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.
Regulation remains top concern for US energy risk managers
Capital requirements, position limits and other rules still hampering liquidity, conference hears
Leverage puts hedge funds in the systemic-risk spotlight
Regulatory attention shifting to hedge fund users of derivatives
Sympathy for the Dimon
A lack of confidence is hobbling bank stocks – and the implications go beyond valuations
Strong banks, weak stocks: should regulation share the blame?
Analysts say regulatory risk plays a part in weak bank valuations and wobbly prices
Capital and funding
Quants propose KVA and FVA accounting framework based on Solvency II regulation
Banks to ramp up credit risk if Basel scraps internal models
Lobbyists warn banks will add more high-yield debt if forced to follow standardised approach
Nordic clearing members eliminate Skr288 billion IRS notional
Nasdaq Clearing’s first compression run to be continued twice a year
Capital sums set to drive FRTB desk decisions
Using Volcker desk structure may hurt model approval chances, banks say
Basel Committee to amend leverage ratio calculation
CEM to be ditched, but regulators still considering treatment of client margin
Unresolvable clearing houses pose ‘enormous risk’
CCPs, the TLAC and Basel III capital rules are all cause for concern, Minnesota Fed hears
Q&A: FDIC’s Hoenig warns on daily settled swaps
FDIC vice-chair on leverage-cutting schemes, TLAC and TBTF
Industry fears grow ahead of Basel IRB consultation
Biggest share of bank capital at stake as regulators take aim at credit models
Some European banks pricing in Pillar 2 CVA charge
But three dealers say it is too early to know whether corporate CVA exemption will be removed
The limits of the leverage ratio
Data from 30 European banks shows even 6% ratio would miss regulators’ stability target
Accounting puts brake on move to daily settled swaps
New margin approach threatens hedge accounting status, could hurt effectiveness
From FVA to KVA: including cost of capital in derivatives pricing
Youssef Elouerkhaoui presents a general derivatives pricing framework including cost of capital
Dealers turn to structured products for LCR relief
Liquidity options for tackling Basel-mandated LCR come of age
EBA lacks mandate for new CVA push, critics claim
Move to hike counterparty risk capital has corporate treasurers ‘fuming’
BoE: leverage ratio carve-out needed for clearing
Collateral should cut exposure, says BoE, citing need to ensure "continuity" of clearing business
Banks explore spin-offs for cleared swaps desks
Non-bank dealers would escape Basel III; private equity seen as likely owners
Liquidity stress test regime needs attention, say central bankers
DNB experts recommend improved market-wide and bank-specific liquidity stress tests
Revised Basel III better reflects bank risk, research finds
Study says 2013 capital rules more in line with actual risk, but can be easily gamed
Basel II versus III: a comparative assessment of minimum capital requirements for internal model approaches
This paper provides a comparative assessment of the minimum capital requirement (MCR) in three prominent versions of the Basel regulatory framework.
How FVA saved the cross-currency swap
Funding benefits have slashed pricing for some uncollateralised trades