Standardised approaches
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
EC mulls blanket FRTB multiplier
Leaked doc includes bank-specific or industry-wide relief on impact of new EU market risk rules
Basel III adoption gap widens as Turkey and India stall
With just a third of jurisdictions fully compliant, progress on the post-crisis banking reforms remains uneven worldwide
US Basel III endgame: counterparty credit risk rumblings
CVA rules need better recognition of clearing and hedging, while SA-CCR netting questions linger
US Basel III endgame: a credit risk calibration conundrum
If regulators want to finalise the rules, they should strip out gold plate and cancel a haircut
European regulator praises Japan’s ‘smart’ NMRF manoeuvre
Comments come after revelation that Nomura is able to reverse NMRF status for risk factors
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
CVA risk hits record highs at DBS and UOB
Singaporean banks post biggest RWA increases since 2022
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
Speedy onboarding: the push for faster model approvals
Europe’s banking watchdog is planning to streamline how it authorises credit model updates. Not a moment too soon, say bankers
EU banks face €500bn RWAs surge from full output floor
Risk charges to rise 8% on average under fully phased-in rules by 2033
Basel III overhaul doubles Nomura’s credit risk
Surge reflects asset migration and new equity treatment
Deutsche Bank projects €118bn RWA hit from output floor
Mitigation efforts expected to reduce charges significantly, bank says
Will the UK’s FRTB time warp turn into a horror show?
UK regulator’s proposed transition year in 2027 could double banks’ implementation work
European Commission already preparing next FRTB move
As EC runs out powers to delay rules again, proposal for temporary capital relief is on the agenda
Danske shrinks CVA capital charges 44% after hedge revamp
Credit protection buying spree helps cut capital requirements to lowest level since 2014
Bank of England floats ‘quasi-IMA’ in FRTB standardised method
Dealers welcome new route to capitalising residual risk, but it could fragment global ruleset
Citi’s modelled RWAs outpace standardised by record $152bn
Widening RWA output gap puts Collins floor back in spotlight
Banks seek EU supervisory green light on external credit data
GCD-developed industry standard to show pooled loss data is representative of banks’ portfolios
CVA risk charges spike 73% at EU banks under Basel III
Crédit Agricole leads surge, as basic approach dominates CVA capital calculations
Basel III overhaul triggers credit RWA reshuffle at EU banks
A-IRB down by a third, F-IRB more than doubles and standardised approach up by a quarter
UniCredit’s market RWAs would inflate 75% under FRTB
Pro forma figures for capital floor give first look at de-modelling impact on a major EU dealer