Internal models
How operational risk managers won a battle and lost a war
Applying op risk capital to US regional banks is positive, but the SMA may not be fit for purpose
Goldman most threatened by Fed’s rejig of modelled capital charges
End of credit risk modelling and scaling up of SCB’s role could tip six US banks below minimum requirements
The strange effect of US clampdown on FRTB models
Ban on internal models for trading book default risk could provide some banks with unexpected capital relief
ING’s market risk up 13% on higher SVAR
Q2 figures marked reversal of downward trend for modelled market RWAs
Banks slam zombie floors in Basel endgame proposal
US regulators double down on capital floors despite clampdown on internal models
Modelled RWAs diverge further from standardised at BNY Mellon
Gap grows to highest since 2019, pushing bank high above Collins floor
US banks’ stress-test projections stray further from Fed’s in 2023
Average gap between Fed- and bank-estimated depletions more than double from previous two DFASTs
Five banks lowballed loan losses in latest DFAST
Banks project $23bn smaller hit to loan portfolios, with Wells Fargo and Citi the most off-target
Citi’s stress-test estimates out of sync with Fed’s
Bank lowballed capital hit in DFAST 2023 more than any other US systemic lender
SA-CCR charges surge at BNP Paribas and ING
Dealers’ RWAs rise combined €3.1bn in volatile Q1, among biggest quarterly jumps since SA-CCR’s EU debut
Citi’s CVA charge up 7% in Q1
Bank retains the highest capital requirements of any US dealer, ahead of JP Morgan and Bank of America
US arms of Credit Suisse, SMBC stumble on VAR
Breaches of trading forecasts in Q1 result in higher value-at-risk multipliers for the duo
JP Morgan on course to escape Collins floor
Gap between standardised and modelled RWAs at its smallest since 2016
Banks find new uses for discarded FRTB models
Much-maligned IMA models are being upcycled and repurposed for internal risk management
Finma cools off UBS’s VAR model overhaul
Estimated $1.3bn RWA benefit temporarily offset by regulatory add-on
IRB risk-weights highest at smallest EU banks – ECB
Lenders with less than €30 billion in assets consistently report lower risk densities than bigger banks across all modelled portfolios
BNY Mellon, Goldman join Citi in escaping Collins floor
Outpaced drop in standardised RWAs pushes banks above threshold – but custodian only bank to reap benefits
F-IRB captured more of EU banks’ credit risk in H1
Gains mostly accrued from bank-modelled A-IRB portfolios
US banks’ loss-to-VAR ratios fell in Q3
Largest daily trading losses were on average 84% of forecast, compared with 105% in Q2
BMO suffers C$10bn capital floor bite
Charges to constraint-modelled RWAs rose sixfold during Q3
Ulster Bank exit sheds £8.7bn off NatWest’s A-IRB credit RWAs
Reversal to standardised approach helps lower capital charges in Q3 despite €514m exit costs
RBI, ING’s op risk charges inflated by AMA updates
RWAs rise a combined €4.8 billion at the two banks
Vol pushed HSBC’s modelled market risk up 37% in Q3
Erratic markets in Europe and Asia blamed for $6.4bn increase led by VAR and SVAR-based charges
NatWest’s modelled market RWAs up 10% on RNIV backstop
Bank sees higher charges while it reworks VAR engine