Current exposure method (CEM)
EU banks’ derivatives exposures jumped 36% in H1
Top banks added €235bn since December, amid switch to SA-CCR and a new leverage ratio template
US banks step up FX optimisation push as SA-CCR looms
With swaps and forwards hit hard by new capital measure, dealers turn to vendors and bilateral restructuring
Internal model revamp adds €3.2bn to Commerz’s CCR RWAs in Q2
IMM update drove most of 37.8% increase in total CCR RWAs
SA-CCR to add up to £5bn to Lloyds’ RWAs
Further headwinds are expected to come from CRD IV implementation
Optimisation firms prep for SA-CCR boom
Flush with new cash, vendors ready rebalancing services ahead of risk-sensitive leverage framework
SA-CCR proves a bitter pill for US banks to swallow
Dealers concerned new regime will punish some business lines with rise in risk-weighted assets
SA-CCR switch clouded by confusion over netting sets
An effort by US regulators to incentivise the switch to SA-CCR may be having the opposite effect
SA-CCR adoption may spur wider FX swaps clearing
With up to 90% lower exposures on offer, dealers say capital benefits could outweigh margin costs
Leverage ratio squeeze hits options trades
With clearing banks constrained by leverage limits, prop traders fear options market lockdown
Counterparty risk climbs at JP Morgan, falls back at rivals
JP Morgan EADs up 10% and CRR RWAs 11% year-on-year
Capital requirements for options are ‘crazy’ – DRW
Wilson says current rules penalise options, but SA-CCR does not go far enough to fix the problem
Banks scent margin offset in US SA-CCR proposal
US agencies seek comment on whether IM should be recognised in leverage ratio calculations
Exchanges warn on clearing concentration
Clearing houses urge margin offset in leverage ratio, adoption of SA-CCR and recalibration of NSFR
Fed, Goldman: wide use of SA-CCR creates problems
Isda AGM: Fed plans quick implementation, while Goldman urges caution on extending use
FCMs warn CCPs not to compete on margin
Equity moves in February exceeded margin posted against some cleared products
Senate bill will not hurt big bank oversight – Powell
Fed chair says raising of Sifi threshold will not affect application of enhanced standards
CVA dismay: final Basel rules disappoint dealers
Minor tweaks don’t make up for removal of internal modelling, say banks
Repeal CEM; reform SA-CCR
Capital framework hurts clearing resilience, Citi execs argue
OCC seeks leverage ratio relief as liquidity shrinks
85% of CCP’s volumes now short contracts on 20 biggest names, claims risk chief
US-European rift deepens on leverage ratio
FDIC rebuffs European calls to allow netting of client clearing margin in leverage exposure measure
Basel plans would weaken leverage ratio
Adoption of 'risk-sensitive' SA-CCR will allow more leverage, argues FDIC vice-chair
US regulators not backing down in leverage ratio stand-off
Yellen, Gruenberg and Curry offer no concessions to agriculture committee
Swap futures face loss of capital edge
SA-CCR likely to treat swaps and swap futures equally, says Barclays' Kahn
Regulators cool on plans to change leverage exposure sums
SA-CCR is mooted successor to 27-year-old CEM, but sensitivity may count against it