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.
EBA’s software compromise draws fire on two fronts
UK regulator suggests it will neuter the proposed capital relief, which banks say doesn’t go far enough
SA-CCR adoption may spur wider FX swaps clearing
With up to 90% lower exposures on offer, dealers say capital benefits could outweigh margin costs
Regulators and banks clash on FRTB capital impact study
Basel and EBA call out two banks for using “overly conservative” survey assumptions
EBA relaxes modellability hurdles for market risk capital
Flexibility granted for assessing NMRFs on options, but constraints remain on committed quotes
Leaked EU document casts doubt on leverage ratio relief
Several MEPs oppose leverage exemption for sovereign bonds, but some want SA-CCR fast-tracked
Finma relief unlocks $90bn of leverage exposure at Credit Suisse
Central bank deposit carve-out is intended to support lending
US banks’ leverage soared in Q1 before Fed’s reprieve
JP Morgan alone saw leverage exposure climb $112 billion
FRTB comes too late for Covid crisis
Expected shortfall would stop Basel 2.5 duplicate capital charges, but backtesting still a problem
Output floor cliff edge effects threaten EU banks
Capital measure to have uneven impact across five-year phase-in
SA-CCR to lift counterparty risk capital charge by 27% – Basel
Systemic dealers face biggest spike in required capital of surveyed banks
EU banks seek FRTB delay, citing ‘strain’ of virus
Firms want leeway to fight market mayhem, minus burden of new reporting rules
US banks still fret about cutting liquidity buffers
Fed instructions to banks to run down LCR undermined by governance rules, other liquidity metrics
The Fed’s stress capital buffer: relaxed but not relaxing
Bankers welcome key methodology improvement, but final rule could still curb dividends
EU banks face near €18bn capital shortfall through output floor
Twenty-one out of 51 banking groups surveyed would be constrained by the output floor
ICAAP/ILAAP – Unlocking business value from capital and liquidity assessment
Regulators consider banks’ internal capital adequacy and assessment process (ICAAP) and internal liquidity adequacy assessment process (ILAAP) important tools in managing risk. The European Central Bank’s (ECB’s) updated guidance – which came into effect…
PRA’s Woods: ending capital deductions for IT is ‘dubious’
Regulator signals potential divergence between UK and EU capital rules after Brexit transition
Grand designs? Time to rein in the Pillar 2 project
Pillar 2 capital add-ons are becoming increasingly elaborate
BNPP faces €67bn RWA hike under Basel III
Executives say ongoing capital generation and Pillar 2 changes will help keep CET1 ratio stable
Fed’s rush to complete stress buffer likely to unnerve banks
Quarles wants to include it in 2020 CCAR cycle, making bank capital planning difficult
US sidetracks bid to end European CVA exemption
Fed’s change to SA-CCR capital renews EU industry calls to preserve carve-out
Risk weight tweak could fix IFRS 9 capital clash – research
Practitioner suggests way to cancel out double-counting of Basel credit loss provisions
Op risk modelling limited to largest EU banks
Smallest banks do not use AMA at all
Degree of influence: Regulatory policies drive quantitative research
Counterparty risk and market risk hold centre stage, data science moves up, quantum computing debuts
Five eurozone G-Sibs cut op RWAs in Q3
Deutsche Bank cut €5.7 billion quarter on quarter