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.
NSFR consultation: industry awaits derivatives fix
Possible fixes under consultation don’t go far enough, say banks
Basel set to reopen NSFR derivatives debate
Contentious 20% add-on for derivatives liabilities to be reviewed this October
Capital rules may be too risk-sensitive, Basel fears
Complexity is slowing roll-out of standards, says Basel Committee deputy
Basel’s Tsuiki: review of bank rules no free-for-all
Evaluation of new framework by Basel Committee will not be excuse for tweaking pre-agreed rules
Banks fear uneven playing field on NSFR
Asian jurisdictions likely to implement key liquidity metric before US and Europe
Fed official voices support for simpler capital regime
US regulators may consider combining some capital ratios into a single measure
Regulators struggle to balance global and local
Global banks merit global rules, but local banks can end up as collateral damage
In the balance: global regulation walks a tightrope
FSB evaluation could maintain international standards or accelerate their decline
Q&A: Asia caught in the Basel crossfire, says Andrew Sheng
Veteran regulator says international standards may be the wrong medicine for emerging markets
New EU bank rules threaten Eurex, LCH investment policies
CCPs with EU bank licences currently run leverage ratios of less than half the minimum
In a bind: how CCAR constrains US bank strategy
Fed’s stress tests are forcing banks to cut loan portfolios and trading assets
JP Morgan hires Credit Suisse’s FRTB lead
John Mitchell led various FRTB work streams at the Swiss bank
Banks say Europe’s CVA proxy-spread plans lack flexibility
Dealers welcome EBA proposals but say limited number of eligible counterparties means few benefits
Inefficiency and bias of modified value-at-risk and expected shortfall
This paper compares mVaR and mES estimators with VaR and ES under normal and fat tailed t-distributions.
Japanese banks eye phased CVA introduction
Working group reports “growing need” for valuation adjustment but cherry-picking fears persist
Repeal CEM; reform SA-CCR
Capital framework hurts clearing resilience, Citi execs argue
U-turn on SMA comparability sparks anger
Three regulators echo bank dismay as key principle of op risk capital framework is abandoned
Focus on Basel output floor calibration misses the point
Until all the final standardised approaches are known, the floor has little meaning
Basel capital floor faces credit risk eclipse
Impact of capital floor depends on new credit risk rules and changes to treatment of provisions
US learns to play the Basel game
Mnuchin report marks a US regulatory shift – from leadership to gamesmanship
Revised SMA could allow banks to ignore past op risk losses
Leaked proposals say loss component will be left to national regulators, threatening an unlevel playing field
Don’t let the SMA kill op risk modelling
The SMA is not a good response to the AMA’s failings – but don’t throw the baby out with the bathwater
Australia’s bank levy could squeeze TLAC drive
Issuing Tier 2 and senior unsecured debt will become more expensive for the top four banks in the country
Basel opts for aggregate bank capital output floor
Banks will have more flexibility on use of internal models, but calibration still undecided