Internal models approach (IMA)
Harmonisation of FRTB data compliance requirements by local jurisdictions is crucial
Banks face uncertainty over changing responsibilities under the Fundamental Review of the Trading Book (FRTB), but potential jurisdictional divergence on new requirements for data vendors could add greater complexity to the roll-out of these new rules
UniCredit cuts market RWAs by 9%
Removal of capital requirements for FX risk sheds standardised RWAs by 68% in three months
Lloyds’ IMA RWAs up 43% in run-up to Ibor switch
VAR multiplier and RNIV charges rose in 2021 on account of transition risk
FRTB capital quirk for sovereign bonds bewilders banks
EU treatment of govvies under internal models is worse than standardised approaches
EU banks fear outlier status on non-modellable risk charges
Dealers face disadvantage if EU implements more granular and costly version of FRTB than US, UK
SA extends reach over EU banks’ market and op risk
Regulator-devised models have been capturing a bigger chunk of RWAs through the pandemic
EU offers reprieve for fund-linked derivatives trades
Banks hope FRTB draft allowing fund managers to supply standardised inputs will cut risk weights
New FRTB timeline makes Europe’s reporting phase ‘obsolete’
European Commission pencils in capital requirements to start at the same time as reporting exercise – or even before
Deutsche’s market RWAs hit 5-year low on VAR multiplier cut
Regulatory audit greenlit 0.5x cut in multiplier following bank’s overhaul of VAR approach
Big data challenges: unlocking opportunities for banks to rethink their data structures
Revisions to banks’ mandatory capital requirement regulations, to be implemented in a few jurisdictions in January 2023 and globally in 2024, will present these institutions with a massive challenge as the volumes of data they must manage and analyse…
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