EEA
BNP, Deutsche, SocGen face steep RWAs surge under FRTB SA
Pro forma disclosures for output floor show 2.5–2.8x increases if banks used only standardised formulas – far above peers
European banks swell stocks of complex instruments
Derivatives and hard-to-value holdings rose across the bloc in 2024
UniCredit’s VAR cools as Commerz swaps convert to shares
Average reading down by over a third after Italian bank settles part of its stake in the German lender
Danske shrinks CVA capital charges 44% after hedge revamp
Credit protection buying spree helps cut capital requirements to lowest level since 2014
The IMA map: charting market risk capital under Basel 2.5
The current market risk framework refuses to be superseded. Risk.net dissects banks’ disclosures to explore how trading book capital requirements have evolved
BNP Paribas’s CVA risk charges swell 56% on Basel III overhaul
Impact of new formulas is largest yet for a G-Sib
Basel III switch sends BNP Paribas’s op risk charges up 60%
Blow-up follows shelving of AMA model previously underpinning over two-thirds of op RWAs
UniCredit tops Europe’s VAR breach leaderboard in 2024
Swedbank, Commerzbank and SocGen among model users repeatedly blindsided by volatility
RBI’s structural FX charges climb on unhedgeable ruble
Trading-book RWAs under the standardised approach have soared 234% since Ukraine invasion
ABN Amro, Intesa lead EU IMA users with RWA surges
Rates volatility tests models in their twilight years before FRTB forces shelving
EBA’s correlated currencies shake-up raises EU banks’ charges
Capital requirements for FX risk double after EUR/USD and other 196 pairs deemed no longer in sync
EU exposures carve-out cuts BNPP’s G-Sib surcharge once more
French bank remains sole beneficiary of intra-bloc cross-jurisdictional activity waiver for the second consecutive year
Top EU banks’ OTC derivatives climbed 12% in 2022
All but two dealers report higher notional amounts, led by Crédit Agricole
CaixaBank, UniCredit most exposed to rate increases in Europe
Banks report largest hits in IRRBB tests, but remain clear of fail threshold
RBI reverts to standardised op risk modelling
Austrian bank hopes switch away from AMA to temper requirements’ sensitivity to legal provisions
Swedbank takes $3.47bn RWA hit from credit model overhaul
Rejig of IRB models is expected to reduce the bank’s Pillar 2 requirement
OTC share of EU gas derivatives surges to 25%
Energy price cap may supercharge flight from ETDs and affect CCPs’ ability to manage risks, Esma warns
Covid-forborne and state-backed loans keep creaking louder
Share of non-performing ex-moratoria and guaranteed exposures at EU banks balloons amid energy crisis, EBA data shows
F-IRB captured more of EU banks’ credit risk in H1
Gains mostly accrued from bank-modelled A-IRB portfolios
Rifts widen across EU banks’ trading results
Largest fair-value hits from HFT assets moved further from median in H1
Standardised market charges rose faster at IMA users in H1
Market convulsions and structural FX hedge crackdown felt less acutely at SA-only banks, finds EBA data