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.
Banks struggle to assess climate impact on op risk
Supervisors have provided less stress-testing guidance for op risk than for credit risk
Basel crypto capital plan threatens banks’ DLT projects
Proposed infrastructure add-on could make blockchain settlement and payment systems non-viable
Fed governor questions Barr’s regulatory agenda
Republican governor Bowman delivers “shot across the bow” to new vice-chair
Basel III output floor set to bind 24% of banks
Latest BCBS monitoring report shows four-fold increase over next seven years
European banks set for 17.5% capital hike under Basel III
Output floor could account for almost half the increase in Tier 1 capital requirements by 2028
Europe’s countercyclical buffers buck recession trends
Almost half of EBU’s members have set out CCyB hikes; five plan two or more before mid-2023
A chilly reception for climate risk capital
Bankers don’t believe climate-adjusted risk-weights will enter EU prudential framework – not for now, at least
Looming slowdown casts doubt on countercyclical capital
Confusion over use of buffers makes bankers wonder if concept will ever be successful
Quarles calls for SLR ‘recalibration’ to support Treasuries
Former vice-chair says leverage ratio gold plate was based on flawed projections of Fed reserves
BoE’s planned procyclical capital hike bewilders banks
Some doubt regulator will go through with buffer hike while forecasting recession
EU Parliament creates multiverse of SA-CCR outcomes
Some MEPs want to ease rules further than EC draft; others want return to undiluted Basel text
Quiet man: is Michael Barr the Clark Kent of regulation?
A decade after crafting Dodd-Frank, Fed’s new vice-chair must tame DC's warring regulatory factions
Regulators should be careful what they wish for on FRTB
New framework likely to reduce use of internal models, as planned; but is that a good thing?
‘Nightmare’ of uncertainty plagues FRTB model applications
Shifting timetable and rule tweaks that could alter incentives dampen appetite for internal models
Banks turn away from FRTB internal models in Europe
Drawbacks mean even fewer model approval applications planned than past ECB survey suggested
Why FRTB model test loves volatility, but hates hedges
Crucial P&L test for internal models easier to pass if price swings are large, or desks poorly hedged
Expected shortfall model based on a neural network
This paper presents a model that combines ES models based on EVT and neural networks and meets all criteria for the validity of the Basel III standard.
EU eyes fix to FRTB’s capital asymmetry for govvies
Banks say French presidency proposal would see PD floor slashed for sovereign bonds under IMA
The status of people risk management in UK banks
This paper examines how people risk is managed in banks using interview data obtained from operational risk management experts working in the UK banking sector.
BMO sees $6.3bn RWA increase from capital floor add-on
The bank is the first of Canada’s big five to be bound by the floor as implemented in 2018
India’s bespoke Basel rules leave foreign banks feeling exposed
End of non-cleared derivatives exemption leaves local branches scrambling for capital
How will US regulators perform the Basel III balancing act?
Largest banks seek offsets for higher capital requirements caused by possible end of IRB, IMM
Credit risk capital models hanging by a thread in the US
Industry insiders expect Fed to drop IRB and IMM when adopting Basel III, but market risk models may survive
Basel chair stands by tough capital rules for crypto assets
Isda AGM: Hernandez de Cos is unmoved by arguments that high risk weights will push banks out of crypto