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.
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
Banks warned of capital add-ons for legacy Libor contracts
UK regulators’ letter to firms could be followed by Pillar 2 charge to speed transition to Sonia
SGX to exit swaps clearing business
Decision will leave some contracts without a CCP from next April
Banks scent margin offset in US SA-CCR proposal
US agencies seek comment on whether IM should be recognised in leverage ratio calculations
Basel Committee names and shames regulatory laggards
Mexico, China, and US yet to implement key rule changes
FRTB could ‘kill’ local markets – South African banks
Dealers urge South African Reserve Bank to depart from Basel standards on NMRFs
NSFR pricing Singapore banks out of swaps market, dealers say
Market share in long-dated trades has halved since metric was imposed at start of year
Basel to propose IM offset in leverage ratio
Four sources say draft will make concession; it could also revive EU-US segregation drama
Market risk capital requirements will soar come 2022
FRTB implies 54% capital uplift for G-Sibs
Output floor to constrain almost half of G-Sibs – Basel study
The Basel III output floor will impose the single largest Tier 1 capital requirement on 46% of G-Sibs