Net stable funding ratio (NSFR)
Most Basel members have yet to adopt TLAC
Many countries also behind on implementing SA-CCR, NSFR, securitisation framework
A Chinese megabank and its CRO in the US
Frank Morisano has put together a risk team, his unit funds itself, and he’s banned cloud technology
SA-CCR may need more fundamental fixes
Quants propose tweaks to improve Basel counterparty credit risk framework
Foreign banks expect Fed proposal imminently
New framework for tiering FBO requirements could come as early as this week
Rabobank shuns wholesale funding
Dutch lender has reduced wholesale liabilities by 29% since 2014
US banks bolster quality of short-term funding
Eight US G-Sibs increase share of total borrowings made up of well-collateralised repo
Leverage ratio unpopular among non-Basel countries
Few jurisdictions use measure to backstop risk-based capital frameworks
LCR rollback puts onus on liquidity stress tests
Risk USA: Stress tests may attract more scrutiny if LCR and NSFR are scaled back
US regionals may get $8bn capital break in Fed proposal
Under tailored framework, mid- and small banks would also get $77bn liquidity relief
Basel Committee names and shames regulatory laggards
Mexico, China, and US yet to implement key rule changes
BlackRock, risk models and regulatory relief
The week on Risk.net, October 20–26, 2018
NSFR pricing Singapore banks out of swaps market, dealers say
Market share in long-dated trades has halved since metric was imposed at start of year
SA-CCR proposal imminent, Fed adviser says
NSFR could also be finalised before year-end; final stress capital buffer rule expected in early 2019
Almost all banks compliant with NSFR – Basel survey
Just seven of 193 surveyed below 100% minimum requirement at end-2017
Lawyers blast Basel on funding of STM swaps
'Daft' guidance would see settled-to-market derivatives caught by NSFR and LCR liquidity ratios
Banks will not use NSFR to judge funding risk
Calibration of ratio looks “somewhat insane” when applied to real world, conference hears
Brexit threatens UK-based banks’ corporate repo funding
UK banks and UK bases of global banks fear losing valuable source of NSFR cash
Exchanges warn on clearing concentration
Clearing houses urge margin offset in leverage ratio, adoption of SA-CCR and recalibration of NSFR
Softer repo treatment seen as up for grabs in final US NSFR
Funding rules for Treasury repo on shortlist of changes; lower swaps add-on viewed as done deal
Uneven Basel rule adoption threatens regulatory arbitrage
Committee names and shames regulatory laggards
Not waiving but drowning: EU banks face capital traps
Council and some MEPs try to kill cross-border capital and liquidity waivers in CRR II
Fed vs Fed: central bank faces traps of its own making
Fed’s balance sheet normalisation goal set to collide with its banking system resilience aims
Basel liquidity rules block Fed’s QE exit
LCR and NSFR could produce $1 trillion shortfall in plans for balance-sheet ‘normalisation’
European legislators to exempt CCPs from new bank rules
Support in Council and Parliament suggests leverage ratio, NSFR exemptions will be in final text