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.
EBA supports global op risk taxonomy, but it won’t happen soon
New EU framework designed to ease adoption by banks; other jurisdictions have different priorities
BoE lowers capital benchmark for first time in a decade
Drop to 13% envisages 0.5pp decline in Pillar 2 add-ons after Basel III
Nomura shuffles risk methodology team
Epperlein takes advisory role six months after Japanese bank’s FRTB IMA go-live
How Basel III endgame will reshape banks’ business mix
B3E will affect portfolio focus and client strategy, says capital risk strategist
US banks hoping for end of DFAST global market shock
As Fed consults on stress-test reform, lobby group argues regulator is double-counting market risk
CVA capital charges – the gorilla in the mist
The behaviour of CVA risk weights at US banks in 2020 hints at the impact of the Basel III endgame
NMRF framework: does it satisfy the ‘use test’?
Non-modellable risk factors affect risk sensitivity and face practical and calibration difficulties, argue two risk experts
The consequences of the Basel III requirements for the liquidity horizon and their implications for optimal trading strategy
The authors put forward a formula-based approach for determining the optimal liquidity horizon used in scaling the base expected shortfall under Basel III.
Market RWAs climb to new highs at top Chinese banks
Bank of China, China Construction Bank and Shanghai Pudong Development Bank set records for second successive quarter
Nomura eyes FRTB models expansion for FX desks
With rates desks all now on FRTB internal models, markets head says FX is next
Half of European banks already embed FRTB into XVA pricing
US and rest of world lag Europe in incorporation of Basel capital rules into XVA calculations, Risk Benchmarking analysis shows
Default risk overtakes credit spreads in Japan's first year under FRTB
Securitisation charges lift a bigger slice of banks’ market risk requirements
No Fed G-Sib buffer reform in 2025, say experts
Recalibration of method 2 seen as more likely than its abolition; banks resist daily averaging
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