Incremental risk charge (IRC)
EU banks’ incremental risk charges up 20% in H1 2025
Heightened trading flows and worsening credit outlooks leave dealers with more risk-heavy books
Credit fears drive US banks’ IRC requirements to 2022 highs
JP Morgan, BofA lead with triple-digit surge in Q4
Deutsche’s IRC tops €8 billion in four-year high
Ballooning credit-event risk charge contrasts with Q3 drop at BNP Paribas, ING
Finma add-on drives UBS’s market RWAs to eight-year high
Swiss regulator adds $1.4bn to mitigate maturity mismatch risk within IRC
Commerzbank wager swells UniCredit’s modelled RWAs by 62.5%
Total return swaps on German shares inflate VAR and SVAR components
Volatility drives up NatWest’s market RWAs despite IMA efficiencies
Higher VAR and SVAR readings overshadow £373 million saving from broader modelling scope
SVAR spike drives Deutsche’s market RWAs up 20%
Risk positions in the FIC division behind highest figure in over three years
ABN Amro, Intesa lead EU IMA users with RWA surges
Rates volatility tests models in their twilight years before FRTB forces shelving
Model teams fear budget cuts as FRTB wipeout looms
Senior modellers think supervisory intervention is needed to prevent funding drought
EU banks’ incremental risk charges soared in volatile H2
Charge for traded-bond default and downgrade risk hit 10-year high at BNP Paribas
Deutsche’s IRC peaks at record high during H1
€905m charge for trading book default and migration is largest among global dealers
IRC capital charges surge at Deutsche and Intesa
Risk-weighted assets covering default and downgrade of traded bonds all but double at Italian lender
NatWest’s modelled market RWAs up 10% on RNIV backstop
Bank sees higher charges while it reworks VAR engine
EU dealers’ IRC charges surge on debt market jitters
Santander and Natixis among hardest hit, with charges up 117% over first six months of the year
Nordea’s IMA RWAs climb 11% in Q2
Relentless rise in VAR keeps pushing up bank’s market charges
NatWest’s market RWAs up 8% on higher VAR multiplier
Bank incurred regulatory backtesting exceptions amid heightened market volatility
After bruising EU model review, banks ask: ‘Why bother?’
Post-Trim changes erode capital savings from internal models while raising their running costs
ECB’s Trim found 900 flaws with 31 banks’ market risk models
Remedying shortcomings added €11 billion to market RWAs in aggregate
UBS market RWAs dropped 25% in Q3 as VAR cooled
High value-at-risk outputs dropped out of averaging window in Q3
Over four years, US banks blitz correlation trading risks
JP Morgan’s CRM charge has fallen 94% since Q1 2015
EU’s model study finds problems with bank VAR methods
Banks surveyed by the ECB had an average of 32 issues with their market risk models