to €1.7 billion, following a 41% reduction in the first quarter
FRTB threatens dynamic forex hedging of capital ratios
Industry says recent Basel proposals are unclear and retain burden of pre-approval for hedges
Tranche warfare: uphill struggle for euro safe bonds
Junior tranche and regulatory impasse are key challenges for pan-eurozone sovereign bond-backed securities
Dealers warn of FRTB impact on funding programmes
EMTNs issued by treasury functions may need to be moved to trading desk because of new market risk rules
FRTB could hit syndicated loans, banks fear
Accounting classification would lump assets into regulatory trading book
Default risk charge: modeling framework for the “Basel” risk measure
This paper presents a comprehensive model framework for DRC that is compliant with the revised Basel regulatory framework.
IASB revives IFRS 9 project to recognise portfolio hedging
Banking book behavioural complexity could still stymie attempts to facilitate macro hedging
FRTB survey: risk transfer shake-up hits home
Dealers mull creation of dedicated risk transfer desks but approval process remains unclear
FRTB: banks fearful of risk transfer missteps
Short credit and equity positions held in banking book will be caught by market risk capital requirements
Bankers fear confusion over Basel IRRBB disclosures
Differing discount methods and EVE approach will need explaining to investors
Basel interest rate risk disclosures "problematic"
IRRBB could reveal commercially sensitive information and mislead analysts
Default risk floors threaten €72bn of RWAs in EU
Risk.net analysis finds PD floor would hit a swath of low-risk corporate loans at the biggest EU banks
The drawn-out death of a standard IRRBB charge
For 23 years, regulators have been trying – and failing – to standardise banking book rates risk
Basel abandons plans for Pillar 1 rates risk charge
No standard charge for banking books, but souped-up Pillar 2 still worries critics
Step ahead of shadow banks and stay within your risk appetite
Content provided by IBM
Keeping score: Evolving wholesale credit on a maturity model
Content provided by IBM