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.
Chafing under capital rules, JP Morgan sells home loans
Standardised risk weights for residential mortgages far exceed modelled equivalents
ING confident of capital target despite headwinds
Countercyclical capital charges push minimum capital requirement higher
Eurozone G-Sibs’ modelled risk weights well below average
Six of eight systemic lenders have modelled risk weights lower than the G-Sib and European mean
Stress-testing: still worth the stress?
There may be more efficient ways to assess if banks are misjudging their risks
PRA grants Barclays £1bn op risk capital relief
Op RWAs fall to £42.5 billion in Q3
Frandt or foe? FCMs hit back at Esma buy-side clearing salvo
Esma pushes dealers to publish standardised fee schedules amid clearing capacity fears
Basel III risk-weight changes to tax European banks most
Risk-weighting of IRB exposures to increase 2.8% overall
Keeping watch: EBA stress-testing head plans overhaul
Top-down approach, dynamic balance sheet and multiple shock scenarios all possible for 2022
Banks detect daylight between EC and EBA on op risk capital
EC consultation seeks input on ‘cliff effects’ of including past losses
Basel members speed up implementation of banking reforms
Most rules now adopted by more than half of member jurisdictions
PNC eyes $50m windfall from regulatory easing
Capital relief could be used to plump shareholder distributions next year
Basel III heralds wild CVA capital swings
Minimum required capital for CVA to climb 64% for large banks, but some banks will see falls of up to 67%
Funding risk of global banks varies
Basel study shows European banks have seen net cash outflows increase just 7.7% in four years
Basel output floor to bind 29% of big banks
But risk-based capital requirements would constrain the largest number of international lenders
European banks set for 18.6% capital hike under Basel III
Model output floor and higher credit and op risk charges will drive most of the increase
EU banks grapple with NMRF proposals for volatility models
EBA options for lighter capital treatment of parametric curves could prove impractical
Basel III capital shortfall estimate drops by €9 billion
Lower projected credit and market risk capital requirements and model output floor drive reduction
European FRTB proposals spark XVA overload fears
Banks warn of overly complex revaluation process and heightened risk of backtest fails
Watchdogs ask EC to delay repo haircut floors. Will it?
EBA says hedge funds will skirt the rules, but Basel and FSB want haircut minimums in place
Industry expects US FRTB proposals by year-end
Fed likely to co-ordinate progress with EU, which may also accelerate its timetable
When regulators become nationalists
EU’s new treatment of bank software assets is partly a response to global competitive pressures
At US G-Sibs, capital buffers have thinned since 2016
Median G-Sib buffer stands at 3.1% and minimum requirement 9.5%
Enria: no reason for EU to deviate from Basel output floor
ECB supervision chief urges lawmakers to implement contentious Basel III model constraints
Structured products – The ART of risk transfer
Exploring the risk thrown up by autocallables has created a new family of structured products, offering diversification to investors while allowing their manufacturers room to extend their portfolios, writes Manvir Nijhar, co-head of equities and equity…