Capital Requirements Directive (CRD)
EC to adopt NII outlier test within ‘weeks’
New IRRBB rules could come into force in early 2024; industry hoping EBA draft is softened
Party’s over as more banks drop internal models for market risk
At least three systemic banks in Europe intend to ditch IMA for capital requirements
Europe’s lenders sail into uncharted waters of the banking book
Regulators are pushing banks to map their credit spread risk. Here be dragons?
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
EU rulemakers lean towards Simm validation for dealers only
Council supports EBA proposal to narrow scope of rules, while parliament takes a tougher line
EU inks softer version of cross-border banking ban
Post-Brexit capital rules may allow Mifid activities, but corporate lending faces restrictions
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
EU banks fear Brexit battle over FRTB internal models
Bank of England approach looks easier, but that may not make much difference to model uptake
Banks dispute EBA’s new threshold for IRRBB test
Banks say new proposal for identifying outliers on net interest income is still too severe
Banks find new uses for discarded FRTB models
Much-maligned IMA models are being upcycled and repurposed for internal risk management
Banks look back in anger as FRTB revives 1990s risk test
Institutions bemoan need for parallel framework to measure portfolios’ sensitivities to market moves
ECB promises ‘proportionate’ approach to interest rate risk
But banks still fear regulatory and investor response if many are classed as outliers
More EU banks will fail new IRRBB test as rates push upwards
Half of all EU banks could cross outlier threshold for new test of net interest income
SA-CCR’s sacrifice: who stands to lose from new capital rules
Risk.net research shows the potential for dealers to be left at a disadvantage to their foreign rivals
A chilly reception for climate risk capital
Bankers don’t believe climate-adjusted risk-weights will enter EU prudential framework – not for now, at least
EU Parliament creates multiverse of SA-CCR outcomes
Some MEPs want to ease rules further than EC draft; others want return to undiluted Basel text
US banks’ Brexit gambit hit by EU cross-border ban
US firms trying to Brexit-proof their European operations could now be hit by CRD VI
‘Nightmare’ of uncertainty plagues FRTB model applications
Shifting timetable and rule tweaks that could alter incentives dampen appetite for internal models
Banks turn away from FRTB internal models in Europe
Drawbacks mean even fewer model approval applications planned than past ECB survey suggested
Why FRTB model test loves volatility, but hates hedges
Crucial P&L test for internal models easier to pass if price swings are large, or desks poorly hedged
Ex-Deutsche CRO: banks face hundreds of billions in climate fines
Banks risk becoming a “whipping dog” in the fight against climate change, says departing risk chief
Isda broadens FRTB carbon trading study to win over sceptics
New study shows risk weights too high for US markets, but data from 2008 still missing
EU banks decry threat of capital hit to UK CCP exposures
EBA says supervisors could apply charges to “excessive exposures” of euro derivatives at all non-EU clearing houses
Net zero banks playing catch-up in ECB climate review
Banks that aim to align to Paris Agreement still fall short on climate disclosures