Net stable funding ratio (NSFR)
Grim repo warning spotlights BNP Paribas booking model
Federal regulators may be targeting French bank’s Paris-based book of US Treasuries
Credit Suisse’s LCR down 20% in October as depositors flee
Sub-group liquidity requirements breached as chatter around bank’s solvency spurred cash outflows
Euro banks’ funding plans lag TLTRO repayments – EBA
Survey on funding plans shows banks don’t plan to replace ECB lines just yet
Foreign branches in US fear extension of liquidity rules
Democrat administration could revive plans to impose LCR, NSFR on branches and agencies
NSFR may clear up questions about Nomura’s balance sheet
The risks of off-balance sheet financing remain largely hidden from view
What lies beneath: Nomura’s iceberg balance sheet
Collateral received by the Japanese bank exceeds its total on-balance-sheet assets – does it matter?
Softer US NSFR could skew global repo pricing
US banks benefit from Treasury repo exemption, while EU banks report only end-quarter ratios
Final NSFR rule unlocks subsidiary funding for US banks
Technical clarification allows subsidiary capital to be assigned as funding for consolidated group
Fed will calibrate NSFR to avoid hurting repo
Fed’s supervision head says final liquidity rule will be fast-tracked without fresh consultation
Deposit flows shape systemic US banks’ liquidity risk
Non-operational deposits accounted for over 25% of cash outflows in Q2
Basel members speed up implementation of banking reforms
Most rules now adopted by more than half of member jurisdictions
Fed turns up heat on dollar repo dodge
New liquidity rules for foreign banks’ US branches may be hard to stop, but can be softened
Basel Committee frets over poor member discipline
Tsuiki warns on fragmentation risk as countries delay NSFR, FRTB implementation
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