Standardised approaches
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
StanChart market RWAs surge to record $37bn
SVAR jump alongside higher interest rate and FX risk behind Q1 spike
Bucking Japan megabank trend, Norinchukin’s market RWAs spike 41%
Latest surge underscores challenge of adapting to FRTB
Barclays takes selective approach to FRTB IMA applications
Risk Live: UK bank is applying for approval for parts of its portfolio most likely to pass approval tests
‘I feel like a guinea pig’ – lessons from an early IMA adopter
Risk Live: Nomura’s Epperlein urges flexible approach to backtesting exceptions
CRR III curbs charges for BPCE’s equity stakes
RWAs for subsidiaries outside prudential consolidation drop 82% after Basel revamp
Norinchukin trims slotting approach reliance, expands A-IRB scope
Bank’s models recover ground after Basel III curtailing
CVA capital charges more than double at BPCE post-Basel III
French bank leads European trend of elevated capital requirements under new rules
Basel III prompts Scandi banks to redraw credit risk
Danske, Handelsbanken and Nykredit scale back A-IRB under new rules
Morgan Stanley’s RWAs top $500bn after biggest jump since 2020
Derivatives and SFTs propel bank’s RWAs to record high
EC to decide on FRTB delay within ‘days’
Isda AGM: Consultation finds support for delay, with some wanting to go live with targeted changes
US has got what it wanted from Basel, say former regulators
Calls to stay at the table come after US Treasury Secretary condemned “outsourcing” of regulation
Basel III overhaul adds €85bn to EU banks’ op RWAs
BNP Paribas, Soc Gen and SEB see largest rises in absolute terms
BNP Paribas’s CVA risk charges swell 56% on Basel III overhaul
Impact of new formulas is largest yet for a G-Sib
Basel III switch sends BNP Paribas’s op risk charges up 60%
Blow-up follows shelving of AMA model previously underpinning over two-thirds of op RWAs
US Basel equivalence questioned as EU patience wears thin
MEPs say unfaithful US implementation of Basel III could trigger review of third-country capital treatment
Synthetic deals drive securitisation RWA surge at EU banks
BNP Paribas and RBI lead Q4 rise
EU edges closer to calming FRTB fund-linked fray
Dealers say temporary solution is a step in the right direction but won’t fully resolve all issues
European Commission changes tune on proposed FRTB multiplier
Banks fear departure from original diversification factor undermines case for permanent relief
FRTB may bite harder for Europe’s CVA modellers
Farther reach of advanced approach and lighter load on total requirements mean limited takeaways from Canada and Japan’s implementation
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