Basel Committee on Banking Supervision (BCBS)
FRTB: ECB postpones model approval deadline
Postponement follows Basel’s decision to revise key elements of new market risk framework
Fed’s Curti: SMA will smooth capital mismatches
OpRisk North America: non-US banks holding less capital under own-models approach was “a big problem”, says regulator
Basel to scrap automatic fails for P&L test
“Amber zone” will protect near-miss desks, but regulators not convinced by NMRF complaints
Global fragmentation looms in FRTB data pooling stand-off
Smaller banks unwilling to hand over localised trade information to data utilities
European FRTB capital charges hang by a thread
EU Council mulls introducing only reporting requirements in CRR II, or a very low scalar
Not waiving but drowning: EU banks face capital traps
Council and some MEPs try to kill cross-border capital and liquidity waivers in CRR II
Banks make new push on FRTB’s P&L test
Industry calls for series of changes as regulators prepare new consultation, says Nomura’s Epperlein
Basel liquidity rules block Fed’s QE exit
LCR and NSFR could produce $1 trillion shortfall in plans for balance-sheet ‘normalisation’
US clearing banks still push for leverage ratio IM offset
Potential cut in ratio and adoption of SA-CCR not enough to stop shake-out, FCMs warn
Pillar 2 moves to centre stage for op risk capital
US banks set for sharp falls in Pillar 1 requirements, but regulator-set add-ons cloud SMA’s impact
Three ways to improve stress testing
Better scenario choice, iterative testing and top-down approaches could improve performance, says Ahraz Sheikh
FRTB: banks grapple with hard-to-model risks
Swiss, UK bank efforts to comply with regulators’ risks-not-in-VAR rules may be undone by transition to FRTB
Op risk modelling to survive move to SMA
Models will still be needed to measure forward-looking risks under Pillar 2
Tranche warfare: uphill struggle for euro safe bonds
Junior tranche and regulatory impasse are key challenges for pan-eurozone sovereign bond-backed securities
No carve-outs in Fed’s revised leverage ratio proposal
Holdco leverage ratio will fall, but initial margin and custody funds still in scope
JP, Citi may not see capital benefit from new op risk rules
Collins floor may also prevent Morgan Stanley, State Street and Wells Fargo from realising SMA savings
Revised Basel output floor could hit US banks after all
Fall in operational risk weights could push up capital requirements for market and credit risk
Basel set to hammer Japanese megabank capital ratios
Sharp increase in risk weights for unrated corporates could lead to 30% jump in RWAs
CVA dismay: final Basel rules disappoint dealers
Minor tweaks don’t make up for removal of internal modelling, say banks
‘Catching the outliers’ does not always make sense for Basel
The capital impact of Basel III on Nordic banks is disproportionate to the risks they face
FRTB, CCAR and bonus caps for prop traders
The week on Risk.net, December 16-22, 2017
Apac banks dodge op risk capital hit from new rules
Chinese lenders have largest capital requirements in region; banks expect muted increase on average