Lasso readied for variable bank risk weighting

Ian Rogers
Some form of clamp on banks' inventiveness in their risk weighting practices (for calculating capital) may be in the works.

On Friday the Bank for International Settlements summarised discussions from a meeting of banking supervisors and central bankers (representing more than 100 jurisdictions) held last week in Tianjin, China.

The Basel Committee on Banking Supervision "has been closely examining banks' risk weighting practices," the BIS said.

"The committee discussed a range of policy and supervisory actions that it has initiated to address the issue of excessive variability of risk-weighted assets.

"These actions include a review of the standardised approaches (ie the non-internal model-based approaches), the introduction of capital floors, greater restrictions on modelling parameters and assumptions, and improved disclosure."

The committee said it would "elaborate on these measures in its report to the November 2014 G20 Summit," in Brisbane in six weeks.

The Basel Committee said it also reviewed "an updated list of global systemically important banks "(G-SIBs) based on end-2013 data.

A bank designated as a G-SIB based is required to hold additional common equity tier one (CET1) capital of between one per cent and 2.5 per cent.

The Financial Stability Board would publish the list of G-SIBs "in the coming weeks," the BIS said.

In November 2011 the FSB released the initial list of 29 G-SIBs, with no Australian banks among them.