Capital requirements
European banks tire of CVA guessing game
Continued political wrangling over Europe’s CVA exemption increases uncertainty for dealers
EU capital revamp paves way for corporate CVA charge
Draft directive offers national regulators power to override controversial exemption
EBA shelves CVA charge plans after twin defeats
Ongoing rule changes at Basel and EU could allow future bid to end corporate exemption
EBA plans reboot of FRTB’s P&L test
Authority will explore wider range of options than outlined in CRR text
Republican senator slams bank capital rules
US president Donald Trump is no fan of Basel III, Perdue claims
CFTC set to flex its muscles in FSOC meetings
FSOC must study the impact of capital rules on trading liquidity, Giancarlo says
Banks seek capital relief for ECL reserves
Capital rules fail to recognise risk-reducing effect of loss reserves, lenders say
EBA call for simpler IFRS 9 phase-in applauded
Lawmakers aim to fast-track IFRS 9 rules in the revised Capital Requirements Regulation, but are also urged to clarify them
Hidden Markov regimes in operational loss data: application to the recent financial crisis
The authors propose a method to consider business cycles in the computation of capital for operational risk.
Crowd trouble: the FRTB’s war on basis risk
FRTB will lead to build-up of risks around liquid benchmarks, dealers warn
Indirect clearing rules too demanding, warn EU regulators
EBA and Esma call for clarity on capital relief for exposures to clearing members
Why the leverage ratio distorts market-making
Darrell Duffie argues the rule hurts market efficiency for very safe assets
OTC market resisting swap futures threat
Swap futures yet to break out, but backers see margin, accounting and Citadel as tailwinds
Market expects Holdco CDS switch for iTraxx index
TLAC-driven issuance changes likely to see UK and Swiss holding company CDSs included in iTraxx Financials
The impact of IFRS 9 on earnings volatility and uncertainty in the supply and demand for regulatory capital
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The death of one thousand flowers or the AMA reborn?
The author of this paper explores the reasons for the pending demise of the advanced measurement approach (AMA) to operational risk.
US inflation traders consider swap methodology change
Banks weighing up move to non-interpolated standard to cut capital costs
Vickers renews criticism of BoE systemic buffer
Blanket 3% buffer would better support ring-fencing, Vickers tells Tyrie
Taking the FRTB plunge
Banks entering chilly FRTB waters for first time facing fresh challenges
A conflict resolution strategy for capital allocation?
A recently proposed method for capital allocation has the potential to resolve internal disputes
Banks seek clarity on risk retention capital charges
CMBS issuers in dark about how much capital to hold against risk retention exposures
Regulations, sensitivities and adjoints: Using AAD for FRTB and FRTB-CVA
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Banks fear costs from loss of AAD under simpler FRTB rules
Trading book regime may force use of more expensive and time-consuming ways of computing risk sensitivities