Japanese banks reap ¥9trn RWA savings from FRTB switch

Tokyo’s dealers fare better than overseas rivals on new CVA and market risk approaches

Japanese dealers’ implementation of the final Basel III framework for credit valuation adjustment (CVA) and market risk has relieved them of a combined ¥8.79 trillion ($56.1 billion) in risk-weighted assets (RWAs).

With the new regime effective from March 31, Mitsubishi UFJ Financial Group (MUFG), Mizuho Financial Group, Sumitomo Mitsui Financial Group (SMFG) and Sumitomo Mitsui Trust Holdings (SMTH) dropped internal market risk modelling, which underpinned between 55.6% and 93.7% of their

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