Capital requirements
‘Nightmare’ of uncertainty plagues FRTB model applications
Shifting timetable and rule tweaks that could alter incentives dampen appetite for internal models
Rethinking regulation of the modern financial system
Rules must address uncertainty and risks, and not be too complex, says Bank of Italy's Trapanese
Citi, BNY Mellon escape Collins floor
Both banks return above the threshold after just two quarters
Cohen & Co yields 8% by lending to unrated insurance companies
Small firms in ‘the safest industry in the world’ can’t raise capital, creating a trading opportunity
Fed ‘tailoring’ led to larger, less capitalised regional US banks
Lenders freed from toughest requirements in 2018 grew balance sheets but saw capital ratios slip
Why FRTB model test loves volatility, but hates hedges
Crucial P&L test for internal models easier to pass if price swings are large, or desks poorly hedged
EU eyes fix to FRTB’s capital asymmetry for govvies
Banks say French presidency proposal would see PD floor slashed for sovereign bonds under IMA
BofA, Citi among hardest hit in latest Fed buffer review
Five out of eight US systemic banks face higher stress capital buffer add-ons
US prop traders face 1,117% capital hike on Treasury trades
Responses to SEC plan show PTFs’ alarm over threshold to register as Treasury dealers
Polish mortgage claims push RBI’s op risk up 43%
Following the latest increase, op risk makes up 11% of the bank’s total RWAs
Late EU clearing house recognition spooks dealers
Bank capital requirements on exposures to affected foreign CCPs could jump after June 28 deadline
India’s bespoke Basel rules leave foreign banks feeling exposed
End of non-cleared derivatives exemption leaves local branches scrambling for capital
How will US regulators perform the Basel III balancing act?
Largest banks seek offsets for higher capital requirements caused by possible end of IRB, IMM
Standardised market RWAs surge at EU banks
UniCredit and BNP Paribas among dealers affected by new FX risk guidelines
SA-CCR could spur move to FX futures
Impact of new capital rules on swaps pricing could see shift to the exchange-traded product, say panellists
JP Morgan leads US banks on surging VAR capital charges
Requirements connected to commodity positions jumped 426% in the first quarter
Prop stop: SEC plan to register prop trading threatens liquidity
Rule change may also be a crypto landgrab by SEC chairman Gensler, critics say
Credit risk capital models hanging by a thread in the US
Industry insiders expect Fed to drop IRB and IMM when adopting Basel III, but market risk models may survive
Basel chair stands by tough capital rules for crypto assets
Isda AGM: Hernandez de Cos is unmoved by arguments that high risk weights will push banks out of crypto
Is Citi’s SA-CCR hit a sign of things to come?
Higher capital costs for dealing in uncollateralised FX swaps and forwards could impact banks and clients alike
ING takes €1.6bn capital hit on Russia exposures
Bank adds €834 million of provisions and takes €9 billion of new credit RWAs
BNP Paribas notches three VAR breaches in Q1
Latest count puts bank on cusp of capital penalty
Fortunes of VAR: dealers decry effect of war on risk models
European banks with large Russian derivatives exposures face risk of backtesting exceptions – and higher capital requirements
NatWest’s market RWAs up 8% on higher VAR multiplier
Bank incurred regulatory backtesting exceptions amid heightened market volatility