Internal models approach (IMA)
Barclays’ risk pare-back sees market RWAs fall £3bn
The majority of market risk is now assessed under the regulator-set standardised approach
Making the cut: EU eyes Isda’s carbon trading proposals
EBA fears suggested treatment of emissions would be misaligned with rest of FRTB
IMA to retain large role in setting market risk capital post-FRTB
Gyrations over 2020 mean a bigger share of market risk requirements could be underpinned by internal models post-reform
After bruising EU model review, banks ask: ‘Why bother?’
Post-Trim changes erode capital savings from internal models while raising their running costs
Citi edges towards Collins floor
The gap between standardised and advanced RWAs has shrunk significantly during Q1
ANZ expanded credit model in Q1
Risk density of overall loan book declined quarter on quarter
Deutsche slashed market RWAs by one-fifth in Q1
Macro-hedging touted as RWA-saving tool
ECB’s Trim found 900 flaws with 31 banks’ market risk models
Remedying shortcomings added €11 billion to market RWAs in aggregate
HSBC pares down market RWAs after model update, VAR change
Risk-weighted assets for trading exposures fall $2.8 billion quarter on quarter
EU targets late 2024 for FRTB internal model reporting
Final IMA rules to be adopted in mid-2021 with three-year implementation period
Barclays leads Europe’s banks on trading risks
Top 20 banks with most trading risks accounted for 79% of market RWAs across EBA sample
Fed will start FRTB model approvals for US banks in 2021
Senior official says banks should now be deciding desk structure and readying backtests
Isda study reveals size of Covid’s trading book capital hike
Procyclicality led to aggregate 25% rise in market, CVA risk-weighted assets
Wells Fargo eyes escape from Collins floor
Advanced and standardised RWAs are just 1% apart
By crushing RWAs, Goldman sends its capital ratio soaring in Q3
Risk-weighted assets fall 5% in three months
Revised FRTB deadline poses further challenges for Asia‑Pacific banks
Essan Soobratty, product manager for regulatory data, New York; Eugene Stern, global head of product, market risk, New York; and Vicky Cheng, head of government and regulatory affairs, Asia‑Pacific, Hong Kong, at Bloomberg explore the additional…
Advanced approaches continue to bind Citi in Q2
Modelled RWAs fall slower than standardised over the three months to end-June
US banks face capital hit from resurgent advanced approaches
Banks pushed onto internal models wrestle with procyclical capital charges
Time for the standardised approaches to shine
Banks are playing a canny game of capital optimisation by toggling between internal models and regulator-set approaches
Credit models at odds with standardised approach on Covid
Increase to advanced approaches RWAs far outpaces growth to standardised
FRTB comes too late for Covid crisis
Expected shortfall would stop Basel 2.5 duplicate capital charges, but backtesting still a problem
Citi, Goldman edge above Collins floor
Both banks’ risk-based capital requirements will be set using advanced approach
UK bank market RWAs ebbed in 2019
HSBC shed $5.9 billion of market RWAs in 2019
HSBC leads EU banks on VAR measures
In aggregate, IMA risk exposures focused on traded debt