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.
Over four years, US G-Sibs slash securitisation charges
Banks also have more exposures capitalised using sophisticated calculation approaches than in years prior
CCP defaults, Pillar 2 charges and robo-raters
The week on Risk.net, November 11–15, 2019
EBA’s Campa: reduce Pillar 2 charges to offset output floor
Bankers plead for smaller capital hit and more predictability on implementation of Basel III
JP Morgan revs up securitisation engine
Exposures receiving securitisation capital treatment increase by $13.7 billion year-on-year
Banks feel chill of exposure from Fed’s SCCL
US rules on counterparty credit limit pose challenges for risk and regulatory teams despite proposed delay, says expert
FRTB costs force banks to weigh IMA desk by desk
Risk USA: Some desks “may not be able to pass these more rigorous standards”, says Morgan Stanley FRTB lead
Chafing under capital rules, JP Morgan sells home loans
Standardised risk weights for residential mortgages far exceed modelled equivalents
ING confident of capital target despite headwinds
Countercyclical capital charges push minimum capital requirement higher
Eurozone G-Sibs’ modelled risk weights well below average
Six of eight systemic lenders have modelled risk weights lower than the G-Sib and European mean
Stress-testing: still worth the stress?
There may be more efficient ways to assess if banks are misjudging their risks
PRA grants Barclays £1bn op risk capital relief
Op RWAs fall to £42.5 billion in Q3
Frandt or foe? FCMs hit back at Esma buy-side clearing salvo
Esma pushes dealers to publish standardised fee schedules amid clearing capacity fears
Basel III risk-weight changes to tax European banks most
Risk-weighting of IRB exposures to increase 2.8% overall
Keeping watch: EBA stress-testing head plans overhaul
Top-down approach, dynamic balance sheet and multiple shock scenarios all possible for 2022
Banks detect daylight between EC and EBA on op risk capital
EC consultation seeks input on ‘cliff effects’ of including past losses
Basel members speed up implementation of banking reforms
Most rules now adopted by more than half of member jurisdictions
PNC eyes $50m windfall from regulatory easing
Capital relief could be used to plump shareholder distributions next year
Basel III heralds wild CVA capital swings
Minimum required capital for CVA to climb 64% for large banks, but some banks will see falls of up to 67%
Funding risk of global banks varies
Basel study shows European banks have seen net cash outflows increase just 7.7% in four years
Basel output floor to bind 29% of big banks
But risk-based capital requirements would constrain the largest number of international lenders
European banks set for 18.6% capital hike under Basel III
Model output floor and higher credit and op risk charges will drive most of the increase
EU banks grapple with NMRF proposals for volatility models
EBA options for lighter capital treatment of parametric curves could prove impractical
Basel III capital shortfall estimate drops by €9 billion
Lower projected credit and market risk capital requirements and model output floor drive reduction
European FRTB proposals spark XVA overload fears
Banks warn of overly complex revaluation process and heightened risk of backtest fails