Default risk floors threaten €72bn of RWAs in EU
Risk.net analysis finds PD floor would hit a swath of low-risk corporate loans at the biggest EU banks
Proposals requiring banks to assume higher default risks for their least risky corporate borrowers will affect up to €72 billion in risk-weighted assets (RWAs) at 15 of Europe's largest banks, according to data collected by Risk.net. Barclays and Deutsche Bank contribute roughly a quarter of the total.
Bank capital requirements are set as a percentage of RWAs, which can be calculated in three different ways: using a standardised approach or two different modelled approaches. On March 24, the
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
More on Basel Committee
FRTB implementation: key insights and learnings
Duncan Cryle and Jeff Aziz of SS&C Algorithmics discuss strategic questions and key decisions facing banks as they approach FRTB implementation
Basel concession strengthens US opposition to NSFR
Lobbyists say change to gross derivatives liabilities measure shows the whole ratio is flawed
Basel’s Tsuiki: review of bank rules no free-for-all
Evaluation of new framework by Basel Committee will not be excuse for tweaking pre-agreed rules
Pulling it all together: Challenges and opportunities for banks preparing for FRTB regulation
Content provided by IBM
EU lawmakers consider extending FRTB deadline
European Commission policy expert says current deadline is too ambitious
Custodians could face higher Basel G-Sib surcharges
Data shows removal of cap on substitutability in revised methodology would hit four banks
MEP: Basel too slow to deal with clearing capital clash
Isda AGM: Swinburne criticises Basel’s lethargy on clash between leverage and clearing rules
Fears of fragmentation over Basel shadow banking rules
Step-in risk guidelines could be taken more seriously in the EU than in the US
