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.
The strange effect of US clampdown on FRTB models
Ban on internal models for trading book default risk could provide some banks with unexpected capital relief
US banks rue missed opportunity to reform G-Sib surcharge
As method 2 drifts away from Basel, critics fear comparability and competitiveness will suffer
Overboard: ditching clients imperils Treasuries clearing mandate
Standardised docs a drop in the ocean as dealers eye potential costs of sponsored Treasuries clearing
Banks slam zombie floors in Basel endgame proposal
US regulators double down on capital floors despite clampdown on internal models
Automating regulatory compliance and reporting
Flaws in the regulation of the banking sector have been addressed initially by Basel III, implemented last year. Financial institutions can comply with capital and liquidity requirements in a natively integrated yet modular environment by utilising…
Chinese banks expected to launch TLAC market onshore
Estimated issuance needs of $510 billion are heavy, but thought to be manageable
The changing face of credit portfolio management at banks
The final Basel III framework will require banks to rethink capital allocation and risk transfer strategies in light of new rules on calculating risk-weighted assets, increased emphasis on the standardised approach and a new leverage ratio. CPM will be…
Sizing cyber: banks split on who owns and measures hack threats
G-Sibs split on risk modelling and management for IT disruption and infosec
Using a skewed exponential power mixture for value-at-risk and conditional value-at-risk forecasts to comply with market risk regulation
The authors investigate a method that combines two skewed exponential power distributions and models the conditional forecasting of VaR and CVaR and is in compliance with the recent Basel framework for market risk.
Modelled RWAs diverge further from standardised at BNY Mellon
Gap grows to highest since 2019, pushing bank high above Collins floor
US G-Sibs face higher add-ons in Barr’s surcharge framework review
Fed vice-chair proposal to reduce ‘cliff effects’ could add between 40bp and 10bp to capital requirements
Fed urged to focus on resolvability in Basel III endgame
Industry roundtable suggests resolution planning should take priority over higher G-Sib charge
Five US banks would breach CET1 buffers on AFS loss reinclusion
Fed’s vice-chair proposal to scrap AOCI waiver would cripple KeyCorp the most
Norinchukin’s credit RWAs up 31% on early Basel III opt-in
Bank’s standardised charges surge 19-fold following overhaul of models’ scope and parameters
Goldman could face higher capital charge under Barr proposal
Plans to prevent G-Sib score window dressing would penalise all US systemic banks bar Citi
Partial relief for synthetic securitisation in final EU rules
Internal model banks will see punitive multiplier reduced, but standardised banks miss out
Plumb job: can Basel III unblock US credit risk transfer?
Deals from G-Sibs have slowed in recent years due to regulatory confusion over capital relief
Risk modellers navigate fearful new world of depositor behaviour
Silicon Valley Bank suffered fastest bank run in history, but how should others respond?
EU banks fear Brexit battle over FRTB internal models
Bank of England approach looks easier, but that may not make much difference to model uptake
Hear no EVE, see no EVE
The Fed chastised SVB for poor rate-risk monitoring, but most US banks’ disclosures remain focused on earnings alone
The regulator that troubleshoots first, asks questions later
Canada’s bank watchdog aims to intervene early to tackle burgeoning risks, even at the expense of “perfect” regulatory decisions
US regionals remain laggards on EVE measure
Majority of lenders in Q1 did not report key metric that could have detected SVB’s risks
Basel climate guidance leaves op risk managers in the dark
Banks still unclear on how to fit climate events into existing capital framework
Leveraging compliance: the looming challenges of the post-FRTB paradigm
FRTB guidelines will soon be implemented across a wide section of the global financial industry and will introduce a mountain of complexity to risk management standards and practices. Roger Coroas, head of business development, North America at…