Internal models approach (IMA)
Commerzbank wager swells UniCredit’s modelled RWAs by 62.5%
Total return swaps on German shares inflate VAR and SVAR components
BNP Paribas exec fears data drought from market’s IMA cuts
Vendors may not step up with critical inputs to support internal models under FRTB
SVAR hits seven-year high at Crédit Agricole
Stressed trading-loss measure rose 14% on average in first six months of 2024
Running the numbers on Barr’s Basel III endgame revisions
Fed vice-chair’s plan to ease capital requirements for big banks still lacks critical details
Fourteen US banks poised to benefit from curtailed market risk rule
Fed’s changes to Basel III endgame proposal would keep regional banks with limited trading activity exempt from costly FRTB requirements
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
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
ABN Amro, Intesa lead EU IMA users with RWA surges
Rates volatility tests models in their twilight years before FRTB forces shelving
Model teams fear budget cuts as FRTB wipeout looms
Senior modellers think supervisory intervention is needed to prevent funding drought
Loss of diversification benefits ‘will drive higher FRTB charges’
Independent study backs industry’s claims of significant rise in market risk capital requirements
Credit Suisse USA posts trading loss for 288% of VAR
Swiss bank’s subsidiary one of only three US dealers to incur backtesting exception in Q1
As risk of US Basel delay grows, Europe is in a bind over CVA
European Commission may postpone FRTB, but it’s hard to separate surgically from rest of framework
Japanese banks reap ¥9trn RWA savings from FRTB switch
Tokyo’s dealers fare better than overseas rivals on new CVA and market risk approaches
HSBC, StanChart SVAR charges hit multi-year highs
Stressed trading-loss measure makes up 43% of banks’ modelled market risk charges
Revealed: the three EU banks applying for IMA approval
BNP Paribas, Deutsche Bank and Intesa Sanpaolo ask ECB to use internal models for FRTB
HSBC, Intesa incorporate 2022–23 downturn into SVAR models
Turbulent past two years implied to be worse than GFC in stressed simulations
Japanese megabanks shun internal models as FRTB bites
Isda AGM: All in-scope banks opt for standardised approach to market risk; Nomura eyes IMA in 2025