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Basel III: Finalising post-crisis reforms, sometimes called the Basel III Endgame in the United States, [1] [2] Basel 3.1 in the United Kingdom, [3] or CRR3 in the European Union, [4] are additional changes to international standards for bank capital requirements that were agreed by the Basel Committee on Banking Supervision (BCBS) in 2017 as part of Basel III, first published in 2010.
Basel III requires banks to have a minimum CET1 ratio (Common Tier 1 capital divided by risk-weighted assets (RWAs)) at all times of: . 4.5%; Plus: A mandatory "capital conservation buffer" or "stress capital buffer requirement", equivalent to at least 2.5% of risk-weighted assets, but could be higher based on results from stress tests, as determined by national regulators.
The FRTB revisions address deficiencies relating to the existing [8] Standardised approach and Internal models approach [9] and particularly revisit the following: . The boundary between the "trading book" and the "banking book": [10] i.e. assets intended for active trading; as opposed to assets expected to be held to maturity, usually customer loans, and deposits from retail and corporate ...
New banking regulations don’t typically generate much interest from the general public. Basel III Endgame (B3E) is a bit different—and it’s not just the catchy, Marvel-esque nickname that ...
The BIS hosts the Secretariat of the Basel Committee on Banking Supervision (BCBS), colloquially referred to simply as the "Basel Committee", and with it has played a central role in establishing the Basel Capital Accords (now commonly referred to as Basel I) of 1988, Basel II framework in 2004 and more recently Basel III framework in 2010-2017.
The capital charge for equity exposures is defined in the Basel Accord as follows - The capital charge is equivalent to the potential loss on the institution’s equity portfolio arising from an assumed instantaneous shock equivalent to the 99th percentile, one-tailed confidence interval of the difference between quarterly returns and an ...
In addition to changes in capital requirements, Basel III also contains two entirely new liquidity requirements: the net stable funding ratio (NSFR) and the liquidity coverage ratio (LCR). On October 31, 2014, the Basel Committee on Banking Supervision issued its final Net Stable Funding Ratio (it was initially proposed in 2010 and re-proposed ...
The Basel II accord proposes to permit banks a choice between two broad methodologies for calculating their capital requirements for credit risk. The other alternative is based on internal ratings. Reforms to the standardised approach to credit risk are due to be introduced under the Basel III: Finalising post-crisis reforms.