Capital requirements
BofA, Citi, JPM slash $18trn of derivatives in latest window dressing effort
Systemic indicator reduction in Q4 keeps lid on trio’s capital surcharges
Goldman faces higher 3.5% G-Sib surcharge in 2026
50bp step up in capital add-on looms after dealer’s systemic footprint rose to a record high in 2023
EU watchdogs to launch prop trader capital review in April
Prop traders say bank-style IFR rules are driving them out, but doubt EBA will suggest changes
CFTC hears ‘call to action’ from swaps end-users on Basel III
Commissioner Pham mulls engaging with prudential regulators over capital hit on clearing
Canadian banks’ market RWAs spike on FRTB switch
CIBC, TD Bank and Scotia saw end-January charges jump amid overall ditching of internal models at Canada’s big five
ECB raised Pillar 2 charges for just three CRE-heavy banks in latest SREP
Pfandbriefbank and Luminor saw largest increases across 106 banks subject to 2023 assessment
Large EU prop traders dump once-loved capital method
Industry lobbied for requirement based on margin haircuts, but it has provided little relief
Quarter-ends add $184bn to FX swap costs, study finds
Academics observe 36% increase in bid/ask spreads in short-tenor liquid currency pairs at quarter-end
Standardised FRTB leaves banks befuddled on residual risk
Benchmarking exercises find “weak consensus” among banks over notional values for exotics
First Citizens’ high-volatility CRE loans doubled last year
Rise in 150%-weighted class of exposures largest among 260 US lenders
Why Canada is giving FRTB internal models the cold shoulder
“Crazy” cost of tech upgrades among reasons why banks snub own models to calculate market risk capital
Fears of runaway risk on offshore reinsurance
Life insurers catch the eye of UK regulator for pension buyout financing trick
BoE puts American spin on fix for FRTB’s govvies dilemma
Four jurisdictions find four different ways to resolve Basel market risk capital quirk
RBI’s op risk charges climb 22% on input-series update
Recalibration reverses savings from discontinuation of AMA a year earlier
Taming the systemic risk Hydra: 10 years of mandatory clearing
Regulators, clearers and market participants reflect on a decade of the clearing requirement
Bank of China issuance not ‘sufficient’ to cover TLAC needs
Announced issuance still only a fraction of total bail-in debt needs for Chinese G-Sibs
The impact of the Fundamental Review of the Trading Book: evaluation on a stylized portfolio
The authors investigate banks' market risk capital requirements under the internal models approach through the lens of the Basel Fundamental Review of the Trading Book, using data from the period 2007-19.
Regulators’ FRTB estimates based on faulty premise – industry study
US market risk capital requirements could more than double if banks abandon IMA
BNP Paribas USA in line for $1.2bn capital reprieve
Bank’s subsidiary small enough to escape stress capital buffer under current rules
AmEx expansion puts it on track for tougher prudential standards
Lender is within spitting distance of category III designation, which would attract stricter capital and liquidity requirements
Review of 2023: a hard road to a soft landing
Banks and regulators were caught in the crosswinds of the fight against inflation
FRTB could put Indian banks at competitive disadvantage
Simplified approach could leave local banks with higher capital charges than foreign branches
Fed methodology adds as much as 2% to US G-Sib surcharges
Morgan Stanley’s binding add-on is three times as high as under Basel framework
EBA seeks to tighten up uneven prudent value adjustments
Regulator to consult ‘soon’ on changes to improve consistency of capital deductions