Double leverage, a regulatory tribulation

Last week, the UK Prudential Regulation Authority (PRA) published a consultation paper on group policy and double leverage, in which the PRA wants to limit the risks arising from excessive double leverage. The consultation paper and the associated speech by Sam Woods received some coverage, though the ECM addendum on Non-Performing Loans probably attracted more […]

Is the European Commission phasing out MREL?

It spooked the markets for good reasons, but the leaked EC document on the merger of TLAC and MREL did not receive the attention that it deserves. Yes, Reuters reported on the leaked Information Note from the Commission Services for the European Commission Expert Group on Banking, Payments and Insurance. However I am not sure […]

FYI some documentation on the Leverage Ratio for EU banks

My post on EU leverage ratios yesterday attracted some comments on twitter, which may haven been triggered by misunderstandings. The CRR offers a short and clear summary of the Leverage Ratio definition in Article 429.1: “The leverage ratio shall be calculated as an institution’s capital measure divided by that institution’s total exposure measure and shall […]

Five years after the first Basel III coco issuance, the Netherlands “gets” CoCos.

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, […]

The language of Capital and Equity

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 […]

In defence of bank DTAs

Over the last weeks, the issue of bank Deferred Tax Assets (DTAs) came up again. What does not really help ending this story is the confusion on the subject of DTAs. Let me make a stab in trying to end the DTA confusion. Here are some snippets that from various news sources that I gathered. […]

The European Commission consults on CRR and CRD IV and on bank financing

Just before the summer break, the EC published a consultation on the effects of higher bank capital requirements under the CRR. Time to pay back! This is an important consultation, as generally only interested parties (banks) contribute. Unfortunately, in particular academics stay away from these consultations. This is depressing. Given that European academics seldom work for private […]

Jay, the EBA and BCBS Basel III monitoring results are out

The EBA and the Basel committee just published the Basel III monitoring results. Click here to view the results of the EBA monitoring exercise. Click here to view the results of the BCBS monitoring exercise. Best is to describe the results using graphs, in this case from the EBA report. Note, these are results of […]

Basel’s damning report about EU’s definition of bank capital

Here is the Basel III RCAP report. On first sight, it looks bad: “In view of this, the prudential regulatory framework in the EU and the nine Member States was evaluated to be materially non-compliant with the minimum standards prescribed under the Basel framework.” However, how bad is it? Having skimmed trough the report with […]

The ECB 2014 AQ data in one Excel file – with pivots and LEI codes

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.