Basel Committee on Banking Supervision (BCBS)
EU shelves limits on structural FX hedge exemptions
Basel rethink on FRTB capital ratio hedging prompts fresh questions over EU implementation
FRTB threatens dynamic forex hedging of capital ratios
Industry says recent Basel proposals are unclear and retain burden of pre-approval for hedges
Regional banks cheer tweaks to FRTB standardised approach
Planned softening of SBA makes it more appealing, but most banks still expect to adopt IMA
Europe’s co-op banks face capital hit from new Basel rules
Sharp increase in risk weight for strategic equity stakes will capture ownership of apex banks
How not to control trading behaviour
Quants show popular risk measures fail to limit risk-seeking behaviour among traders
Fed’s risk proposal puts banks on the defensive
New supervisory guidance will make business heads responsible for risk management
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