Capital requirements
Capital rules may be too risk-sensitive, Basel fears
Complexity is slowing roll-out of standards, says Basel Committee deputy
Fed G-Sib plan threatens 50bp jump in FCM capital
Banks rail against proposals that would scoop up $46trn in cleared trades
Fed official voices support for simpler capital regime
US regulators may consider combining some capital ratios into a single measure
Insurers say capital rule threatens long-duration products
Implied credit charges could triple under one approach being field-tested by regulators
Addressing probationary period within a competing risks survival model for retail mortgage loss given default
This paper presents a novel approach to modeling retail mortgage LGD estimation.
Capital savings from new IM regime elude dealers
Slow model development and approval processes mean banks yet to see benefits expected under margin rules
FRTB: proxy risk factors may trigger model failures
Swapping non-modellable risk factors for proxies may make it harder to pass P&L attribution test
PRA’s tough line on Pillar 2 disclosure divides lenders
Watchdog seeks to level playing field with public disclosure of total capital requirements
Repeal CEM; reform SA-CCR
Capital framework hurts clearing resilience, Citi execs argue
Commodities firms fear EBA’s inappropriate capital charges
Energy lobbying overlooked as proposed regime threatens vigorous demands
Would whoever’s left at the CFTC please turn on the light?
Lack of resources – and commissioners – becoming increasingly apparent at US regulator
Focus on Basel output floor calibration misses the point
Until all the final standardised approaches are known, the floor has little meaning
Energy firms raise concerns over CFTC capital rules
Commercial swap dealers might not qualify for a treatment designed specifically for them
US learns to play the Basel game
Mnuchin report marks a US regulatory shift – from leadership to gamesmanship
Revised SMA could allow banks to ignore past op risk losses
Leaked proposals say loss component will be left to national regulators, threatening an unlevel playing field
FRTB could hit syndicated loans, banks fear
Accounting classification would lump assets into regulatory trading book
Don’t let the SMA kill op risk modelling
The SMA is not a good response to the AMA’s failings – but don’t throw the baby out with the bathwater
LCH set to launch repo client clearing service
Project will allow buy-side firms to access CCP through sponsor banks in coming months
EU lawmakers consider extending FRTB deadline
European Commission policy expert says current deadline is too ambitious
Basel group said to weigh changes to key FRTB test
EC and EBA officials criticise low pass rates for P&L attribution test
Custodians could face higher Basel G-Sib surcharges
Data shows removal of cap on substitutability in revised methodology would hit four banks
Banks diving into credit data pools as official support grows
European regulators embrace external data for internal modelling of credit risk capital
Banks mull dedicated IFRS 9 capital buffers
Volatility of loan-loss provisioning from new accounting standard demands additional own-funds protection, say banks
Rethink urged over Basel’s counterparty exposure framework
Industry calls for softening of SA-CCR amid claims it could lead to doubling of calculated exposures