Capital requirements
Basel group said to weigh changes to key FRTB test
EC and EBA officials criticise low pass rates for P&L attribution test
Custodians could face higher Basel G-Sib surcharges
Data shows removal of cap on substitutability in revised methodology would hit four banks
Banks diving into credit data pools as official support grows
European regulators embrace external data for internal modelling of credit risk capital
Banks mull dedicated IFRS 9 capital buffers
Volatility of loan-loss provisioning from new accounting standard demands additional own-funds protection, say banks
Rethink urged over Basel’s counterparty exposure framework
Industry calls for softening of SA-CCR amid claims it could lead to doubling of calculated exposures
European banks tire of CVA guessing game
Continued political wrangling over Europe’s CVA exemption increases uncertainty for dealers
EU capital revamp paves way for corporate CVA charge
Draft directive offers national regulators power to override controversial exemption
EBA shelves CVA charge plans after twin defeats
Ongoing rule changes at Basel and EU could allow future bid to end corporate exemption
EBA plans reboot of FRTB’s P&L test
Authority will explore wider range of options than outlined in CRR text
Republican senator slams bank capital rules
US president Donald Trump is no fan of Basel III, Perdue claims
CFTC set to flex its muscles in FSOC meetings
FSOC must study the impact of capital rules on trading liquidity, Giancarlo says
Banks seek capital relief for ECL reserves
Capital rules fail to recognise risk-reducing effect of loss reserves, lenders say
EBA call for simpler IFRS 9 phase-in applauded
Lawmakers aim to fast-track IFRS 9 rules in the revised Capital Requirements Regulation, but are also urged to clarify them
Hidden Markov regimes in operational loss data: application to the recent financial crisis
The authors propose a method to consider business cycles in the computation of capital for operational risk.
Crowd trouble: the FRTB’s war on basis risk
FRTB will lead to build-up of risks around liquid benchmarks, dealers warn
Indirect clearing rules too demanding, warn EU regulators
EBA and Esma call for clarity on capital relief for exposures to clearing members
Why the leverage ratio distorts market-making
Darrell Duffie argues the rule hurts market efficiency for very safe assets
OTC market resisting swap futures threat
Swap futures yet to break out, but backers see margin, accounting and Citadel as tailwinds
Market expects Holdco CDS switch for iTraxx index
TLAC-driven issuance changes likely to see UK and Swiss holding company CDSs included in iTraxx Financials
The impact of IFRS 9 on earnings volatility and uncertainty in the supply and demand for regulatory capital
Sponsored webinar: Moody's Analytics
The death of one thousand flowers or the AMA reborn?
The author of this paper explores the reasons for the pending demise of the advanced measurement approach (AMA) to operational risk.
US inflation traders consider swap methodology change
Banks weighing up move to non-interpolated standard to cut capital costs
Vickers renews criticism of BoE systemic buffer
Blanket 3% buffer would better support ring-fencing, Vickers tells Tyrie