Standardised approaches
EU banks lose relief on model test after FRTB delay
Deferment of new trading book regime to January 2025 eats into transition period for “erratic” P&L attribution test
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
Santander USA cuts market risk charges by 16%
Trading risk consolidation under IHC inflates VAR charges, nets cut to total requirements
Japanese banks far apart on credit model efficiency under Basel III
MUFG lowered credit and CCR charges the most among country’s top dealers
Record number of US banks turned to riskless assets in Q1
Western Alliance leads pack with doubling of exposures in 0% bucket
ABN Amro takes €1.7bn RWA add-on from credit models rejig
Just over 40% of credit risk RWAs still calculated under the A-IRB approach, down from 90% two years ago
Japanese banks reap ¥9trn RWA savings from FRTB switch
Tokyo’s dealers fare better than overseas rivals on new CVA and market risk approaches
Lloyds’ standardised market risk charges tripled in Q1
Hedging-related setback pushes market RWAs to an all-time high
Op risk hits all-time highs at three Nordic banks
Regular updates drive record rises at Handelsbanken, Nordea and SEB