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Regulation

Guide: How you can reduce your initial margin by 70% under uncleared margin rules

Capital and RWAs of top European Banks – 2017 to 2018

It is a year since we last looked at the Capital and RWA of European banks, so today I will look at what the past year’s data shows. Background One of the lessons learned from the Great Financial Crisis was that Banks were under capitalised commensurate to their risk exposure; leading to new Basel III […]

Capital and RWA for European Banks – 2017 to 2018

In my previous blog I observed the trend in Capital Ratios of the top six Tier 1 US Bank from the 1Q 2017 to 2Q 2018. The analysis revealed that all Banks had Capital Ratios well above the minimum requirement set by the Basel III Accord. I wanted to look at the figures and trend […]

Capital and RWA for Tier 1 US Banks – 2Q 2018

Last year we wrote about Capital Ratios and Risk Weighted Assets for Tier 1 US Banks and that blog remains popular to this day. Today I will provide an update using the latest quarterly figures, to see if the trend we observed with US Banks increasing capital and reducing RWA has continued into 2018. Background The Basel […]

London calling: how the Risk Transformation Regulations can facilitate the next generation of ILS

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Guide: What Pension Funds and Asset Managers Need To Know About Voluntary Clearing

How to estimate implicit costs for OTC Derivatives

Settle To Market – What You Need To Know about STM

Settle to Market is a recent innovation in derivatives trading. It has helped banks reduce regulatory capital and derivatives exposures. We look at STM in detail and compare it to collateralisation. The CFTC have also issued guidance on the subject. What You Need To Know Settle to Market (STM) treats Variation Margin at CCPs as […]

FICC Markets Standards

Regulations can only take us so far in improving our markets. Industry Standards to cope with conflicts of interest are therefore being created by the FMSB and backed by all large market players. Swap-pricing tied to the issuance of new bonds is a complex area that the FMSB is creating Standards for. We take a […]

Current Exposure Methodology – What You Need To Know

The Current Exposure Methodology is a key part of Leverage Ratio calculations. It dates back to the late 1980s and the first Basel accords on banking capital. CEM calculates the Potential Future Exposure of a derivative trade using a look-up table based on Asset Class and Maturity. CEM is a very simple, notional-based measure of […]

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