Banks fear capital swings if Basel III kills bond filter

Filter furore

mark-long-aoci

Banks have had more than two years to peruse the Basel III prudential rules since they were finalised in December 2010, but the impact of one footnote – which transfers the volatility of huge, previously exempt bond portfolios into bank capital numbers – is only now beginning to sink in. 

Paragraph 52 of Basel III lists what banks must include in common equity Tier I. This number, when divided by risk-weighted assets, produces the all-important common equity Tier I ratio, which is subject to a

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: