Risk-weighted assets (RWAs)
Four EU banks forecast capital hits from final Basel III reforms
BNP Paribas only dealer to disclose hit from FRTB
Record number of US banks turned to riskless assets in Q1
Western Alliance leads pack with doubling of exposures in 0% bucket
ABN Amro takes €1.7bn RWA add-on from credit models rejig
Just over 40% of credit risk RWAs still calculated under the A-IRB approach, down from 90% two years ago
Lloyds’ standardised market risk charges tripled in Q1
Hedging-related setback pushes market RWAs to an all-time high
HSBC, StanChart SVAR charges hit multi-year highs
Stressed trading-loss measure makes up 43% of banks’ modelled market risk charges
ANZ’s end-period VAR spikes to highest in a decade
Interest rate risk drives 53% surge; market risk up A$1.6bn
Six Chinese banks set market risk records in Q1
Market RWAs spike 63% overall in first disclosures after rules update
Op risk hits all-time highs at three Nordic banks
Regular updates drive record rises at Handelsbanken, Nordea and SEB
BNY Mellon dips below Collins floor after surge in standardised RWAs
All nine US banks using internal models now bound by regulator-set approach
Benchmark switch leaves hedging headache for Philippine banks
If interest rates are cut before new benchmark docs are ready, banks face possible NII squeeze
EU banks’ incremental risk charges soared in volatile H2
Charge for traded-bond default and downgrade risk hit 10-year high at BNP Paribas
SVAR updates push Barclays’ modelled market charges up 9%
Trading portfolio regulatory risk gauge up 52% over the second half of 2023
Canadian banks’ market RWAs spike on FRTB switch
CIBC, TD Bank and Scotia saw end-January charges jump amid overall ditching of internal models at Canada’s big five
Canada’s FRTB pioneers get snowed on fund-linked trades
As Basel capital reforms go live, risk managers eye early adopters’ progress and push to improve capital treatment of fund-linked products
Higher revenue pushes HSBC’s op risk up 14%
Increased net interest income over 2023 major driver behind six-year high figure
Capital One’s credit exposure riskiness set to rise post-merger
Discover acquisition would push share of assets with 100% risk-weight to six-year high, pro forma analysis shows
Why Canada is giving FRTB internal models the cold shoulder
“Crazy” cost of tech upgrades among reasons why banks snub own models to calculate market risk capital
ING’s op risk jumps 10% on model updates
Other European AMA users report moderate hikes
UBS predicts RWA cuts hampered by Basel III, model updates
Planned wind-down of unwanted Credit Suisse assets to be offset by $25 billion in add-ons
RBI’s op risk charges climb 22% on input-series update
Recalibration reverses savings from discontinuation of AMA a year earlier
Basel III endgame expected to push PNC’s RWAs up 3%
Forecast from US regional much tamer than increases expected by advanced-approach banks