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Capital and Prudential Standards Blog

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Home 2013 July (Page 2)
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U.S. Basel III: Interactive Risk Weights Tool

We are pleased to launch an interactive web tool to help you navigate key differences between the U.S. Basel III final rule and the existing bank capital framework. The tool compares the new standardized risk weights under U.S. Basel III with the existing Basel I-based risk weights for major asset classes and exposure categories. Along with our U.S. Basel III visual memorandum, the tool is designed to illustrate key aspects of the new capital framework through an interactive platform.  The tool is optimized for viewing on both desktop and portable devices.…  Read More

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Basel Committee Publishes Report on Regulatory Consistency of Risk-Weighted Assets in the Banking Book

Today, the Basel Committee published its first report on the regulatory consistency of risk-weighted assets (RWAs) for credit risk in the banking book.  This study is a part of the Basel Committee’s wider Regulatory Consistency Assessment Programme (RCAP), which is intended to ensure consistent implementation of the Basel III framework. The study draws on supervisory data from more than 100 major banks, as well as additional data on sovereign, bank and corporate exposures collected from 32 major international banks as part of a portfolio benchmarking exercise.…  Read More

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Basel Committee Publishes Proposal on Capital Requirements for Banks’ Equity Investments in Funds

Today, the Basel Committee published a proposal to revise the existing risk-based capital treatment of banks’ equity investments in funds.  The Basel Committee noted that the existing treatment, set forth in Basel II’s Standardized Approach and Internal Ratings-Based (IRB) approaches for credit risk, do not require banks to reflect a fund’s leverage when determining capital requirements associated with their investments in a fund.  The Basel Committee stated that a fund’s leverage is an important risk driver.

The Basel Committee’s proposal is based on the general principle that banks should use a look-through approach to identify the underlying assets of the investment funds in which they invest.  …  Read More

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Basel Committee Updates Assessment Methodology for Global Systemically Important Banks (G-SIBs) and Introduces Disclosure Requirements

Today, the Basel Committee made certain revisions to its assessment methodology for identifying and assigning capital surcharges to global systemically important banks (G-SIBs).  The Basel Committee also introduced public disclosure requirements for large banks with respect to the 12 indicators used in the assessment methodology.  The original assessment methodology for G-SIBs was published by the Basel Committee in November 2011.

Background on Basel Committee’s G-SIB Framework:  The assessment methodology for G-SIBs is based on an indicator-based approach and comprises five broad categories: size; interconnectedness; lack of readily available substitutes or financial institution infrastructure; global (cross-jurisdictional) activity; and complexity.…  Read More

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Federal Reserve Governor Tarullo Previews Additional Capital Standards for U.S. G-SIBs

In his statement at today’s open meeting to approve the U.S. Basel III final rule, Federal Reserve Governor Daniel K. Tarullo previewed “four rulemakings that will enhance capital requirements for the eight U.S. banking organizations already identified as of global systemic importance.”  Governor Tarullo described these four rulemakings for the 8 U.S. G-SIBs as being in various stages of development.

1.  Higher Basel III Leverage Ratio:  According to Governor Tarullo, the U.S. banking regulators are very close to issuing a proposal to establish a leverage ratio for the eight U.S.…  Read More

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