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.
China, Turkey lead regulatory laggards on Basel III framework
Argentina, Australia, Brazil, Japan and Korea made no progress at all since May 2020
Some hedge funds are financing trades for other hedge funds
After the Archegos collapse, hedge funds are competing to borrow money from a dwindling number of banks
IMA to retain large role in setting market risk capital post-FRTB
Gyrations over 2020 mean a bigger share of market risk requirements could be underpinned by internal models post-reform
Basel III heralds 41% op risk jump for EU banks
Capital requirements set to rise almost 88% for those G-Sibs that don’t currently use the AMA
Basel III output floor set to bind 25% of large banks
Risk-based capital requirements would constrain the largest share of international lenders
After Archegos, a bigger role for XVA desks?
Credit Suisse has stalled on call to expand XVA remit; others think it would have helped, but disagree on how
Basel III capital shortfall shrinks to €8bn
G-Sibs responsible for 77% of the aggregate deficit
European banks set for 17.6% capital hike under Basel III
Output floor expected to push Tier 1 capital requirements up 7.3% alone, latest BCBS monitoring report shows
EC expected to apply output floor at group level only
‘Parallel stacks’ proposal unlikely to appear in first draft of CRR III, due next month
Santander’s CVA charge jumps 94% in Q2
Among the other EU systemic banks, higher capital requirements also at SocGen, ING, Crédit Agricole and UniCredit
Deutsche sees equity RWAs jump 29% on new EU rules
CRR II requires banks to calculate exposure they would incur to honour guaranteed returns on investment products
Internal model revamp adds €3.2bn to Commerz’s CCR RWAs in Q2
IMM update drove most of 37.8% increase in total CCR RWAs
ABN Amro shed €4.5bn non-core RWAs in Q2
Bank seeks to prepare books for Basel IV
PoP goes FXPB: prime of prime fizzes, but isn’t to all tastes
Sources report ebullient growth among PoPs, despite lingering wariness around risk redistribution
CRR II pulls Crédit Agricole’s leverage ratio both ways
New capital requirements offset by ECB exposure relief
ECB sees slim gains, larger losses if EU tweaks Basel III
Staff paper says using parallel stack output floor would push up funding costs longer-term
SA-CCR to add up to £5bn to Lloyds’ RWAs
Further headwinds are expected to come from CRD IV implementation
After bruising EU model review, banks ask: ‘Why bother?’
Post-Trim changes erode capital savings from internal models while raising their running costs
Citi’s SLR falls as Fed relief ends
Bank’s ratio sits 90bp above regulatory minimum as US Treasuries and excess reserves return to weigh on total exposures
Tackling the Basel III SCRA data challenge
Fitch Solutions examines how a more granular and sensitive approach to credit risk under 2023 Basel III updates will increase the quality of counterparty assessments, but create additional compliance costs for banks
Assets under custody creep up at BNY, JP and State Street
Across the eight US systemically important banks, custody assets rose 27% year on year
A sharper focus on credit risk – Accessing Basel III SCRA data
The final Basel III framework will usher in a more nuanced approach to credit risk assessment. To address the challenges and benefit from the attendant opportunities, organisations need to be able to gather and manage the necessary data
EU regulators want Basel sign-off before leverage ratio changes
Risk Live: Benefits of temporary leverage exemptions still to be determined, ECB official says
Fed casts doubt on future of Basel internal models in US
Banks warn Fed cannot keep commitment to avoid Basel III capital hike if it forbids models