RBI’s modelled market charges surge 31% as SVAR spike
Widespread volatility in first half of year inflated stressed gauge despite 2022 wind-down of rouble positions
Raiffeisen Bank International’s (RBI) modelled market risk charges surged 31% in the first six months of the year, as a trading frenzy buoyed the daily potential-loss gauge, even after the bank exited volatile Russian ruble positions last year.
The Austrian bank’s modelled market risk-weighted assets (RWAs) rose from €1.3 billion ($1.37 billion) at end-2022 to €1.5 billion at end-March and €1.6
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 Risk Quantum
Huntington, Fifth Third set to become Cat III banks in 2026
Purchases of Cadence and Comerica expected to lift assets above $250bn threshold, triggering stricter regulatory requirements
Euro credit growth catches up with dollar in global flows
Cross-border lending hits $37trn as euro flows gain ground
Popular Inc sees highest NPL inflow since 2012
Telecoms and hotel loans behind $242 million in new NPLs in Q3
FICC takes record bite from MMF repo investments
Funds shift cash from the Fed’s ON RRP as cleared repos hit $1.11trn
Default risk overtakes credit spreads in Japan's first year under FRTB
Securitisation charges lift a bigger slice of banks’ market risk requirements
Lower SCBs bring Citi, JPM close to Collins floor
Uncertainty lingers amid Fed proposal on SCB averaging and push to scrap the floor
Japan Post’s HTM markdowns grow 21% in Q3
Markdowns on securities hit record ¥2.7trn
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
