Standardised approaches
Banks look back in anger as FRTB revives 1990s risk test
Institutions bemoan need for parallel framework to measure portfolios’ sensitivities to market moves
Investing in operational readiness to optimise FRTB capital
A forum of industry experts discusses the implementation of FRTB, the burden of investment into data and infrastructure for FRTB compliance, the considerations for banks in using the standardised approach (SA) and the internal model approach (IMA)
Challenges still lie ahead as FRTB implementation stalls
While Canada leads the way for implementation, all other jurisdictions are falling behind due to difficult requirements on both the standardised (SA) and internal models approaches (IMA) to the Fundamental Review of the Trading Book (FRTB)
US banks’ risk-free exposures keep falling
Assets with 0% risk-weighting lowest proportionally since Q1 2020, replaced by riskier exposures
RBI reverts to standardised op risk modelling
Austrian bank hopes switch away from AMA to temper requirements’ sensitivity to legal provisions
US credit risk modellers prepare for life after IRB
Stress tests and economic capital calculations may not carry the same weight as Basel ratio
SEB’s market RWAs drop 20% as FX positions recede
Fall in currency exposures below EU’s threshold in Q4 reversed Skr5.3bn RWA hit from previous quarter
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
At US banks, risk-free exposures hit lowest in two years
Just under a third of credit assets carried a 0% risk-weight in Q3
F-IRB captured more of EU banks’ credit risk in H1
Gains mostly accrued from bank-modelled A-IRB portfolios
Standardised market charges rose faster at IMA users in H1
Market convulsions and structural FX hedge crackdown felt less acutely at SA-only banks, finds EBA data
BMO suffers C$10bn capital floor bite
Charges to constraint-modelled RWAs rose sixfold during Q3
Looking beyond SA-CCR
An alternative calculation of exposure at default that handles complex portfolios is presented
Fragmented rules muddy Asian FRTB implementation
Banks and vendors warn risk factor data may not be usable across different jurisdictions
RBI, ING’s op risk charges inflated by AMA updates
RWAs rise a combined €4.8 billion at the two banks
EBA: more climate risk supervisory reporting is coming
Official anticipates effort to identify climate impact on internal models, concentration risk
Singapore’s UOB bucks trend to seek FRTB model approval
Despite data challenges, bank is opting for IMA to enhance risk management
Modelled RWAs diverge from standardised at Wells Fargo
Gap between the two methodologies hits $152bn – its widest ever
Some euro banks modelled lower mortgage risk in H1
Italian and Belgian lenders reported steepest drops in risk density despite recessionary threat
Hong Kong, India, Turkey lag behind on Basel III framework
Only Canada, Japan and Saudi Arabia ready for full implementation as January deadline approaches
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
Basel III output floor set to bind 24% of banks
Latest BCBS monitoring report shows four-fold increase over next seven years
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