Internal models
Rewriting the output floor: how EU reform options would split the banks
Making transitional relief permanent would offer the biggest cut by 2033, while market-risk changes would create winners and losers
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
How internal reporting data can strengthen governance and risk oversight
Japan’s revised whistleblower regime provides an opportunity to strengthen internal reporting arrangements
SEB model shifts nearly treble standardised RWAs
Baltic portfolio transfer lifts credit RWAs and shaves 16bp from CET1 ratio
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 banks more optimistic than Fed on loan losses
JP Morgan, BofA and Wells Fargo stray furthest from Fed’s estimates
Europe’s next chore: cleaning a floor made messy by the US
Rejection of Basel III’s output floor leaves EU with some difficult decisions to make
Wall Street giants rack up VAR breaches
Goldman hit hardest as JP Morgan, BofA and Morgan Stanley also exceed model forecasts in Q1
ECB urged to follow Fed’s lead on ‘material risks’
Senior banker at JP Morgan’s EU subsidiary backs US-style approach to streamlining supervision
EU weighs response to US dropping Basel capital floors
European regulators assessing whether US proposal amounts to a “substantial” deviation
RBI’s modelled market RWAs jump on Tarf stress shock
FX volatility scenario for 2009 drives sharp rise in stressed VAR under internal models approach
Basel III endgame: overall relief hides winners and losers
G-Sibs gain from surcharge reform while AOCI hits regional banks
BoE’s Bailey expects global consensus on FRTB internal models
Isda AGM: UK is reviewing proposals from US and EU regulators before finalising its IMA rules
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
Isda’s Basel III playbook: speak softly and carry a big QIS
Scott O’Malia on capital reforms, repo markets and tokenised collateral
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
FRTB models find salvation in US Basel III proposal
Changes to P&L attribution test and NMRFs make IMA viable for US banks, risk managers say
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
Leaked EU plans offer extra temporary relief for FRTB models
Risk factors would need only two observations to be modellable. Do changes foreshadow US Basel III?