Basle III

The Model Risk Management Forum is Next Week. Special Offer for Readers

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The OTC Space is pleased to invite you to the Model Risk Management Forum on 19-20 September in London. Get to grips with the best practices and emerging innovations of model risk management and governance, and get a 15% discount on tickets as a guest of The OTC Space.

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Monitoring of Basel Rules will be Critical

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Publication of the latest package of capital requirements – often dubbed Basel IV – has been a long time coming. A year later than expected after a disagreement between European and US regulators over the level of an output floor, banks finally have clarity on the detail of the final framework.

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Governors and Heads of Supervision finalise Basel III reforms

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Press release about Governors and Heads of Supervision finalising Basel III reforms (7 December 2017)


The original source of the updated Basle capital proposals, link below. Bill.

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Rocket 8 Magazine - Blast Off Approaching

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Our magazine Rocket 8 is coming soon, packed with inside viewpoints and expert knowledge. Save or update your address to be eligible to receive a copy now, or purchase a subscription through the shop.

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Arbitrage and the Leverage Ratio

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Ever since the dramatic banking collapse in 2008 Regulators and Central Banks have been pre-occupied with finding the magic bullet that prevents another systematic financial crisis arising in the future. 

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Get Your Copy of The Rocket 7 PDF Here

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Where else can you get such useful insight into the OTC markets for free? Articles in Rocket 7 cover MiFID II Data Quality, Staying Ahead of Reporting Regulations, Concerns about Meeting the Bilateral Margin Regulations Deadlines, The Role of your OMS, Automated Documentation Tools, The ISDA Working Group on Uncleared Margin Regulations, All-to-All Trading, and more.

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Rocket 6 Downloadable PDF Edition Available to Registered Readers

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The PDF (downloadable) edition of Rocket is now available, including articles on ISDA Protocols, The Future of Trading, Indirect Clearing, Front and Back Loading, Anti-Abuse Legislation, MIFID Open Access, Portfolio Compression, The ISDA SIMM (Initial Margin) Model, Systems Transformation, Data Harmonisation for Trade Reporting, The Regulatory Reporting Mountain, Diversity in Banking, and a really useful piece from our Russian correspondant on Blockchain.

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The ‘missing link’ in today’s interest rate derivatives markets for LDI strategies

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Interest rate markets have changed substantially since the financial crisis, both visibly and also less obviously in their market structure. These differences challenge asset management firms attempting to operate on behalf of their clients, especially in liability-driven investing (LDI), where the rules and market are continuing to change around them.

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Far from the Modelling Crowd

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It’s been clear for some time that the enthusiasm for internal bank capital models has been waning within certain parts of the regulatory community. The latest signal of that decline is a recent Basel Committee on Banking Supervision proposal to restrict the use of models for the calculation of credit risk-weighted assets. Within that proposal is a very clear decree: the use of the internal model approach (IMA) for the calculation of credit valuation adjustment (CVA) capital is no longer allowed.

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Compressions: a controlled risk to improve the leverage ratio under Basel III

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The disclosure of the leverage ratio in Basel III has put pressure on banks to improve their capital levels. In April 2015 Commerzbank announced raising €1.5 billion in capital to improve its leverage ratio to 3.9%. Deutsche Bank’s Co-CEO Anshu Jain said that that the bank’s single most important strategy was to increase the leverage ratio from 3.4% to 5%. This article explains how compressions can also help banks to increase the leverage ratio while reducing their operational and credit risk.

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