Standardised approaches
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
At US banks, risk-free exposures hit lowest in two years
Just under a third of credit assets carried a 0% risk-weight in Q3
F-IRB captured more of EU banks’ credit risk in H1
Gains mostly accrued from bank-modelled A-IRB portfolios
Standardised market charges rose faster at IMA users in H1
Market convulsions and structural FX hedge crackdown felt less acutely at SA-only banks, finds EBA data
BMO suffers C$10bn capital floor bite
Charges to constraint-modelled RWAs rose sixfold during Q3
Looking beyond SA-CCR
An alternative calculation of exposure at default that handles complex portfolios is presented
Fragmented rules muddy Asian FRTB implementation
Banks and vendors warn risk factor data may not be usable across different jurisdictions
RBI, ING’s op risk charges inflated by AMA updates
RWAs rise a combined €4.8 billion at the two banks
EBA: more climate risk supervisory reporting is coming
Official anticipates effort to identify climate impact on internal models, concentration risk
Singapore’s UOB bucks trend to seek FRTB model approval
Despite data challenges, bank is opting for IMA to enhance risk management
Modelled RWAs diverge from standardised at Wells Fargo
Gap between the two methodologies hits $152bn – its widest ever
Some euro banks modelled lower mortgage risk in H1
Italian and Belgian lenders reported steepest drops in risk density despite recessionary threat
Hong Kong, India, Turkey lag behind on Basel III framework
Only Canada, Japan and Saudi Arabia ready for full implementation as January deadline approaches
A-IRB to lose credit risk reach under Basel III
Americas banks expected to generate just 40% of RWAs using internal models, from 67% currently
Basel III output floor set to bind 24% of banks
Latest BCBS monitoring report shows four-fold increase over next seven years
EBA eyes top-down stress test for credit risk
European version of CCAR is off the table, but more projections are likely to be modelled by regulator
A chilly reception for climate risk capital
Bankers don’t believe climate-adjusted risk-weights will enter EU prudential framework – not for now, at least
EU Parliament creates multiverse of SA-CCR outcomes
Some MEPs want to ease rules further than EC draft; others want return to undiluted Basel text
ING’s market RWAs jump 30% as FX positions breach waiver limit
Increase arose from stricter EU rules under which FX exposures qualify as structural hedges
FRTB implementation: key insights and learnings
Duncan Cryle and Jeff Aziz of SS&C Algorithmics discuss strategic questions and key decisions facing banks as they approach FRTB implementation
Regulators should be careful what they wish for on FRTB
New framework likely to reduce use of internal models, as planned; but is that a good thing?
Nordea’s IMA RWAs climb 11% in Q2
Relentless rise in VAR keeps pushing up bank’s market charges
‘Nightmare’ of uncertainty plagues FRTB model applications
Shifting timetable and rule tweaks that could alter incentives dampen appetite for internal models
Citi, BNY Mellon escape Collins floor
Both banks return above the threshold after just two quarters