Capital requirements
Basel liquidity rules block Fed’s QE exit
LCR and NSFR could produce $1 trillion shortfall in plans for balance-sheet ‘normalisation’
Central counterparty resolution: an unresolved problem
This paper describes the current policy for recovery and resolution of CCPs and assesses the tool kit for resolution of them.
Trump tax reform sours US banks’ CCAR outlook
Tax changes hit bank capital ratios; Goldman, AmEx could fail Fed’s annual tests
Banks wrestle with conduct risk capital add-ons
Conduct risk-related additions to Pillar 2 capital raise questions over scope of UK’s Senior Managers Regime
Chinese megabanks set to lose out in switch to SMA
Bank of China, ICBC likely to see lower reductions in operational risk capital due to reliance on interest income
Basel op risk modelling blow shifts focus to Pillar 2
Demise of AMA leaves industry needing risk-sensitive approach for calculating top-up capital, says consultant
Reinsurers take on role providing Solvency II capital relief
Firms such as RGA are covering surrender risk, offering to replicate matching adjustment
CVA dismay: final Basel rules disappoint dealers
Minor tweaks don’t make up for removal of internal modelling, say banks
Huge capital savings at stake in STM swaps debate
Estimates show portfolio would generate 250% more capital in worst-case version of new margining treatment
FRTB, CCAR and bonus caps for prop traders
The week on Risk.net, December 16-22, 2017
Standard bearer – Leading the IFRS 17 charge
With wins for regulatory reporting, economic scenario generation, Solvency II and stress-testing products in the 2018 Risk.net Market Technology Awards, Moody’s Analytics is well positioned to meet the demands of changing regulation such as IFRS 17
CVA pay day: calculation arbitrage boosts bank profits
Lack of convergence allows some banks to benefit from an arbitrage between booking and pricing the adjustment
Basel III changes set to create big winners and losers
Capital hit for G-Sibs ranges from 28% drop to 43% jump, QIS reveals
Basel rules risk fragmentation after key compromise
Basel Committee ready to release new accord but patchy adoption of internal model floor and FRTB expected
Dealers warn of FRTB impact on funding programmes
EMTNs issued by treasury functions may need to be moved to trading desk because of new market risk rules
FRTB: Basel mulls capital relief for internal model desk fails
Market risk group member describes intermediate capital charge for desks that marginally fail the P&L attribution test
ANZ’s Whelan on China, data science and ROE
Risk30: markets business at ANZ is picking new targets
Goldman swaps assets drop $140bn after margin change
Move follows guidance from US regulators; no word from Goldman on capital impact