Basel Committee on Banking Supervision (BCBS)
Mifid II, RFQs and the future of Europe’s G-Sibs
The week on Risk.net, August 11-17, 2018
Why the FRTB remains critical
Critics of the Basel Committee’s Fundamental Review of the Trading Book are wrong, write John Beckwith and Sanjay Sharma
EU infighting blocks Basel recognition of banking union
Treating eurozone as single jurisdiction could slash G-Sib capital, but the 19 member nations have differences to settle first
Top four EU banks have shed €1.5 trillion in assets since 2013
Barclays, HSBC, BNP Paribas, and Deutsche Bank slim the most in five years
Dealers seek FRTB carve-out for Libor transition
Swaps could be judged non-modellable – and hit with capital add-on – as liquidity tails off in Libor
New risk data signals lower EU G-Sib scores
Aggregate 20% drop in Level 3 assets and 7% decrease in intra-financial system liabilities reported in 2017
Swaps end-users struggle for clearing access – survey
Thirty of 44 derivatives end-users cite difficulties finding and maintaining access to CCPs
Dealers and FCMs split on clearing incentives
72% of client clearing firms say leverage ratio a clearing disincentive
UBS faces capital hike from credit model curbs
Bank estimates Sfr35 billion jump in RWAs from Basel III, with credit modelling one driver, says CRO Bluhm
Regulatory arbitrage: a crime, or a warning?
It could be unwise to ignore disproportionate regulatory impacts on specific business lines
Industry seeks smaller ‘big bang’ for margin
New study supports sixfold hike in 2020 compliance threshold to avoid “dormant” margin accounts
US banks more cramped by stress tests than global peers
Five out of six US dealers adjust capital based on stress scenarios
Regulators bristle at slow progress on BCBS 239
Three out of 30 banks compliant with six months to go; talk of capital add-ons for laggards
Shut the window: EU Parliament tackles leverage loophole
EU banks may have to calculate leverage ratios daily, potentially hitting their repo market share
AI wide open
The Risk Technology Awards 2018 have highlighted how new technologies are bringing recognition for vendors
Q&A: French regulator defends bank rules for prop traders
ACPR official wants to set asset threshold for full CRR application below current €30 billion
FRTB: trade bodies reveal threat to risk factor modellability
Swaptions, sovereign CDS and long-dated swaps at risk of being NMRFs
Amber zone in new P&L test ‘almost useless’, say banks
Analysis shows many desks would not benefit from safe harbour in Basel FRTB proposals
Implementing Basel III – the view from Europe
EU approach to new credit risk framework must recognise local market structures, say banking experts
French regulator voices doubts on Europe’s FRTB timeline
Federal Reserve warns EU delay would force US to reconsider 2022 implementation
Bank risk committees: desperately seeking risk managers
Most boards still lack career risk specialists despite tighter governance requirements
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