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Home Archive for category "Basel Committee" (Page 2)
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Basel Committee Chair Discusses Liquidity Risk Management

The Chairman of the Basel Committee, Stefan Ingves, delivered a speech entitled Liquidity risk management – the LCR and beyond. In addition to discussing the Basel III liquidity coverage ratio (LCR) and net stable funding ratio (NSFR), Chairman Ingves reminded banks that “the LCR and NSFR are not meant to be the first line of defence against banks’ liquidity problems.” He observed that “the LCR and NSFR are relatively simple quantitative measures that cannot hope to fully capture the many nuances of liquidity risk that a bank may face” and that “[b]anks must develop a range of quantitative and qualitative controls for themselves to ensure that they are prepared for the volatility in their cash flows that is inherent in the complexity of banks’ business models.” In this context, Chairman Ingves discussed the Basel Committee’s Principles for sound liquidity risk management and supervision and concluded by stating that:

“The first line of defence against the impact of future liquidity shocks on the banking system is stronger risk management by banks themselves. Read More

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Summary of Basel Committee’s Final Large Exposures Framework

Following is a summary of the Basel Committee’s final framework for measuring, reporting and limiting a bank’s exposures to single counterparties and groups of connected counterparties. The large exposures framework, which relies on a number of concepts in the Basel Committee’s risk-based 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.

Blackline Showing Changes: Davis Polk’s blackline of the Basel Committee’s April 2014 final vs.…  Read More

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Basel Committee’s Final Capital Standards for Bank Exposures to Central Counterparties (CCPs)

[Update:  We have prepared a blackline (available here) of the April 2014 final standards vs. the July 2012 interim standards.]  The Basel Committee has finalized its risk-based capital standards for bank exposures to central counterparties (CCPs).  The final standards will take effect on January 1, 2017. The interim standards that were published in July 2012 will continue to apply until that time.

Like the interim standards, the final standards distinguish between trade exposures and default fund exposures to CCPs and distinguish between exposures to qualifying CCPs (QCCPs) and non-QCCPs. …  Read More

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Visual Comparison Chart: U.S. Supplementary Leverage Ratio (SLR) vs. Basel III Leverage Ratio

[A PDF version of the comparison chart is available here (mobile and printer friendly)] We have prepared a chart that compares the U.S. banking agencies’ proposed revisions to the U.S. Basel III Supplementary Leverage Ratio (“SLR”) with the Basel Committee’s January 2014 revisions to the Basel III leverage ratio. While the revised SLR proposed by the U.S. banking agencies is similar to the revised Basel III leverage ratio in many respects, there are some important differences between the two ratios.…  Read More

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Overview of Basel Framework Implementation Progress (as of Q1 2014)

The Basel Committee has published the following table on the implementation progress of the Basel capital and liquidity framework for each member jurisdiction as of Q1 2014.  The Basel Committee has published implementation progress reports on a semi-annual basis since October 2011.

In addition, the Basel Committee report contains a schedule of future Regulatory Consistency Assessment Programme (RCAP) assessments.  Through RCAP, the Basel Committee monitors the adoption of regulations by its members, assesses their consistency with the Basel  framework and analyzes the quality of intended regulatory outcomes.…  Read More

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Overview of Basel Committee’s Standardized Approach for Measuring Derivatives Exposure (SA-CCR, formerly known as NIMM)

The Basel Committee has finalized a standardized, non-internal-model-based method for calculating counterparty credit risk exposures associated with OTC derivatives, exchange-traded derivatives, and long settlement transactions.  This blog post provides a high-level overview of the new standardized approach (SA-CCR), which replaces both the Current Exposure Method (CEM) and the Standardised Method (SM) in the Basel capital framework.  In addition, the IMM shortcut method will be eliminated from the Basel capital framework once the SA-CCR takes effect, which is scheduled for January 1, 2017. …  Read More

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