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.
Tug of law: EC’s FRTB compromise plan can’t please everyone
Leaked draft consultation unlikely to reconcile the global versus regional bank divide
Credit loss database reveals holes in Basel’s IRB formula
Researcher has used two decades of data to propose improved internal model methodology
Hedge funds flock to US swap spreads on SLR easing talk
‘Trade of the year’ sees investors position for shrinking negative basis as Treasuries predicted to outperform swaps
Delving into the European Commission’s proposed overhaul of FRTB
Raft of potential changes would benefit both IMA and SA banks – but only temporarily
Market knee-jerks keep VAR models on their toes
With a return to volatility, increased backtesting exceptions show banks’ algos are stretched
Why the survival of internal models is vital for financial stability
Risk quants say stampede to standardised approaches heightens herding and systemic risks
Japan’s regulator stands firm behind Basel as peers buckle
Japanese banks fear being at a disadvantage to rivals as Basel III implementation falters
JSCC plans to open JGB clearing to foreign investors
Clearing house aims to boost cleared market liquidity in Japanese government bonds
US banks’ unrealised losses surge by $33bn in Q4
Led by JPM, Wells Fargo and Capital One, every major bank reported higher losses in AOCI, in reversal of previous quarter’s recovery
Basel uniformity fades as members defy dress code
Rule-makers diverge from Basel III standards, denting aims of comparability and fuelling fears over fair competition
CRR III hangs in the balance as member states push for changes
Top EU lawmaker rejects calls to water down capital rules, while others see room for manoeuvre
Looming US Basel endgame redraft sparks calls to save IRB
Experts say 20 years of data makes credit risk models more appropriate than standardised approach
Annual update ratchets up op RWAs at European banks
DNB, RBI and Swedbank post double-digit RWA rises for second year running ahead of Basel III implementation
SEB’s RWAs hit record high on upcoming requirements
Add-on of Skr9 billion helps drive CET1 ratio to lowest since pandemic
EU banks show basic instinct for credit valuation adjustments
Simpler approach to CVA appeals even to some already using more complex models for counterparty risk
UBS blunts Basel III RWA impact, gains time for Credit Suisse integration
Bank secures valuable time to integrate legacy assets and prepare for forthcoming regulatory challenges
Big banks could be sidelined from future rescue deals – FSB
Exacerbation of too-big-to-fail means G-Sibs could already be too large to take extra assets
US regionals predict prolonged AOCI burndown
Six banks adjust capital projections amid rising unrealised losses in Q4
BoE warns over risk of system-wide cyber attack
Senior policy official Carolyn Wilkins also expresses concern over global fragmentation of bank regulation
Stuck in the middle with EU: dealers clash over FRTB timing
Largest banks want Commission to delay implementation, but it’s not the legislator’s only option
European Commission in ‘listening mode’ on potential FRTB changes
Delay or relief measures on the table after UK postpones start of Basel III to 2027
Australian FRTB projects slow down amid scheduling uncertainty
Market risk experts think Apra might soften NMRF regime to spur internal model adoption
EBA to address double-counting caused by new capital floor
Existing EU capital add-ons for model risk would duplicate new Basel floor on internal models
Barr’s Fed exit likely to delay, but not destroy, Basel III
Market risk, op risk and leverage ratio all in the sights of Barr’s potential successors