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.
JP, Citi may not see capital benefit from new op risk rules
Collins floor may also prevent Morgan Stanley, State Street and Wells Fargo from realising SMA savings
Chinese megabanks set to lose out in switch to SMA
Bank of China, ICBC likely to see lower reductions in operational risk capital due to reliance on interest income
Revised Basel output floor could hit US banks after all
Fall in operational risk weights could push up capital requirements for market and credit risk
Basel set to hammer Japanese megabank capital ratios
Sharp increase in risk weights for unrated corporates could lead to 30% jump in RWAs
CVA dismay: final Basel rules disappoint dealers
Minor tweaks don’t make up for removal of internal modelling, say banks
‘Catching the outliers’ does not always make sense for Basel
The capital impact of Basel III on Nordic banks is disproportionate to the risks they face
The profit-and-loss attribution test
In this paper, the authors analyze the failure probabilities of the profit-and-loss attribution (PLA) test as defined in the final market risk standard published in January 2016 by the Basel Committee on Banking Supervision.
Apac banks dodge op risk capital hit from new rules
Chinese lenders have largest capital requirements in region; banks expect muted increase on average
North-South divide: Basel makes Nordic and Dutch banks bristle
Lobbyists confident EU policymakers can be persuaded to implement softer credit risk rules
Basel delay does not ensure global FRTB consistency
A European Parliament draft would let supervisors decide response to P&L attribution test fails
The FRTB’s P&L attribution-based eligibility test: an alternative proposal
Spinaci, Benigno, Fraquelli and Montoro propose two alternatives to the P&L attribution test
Basel III: final op risk framework leaves banks guessing
Analysis suggests big capital savings on average, but uncertainty persists over uneven implementation
Basel III changes set to create big winners and losers
Capital hit for G-Sibs ranges from 28% drop to 43% jump, QIS reveals
Basel rules risk fragmentation after key compromise
Basel Committee ready to release new accord but patchy adoption of internal model floor and FRTB expected
European split on NSFR worries dealers
Squabble over derivatives liabilities factor sparks fears of unlevel playing field
Doubts cast on Europe’s IFRS 9 transition period
Dynamic transition viewed as too complicated for banks to use or investors to understand
Basel concession strengthens US opposition to NSFR
Lobbyists say change to gross derivatives liabilities measure shows the whole ratio is flawed
Basel heading for ‘rotten’ compromise, warns EU lawmaker
US commitment to FRTB is essential to persuade Europe to adopt a 72.5% output floor
Haitong: a spotlight on the regional ambitions of Chinese firms
Risk30: Chinese securities house Haitong is going with the flow
BAML and Morgan Stanley swaps drop $186bn on VM change
At least seven banks now using settled-to-market treatment for variation margin
ANZ’s Whelan on China, data science and ROE
Risk30: markets business at ANZ is picking new targets
Q&A: CFTC’s Quintenz weighs swap dealer threshold impact
Activity-based threshold could be ‘disincentivising’ dealers, says commissioner
The future of risk in 10 interviews: volatility, liquidity and tech
Fed’s Powell, JP Morgan CRO, Bridgewater co-CEO all feature in upcoming profiles
Banks prepare for battle with Fed over G-Sib rules
Proposals would kill client clearing business, FCMs claim – but postponement is a chance to fight back