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 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
SA-CCR proposal imminent, Fed adviser says
NSFR could also be finalised before year-end; final stress capital buffer rule expected in early 2019
Basel III: EU G-Sib capital requirement to jump 25%
Basel III output floor will add 5.4% to minimum required capital
Almost all banks compliant with NSFR – Basel survey
Just seven of 193 surveyed below 100% minimum requirement at end-2017
EU banks short €14.6 billion of Basel III capital
Total capital ratios would fall to 14.5% from 18.5% if reform package were implemented today
Lawyers blast Basel on funding of STM swaps
'Daft' guidance would see settled-to-market derivatives caught by NSFR and LCR liquidity ratios
Banks will not use NSFR to judge funding risk
Calibration of ratio looks “somewhat insane” when applied to real world, conference hears
Vibrato and automatic differentiation for high-order derivatives and sensitivities of financial options
This paper deals with the computation of second-order or higher Greeks of financial securities. It combines two methods, vibrato and automatic differentiation (AD), and compares these with other methods.
LCR gap between EU and US banks widens further in H1
State Street had the lowest LCR, at 108%, and UniCredit the head of the pack with an LCR of 179%
The price of trust: tackling the risks of ring-fencing
Learning the wrong lesson from Lehman? Ring-fencing hikes risk of bank failure, says Credit Suisse’s Wilson Ervin – he proposes an alternative
UK leverage ratios stray from EU measures
Bank of England changes exempt central bank claims from UK measure, causing discrepancies with CRR version
To be resolved: the FDIC and the future of bank failure
Will Jelena McWilliams finally nail down the FDIC’s role as a resolution authority?
Credit data: zeroing in on supply chain risk
Data highlights the risks posed by economic protectionism, writes David Carruthers of Credit Benchmark
CIBC's Barbados woes incur $44 million capital charge
Sovereign credit risk-weighted assets jump 19% as Barbadian loans sour
European banks blitz non-modelled credit risks
Across 14 G-Sibs, IRB assets fell 10% over three years, while standardised assets dropped 20%