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.
Capital or P&L? Deutsche Bank losses highlight CVA trade-off
Critics of Basel III’s credit valuation adjustment (CVA) capital charge have long warned it would produce perverse incentives. Now, in the form of a string of quarterly losses in Deutsche Bank’s CVA hedging programme, they believe they are being proved…
5,000 trades: Basel III's magic number squeezes swaps books
There is a magic number in bank capital rules – 5,000 trades – below which portfolios qualify for a lower margin period of risk. Some dealers are now trying to cut their books down to size. Others claim that’s impossible. Joe Rennison reports
Deutsche Bank's €94 million CVA loss was "good business", dealers say
Big loss was accompanied by even bigger capital saving, traders point out. Other banks now working out their own policy on controversial capital charge
Branch LCR calculations should include parental support within three days
Loss of capital fungibility creates systemic risk, according to BAML compliance head
Clearing of physical FX in China and India a concern, says GFXD’s Ngai
Global forex division managing director David Ngai warns of the challenges associated with centrally clearing physically delivered foreign exchange products
China relaxes liquidity rules to fall in with Basel timeline
New approach to liquidity risk intended to reduce the regulation's pro-cyclicality
Haldane dismisses talk of monetary and macro-prudential tensions
Bank of England’s Andrew Haldane says it is a virtue that different tools can be used to meet conflicting objectives
Central Bank of Ireland diverges from Basel III on AFS bonds
Irish bank capital numbers would filter out unrealised gains and losses on government bonds
Energy Risk Europe: Commodity derivatives rules flawed, says SEB’s Iwarson
Derivatives regulation will impede attempts by banks to compete and do lasting damage to European market, says founder of SEB’s commodity business
Cutting Edge introduction: pricing the CVA doom loop
Pricing the CVA doom loop
Capital relief accounts for 70% of some CDS spreads, quants say
New research sheds light on implications of product's role as regulatory capital hedge
Leverage rumpus: Banks protest impact of ratio revisions
Client clearing, repo markets, credit derivatives – the leverage ratio casts a shadow over them all. But the overarching complaint is that the ratio should remain a backstop, and it’s a point on which many regulators agree. Lukas Becker and Tom Newton…
IMF: Making Basel III work in emerging markets
For many countries, Basel III is not an all-or-nothing choice. Part of Michaela Erbenova's job at the IMF is to help them work out which bits make sense. By Lukas Becker
Pricing CDSs’ capital relief
Pricing CDSs’ capital relief
Liquidity & Funding Risk 2013: Modelling endangers LCR, panellists warn
New liquidity ratio could be undermined if EBA allows banks to estimate their own exposures
Depositories ponder size of capital requirements for AIFMD liability
Capital punishment
Optimising the capital ratio under Basel III
Sponsored statement: Moody's Analytics
Basel III capital charges to dent bank M&A activity
Capital controls
Pakistan adds Basel III capital surcharge to allow for modelling shortfalls
State Bank of Pakistan outlines its Basel III capital requirements for domestic banks
Clearstream COO: T2S will help plug Basel III capital hole
Mathias Papenfuss, chief operating officer of Luxembourg-based international central securities depository Clearstream and board member of its German central securities depository, tells Luke Clancy the Target2-Securities project has potential to help…
Implementation of Basel III capital ratios on Korean banks to drive subordinate debt issuance
Basel III capital requirements in Korea expected to dampen down M&A and ramp up issuance of subordinated debt
Deutsche Bank loses €94 million on CVA mismatch
Hedges worked as capital mitigant, but generated an accounting loss, bank says
Still no end in sight for US banks' parallel run
Overtaken by events
Barclays leverage explosion baffles experts
Regulatory specialists unable to explain jump in leverage exposure at UK bank - the incoming ratio lacks clarity, say critics