Non-modellable risk factors (NMRFs)
Basel Committee members ‘buying time’ before fixing FRTB mess
Despite inconsistencies today, regulators maintain they want to align global regime eventually
European regulator praises Japan’s ‘smart’ NMRF manoeuvre
Comments come after revelation that Nomura is able to reverse NMRF status for risk factors
Nomura’s ES requirement swings 75% in turbulent debut
New gauge for modelling interest rate desks’ charges ranged from ¥23bn to ¥41bn over the course of Q1
How to solve the Fed’s $300bn FRTB problem
A sacrifice will have to be made to ensure new market risk rules meet demands for capital neutrality
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
EC to decide on FRTB delay within ‘days’
Isda AGM: Consultation finds support for delay, with some wanting to go live with targeted changes
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
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 takes standardised approach for FRTB – for now
Swiss bank is one of the largest to drop internal models; sources say it could switch later
Delving into the European Commission’s proposed overhaul of FRTB
Raft of potential changes would benefit both IMA and SA banks – but only temporarily
Australian FRTB projects slow down amid scheduling uncertainty
Market risk experts think Apra might soften NMRF regime to spur internal model adoption
Independent audits drive compliance in FRTB data solutions
The EU and the Basel Committee have introduced strict audit standards for data vendors to uphold the FRTB rules, and audited solutions are critical to ensure compliance, minimise NMRFs and reduce capital requirements
Bank risk manager of the year: Intesa Sanpaolo
Risk Awards 2025: Market risk team developed new tools that helped overcome the challenge of FRTB internal models
Barclays and HSBC opt for FRTB internal models
However, UK pair unlikely to chase approval in time for Basel III go-live in January 2026
BNP Paribas exec fears data drought from market’s IMA cuts
Vendors may not step up with critical inputs to support internal models under FRTB
FDIC’s McKernan wants single capital stack in Basel III endgame
Rebuffing Barr’s offer of a partial rollback, Republican director also targets op risk framework
Running the numbers on Barr’s Basel III endgame revisions
Fed vice-chair’s plan to ease capital requirements for big banks still lacks critical details
Study finds just 10 banks plan to apply for FRTB models
Research provides extra insight on reasons for decline in internal models
Why FRTB models are on the edge of extinction
With only four banks known to be applying to use internal models for market risk, the fate of advanced modelling looks precarious
Loss of diversification benefits ‘will drive higher FRTB charges’
Independent study backs industry’s claims of significant rise in market risk capital requirements