Standardised approaches
HSBC’s SA market RWAs double on new structural FX rules
Move from Pillar 2 to Pillar 1 for unhedged FX risk adds $6.8bn of RWAs
Smaller EU nations stare down giants in capital floor standoff
EU member states clash over severity of internally modelled output floors for cross-border bank groups
EU lawmakers’ demand for local capital floors alarms banks
Multiple output floors applied to each entity raises fears of capital increase for large groups
FRTB capital quirk for sovereign bonds bewilders banks
EU treatment of govvies under internal models is worse than standardised approaches
Innovation in technology: International Swaps and Derivatives Association
Risk Awards 2022: Isda takes a fintech turn with quant analysis tool Perun, leveraging data standards legacy
CBA sees minimum CET1 up 225bp under Basel III
Apra’s review of the country’s capital framework leaves less wiggle room from January 2023
The Collins flaw: backstop turned binding constraint
US legislative tweak was meant to prevent banks from using their own capital models too liberally. It’s now something different
EU regulators warn Basel III deviations could last forever
CRR III allows European Commission to extend transitional rules for SA-CCR
Regulatory straitjacket adds $7bn to Danske’s credit RWAs
Remedials to improve internal models push total RWAs up 5%
All top US banks below Collins floor
None of the eight systemic banks in the country above the threshold for the first time since 2015
Morgan Stanley curbs SA-CCR impact on core ratio
Impact of early implementation far below original estimates thanks to mitigatory action
SA-CCR switch pushes Goldman below Collins floor
Early adoption at the end of 2021 adds $15 billion of RWAs
Wells Fargo RWAs drift apart
Standardised RWAs have increased for three consecutive quarters, putting pressure on the bank’s CET1 capital ratio
Citi bolstered CET1 ratio on eve of SA-CCR switch
Standardised RWAs dropped 5% in Q4, boosting the bank’s core ratio by 55bp
SA extends reach over EU banks’ market and op risk
Regulator-devised models have been capturing a bigger chunk of RWAs through the pandemic
EU offers reprieve for fund-linked derivatives trades
Banks hope FRTB draft allowing fund managers to supply standardised inputs will cut risk weights
Basel crypto rules: bad for traders, good for risk managers?
Practitioners divided over potential bank capital treatment for assets with no intrinsic value
Leaked EU proposals show FRTB divergence on carbon trading
EC takes up Isda call to cut standardised risk-weight; unclear if it applies to non-EU markets
Barclays’ risk pare-back sees market RWAs fall £3bn
The majority of market risk is now assessed under the regulator-set standardised approach
Regulatory feedback adds $23bn to Goldman’s RWAs
The revision to the bank's standardised RWAs brought it closer to hit the so-called Collins floor
Making the cut: EU eyes Isda’s carbon trading proposals
EBA fears suggested treatment of emissions would be misaligned with rest of FRTB
Early SA-CCR adoption to lop 120bp off Morgan Stanley’s CET1 ratio
The planned switch is set to increase the bank’s RWAs by between $35bn and $45bn
IMA to retain large role in setting market risk capital post-FRTB
Gyrations over 2020 mean a bigger share of market risk requirements could be underpinned by internal models post-reform
Weather, or not: is climate risk just part of credit risk?
Practitioners divided on whether climate risk can fit into existing credit risk weights