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Basel Committee Publishes Report on the Regulatory Consistency of Risk-Weighted Assets for Market Risk

Today, the Basel Committee published a report on the regulatory consistency of risk-weighted assets (RWAs) for market risk.  This analysis of market risk RWAs is part of the Basel Committee’s wider Regulatory Consistency Assessment Programme (RCAP).  A similar analysis is currently under way for credit risk RWAs.

The market risk RWAs report brings together two pieces of analysis: (1) an examination of publicly available data for a selection of large banks and (2) the results of a hypothetical test portfolio exercise, in which 15 internationally active banks participated.  …  Read More

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Federal Reserve Announces Release Dates for Results of Dodd-Frank Supervisory Stress Tests and Comprehensive Capital Analysis and Review (CCAR)

Today, the Federal Reserve announced that results of the Dodd-Frank supervisory stress tests conducted by the Federal Reserve of 18 large bank holding companies (BHCs) will be released on Thursday, March 7 at 4:30 p.m. Eastern Time.  The Federal Reserve also announced that results of the 2013 Comprehensive Capital Analysis and Review (CCAR) will be released on Thursday, March 14 at 4:30 p.m. Eastern Time.

Background on Dodd-Frank Supervisory Stress Tests:  The Dodd-Frank Act requires the Federal Reserve to conduct an annual supervisory stress test of U.S.…  Read More

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Basel Committee Revises Basel III Liquidity Coverage Ratio

The Basel Committee has made significant revisions to the Basel III Liquidity Coverage Ratio (LCR). The revised LCR standards allow banks to use a broader range of liquid assets to meet their liquidity buffer and relax some of the run-off assumptions that banks must make in calculating their net cash outflows. The revised standards also clarify that banks may dip below the minimum LCR requirement during periods of stress. The Basel Committee expects national regulators to implement the LCR on a phased-in basis beginning on January 1, 2015.…  Read More

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