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.
Fed may delay counterparty limits for foreign banks
Other countries need time to catch up on Basel large exposures rule, Fed official says
Over four years, US G-Sib AT1 capital soars
AT1 capital has increased 57% since 2014, CET1 capital up 2%, Tier 2 capital –16%
FRTB is here – now it’s up to local regulators
Each jurisdiction must produce its own version of FRTB; until then, banks are hanging back
The utility of Basel III rules on excessive violations of internal risk models
In this paper, the author looks at the efficacy of risk measures on energy markets and across several different stock market indexes, and calculates both the value-at-risk (VaR) and the expected shortfall (ES) on each of these data sets as well as on…
We need to talk about Collins
Standardised capital has become the binding constraint for all US G-Sibs bar Goldman and BNY Mellon
Dawn of CVA threatens hedging woe for Japan banks
Japan’s thinly traded CDS market will make CVA hedging challenging, dealers say
Danske drains excess liquidity, reducing LCR
Nordic bank cuts LCR to 121% at end-2018 from 171% the year prior
Basel haircut floors threaten securities financing desks
Banks fear capital hit unless regulators provide exemption for stock borrowing
Unmoved, Fed stands by G-Sib surcharge
Facing down frenetic lobbying and even US Treasury, central bank doesn’t blink on surcharge
Banks divided on op risk approaches
EU banks favour standardised approach, North American and Australian lenders the AMA
Final FRTB internal model rules get mixed reviews
Bankers divided on whether changes to two key tests will ease ‘penal’ capital charges
Citi’s standardised and modelled RWAs drift apart
SA risk-weighted assets $38 billion higher than modelled equivalents
EU bank capital ratios creep up in Q3
Average transitional ratio increases to 14.7%
Non-netting status denies capital boost for Chinese banks
Reliable close-out netting could cut China’s SA-CCR capital requirements by around 20%
For US banks, billions in regulatory manna
The unwind should help mid-tier banks, but the G-Sib impact is a complex balancing act
Pooled resources offer way to keep credit models afloat
Supervisors drive banks to seek more corporate default data and cost-effective model improvements
What’s Finnish for ‘too big to fail’?
Strange case of Nordea highlights flaw in G-Sib assessments
CME abandons buy-side direct clearing initiative
CCP shutters plan after feedback from regulators and market participants
Leverage ratio unpopular among non-Basel countries
Few jurisdictions use measure to backstop risk-based capital frameworks
FRTB spurs data mining push at StanChart
Bank building “single golden source” of trade data in a bid to lower NMRF burden
Global banks shrink systemic footprint
The big banks trimmed total leverage exposure by €2.9 trillion (4%) in 2017
Is operational risk regulation forward looking and sensitive to current risks?
This paper evaluates the operational risk capital requirements of large US banks to determine whether they are forward looking, sensitive to banks’ current exposures and designed to allow for risk mitigation.
LCRs show US banks run more risk than European peers
The gap between the two averages has widened over the past three quarters to 250bp from 212bp