Capital requirements
Goldman swaps assets drop $140bn after margin change
Move follows guidance from US regulators; no word from Goldman on capital impact
Fed supervisor presses banks to address CCP exposures
Regulator says more information is needed to fully understand the risk of cleared trades
Volcker desks unlikely to meet FRTB requirements
Some trading activities will need to be reorganised to comply with market risk rules
Bankers lament growing global regulatory fragmentation
Piecemeal roll-out of Basel III will be “enormously costly”
Fed postpones G-Sib capital change
Industry reprieve granted on proposal that threatens $10 billion capital increase
Credit risk models can dodge procyclical bias – Fed adviser
Excluding some metrics makes A-IRB retail portfolio risk model more stable
CFTC commissioner wants say over bank capital rules
Inability to influence SLR is “incredibly frustrating”, says Quintenz
AIG decision threatens too-big-to-fail insurer label
Fragmentation of international rules on cards as US denounces systemic designations
Emerging Asian markets question one-size-fits-all bank rules
Nations such as the Philippines seek a more proportionate approach to level the playing field with global lenders
Capital rules may be too risk-sensitive, Basel fears
Complexity is slowing roll-out of standards, says Basel Committee deputy
Fed G-Sib plan threatens 50bp jump in FCM capital
Banks rail against proposals that would scoop up $46trn in cleared trades
Fed official voices support for simpler capital regime
US regulators may consider combining some capital ratios into a single measure
Insurers say capital rule threatens long-duration products
Implied credit charges could triple under one approach being field-tested by regulators
Addressing probationary period within a competing risks survival model for retail mortgage loss given default
This paper presents a novel approach to modeling retail mortgage LGD estimation.
Capital savings from new IM regime elude dealers
Slow model development and approval processes mean banks yet to see benefits expected under margin rules
FRTB: proxy risk factors may trigger model failures
Swapping non-modellable risk factors for proxies may make it harder to pass P&L attribution test
PRA’s tough line on Pillar 2 disclosure divides lenders
Watchdog seeks to level playing field with public disclosure of total capital requirements
Repeal CEM; reform SA-CCR
Capital framework hurts clearing resilience, Citi execs argue
Commodities firms fear EBA’s inappropriate capital charges
Energy lobbying overlooked as proposed regime threatens vigorous demands
Would whoever’s left at the CFTC please turn on the light?
Lack of resources – and commissioners – becoming increasingly apparent at US regulator
Focus on Basel output floor calibration misses the point
Until all the final standardised approaches are known, the floor has little meaning
Energy firms raise concerns over CFTC capital rules
Commercial swap dealers might not qualify for a treatment designed specifically for them
US learns to play the Basel game
Mnuchin report marks a US regulatory shift – from leadership to gamesmanship
Revised SMA could allow banks to ignore past op risk losses
Leaked proposals say loss component will be left to national regulators, threatening an unlevel playing field