Capital floor
FRTB revamp won’t restore models to past glory, risk managers say
US-inspired reform only expected to lead to small boost in adoption, with limited desks on IMA
PRA struggles to follow Fed’s FRTB modelling moves
Market risk experts say minor differences in US rules add up to more incentives for IMA adoption
EU’s plan to get competitive faces big legislative hurdles
Large and controversial legislative package may be too amorphous to deliver results quickly
Europe’s banks can’t agree on how to fix the output floor
Some want market risk excluded, while others push for greater savings from credit modelling
Modelled RWAs at systemic banks undershoot standardised by $441bn
Wells Fargo and Bank of America have largest gap between internal and regulator-set models
US FRTB glitch could spit out negative capital charges
Effort to recognise risk diversification between IMA and standardised approach went too far
EU weighs response to US dropping Basel capital floors
European regulators assessing whether US proposal amounts to a “substantial” deviation
Foreign banks can swerve US Basel op risk capital charges
New proposal offers category III and IV banks op-out from regime, but intragroup trades penalised
Can US regulators keep Collins happy with one capital stack?
Legal experts say Basel III endgame redraft retains spirit if not letter of the floor
Can the US FRTB revamp make the IMA great again?
Banks are finally presented with a viable internal models framework under Basel III’s market risk rules
UK rethinking tougher capital rules for US bank subsidiaries
US endgame draft would trigger UK Basel III trap floor for foreign banks, but PRA is reviewing
Limited RWA gains support rethink on Fed output floor
Advanced approaches cut RWAs only marginally across US banks
US blows the floors off Basel III
Barr criticises “downward deviations” in US rule; Bowman rejects “blind adherence” to global standards
Basel III endgame – a timeline
A review of Risk.net’s coverage of the US implementation saga
FRTB internal models: quo vadis?
Two risk experts explore how to adjust the FRTB framework to promote internal model usage
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
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
Half of European banks already embed FRTB into XVA pricing
US and rest of world lag Europe in incorporation of Basel capital rules into XVA calculations, Risk Benchmarking analysis shows
Has the Collins Amendment reached its endgame?
Scott Bessent wants to end the dual capital stack. How that would work in practice remains unclear
Basel III reforms expected to lift large bank capital requirements by 2.1%
Latest BCBS analysis highlights increased capital needs from the output floor