Internal models
IRB risk-weights highest at smallest EU banks – ECB
Lenders with less than €30 billion in assets consistently report lower risk densities than bigger banks across all modelled portfolios
BNY Mellon, Goldman join Citi in escaping Collins floor
Outpaced drop in standardised RWAs pushes banks above threshold – but custodian only bank to reap benefits
F-IRB captured more of EU banks’ credit risk in H1
Gains mostly accrued from bank-modelled A-IRB portfolios
US banks’ loss-to-VAR ratios fell in Q3
Largest daily trading losses were on average 84% of forecast, compared with 105% in Q2
BMO suffers C$10bn capital floor bite
Charges to constraint-modelled RWAs rose sixfold during Q3
Ulster Bank exit sheds £8.7bn off NatWest’s A-IRB credit RWAs
Reversal to standardised approach helps lower capital charges in Q3 despite €514m exit costs
RBI, ING’s op risk charges inflated by AMA updates
RWAs rise a combined €4.8 billion at the two banks
Vol pushed HSBC’s modelled market risk up 37% in Q3
Erratic markets in Europe and Asia blamed for $6.4bn increase led by VAR and SVAR-based charges
NatWest’s modelled market RWAs up 10% on RNIV backstop
Bank sees higher charges while it reworks VAR engine
As interest rates surge, bankers fret over last year’s models
IRRBB modellers trying to predict client behaviour have little relevant data to fall back on
EBA to scrutinise banking book models amid macro turmoil
Banking regulator raises concerns as bankers doubt their IFRS 9 and IRRBB models
Modelled RWAs diverge from standardised at Wells Fargo
Gap between the two methodologies hits $152bn – its widest ever
A-IRB to lose credit risk reach under Basel III
Americas banks expected to generate just 40% of RWAs using internal models, from 67% currently
SA-CCR’s sacrifice: who stands to lose from new capital rules
Risk.net research shows the potential for dealers to be left at a disadvantage to their foreign rivals
Basel III output floor set to bind 24% of banks
Latest BCBS monitoring report shows four-fold increase over next seven years
European banks set for 17.5% capital hike under Basel III
Output floor could account for almost half the increase in Tier 1 capital requirements by 2028
$899m margin breach at FICC’s mortgage unit
Three-day move in TBA prices on June 9 triggered second-highest backtesting deficiency to date
EBA eyes top-down stress test for credit risk
European version of CCAR is off the table, but more projections are likely to be modelled by regulator
A chilly reception for climate risk capital
Bankers don’t believe climate-adjusted risk-weights will enter EU prudential framework – not for now, at least
EU banks add overlays as crises evade modelling
Lenders buttress provisions against unpredictable fallout from Russia's invasion of Ukraine
EU Parliament creates multiverse of SA-CCR outcomes
Some MEPs want to ease rules further than EC draft; others want return to undiluted Basel text
Banks relieved as EBA punts on dual-track stress tests
Hybrid approach for 2023 will see top-down models used to project net fee and commission income only
PRA’s pot shots threaten Simm’s global ubiquity
UK regulator’s push to improve model governance could tip non-cleared derivatives market into chaos
Citi, BNY Mellon escape Collins floor
Both banks return above the threshold after just two quarters