Basel III
WHAT IS THIS? Basel III is a set of bank soundness rules drawn up by the Basel Committee on Banking Supervision in response to the financial crisis. It hikes the minimum amount of capital banks must hold, introduces new leverage and liquidity ratios, and limits the use of internal models.
BNP, Deutsche, SocGen face steep RWAs surge under FRTB SA
Pro forma disclosures for output floor show 2.5–2.8x increases if banks used only standardised formulas – far above peers
S&P shutters NMRF solution amid audit questions
Vendors face adverse economics due to low number of IMA banks and prospects of regulatory easing
Has the Collins Amendment reached its endgame?
Scott Bessent wants to end the dual capital stack. How that would work in practice remains unclear
Basel III reforms expected to lift large bank capital requirements by 2.1%
Latest BCBS analysis highlights increased capital needs from the output floor
EC mulls blanket FRTB multiplier
Leaked doc includes bank-specific or industry-wide relief on impact of new EU market risk rules
EBA’s Campa on simplifying EU regulations and supervising stablecoins
Departing pan-European supervision chief discusses advancing the banking union, streamlining implementation of new rules, financial resilience, and stepping down early
Basel III alone won’t be capital neutral, says Fed official
Endgame may raise requirements, but will be offset by changes to G-Sib and stress capital buffers
Basel III adoption gap widens as Turkey and India stall
With just a third of jurisdictions fully compliant, progress on the post-crisis banking reforms remains uneven worldwide
Changes to Fed’s G-Sib surcharge imminent, says Bowman
Stress test consultation will come first, eSLR will follow, Basel III endgame will take longer
US Basel III endgame: counterparty credit risk rumblings
CVA rules need better recognition of clearing and hedging, while SA-CCR netting questions linger
Interest rate risk rules need more work, says Fed’s Barr
Former vice-chair for supervision also tells Risk.net his redraft of Basel III would have softened NMRFs
Trade tensions lift China G-Sibs’ CVA charges 10% in Q2
Top Chinese banks’ RWAs rebound for first time since Basel III overhaul
US Basel III endgame: a credit risk calibration conundrum
If regulators want to finalise the rules, they should strip out gold plate and cancel a haircut
Market RWAs climb at top Chinese banks as risk sensitivities spike
China Construction Bank records biggest rise on record in Q2
European regulator praises Japan’s ‘smart’ NMRF manoeuvre
Comments come after revelation that Nomura is able to reverse NMRF status for risk factors
Lightening the RWA load in securitisations
Credit Agricole quants propose new method for achieving capital neutrality
Nomura’s ES requirement swings 75% in turbulent debut
New gauge for modelling interest rate desks’ charges ranged from ¥23bn to ¥41bn over the course of Q1
Capital-neutral securitisation risk weights
A closed-form formula to allocate capital to the tranches of a securitisation is presented
How to solve the Fed’s $300bn FRTB problem
A sacrifice will have to be made to ensure new market risk rules meet demands for capital neutrality
Nomura wins NMRF reprieve from Japan’s FSA
Relief granted due to scarcity of vendors offering pricing data for market risk models
CVA risk hits record highs at DBS and UOB
Singaporean banks post biggest RWA increases since 2022
Nomura’s FRTB models reap 33% saving on debut
Trading desks cleared for new IMA’s use win ¥225 billion relief on end-March capital requirements
Fed’s new leverage ratio: the horse that never left the gate
Most of the biggest dealers aren’t leverage constrained now, and experts are sceptical that banks will use the extra capacity for Treasuries
Full output floor would cut average CET1 ratio by 70bp
Phased-in Basel III rules would add over €500bn to RWAs at 64 European banks in downturn