Capital Ratios and Risk Weighted Assets for Tier 1 US Banks

Following on from my recent Supplementary Leverage Ratio: Comparing US Banks article I wanted to look at Capital Ratios and Risk Weighted Assets (RWAs) published by the six largest US banks. Background One of the lessons learned from the Great Financial Crisis (GFC) was that Banks were generally under-capitalised for the risks they were exposed, leading to new […]

Supplementary Leverage Ratio: Comparing US Banks

In my recent Basel III Leverage Ratio article I provided an introduction to this important new metric and today I will look at the Supplementary Leverage Ratio (SLR) disclosures published by the six largest US banks. Background An underlying cause of the global financial crisis was the build-up of excessive on- and off-balance sheet leverage in banks which apparently still […]

SA-CCR – Explaining the Calculations

Background In March 2014, the Basel Committee on Banking Supervision published bcbs279, the Standardised Approach for measuring Counterparty Credit Risk exposures. SA-CCR replaces the current non-internal model approaches, the Current Exposure Method (CEM) of 1995 and the Standardised Method (SM) of 2005. The majority of banks currently use CEM as relatively few firms have Internal Model Method (IMM) approval […]

Basel III Leverage Ratio

The Basel III Leverage Ratio, often referred to as the Supplementary Leverage Ratio (SLR), is one of the important new metrics introduced as a response to the Financial Crisis of 2007-08 and one which continues to receive a lot of press coverage and discussion. In this article I will provide an overview and some of the […]

Impact Of March 1st VM Regime

The big VM deadline has come and passed.  Did trading grind to a halt? Prior to the date, based primarily upon what I had read in news articles, I would summarize my sentiment around the VM implementation as: The industry had not gotten through even half of the required new paperwork Large asset managers being […]

Capital requirements for exposures to CCPs

Following on from my article SA-CCR: Standardised Approach Counterparty Credit Risk, I wanted to look at the related topic of Capital requirements for Cleared Swaps and get a sense of the size of these requirements. Background In March 2014, the Basel Committee on Banking Supervision (BCBS) published it’s Standardised Approach (SA-CCR) for measuring exposure at default […]

Top 10 CFTC Fines of 2016

Have you ever wondered how many people get in trouble with the CFTC every year, and what they got in trouble for? Over the holidays, I read through all 103 CFTC enforcement actions from calendar year 2016.  As such, I am now in a position to give you my favorite CFTC fines of 2016. Headline […]

SA-CCR: Standardised Approach Counterparty Credit Risk

On 1 January 2017, the Standardised approach for measuring counterparty credit risk exposures (SA-CCR) will take effect. SA-CCR is required for Credit Risk Capital, as well as Exposures to CCPs and the Leverage Ratio. It is particularly important for Derivatives as it provides for improved netting benefit and recognition of margin for both cleared and bi-lateral […]