Standardised approaches
Floored: Basel III rethink upsets IRB dominance
Introduction of output floor means internal ratings’ popularity takes a hit, but isn’t quite out for the count
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
European Commission plans permanent changes to FRTB
EU legislator will start work on new rules later this year to ensure level playing field with US
Basel III endgame: overall relief hides winners and losers
G-Sibs gain from surcharge reform while AOCI hits regional banks
In simplifying credit risk models, EBA could compound capital costs
Skipping hard yards of internal ratings-based approach might trip higher capital charges and implementation costs
Change fatigue could dim EBA’s credit risk simplicity drive
Revisions may be kept to a minimum as short-term implementation burden weighs on banks
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
UBS’s market RWAs fall below pre-FRTB levels
Charges drop 15.8% in Q4 as legacy assets continue to roll off
Limited RWA gains support rethink on Fed output floor
Advanced approaches cut RWAs only marginally across US banks
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?
FRTB internal models: quo vadis?
Two risk experts explore how to adjust the FRTB framework to promote internal model usage
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