Market Overview
美国银行业危机一周年系列之-《巴塞尔3终局》解析
26.03.2024
美国银行业危机一周年系列之-《巴塞尔3终局》解析
1988年巴塞尔协议1的制定是全球金融监管史的一项里程碑事件，随着后续银行业危机频发，巴塞尔协议也逐步改进，并在2004年制定了巴塞尔协议2；2008年金融危机后制定了巴塞尔协议3；2023年美国银行业共有5家银行倒闭，分别为Silvergate、硅谷银行、签字银行、第一共和银行以及Heartland Tri-state银行；其中硅谷银行、签字银行和第一共和银行的资产规模均为千亿美元以上。 时间来到了一年后的现在，2023Q4美国银行业的资产负债表账面流动性上升，相关风险因素也逐步褪去，金融监管也对本次银行业危机进行了重新审视，新的巴塞尔协议由此产生。 新版巴塞尔协议被称为Endgame（终局）版本，和之前的巴塞尔版本更新一样，对银行的资本运算添加了更多复杂的处理，以求防止本次危机事件再次发生。 此版本巴塞尔协议由美联储、FDIC以及OCC于2023年7月共同出版，通过对政策一些技术性的改革，新协议要求银行增加资本，并且将自有模型计算改成标准方式。 根据巴塞尔3的协议规定，风险加权资产（RWA）需要将信用风险的RWA、市场风险的RWA、操作风险的RWA以及流动性风险的RWA全部相加得出，且各风险RWA的计算方式涉及标准法及自有模型法进行计算。根据PWC的总结，巴塞尔协议3终版对原版本的更新大致如下： 信用风险 1. 部分贷款将根据贷款价值比（Loan-to-Value）的范围而相应增加风险权重，比如住房贷款原来的风险权重为50%，在新版中，银行需要确定住房贷款的还款现金流是否来自房产本身的现金流（租金），并且按照LTV来对贷款的风险权重进行增长。 2. 消费贷款将作为一个新的细分项单独列出，风险权重预计为10%。 3. 当银行对投资级债券进行投资时，需要考虑到风险敞口并且风险权重为65%，当投资级债券被作为金融抵押品时，也需要被进行测试。 4. 当贷款的组合中存在债权人出现交叉违约时，将增加违约风险权重。 5. 当银行无法提供保证其投资标的头寸的透明度时，将采取惩罚性的1250%权重里计算这部分RWA。6. 所有银行都将采用标准方法来计算对手方信用风险。 市场风险： 1. …
Bubble Jitters? Here’s How to Invest Defensively and Still Make a Buck
26.03.2024
Bubble Jitters? Here’s How to Invest Defensively and Still Make a Buck
US500 -0.31% Add to/Remove from Watchlist Add to Watchlist Add Position Position added successfully to: Please name your holdings…
Dollar eases from highs as intervention warning props up yen
26.03.2024
Dollar eases from highs as intervention warning props up yen
USD/CNY +0.11% Add to/Remove from Watchlist Add to Watchlist Add Position Position added successfully to: Please name your holdings…
Trade Wars Redux? China’s Manufacturing Glut and Its Global Implications
26.03.2024
Trade Wars Redux? China’s Manufacturing Glut and Its Global Implications
Copper -0.53% Add to/Remove from Watchlist Add to Watchlist Add Position Position added successfully to: Please name your holdings…
USD Dominance, Gold and Crude Reversal, and the Anticipated PCE Impact
25.03.2024
USD Dominance, Gold and Crude Reversal, and the Anticipated PCE Impact
CL +0.53% Add to/Remove from Watchlist Add to Watchlist Add Position Position added successfully to: Please name your holdings…
Stocks in for Wild Trading Week as Economic Data Tests Fed’s Rate Cut Resolution
25.03.2024
Stocks in for Wild Trading Week as Economic Data Tests Fed’s Rate Cut Resolution
NDX +0.10% Add to/Remove from Watchlist Add to Watchlist Add Position Position added successfully to: Please name your holdings…
Fed Stance Explained? US Growth Could Slow Further as Job Market Rebalances
23.03.2024
Fed Stance Explained? US Growth Could Slow Further as Job Market Rebalances
The US economy remains on track to post a moderate growth rate in the upcoming first-quarter GDP report, but the…
Stocks at fresh records even as dollar bounces back
23.03.2024
Stocks at fresh records even as dollar bounces back
AUD/USD -0.83% Add to/Remove from Watchlist Add to Watchlist Add Position Position added successfully to: Please name your holdings…
EUR/USD Swings Wildly Post Key Central Bank Decisions: Downside Bias Taking Hold
23.03.2024
EUR/USD Swings Wildly Post Key Central Bank Decisions: Downside Bias Taking Hold
EUR/USD -0.49% Add to/Remove from Watchlist Add to Watchlist Add Position Position added successfully to: Please name your holdings…
Retirement Crisis Looms as Social Security, Medicare, Corporate Pensions Tank
22.03.2024
Retirement Crisis Looms as Social Security, Medicare, Corporate Pensions Tank
It is long past the time that we face the fact that Social Security” is facing a retirement crisis. In…