Internal models
European Commission in ‘listening mode’ on potential FRTB changes
Delay or relief measures on the table after UK postpones start of Basel III to 2027
Morgan Stanley’s CVA capital charges surge 42% in Q3
Jump in simple approach output drives RWAs to highest since 2020
Mizuho faces steepest capital squeeze from Basel floor
Fully floored RWAs would cut core capital ratio by 244bp, the sharpest drop among Japanese megabanks
Basel III slashes $78bn in RWAs from top Singapore banks
Credit and operational risk recalibrations fuel double-digit falls at DBS, OCBC and UOB
Finma add-on drives UBS’s market RWAs to eight-year high
Swiss regulator adds $1.4bn to mitigate maturity mismatch risk within IRC
Volatility drives up NatWest’s market RWAs despite IMA efficiencies
Higher VAR and SVAR readings overshadow £373 million saving from broader modelling scope
Nordea’s credit RWAs surge €19bn as ECB approves new retail models
Revised risk-weightings for mortgages drive sharp rise in credit risk
BNP Paribas exec fears data drought from market’s IMA cuts
Vendors may not step up with critical inputs to support internal models under FRTB
FDIC’s McKernan wants single capital stack in Basel III endgame
Rebuffing Barr’s offer of a partial rollback, Republican director also targets op risk framework
SVAR hits seven-year high at Crédit Agricole
Stressed trading-loss measure rose 14% on average in first six months of 2024
Climate stress tests are cold comfort for banks
Flaws in regulators’ methodology for gauging financial impact of climate change undermine transition efforts, argues modelling expert
Fourteen US banks poised to benefit from curtailed market risk rule
Fed’s changes to Basel III endgame proposal would keep regional banks with limited trading activity exempt from costly FRTB requirements
ANZ takes A$20bn RWA add-on from capital floor
Charges linked to output floor adjustment rose sevenfold in the second quarter
Nykredit reclassifies Dkr70bn of credit risk to A-IRB
Reserves held in anticipation of upcoming regulatory requirements transferred from F-IRB approach in Q2
EU banks lose relief on model test after FRTB delay
Deferment of new trading book regime to January 2026 eats into transition period for “erratic” P&L attribution test
Study finds just 10 banks plan to apply for FRTB models
Research provides extra insight on reasons for decline in internal models
Shift to SEC-SA pushes Helaba’s charges for securitisation exposures to record high
Standardised RWAs account for 63% of the bank’s total following fivefold increase
ABN Amro, Intesa lead EU IMA users with RWA surges
Rates volatility tests models in their twilight years before FRTB forces shelving
Japanese banks far apart on credit model efficiency under Basel III
MUFG lowered credit and CCR charges the most among country’s top dealers
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 III endgame: why moving fast might prove better for banks
Republicans are pushing for reproposal, but a rapid finalisation may prove less far-reaching