Standardised approaches
BNY Mellon dips below Collins floor after surge in standardised RWAs
All nine US banks using internal models now bound by regulator-set approach
EBA’s correlated currencies shake-up raises EU banks’ charges
Capital requirements for FX risk double after EUR/USD and other 196 pairs deemed no longer in sync
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
Canada’s top dealers boost derivatives clearing as FRTB kicks in
BMO, RBC and TD Bank cleared record C$45.1 trillion in notionals in Q1
Canadian banks’ market RWAs spike on FRTB switch
CIBC, TD Bank and Scotia saw end-January charges jump amid overall ditching of internal models at Canada’s big five
Canada’s FRTB pioneers get snowed on fund-linked trades
As Basel capital reforms go live, risk managers eye early adopters’ progress and push to improve capital treatment of fund-linked products
Higher revenue pushes HSBC’s op risk up 14%
Increased net interest income over 2023 major driver behind six-year high figure
Standardised FRTB leaves banks befuddled on residual risk
Benchmarking exercises find “weak consensus” among banks over notional values for exotics
First Citizens’ high-volatility CRE loans doubled last year
Rise in 150%-weighted class of exposures largest among 260 US lenders
Capital One’s credit exposure riskiness set to rise post-merger
Discover acquisition would push share of assets with 100% risk-weight to six-year high, pro forma analysis shows
Why Canada is giving FRTB internal models the cold shoulder
“Crazy” cost of tech upgrades among reasons why banks snub own models to calculate market risk capital
ING’s op risk jumps 10% on model updates
Other European AMA users report moderate hikes
BoE puts American spin on fix for FRTB’s govvies dilemma
Four jurisdictions find four different ways to resolve Basel market risk capital quirk
RBI’s op risk charges climb 22% on input-series update
Recalibration reverses savings from discontinuation of AMA a year earlier
Basel III endgame expected to push PNC’s RWAs up 3%
Forecast from US regional much tamer than increases expected by advanced-approach banks
Regulators’ FRTB estimates based on faulty premise – industry study
US market risk capital requirements could more than double if banks abandon IMA
Climate capital in the balance as EBA rejects green risk weights
European regulator suggests climate change must be factored into existing risk categories
Loss of ruble volatility waiver costs UniCredit €2.2bn in RWAs
Lender forced to capitalise FX risk from Russian operations after ECB withdraws key exemption
ABN Amro ditches op risk modelling
Dutch lender latest EU bank to switch to the standardised approach ahead of SMA introduction in 2025
VAR breaches trip up Citi, CS USA and two others in Q3
Comerica’s VAR multiplier ratchets up while Huntington’s remains at record high
Party’s over as more banks drop internal models for market risk
At least three systemic banks in Europe intend to ditch IMA for capital requirements
As banks limit FRTB model use, outputs get more volatile
Risk managers say selection of stress window becomes more sensitive if fewer desks are on IMA
JP Morgan, BofA say Basel III plan could wipe out capital cushion
Banks forecast $82 billion cumulative hike in capital requirements from Fed proposals
Riskless assets hit three-year low at top US banks
JP Morgan drives shift, shedding more than $65 billion in risk-free exposures