IRRBB
NatWest cuts banking book market risk by 48%
Lower credit spread risk from bond disposals partly offset by interest rate risk on hedges
Australian banks’ charges for rates risk soar 66% in Q1
Sudden rise in longer swap tenors eats into equity generation potential
SocGen, ING most exposed to rate shocks among EU banks
Banks’ economic value of equity would shrink under higher rates scenarios
CBA’s IRRBB charge up 37% in volatile Q4
Volatility in Australian dollar swap rates the culprit for the increase
New Fed regulation head unlikely to roll back all Trump changes
Progressives see climate and crypto as priorities over toughening Volcker Rule or tailoring
Modeling nonmaturing deposits: a framework for interest and liquidity risk management
This paper presents a generic framework for modeling nonmaturing deposits that can be used by banks for interest and liquidity risk management, funds transfer pricing and dynamic balance sheet management.
Hong Kong banks await guidance on IRRBB for risk-free rates
HKMA will steer how historical volatility data can be used for valuing new options contracts
Easing of op risk add-on boosts Commonwealth Bank
Op RWA relief offset increases due to credit, market risk
Market, interest rate risks surged at Commonwealth Bank in H1
Market RWAs jumped 129% over the first half
French banks cry foul over EBA’s 2020 stress-test plan
Assumptions about the cost of household sight deposits are “not plausible”, critics say
Basel members speed up implementation of banking reforms
Most rules now adopted by more than half of member jurisdictions
Aussie banks crush IRRBB capital charges
‘Big Four’ cut IRRBB RWAs by A$23 billion year-on-year
Commonwealth Bank blitzes IRRBB charges
Shake-up of banking book saves A$10.5 billion in RWAs
ABN Amro sustains assault on market risk
The bank's market RWAs dropped 24% quarter to quarter, to €1.7 billion, following a 41% reduction in the first quarter
Bracing for impact – Facing the challenges posed by IRRBB
Content provided by IBM
Definition of credit spread risk unclear in EBA proposals
Market participants say banking book guidelines will be difficult to follow
OCC regulator warns on interest rate risk build-up
Fed policy, liquidity requirements and model herding all raise concerns
How Europe can fix the Basel IRRBB standards
Building an outlier test for interest income would be better than the standardised EVE approach
ECB rate risk stress test renews fears over internal models
Banks alarmed by short timeline and opaque supervisory use of IRRBB stress test
IASB revives IFRS 9 project to recognise portfolio hedging
Banking book behavioural complexity could still stymie attempts to facilitate macro hedging
EU could impose negative rate shocks via IRRBB rules
Banking Book Risk Summit: EBA guidance on shocks is “outdated”, says ECB official
Bank treasuries grapple with IRRBB data requirements
Banking Book Risk Summit: Data from recent zero rates era not a reliable behavioural indicator
FRTB survey: risk transfer shake-up hits home
Dealers mull creation of dedicated risk transfer desks but approval process remains unclear