Basel Committee on Banking Supervision (BCBS)
Basel III op risk capital savings dissipate for G-Sibs
Median savings shrink to 5.1% from 19% at end-2015
Basel III: EU G-Sib capital requirement to jump 25%
Basel III output floor will add 5.4% to minimum required capital
Podcast: Montoro on FRTB thresholds and non-modellable risks
Senior risk manager also argues Kolmogorov-Smirnov test is better than Chi-squared
The revised P&L attribution test and the suitability of new proposed thresholds
Montoro, Spinaci and Georgi assess the effectiveness of the FRTB’s P&L attribution test
Almost all banks compliant with NSFR – Basel survey
Just seven of 193 surveyed below 100% minimum requirement at end-2017
EU banks short €14.6 billion of Basel III capital
Total capital ratios would fall to 14.5% from 18.5% if reform package were implemented today
Denmark, Sweden hike countercyclical buffers
Swedish banks now subject to highest add-ons among European Union lenders
Lawyers blast Basel on funding of STM swaps
'Daft' guidance would see settled-to-market derivatives caught by NSFR and LCR liquidity ratios
Cross-border loans to eurozone show signs of life
The increase seen in Q1 2018 interrupted a downward trend that began at the start of 2016
Interest rate ETD open interest drops in Q2
Open interest in options and futures contracts combined dropped 12%
Banks will not use NSFR to judge funding risk
Calibration of ratio looks “somewhat insane” when applied to real world, conference hears
Industry calls for 12-fold hike in margin threshold
Request to regulators would permanently exempt almost 1,000 firms from non-cleared margin rules
The price of trust: tackling the risks of ring-fencing
Learning the wrong lesson from Lehman? Ring-fencing hikes risk of bank failure, says Credit Suisse’s Wilson Ervin – he proposes an alternative
Libor reform threatens risk modelling under FRTB
Dearth of liquid products and historic data threatens banks with capital hit under new market risk rules
Exchanges warn on clearing concentration
Clearing houses urge margin offset in leverage ratio, adoption of SA-CCR and recalibration of NSFR
Mifid II, RFQs and the future of Europe’s G-Sibs
The week on Risk.net, August 11-17, 2018
Why the FRTB remains critical
Critics of the Basel Committee’s Fundamental Review of the Trading Book are wrong, write John Beckwith and Sanjay Sharma
EU infighting blocks Basel recognition of banking union
Treating eurozone as single jurisdiction could slash G-Sib capital, but the 19 member nations have differences to settle first
Top four EU banks have shed €1.5 trillion in assets since 2013
Barclays, HSBC, BNP Paribas, and Deutsche Bank slim the most in five years
Dealers seek FRTB carve-out for Libor transition
Swaps could be judged non-modellable – and hit with capital add-on – as liquidity tails off in Libor
New risk data signals lower EU G-Sib scores
Aggregate 20% drop in Level 3 assets and 7% decrease in intra-financial system liabilities reported in 2017
Swaps end-users struggle for clearing access – survey
Thirty of 44 derivatives end-users cite difficulties finding and maintaining access to CCPs
Dealers and FCMs split on clearing incentives
72% of client clearing firms say leverage ratio a clearing disincentive
UBS faces capital hike from credit model curbs
Bank estimates Sfr35 billion jump in RWAs from Basel III, with credit modelling one driver, says CRO Bluhm