RWA

Cryptoassets like bitcoin should be risk weighted at eight times their market value when banks calculate loss-absorbing capital buffers, according to a confidential letter from the Swiss financial regulator seen…

FISL in London: flexibility the name of the revenue game

April 27, 2017

Anna Reitman

Finadium Event

collateral, Indemnification, Regulations, revenues, RWA, topstory

Regulation, the macro market environment, and new ways of doing business were the topics of a panel scrutinizing the changing dynamics in securities lending markets at Finadium’s Investors in Securities Lending…

What to look for at this week's Basel Committee meeting (Premium)

September 13, 2016

Basel III, Europe, Federal Reserve, Regulatory

Basel Committee, Basel III, Basel IV, NSFR, RWA, topstory

The Basel Committee on Banking Supervision has a regularly scheduled meeting this Wednesday and Thursday (Sept 14 and 15) in Basel, Switzerland. This is set to be an important meeting…

Fitch: risk weighting government bonds could force banks to raise €170bn in capital

June 8, 2016

News and Notes

Fitch, RWA

Sovereign debt rule changes threaten EU bank finances Martin Arnold, Banking Editor Financial Times European banks would have to raise up to €170bn of extra capital or sell almost €500bn…

Getting down to business in measuring counterparty credit exposure

April 25, 2016

mstan

Basel III, Regulatory, Risk Management, Technology, Tri-Party Repo

Basel III, counterparty credit exposure, Pirum, RWA, topstory

Counterparty exposure has become an important topic for banks in the securities finance industry. What was once a fairly low-credit exposure activity, where the biggest concern was hitting a credit…

Basel: Reducing variation in credit risk-weighted assets – constraints on the use of internal model approaches – consultative document

March 25, 2016

News and Notes

Basel Committee, RWA, standardization

The consultative document Reducing variation in credit risk-weighted assets – constraints on the use of internal model approaches sets out the Committee’s proposed changes to the advanced internal ratings-based approach…

Should regulators be setting a 0% or 2% risk weight? (Premium Content)

November 2, 2015

Basel III, CCP, Regulatory, Risk Management

Basel III, Risk Weighted Assets, RWA, topstory

The executive director of Sweden’s Financial Supervisory Authority has told banks that they must assign risk weightings to government debt that are realistic and not accept the 0% sovereign risk…

With non-cash trades on the rise, will indemnification become an issue for sec lending agents?

October 27, 2015

Basel III, CCP, Securities Lending

Indemnification, ISLA, RWA, Securities Lending, topstory

The cost and availability of indemnification of beneficial owners by securities lenders is a perennial topic at conferences. But it is not clear that the dire warnings about cost and…

NY Fed President Dudley on Market Liquidity: It hasn’t really gone away

October 6, 2015

Basel III, Dodd-Frank, Federal Reserve, Fixed Income, Repo

corporate bond liquidity, High Frequency Trading, RWA, SLR, topstory, TRACE, US Treasury Liquidity

The debate over market liquidity is pitting the Fed against the buy side, with the sell side dealers getting caught in the middle. The Fed argues things are not so…

LCH.Clearnet on stress testing CCPs, Part 1

March 31, 2015

CCP, Cleared Interest Rate Swaps, cover 2, Derivatives, Dodd-Frank, EMIR, IOSCO, OTC Derivatives Clearing, Regulatory, Risk Management

CMPI, Committee on Payments and Market Infrastructures, LCH.Clearnet, RWA, topstory

LCH.Clearnet has just published “Stress This House, A Framework for the Standardised Stress Testing of CCPs”, an analysis of risk management at CCPs. It is worth a look. This is…

BIS releases new report on RWA consistency across banks; will it push standardized model inputs?

December 19, 2013

Derivatives, Regulatory

BIS, RWA

The BIS just released the Regulatory Consistency Assessment Programme (RCAP) – Second report on risk-weighted assets for market risk in the trading book (December, 2013). It looks at the variability…

Davis Polk publishes Basel III Standardized Risk Weights Tool

July 17, 2013

Basel III, Collateral Management, Regulatory, Repo

Basel III, Davis Polk, RWA

We have looked at RWA in a couple recent posts. Yesterday was “Heard on the High Street: the realities of working out economic capital and RWA”. Last week was “Banca…

Heard on the High Street: the realities of working out economic capital and RWA

July 16, 2013

Anna Reitman

Basel III, Collateral Management, Regulatory

Economic capital, Risk Weighted Assets, RWA

Recent conversations in London showed some of the realities of working out economic capital and risk-weighted assets models. Quotes are kept anonymous for obvious reasons. Continue reading

Banca d’Italia paper looks at factors behind RWA calculations, why they differ so much

July 11, 2013

Basel III, Europe, Regulatory

Banco d'Italia, GAAP, IFRS, Risk Weighted Assets, RWA

In a Securities Finance Monitor post just the other day on the BIS and the push for simplicity in capital rules, we noted that one argument in favor of simpler…

BIS paper on regulatory simplicity is well worth the read; hopefully this is a shape of things to come

July 9, 2013

Systemic Risk

BIS, Leverage Ratio, RWA

The BIS has just released a very interesting discussion paper, “The regulatory framework: balancing risk sensitivity, simplicity and comparability”. It is a well-written piece that, while structured as a request…

Monday roundup: CASLA docs, Finadium’s repo event, RWA standardization

May 20, 2013

Basel III, Regulatory, Repo, Securities Lending

Basel Committee, CASLA, Finadium, Repo, RWA