美股-投资策略-美国固定收益监管更新：影 响美国固定收益市场的监管规定

1、North Fixed Income ResearchFebruary 28, 2018US Fixed Income Regulatory UpdateRegulations affecting the US Fixed Income MarketsAlex RoeverACHead of US Interest Rate Strategy HYPERLINK mailto:alex.roever alex.roeverJ.P. Morgan Securities LLCTeresa Ho HYPERLINK mailto:teresa.c.ho J.P. Morgan Securities

2、LLCPhoebe White HYPERLINK mailto:phoebe.a.white phoebe.a.whiteJ.P. Morgan Securities LLCRyan Lessing HYPERLINK mailto:ryan.j.lessing ryan.j.lessingJ.P. Morgan Securities LLCSeeendpagesforanalystcertificationandimportantdisclosures,includinginvestmentbankingrelationships.J.P.Morgandoesandseeks todobu

3、sinesswithcompaniescoveredinitsresearchreports.Asaresult,investorsshouldbeawarethatthefirmmayhaveaconflictofinterestthat couldaffecttheobjectivityofthisreport.Investorsshouldconsiderthisreportasasinglefactorinmakingtheirinvestmentdecision.1Table of ContentsDescriptionPageDescriptionPageIntroductionD

4、odd Frank RegulationsRegulatory Update3FDIC Deposit Insurance Fund and Risk Assessment Rule67Overview of recent legislation and Treasury reports4Revisions to definitions to the FDIC Risk Assessment Rule68Key agency vacancies and appointments14OTC Derivatives Clearing69What are the regulations?15Qual

5、ified Mortgages72Matrix of regulations and the markets they impact16Risk Retention for Securitization73Systemically Important Nonbank Financial Institution75BankRegulatoryReforms77Basel III Capital and G-SIFI17US Basel III Capital Rules21Other Market Regulatory ReformsUS Basel III G-SIFI Rules25Repo

6、rting requirements for Treasury securities79US Basel III AOCI Filter30Regulations affecting mortgage origination80Basel III Securitization Rules31Housing Finance Reform81Basel III Capital Floors32Financial Benchmarks82Basel III Fundamental Review of Trading Book33US Interest Rate Benchmark Reform85B

7、asel III Leverage Ratio36Report of Selected Money Market Rates88US Supplementary Leverage Ratio39US Money Market Fund Reform89Basel III LCR42European Money Market Fund Reform92US Basel III LCR46Liquidity Management Rules for Mutual Funds / ETFs94Basel III NSFR49Non-Bank Non-Insurer G-SIFIs95US Basel

8、 III NSFR52Structural vulnerabilities from asset management97Enhanced Prudential Standards for US Banks55Reg AB II for Securitization98Enhanced Prudential Standards for Foreign Banks57Shadow Banking99Total Loss-Absorbing Capacity59Shadow Banking Risks in Sec Lending and Repo100US Total Loss-Absorbin

9、g Capacity61TBA Margining101European Bank Bail-In62Centrally-cleared Repo102Orderly Liquidation Authority63Margin Requirements for Non-Clearing Derivatives103Restrictions on G-SIB QFCs65US Margin Requirements for Non-Clearing Derivatives104Principles on funding of G-SIBs in resolution66Derivatives C

10、learing Corporations Standard1062AgendaIntroduction3BankRegulatoryReforms17Dodd-FrankIntroduction3BankRegulatoryReforms17Dodd-FrankRegulations67Other MarketRegulatoryReforms79Glossary108Regulatory Update: regulatory recalibration continues and benchmark reform gathers speedSince our last publication

11、 in regulators have continued the process of tailoring and recalibrating existing rules. The passage of the Economic Growth, Regulatory Relief, and Consumer Protection Act also known as the Bipartisan Banking Act) raised the asset thresholds at which certain enhanced prudential standards (EPS) apply

12、 (see page 4). In to conform with this new the Fed proposed modifying company-run stress testing requirements, raising the asset threshold and reducing the frequency of required stress tests. Additionally, the Fed proposed a framework that would more closely match the regulation for large banking or

13、ganizations with their risk profiles, and the agencies proposed excluding community banks from the Volcker rule. In the coming weeks, the Fed is alsoexpected to propose revisionsto certainenhancedprudentialstandardsfor foreignbanksinthe US.*The Fundamental Review of the Trading Book (FRTB) was final

14、ized by the Basel Committee on January 14. We expect US regulators to introduce the US version of the regulation in early 2020 with the ruling going into effect in January 2022. The initial version of the ruling, which we first covered in 2015, was far more onerous than this final version. Neverthel

15、ess, the final ruling has challenges and reinforces many of the issues with the current system. Basedon a BIS analysis,FRTBisexpected to resultin a median increaseof 16% in market risk capitalrequirements for banks overall. For structured products, FRTB builds on what we view as the flawed foundatio

16、n of the formula,whichdoesnotgiveanycredittothebondpricesand leadsto counterintuitiveresults(seepage33).Additionally, we have seen continued transitiontoward replacing LIBOR as a benchmark interest rate:The FedbeganpublishingSOFR onApril3, 2018.CME launchedmonthly and quarterlySOFR futures contracts

17、 in Since July 30, nearly 60 SOFR-based FRNs have been issued in US credit markets. ARRC leadership indicatesthedevelopmentofSOFRmarketshasprogressedfasterthanenvisionedinthe“PacedTransitionPlan.” Much of the ARRCs current efforts are focused on developing and deploying fallback language for financi

18、al contracts to ensure they are effective in the event that LIBOR ceases to beproduced.The Basel Committee released a consultation in December seeking views on revisions to disclosure requirements, and specifically targeting regulatory “window dressing” by some non-US banks. The BIS plans to require

19、 banks to disclose daily averages over the reporting quarter instead of just “spot” measurements. This change should lead to lower but steadier repo balances from foreign banks going forward (see HYPERLINK /research/content/GPS-2862441-0 Short-Term Fixed Income, A. Roever, 12/14/18). While US and UK

20、 banks already are required to calculate average exposure over the reporting quarter, finalizationof thisruleby BaselcouldrequireEuropeanbankingregulatorsto revisetheirrules.3 HYPERLINK /regulation/6424511/fed-ready-to-ease-prudential-rules-for-foreign-banks * /regulation/6424511/fed-ready-to-ease-p

21、rudential-rules-for-foreign-banksBipartisan Banking Act: The Economic Growth, Regulatory Relief,and Consumer Protection Act Signed into law by President Trump on May 24,2018.Raisestheassetthresholdsatwhichcertainenhancedprudentialstandards(EPS)applyfrom$50bnto$250bnin total consolidated assets (thou

22、gh it gives the Fed discretion to apply any of these standards to BHC $100B); Changes apply in 2 stagesBHCs withassets less than$100Bimmediatelyexempt,andthresholdraised to $250B18 months afterenactmentProvidesrelief to certaincommunity banks(generally$10B)acrossa wide rangeofregulatoryrequirements;

23、e.g.,exempt from Volcker rule and subject to a new community bank leverage ratio that acts as an off-ramp to otherwise applicable capital requirementsRevisesDFASTrequirementssuchthatBHCs $100B,$250Baresubjecttoperiodic,ratherthanannual,supervisorystress tests; changes threshold and frequency of comp

24、any-run stress tests and reduces the required number of economic scenarios. TheFed is likely to implement conformingchangestotheCCARrules(whicharenotpartEPS)Directs US banking agencies to issue a rulemaking to exclude certain central bank reserves from the measure of total leverageexposure in the Su

25、pplementary LeverageRatio for certaincustody banks(limited to the extentofthevalue of client deposits). Defines a custody bank as a “depository institution holding company predominantly engaged in custody, safekeeping and asset servicingactivities”RequiresUS bankingagenciestotreatcertainmunisecuriti

26、es(includingcertainrevenuebonds)as Level 2B HQLAunderLCRExemptscertainreciprocaldepositsfromthedefinitionofbrokereddepositsAsenacted,theapplication oftheFeds EPS regulationsforFBOs with $100Bin global total consolidatedassets is not affectedOn July 6, 2018, the Fed released a statement outlining the

27、 positions it will take on affected regulations until formal amendments are made (as necessary). The Board will not take action to require BHCs with $100B in consolidated assets to comply with certain regulations, including LCR, and EPS under Reg YY. On October 31, 2018, the Fed proposed a framework

28、 that would more closely match the regulations for large banking organizations with their risk profiles. On January 8, 2019, the Fed proposed raising the threshold requiring state-member banks to conduct company-run stress tests from $10bn in total assets to $250bnandchangethefrequencyfromannualtoon

29、ceevery otheryear.Text of bill: HYPERLINK /bill/115th-congress/senate-bill/2155/text /bill/115th-congress/senate-bill/2155/textFed proposals: HYPERLINK /newsevents/pressreleases/bcreg20181031a.htm /newsevents/pressreleases/bcreg20181031a.htm; HYPERLINK /newsevents/pressreleases/bcreg20190108a.htm /n

30、ewsevents/pressreleases/bcreg20190108a.htm4Bipartisan Banking Act: The Economic Growth, Regulatory Relief,and Consumer Protection Act (continued) $10B $10B, $50B $50B, $100B $100B, $250B $250BG-SIBsGeneral EPS including contingent capital,resolution plans, credit exposure reports, single-Exempt unde

31、rcounterparty credit limits, enhanced publicN/AN/AExemptStatute; Fed MayStill AppliesStill Appliesdisclosures and short-term debt limitsApply by Rule/ OrderDFAST supervisory stress testingN/AN/AExemptStill Applies butModifiedStill Applies butModifiedStill Applies butModifiedDFAST company-run testing

32、N/AExemptExemptExempt under Statute; Fed May Apply by Rule/ OrderStill Applies but ModifiedStill Applies but ModifiedRisk Committee requirementFed May Applyby Rule*Fed May Apply byRule*Still AppliesStill AppliesStill AppliesStill AppliesSLR reliefN/AN/AN/AN/ACustody BanksEligibleCustody BanksEligibl

33、eCommunity Bank Leverage Ratio / Off RampEligibleIneligibleIneligibleIneligibleIneligibleIneligibleVolcker Rule ExemptionEligibleIneligibleIneligibleIneligibleIneligibleIneligibleSource: Davis Polk* The Bipartisan Banking Act allows but does not require the Fed to impose the risk committee requireme

34、nt on publicly traded BHCs $50B. The statement released by the Fed on July 6 clarifies that it will not take action to require BHCs $50B to establish risk committees5Summary of proposed requirements; dark blue items reflect changes in the Fed proposal; light blue shading indicates already implemente

35、d changes under the EGRRCPAThe Fed has proposed further tailoring of capital and liquidity requirementsSummary of proposed requirements; dark blue items reflect changes in the Fed proposal; light blue shading indicates already implemented changes under the EGRRCPACategoryCategory1Category2Category3C

36、ategory 4OtherFirmsCriteria $250bn assets orU.S.G-SIBs $700bnassets or $75bn in NBA,$100bn-$250bn assets$50bn-$100bn $75bncross-jurisdictionalwSTWF, oroff-balancesheet exposureProjected Firms AffectedJPM, BofA,Citi,Wells,BB&T,SunTrust,Amex,Synchrony, Comerica, Goldman,MorganStanley,NorthernTrustU.S.

37、 Bank,PNC,CapitalAlly, Citizens,FifthThird,E*TRADE, SVB,NYBNY,StateStreetOne,SchwabKeyBank,Regions,M&T,CommunityBankHuntington, DiscoverCapitalLeverage CapitalStandard leverage ratio Supplementary leverage ratioStress TestingAnnual capital plan submission CCARSupervisory stress-testing Company-run s

38、tress testingRisk-Based Capital Countercyclical Buffer Advanced approachesAOCI capital impactG-SIB surchargeDebtTLAC/Long-term debtEnhancedSLRStandard SLRStandard SLR- Qual.andquant.Qual.andquant.Qual.andquant.Quant. only(2yrcycle) AnnualAnnualAnnual2yrcycle-AnnualAnnualAlternateyears-Noopt-outNoopt

39、-outOpt-outallowedOpt-outallowedOpt-outallowed-LiquidityInternalLiquidity stress tests Liquidity risk managementStandardizedLiquidity coverage ratio (LCR) Net stable funding ratio (NSFR)MonthlyMonthlyMonthlyQuarterlyTailored-Full (100%)Full (100%)Reduced (70-85%)*-Full (100%)Full (100%)Reduced (70-8

40、5%)*Source: Federal Reserve, J.P. MorganFor firms subject to Category III requirements with wSTWF of $75 billion or more, 100% LCR and NSFR requirements would apply. For firms subject to Category III requirements with less than $75 billion in wSTWF, the proposal would request comment on reducing the

41、 LCR and NSFR requirements to a level between70-85%.Glossary: NBA nonbank assets; wSTWF weighted short-term wholesale funding;AOCI accumulated other comprehensive income; CCAR Comprehensive Capital Analysis and Review; GSIB global systemically important bank holding company;TLAC total loss-absorbing

42、 capacity6Tax Cut & Jobs Act (TCJA): Complex implications for US bond marketsShifts US corporate tax from global to hybrid-territorial system.Headline corporate rate cut to 21% from 35%, along with major changes to expensingrules.Higher federal deficit = more US Treasury debt.Budget deficit rose to

43、$780bn in FY18 (3.8% of GDP); we forecast a FY19 deficitof$900bn(4.2%of GDP). CY18 netUST issuancerose to$1.34tn;we forecastCY19 net issuance of$1.13tnLess corporate debt issuance? Historically, high US corporate rate & interest deductibility incentivized multinationals to borrow in US bond markets.

44、 New, lower tax reduces thisincentive.Long-run positive for most US banks, but there are transition issues. Several G-SIBs took transition charges in 4Q17, lowering capitallevels.Median CET1 ratio forGSIBs fell 90bp but was unchangedforregionalbanks.1Deemed repatriation of untaxed foreign profits. A

45、 one-time “transition tax” on untaxed accumulated earnings of certain non-U.S. corporations.Cash amountstaxedat a 15.5%,non-cashat8%. Eight annualinstallment paymentspermitted:years 1-5eachat 8% of net liability, year 6-8 at 15, 20 & 25%,respectively.Non-Financial corporate cash held offshore in Dec

46、 17 $2.0tn. Top 5 holders 35%.2Followingtherepatriation,overallnon-financialcorporatecash declined9.5%to $1.8tnby 2Q18.Non-fincash holdings mostly USD denominatedandheldin money markets instrumentsand1-5y bonds.Marketparticipantsexpectalargereturnof capitaltoshareholdersandinfrastructureinvestments.

47、Affectedfirms still working on capital plans.Weexpectcash needs to be fundedthroughfreecash flow, liquid cash, short-term borrowing and bond portfolio run-off. Non-financial corporate appetite for short-term bonds should decline, but probably not completely disappear.Legacy corporate was repealed, b

48、ut new targeted with complex implications are added.BEAT (Base Erosion & Anti-Abuse Tax): Targets multinationals, including banks. Limits firms ability to reduce normal US taxes throughpaymentstorelated foreignparties. BEAT tax rate forbanks6% in 2018,11% 2019-25,13.5%thereafter.BEAT tax rate for no

49、n-banks is 1%lower.BEAT will increase borrowing costs for in-scope banks. Base erosion payments include ordinary-course transactions between related parties including repurchase agreements, but qualifying derivatives and internal TLAC instruments are excluded. Affected banks may limit repo lending,

50、reducing Treasury marketliquidity.GILTI (Global Intangible Low Tax Income): A global taxation twist on “territorial” system. US owners 10% Controlled Foreign Corprequiredtopay10.5%taxonincomeassumedtobederivedfromintangibleassets(royalties,patents,etc.)regardlessof whether it is actuallydistributed.

51、1 See Moodys US Banks: 4Q17 Update, HYPERLINK https:/goo.gl/oQp8wF https:/goo.gl/oQp8wF2 Moodys Corporate cash pile declines 9.5% to $1.8 trillion; tech extends lead over other sectors,” HYPERLINK /researchdocumentcontentpage.aspx?docid=PBC_1150710 :/ HYPERLINK /researchdocumentcontentpage.aspx?doci

52、d=PBC_1150710 Global StandardUS RequirementEU RequirementRisk-based capitalPhased-in from Jan 2013 to Jan 2019Phased-in from Jan 2014 to Jan 2019 for AA banks (Jan 2015 to Jan 2019 for non-AA banks)Phased-in from Jan 2014 to Jan 2019Capital floor is currently 80% of Basel 1 approach RWA; awaiting fi

53、nal capital floor rule, expected to be calibrated at 70-75% of Basel III standardized approach RWA. Also awaiting final standardized approach (SA) credit risk rule, but second consultation retained use of credit ratingsGlobal StandardUS RequirementEU RequirementRisk-based capitalPhased-in from Jan 2

54、013 to Jan 2019Phased-in from Jan 2014 to Jan 2019 for AA banks (Jan 2015 to Jan 2019 for non-AA banks)Phased-in from Jan 2014 to Jan 2019Capital floor is currently 80% of Basel 1 approach RWA; awaiting final capital floor rule, expected to be calibrated at 70-75% of Basel III standardized approach

55、RWA. Also awaiting final standardized approach (SA) credit risk rule, but second consultation retained use of credit ratingsMore conservative in defining additional T1 capital; Capital floor is 100% of US SA RWA, as required under DFA Collins Amendment. SA credit risk rule applies higher risk weight

56、s for certain exposure categories; banks prohibited under DFA from referring to external credit ratings.In 2014, the BCBS found aspects of EU implementation to be materially noncompliant with Basel III; Applies a capital floor based on Basel II SA framework; Under the SA credit risk rule can utilise

57、 external credit ratings of counterparties to determine risk weightings.G-SIB SurchargePhased-in from Jan 2016 to Jan 2019Phased-in from Jan 2016 to Jan 2019Phased-in from Jan 2016 to Jan 20195 Factors: size, interconnectedness, cross- jurisdictional activity, substitutability, and complexity G-SIB

58、surcharge range from 1% to 2.5%*Two tests with higher score required: Basel test plus a second test that replaces substitutability factor with STWFG-SIB surcharge range from 1% to 4.5%*Largely implements Basel framework; falls short in that it does not provide for the addition of further buckets in

59、the case that banks increase their systemic importance, but this is not considered materialLeverage ratioDisclosure from Jan 2015; application from Jan 2018Disclosure from Jan 2015; application from Jan 2018Proposal as part of CRD V, expected application date is H2 20203% of total exposure; 2016 con

60、sultation indicated the possibility of additional requirements for G-SIBsExposure calculated as the daily average for the reporting quarter; Applies pillar 1 supplementary leverage requirement to AA banking organizations, while G-SIBs subject to eSLR: 5% for BHCs; 6% for IDIs3% of total exposure; Ex