Basel Committee on Banking Supervision (BCBS)
Share of op risk modelling falls at European banks
Less than half of analysed dealers rely on the AMA, as introduction of new standardised approach looms large
US takes scissors to repos. In Europe, it’s not cut and dried
Stateside banks fear disadvantage over haircut rules that EU sees as not ready to implement
Norinchukin’s RWAs up 21% as Basel III formulas react to market volatility
Market charges up 230% in harsh test of new standardised approaches
UBS leapfrogs global peers following Credit Suisse takeover
Swiss lender reports big increases in RWAs, leverage exposures and other key metrics
How operational risk managers won a battle and lost a war
Applying op risk capital to US regional banks is positive, but the SMA may not be fit for purpose
Rate of cleared OTC derivatives rises at European banks
Swedbank leads dealers in secular trend towards clearing space
European banks’ systemic indicators surged in 2022
Higher values for 10 of 14 systemic risk indicators could see capital surcharges increase later this year
Industry divided on whether Europe should delay FRTB
Most bankers prefer to keep to earlier start date, even though it puts continent out of sync with US
JPM’s new EU arm is bloc’s 4th largest derivatives bank
Frankfurt-based dealer eclipsed homegrown G-Sibs in 2022 on several indicators
JP Morgan only bank set to benefit from Fed’s G-Sib review
Proposal to reduce ‘cliff effects’ would generate 10bp surcharge relief while four peers face higher requirements
The strange effect of US clampdown on FRTB models
Ban on internal models for trading book default risk could provide some banks with unexpected capital relief
US banks rue missed opportunity to reform G-Sib surcharge
As method 2 drifts away from Basel, critics fear comparability and competitiveness will suffer
Banks slam zombie floors in Basel endgame proposal
US regulators double down on capital floors despite clampdown on internal models
Modelled RWAs diverge further from standardised at BNY Mellon
Gap grows to highest since 2019, pushing bank high above Collins floor
US G-Sibs face higher add-ons in Barr’s surcharge framework review
Fed vice-chair proposal to reduce ‘cliff effects’ could add between 40bp and 10bp to capital requirements
Fed urged to focus on resolvability in Basel III endgame
Industry roundtable suggests resolution planning should take priority over higher G-Sib charge
Goldman could face higher capital charge under Barr proposal
Plans to prevent G-Sib score window dressing would penalise all US systemic banks bar Citi
EU banks balk at new market risk models back test
EBA proposals introduce additional expected shortfall back test for market capital risk models under FRTB
Trading volume surged at ABN Amro and BNPP in 2022
Banks’ role in secondary market intermediation continues to grow as Deutsche retreats, G-Sib indicators show
Goldman on course for 3.5% G-Sib surcharge
Bank faces 50bp of extra capital add-on from 2025 in the absence of risk score reduction by year-end
Risk managers mull Basel-style climate standards
Risk Live: Splintered approach to stress-testing across jurisdictions “very, very worrying”, says risk expert
Regulators’ remorse: SVB and the case for IRRBB capital charges
Basel Committee chair among those who say Pillar 1 capital requirement could have helped control SVB risks
Basel’s IRRBB shock scenario update hit by US crisis
Recalibration of shocks had been touted for Q3, but wider rethink may now cause delay
First Citizens leads regional bank rush for riskless assets
Share of 0% risk-weighted assets increases at small banks for first time in seven quarters