Basel Committee on Banking Supervision (BCBS)
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
Op risk managers say models will survive phase-out of AMA
Risk Live: Supervisory focus expected to shift to Pillar 2 capital, and ILM may make a comeback in Europe
Model teams fear budget cuts as FRTB wipeout looms
Senior modellers think supervisory intervention is needed to prevent funding drought
People: Barclays’ macro trade reshuffle, UBS board moves, and more
Latest job changes across the industry
Shocks to the system: how Basel IRRBB update affects new EU test
Disclosures suggest more banks will be classified as outliers on net interest income assessment
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
Japanese banks reap ¥9trn RWA savings from FRTB switch
Tokyo’s dealers fare better than overseas rivals on new CVA and market risk approaches
Basel triggers new tussle on anti-Archegos rules
Critics argue new guidelines on counterparty credit risk are either unworkable, or don’t go far enough to tackle concentration and wrong-way risk
Basel III endgame: why moving fast might prove better for banks
Republicans are pushing for reproposal, but a rapid finalisation may prove less far-reaching
Basel war on window-dressing may smooth liquidity, at a price
Changes to G-Sib charge could curb year-end repo volatility, but also cut balance sheet capacity
One year on, regulators still want a cure for bank runs
Broad support for higher outflow assumptions on uninsured deposits, but that won’t save insolvent banks
Basel Committee reviewing design of liquidity ratios
Focus on LCR and NSFR after Silicon Valley Bank and Credit Suisse, but assumptions may not change
Industry calls for major rethink of Basel III rules
Isda AGM: Divergence on implementation suggests rules could be flawed, bankers say
US banks’ IRRBB transparency: one step forward, two steps back
A year on from the 2023 crisis, more lenders monitor EVE sensitivity, but full Basel-like disclosures remain the exception
BofA, Citi, JPM slash $18trn of derivatives in latest window dressing effort
Systemic indicator reduction in Q4 keeps lid on trio’s capital surcharges
Six US G-Sibs face higher surcharges under Fed’s proposals
Goldman and BNY Mellon only top banks to escape increase, analysis shows
Goldman faces higher 3.5% G-Sib surcharge in 2026
50bp step up in capital add-on looms after dealer’s systemic footprint rose to a record high in 2023
CFTC hears ‘call to action’ from swaps end-users on Basel III
Commissioner Pham mulls engaging with prudential regulators over capital hit on clearing
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
Proposed CCP margin disclosures may be ‘destabilising’, Eurex warns
BCBS-Iosco consultation calls for daily disclosure of margin calls
Standardised FRTB leaves banks befuddled on residual risk
Benchmarking exercises find “weak consensus” among banks over notional values for exotics