Uh oh, Jeroen Dijsselbloem form the Netherlands got into rough water this week: Dutch newspaper NRC had a nice scoop that showed how he relied on ING word smiths for writing a tax rule that renders bank capital instruments (CoCos) tax deductible, see full freedom of information documentation here. How bad is this? End 2013,… Read More Five years after the first Basel III coco issuance, the Netherlands “gets” CoCos.
Today Finma, the Swiss bank supervisor posted its new Leverage Ratio requirement, see picture: Switzerland has decided to set a TLAC of 10% of total exposure for its global systemically important banks: 5% for going concern and 5% for gone concern, in line with the TLAC proposal of the FSB. Finma uses colourful language to… Read More The Swiss new capital requirements – why cheer?
Following up on my post of some days ago on Europe’s efforts to harmonise bank capital, it dawned upon me that this harmonisation plan will probably not go well. Today, Danièle Nouy confirmed there will be a consultation on ECB’s efforts to harmonise Options and National Discretions (ONDs) in the CRR. Consultation, consultation, consultation. Mind… Read More Good luck harmonising European bank capital!
Frances Coppola this week posted on her blog an explanation of Capital, liquidity and the countercyclical buffer, in plain English. Frances posted because of Caroline Binham’s use of language in a Financial Times article. Caroline, according to Frances, is wrong. So wrong even that she takes it out on Caroline, blaming her for not being… Read More The language of Capital and Equity
Today, the EBA held a public hearing on the 4 May report on AT1 issuances, see my previous post on this. Click here for the PowerPoint that the EBA prepared. Apparently no surprises. On the hot topic of Contingent Clauses, the EBA reports that it “confirms its previous reserves, and recommends disallowing contingent clauses”. A… Read More UPDATE: The EBA’s laudable effort to tame Additional Tier 1 issuances
Leafing through the BCBS Basel III monitoring report, I noticed this graph on page 21. It shows the interaction between the Basel III Tier 1 leverage ratio (horizontal axis) and the Tier 1 risk-weighted capital ratio (vertical axis). Ratios of Group 1 banks are marked with red dots and those of Group 2 banks with… Read More An intriguing graph in the BCBS Basel III monitoring report
Here is the final report, the Murray Report on Australian banks. Not so long ago Australia was the poster-boy of prudent banking. Unfortunately, this is not the case any longer. Ozzy banks need more resilient capital. Without further ado, please read. I will do too.
I used the stress test data to compute the gap between the leverage ratio and the risk-weighted ratio (CET1 ratio). The ECB data offers the leverage ratio data inputs. To measure the ratios by country, I used the totals of A3 and A4 for the CET1 ratio and the totals for A3 and A5 for Leverage… Read More EU Leverage Ratio Gap
Same for the ECB data, the source data looks fancy, but here is one file with pivots and matching LEI-codes, so you can match with the EBA data.
The EBA’s stress test data is can be downloaded from their site, but it is spread around across several files. For your convenience, please click here for an Excel file that offers a flat file with combined data. Click here to download the same file, but with pivot tables for your convenience.