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Home Articles posted by Randall D. Guynn (Page 5)
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Davis Polk Visuals of the Federal Reserve’s 2014 Stress Test Scenarios

Yesterday, the Federal Reserve issued three hypothetical, supervisory scenarios that will be used in the 2014 capital planning and stress testing cycle.  The OCC issued substantively identical scenarios.

The baseline, adverse, and severely adverse scenarios each include 28 variables (16 domestic variables and 12 international variables), including economic activity, unemployment, exchange rates, prices, incomes and interest rates. The 28 variables include all of the variables provided last year and two new domestic variables—the yield on the 5-year Treasury bond and the prime rate.…  Read More

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Federal Reserve Issues 2014 CCAR Instructions and Supervisory Scenarios

Today, the Federal Reserve published instructions for the 2014 Comprehensive Capital Analysis and Review (CCAR).  Thirty bank holding companies with $50 billion or more of total consolidated assets will participate in the 2014 CCAR, including 18 bank holding companies that participated in the 2013 CCAR and 12 bank holding companies that will participate in CCAR for the first time.  The 2014 CCAR submissions are due by January 6, 2014.

The Federal Reserve also issued three hypothetical, supervisory scenarios that will be used in the 2014 capital planning and stress testing cycle.  …  Read More

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Basel Committee Issues Second Proposal on Fundamental Review of the Trading Book Capital Rules

Today, the Basel Committee issued a second proposal on the fundamental review of capital requirements for the trading book.

The first proposal, issued in May 2012, described a number of specific measures to improve trading book capital requirements.  The second proposal provides more detail on the approaches introduced in May 2012, and sets out a draft text for a revised market risk capital framework.

The key features of the proposed revised framework include:

  • A revised boundary between the trading book and banking book.
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U.S. Basel III Liquidity Coverage Ratio Proposal: Visual Memorandum

The U.S. banking agencies have issued a proposal to implement the Basel III liquidity coverage ratio (LCR) in the United States. The LCR requires large banking organizations to maintain a minimum amount of liquid assets to withstand a 30-day standardized supervisory liquidity stress scenario. The U.S. LCR proposal is more stringent than the Basel Committee’s LCR framework in several significant respects.

Davis Polk’s visual memorandum uses diagrams, flowcharts, timelines, examples and comparison tables to illustrate key aspects of the U.S. LCR proposal.…  Read More

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Basel Committee Issues Consistency Report on China’s Implementation of Basel III

Today, the Basel Committee published a report on the regulations that implement the Basel capital framework in China.

According to the Basel Committee, China’s implementation of the Basel capital framework is closely aligned with the Basel III global standards: 12 out of 14 assessed components were found to be “Compliant”. The two components that were graded “Largely Compliant” pertain to the Standardized Approach for credit risk and Pillar 3. Although some differences with the Basel framework were found in these areas, none of the findings were judged to be material at this point.…  Read More

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Federal Reserve Publishes Paper on Capital Planning at Large Bank Holding Companies

Today, the Federal Reserve published a paper entitled Capital Planning at Large Bank Holding Companies: Supervisory Expectations and Range of Current Practice.  The paper is intended to promote better capital planning at large bank holding companies (BHCs) and to provide greater clarity on the standards against which those practices are evaluated as part of the Federal Reserve’s annual Comprehensive Capital Analysis and Review (CCAR).

The paper discusses the Federal Reserve’s expectations for capital planning at large BHCs and described the range of practices it has observed at these companies during the past three CCAR exercises. …  Read More

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