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Summary of Basel Committee’s Proposed Framework for Measuring and Controlling Large Exposures

The Basel Committee has proposed a framework for measuring, reporting and limiting a bank’s exposures to single counterparties and groups of connected counterparties.  The proposed large exposures framework, which borrows a number of concepts from the Basel capital framework, is intended to ensure greater international consistency in regulatory and supervisory approaches to large exposures and to act as a backstop to risk-based capital requirements.  The Basel Committee expects national supervisors to implement the large exposures framework by January 1, 2019.

Comments on the proposed framework are due June 28, 2013. …  Read More

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Advanced Approaches Capital Rules: Federal Reserve Issues Guidance for Excluding Certain Exposures to Investment Firms from the Definition of “Traditional Securitization”

The Federal Reserve’s Basel Coordination Committee has issued guidance to advanced approaches banking organizations with respect to excluding certain exposures to investment firms from the definition of “traditional securitization” in the advanced approaches capital rules.  This blog post focuses on the exclusion for investment firms that exercise unfettered control over their underlying exposures.

Background:  The advanced approaches capital rules, originally adopted by the U.S. banking agencies in 2007, apply to the largest and most internationally active U.S. banking organizations (advanced approaches banking organizations) and implement the Basel capital framework’s internal ratings-based approach for calculating risk-weighted assets for credit risk and advanced measurement approaches for calculating risk-weighted assets for operational risk. …  Read More

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Federal Reserve Announces Results of 2013 Comprehensive Capital Analysis and Review (CCAR)

Today, the Federal Reserve announced the results of the 2013 Comprehensive Capital Analysis and Review (CCAR), including summaries of the Federal Reserve’s CCAR post-stress capital analysis for each of the 18 large U.S. bank holding companies (BHCs) that participated in the 2013 CCAR.

Of the 18 BHCs that participated in the 2013 CCAR, 14 received approvals from the Federal Reserve for their capital plans, two received conditional approvals while two received objections.  The Federal Reserve may object to a capital plan on quantitative or qualitative grounds.  …  Read More

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Federal Reserve Publishes Results of Dodd-Frank Supervisory Stress Tests

Today, the Federal Reserve published summary results of Dodd-Frank supervisory stress tests for 18 large U.S. bank holding companies (BHCs).  The summary results include the Federal Reserve’s projections of revenues, expenses, losses and the post-stress capital ratios for each of the 18 BHCs under a hypothetical, severely adverse macroeconomic and financial market scenario developed by the Federal Reserve.

Hypothetical Stress Scenario:  The Federal Reserve’s severely adverse stress scenario features a deep recession in the United States, Europe and Japan, significant declines in asset prices and increases in risk premia and a marked economic slowdown in developing Asia.  …  Read More

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