Funding and Capital Economics

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SA-CCR for US Banks

Bill: This is a good post on how the multiple exposure calculation methods may change for US firms. 

The US is introducing SA-CCR to calculate derivatives exposures in 2020. We look at the consultation. We compare add-ons under SA-CCR and the old CEM methodologies. Clarus offer FREE TRIALS of SA-CCR for Excel. SA-CCR Consultation The Federal Reserve, OCC and FDIC have launched a joint consultation on SA-CCR, the Standardised Approach to Counterparty Credit […]

Smart Clearing of NDFs via Quantile

Is your firm clearing NDFs? What you need is a smart way to transfer risk into a CCP to optimise your netting and margin

Basel Committee seeks views on the leverage ratio treatment of client cleared derivatives

Make sure you put in your views on why capital for client clearing is an issue. 

The end of LIBOR : are you ready?

In less than three months, many firms must be able to convince regulators that they’re ready for the transition away from LIBOR. The ‘Dear CEO’ letter sent this week outlines what the FCA and PRA are expecting from major banks and insurers, but it also serves as a reminder to all LIBOR users to make sure they have a ‘robust written plan’.

MiFID II Best Execution: Multi-Asset Class TCA Goes Mainstream

2018 is set to be a transformative year for transaction cost analysis. Driven by new regulatory requirements coming into force the first week of the year, such as the revised Markets in Financial Instruments Directive (MiFID II) and the European Union’s new rules on packaged retail investment and insurance-based products (PRIIPs), the need for transparency improvements and reliable audit trails in trading and investment products has taken multi-asset-class TCA mainstream.

Save a Million on Clearing Costs - A Webinar from Razor Risk and JXL Consulting

Mandated clearing means your OTC portfolio is bifurcated and brings new clearing costs. In this webinar we will explain the drivers and options for measuring and managing clearing costs from many angles. Any one of the ideas presented could make a material difference to your profitability.

Governors and Heads of Supervision finalise Basel III reforms

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.

The Absence of Cash is the Silent Assassin!

In the crisis of 2008, known issues of timing and risk within settlement processes caused extreme stress across the industry and led to the failure of major institutions.  

Solvency, Prudence, Market Regulations

In February 2007 HSBC gave the first warnings from a major global bank of oncoming sub-prime mortgage losses. In March of the following year, Bear Stearns collapsed. The following September Lehman Brothers failed. The financial sector would never be the same again.