Standardised approaches
Limited RWA gains support rethink on Fed output floor
Advanced approaches cut RWAs only marginally across US banks
US regulators bid to save FRTB IMA, but it’s no small task
Even if industry wish-list is granted, a 2028 start date might be too soon for model adoption
Hopes rise for cross-product netting under SA-CCR
Banks want rule change in Basel III endgame to lower capital costs of clearing UST repos
Exposures with undisclosed risk-weights hit new highs at US banks
Assets in the ‘other’ category of standardised risk-weights grow to $700bn
The state of IMA: great expectations meet reality
Latest trading book rules overhaul internal models approach, but most banks are opting out. Two risk experts explore why
EBA supports global op risk taxonomy, but it won’t happen soon
New EU framework designed to ease adoption by banks; other jurisdictions have different priorities
New EBA taxonomy could help integrate emerging op risks
Extra loss flags will allow banks to track transversal risks like geopolitics and AI, say experts
FRTB (SA) product of the year: Bloomberg
A globally consistent and reliable regulatory standardised approach for FRTB
Basel Committee members ‘buying time’ before fixing FRTB mess
Despite inconsistencies today, regulators maintain they want to align global regime eventually
CVA capital charges – the gorilla in the mist
The behaviour of CVA risk weights at US banks in 2020 hints at the impact of the Basel III endgame
NMRF framework: does it satisfy the ‘use test’?
Non-modellable risk factors affect risk sensitivity and face practical and calibration difficulties, argue two risk experts
ICBC’s equity fund RWAs surged fivefold in Q3
Less risk-sensitive mandate-based approach drives Chinese bank’s spike to record high
EU’s FRTB multiplier risks picking winners and losers
Attempts to find capital-neutral way to implement new rules might create unlevel playing field
ABN Amro shifts 70% of credit risk to standardised approach
RWA increase from portfolio migration in Q3 offset by regulatory add-ons removal
Market RWAs climb to new highs at top Chinese banks
Bank of China, China Construction Bank and Shanghai Pudong Development Bank set records for second successive quarter
Nomura eyes FRTB models expansion for FX desks
With rates desks all now on FRTB internal models, markets head says FX is next
Default risk overtakes credit spreads in Japan's first year under FRTB
Securitisation charges lift a bigger slice of banks’ market risk requirements
Lower SCBs bring Citi, JPM close to Collins floor
Uncertainty lingers amid Fed proposal on SCB averaging and push to scrap the floor
BNP, Deutsche, SocGen face steep RWAs surge under FRTB SA
Pro forma disclosures for output floor show 2.5–2.8x increases if banks used only standardised formulas – far above peers
S&P shutters NMRF solution amid audit questions
Vendors face adverse economics due to low number of IMA banks and prospects of regulatory easing
Has the Collins Amendment reached its endgame?
Scott Bessent wants to end the dual capital stack. How that would work in practice remains unclear