Risk Quantum/Basel Committee on Banking Supervision (BCBS)
FRTB: trade bodies reveal threat to risk factor modellability
Swaptions, sovereign CDS and long-dated swaps at risk of being NMRFs
BIS renews claims of capital 'gaming'
Modelled capital requirements for identical portfolios can differ by up to 4%, study shows
Basel III ratios bolster bank resilience – BIS
Analysis shows regulatory minimums protect banks from distress
Banks struggle with BCBS 239 implementation
Only three G-Sibs fully compliant with all risk data and reporting principles at end-2017
European banks op risk losses dominated by business failures
Losses relating to accident and neglect account for 38% of op risk losses at eight big dealers
EU bank securitisation exposures continue to fall
ECB data shows securitisation exposures as a percentage of total risk exposures 78% lower than in 2008
French countercyclical buffer lowest in EU
0.25% surcharge the lowest of nine CCyBs across member states
Over one-quarter of EU bank credit exposures overseas
Spanish banks exhibit highest level of overseas risk, Nordic banks the lowest
Interest rate ETD open interest soars
Outstanding positions at end-March hit $105 trillion
US CVA charges over seven times higher than EU
Huge disparity appears to result from EU exemption for corporate trades
Goldman, JP Morgan get riskier in Q1
Each bank could face an extra 50 basis points of capital add-on without remedial action
Barclays trims connections to other financial firms
Intra-financial system assets and liabilities drop 19.6% and 13.5%, respectively
Business growth and HQLA cuts see US LCRs fall
Cutbacks in high-quality liquid assets and higher deposits drive reductions across the G-Sibs