Internally modelled risk-weighted assets at the largest US banks diverged further from the standardised model in the second quarter of 2026 than at any point in the past four years, according to financial data tracked by Risk.net.
US G-Sibs Disclose $7.79 Trillion in Advanced Approach RWAs
US global systemically important banks disclosed $7.79 trillion in risk-weighted assets under the advanced approach during the second quarter of 2026, according to regulatory disclosures reported by Risk.net. This methodology relies on banks’ proprietary internal models to calculate exposures across complex credit, market, and operational portfolios.
This created an aggregate undershoot of $441 billion, marking the widest divergence recorded between the two measurement frameworks over a four-year window.
Wells Fargo and Bank of America Exhibit Largest Model Gaps
Among the participating institutions, Wells Fargo and Bank of America registered the largest absolute and proportional gaps between their internal risk models and the supervisory standardised frameworks, according to data published by Risk.net.
Regulatory Implications of Internal Model Divergence
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