Internal models approach (IMA)
Nomura wins NMRF reprieve from Japan’s FSA
Relief granted due to scarcity of vendors offering pricing data for market risk models
Nomura’s FRTB models reap 33% saving on debut
Trading desks cleared for new IMA’s use win ¥225 billion relief on end-March capital requirements
Barclays logs five VAR breaches amid tariff turmoil
Bank’s regulatory VAR model loses green status for the first time since 2018
Double VAR breach in Q2 adds $4.1bn to JP Morgan’s market RWAs
Sixth regulatory backtesting exception in nine months lifts the multiplier above minimum for the first time since Q3 2022
Basel III overhaul doubles Nomura’s credit risk
Surge reflects asset migration and new equity treatment
Will the UK’s FRTB time warp turn into a horror show?
UK regulator’s proposed transition year in 2027 could double banks’ implementation work
European Commission already preparing next FRTB move
As EC runs out powers to delay rules again, proposal for temporary capital relief is on the agenda
Bank of England floats ‘quasi-IMA’ in FRTB standardised method
Dealers welcome new route to capitalising residual risk, but it could fragment global ruleset
Market shocks push IRC to records at EU banks
Component for default and migration risk hits new highs at several dealers
UniCredit’s market RWAs would inflate 75% under FRTB
Pro forma figures for capital floor give first look at de-modelling impact on a major EU dealer
StanChart market RWAs surge to record $37bn
SVAR jump alongside higher interest rate and FX risk behind Q1 spike
The VAR-centric models that never were
Often spotlighted, rarely dominant – VAR plays a surprisingly small role in most IMA stacks
Barclays takes selective approach to FRTB IMA applications
Risk Live: UK bank is applying for approval for parts of its portfolio most likely to pass approval tests
‘I feel like a guinea pig’ – lessons from an early IMA adopter
Risk Live: Nomura’s Epperlein urges flexible approach to backtesting exceptions
The IMA map: charting market risk capital under Basel 2.5
The current market risk framework refuses to be superseded. Risk.net dissects banks’ disclosures to explore how trading book capital requirements have evolved
EC to decide on FRTB delay within ‘days’
Isda AGM: Consultation finds support for delay, with some wanting to go live with targeted changes
JP Morgan’s VAR limits blown twice during haywire Q1
Breaches add to the two regulatory backtesting exceptions sustained the previous quarter
EU edges closer to calming FRTB fund-linked fray
Dealers say temporary solution is a step in the right direction but won’t fully resolve all issues
European Commission changes tune on proposed FRTB multiplier
Banks fear departure from original diversification factor undermines case for permanent relief
Trading desks want regulators to face down the NMRF monster
Rule-makers in Australia and the European Union are open to changes to the unpopular FRTB test
UniCredit tops Europe’s VAR breach leaderboard in 2024
Swedbank, Commerzbank and SocGen among model users repeatedly blindsided by volatility
Can Europe’s FRTB refurb bring banks back to Club IMA?
Softening the NMRF regime permanently might have the most impact, but the output floor still hurts
UBS’s CVA charges spike by 30% under new market risk regime
Proportional impact is higher than at any FRTB adopter so far
UBS takes standardised approach for FRTB – for now
Swiss bank is one of the largest to drop internal models; sources say it could switch later