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Home Archive for category "Basel Committee" (Page 5)
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Basel Committee Issues Second Proposal on Risk-Based Capital Requirements for Securitization

Today, the Basel Committee issued a second proposal to revise the risk-based capital requirements for securitization exposures.  In developing the proposal, the Basel Committee took into account comments received on its first proposal and the results of a quantitative impact study (QIS).

Compared with the Basel Committee’s first proposal, the major changes in the second proposal relate to the hierarchy of approaches for securitization exposures and the calibration of capital requirements.

Proposed hierarchy of approaches.  The Basel Committee proposes the following hierarchy of approaches for determining the capital requirement for securitization exposures:

  1. Where banks have the capacity and supervisory approval to do so, they may use an internal ratings-based approach to determine the capital requirement based on the internal ratings based approach capital charge for the underlying pool of exposures, including expected losses.
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Basel Committee Issues Final Capital Standards for Equity Investments in Funds

Today, the Basel Committee finalized its revised risk-based capital framework for a bank’s equity investments in funds, which was proposed in July 2013.  The revised framework includes three approaches for calculating risk-based capital requirements for equity investments in funds (hierarchy of approaches), which are in decreasing order of risk-sensitivity.

Scope of Application:  The revised framework is applicable to banks’ equity investments in all types of funds that are held in their banking book, including off-balance sheet exposures (e.g., unfunded commitments to subscribe to a fund’s future capital calls).  …  Read More

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Speech by Basel Committee Chairman: Strengthening Bank Capital – Basel III and Beyond

Today, Stefan Ingves, Chairman of the Basel Committee on Banking Supervision and Governor of Sveriges Riksbank delivered a speech entitled Strengthening Bank Capital – Basel III and Beyond.  Mr. Ingves stated that it is important that bank capital is seen to be of sufficient quantity, quality, consistency and reliability. These four characteristics are critical to the long-run credibility and success of the international capital adequacy framework.  Mr. Ingves concluded that:

“The Basel III reforms themselves deliver two of the four characteristics that I said were essential – higher quantity and quality of capital.…  Read More

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Financial Stability Board Updates List of Global Systemically Important Banks (G-SIBs); Basel Committee Releases Data Relating to Methodology for Identifying G-SIBs

Today, the Financial Stability Board (FSB) published its annual update to the list of global systemically important banks (G-SIBs).  The updated list is based on 2012 data and the revised assessment methodology for identifying G-SIBs issued by the Basel Committee in July 2013.  Please see below for a blackline of the 2013 list of G-SIBs against the 2012 list.

Data relating to G-SIB Assessment Methodology for Identifying G-SIBs:  In its revised assessment methodology for identifying G-SIBs, the Basel Committee announced that it will bring forward by one year to November 2013 the publication of the denominators used to calculate banks’ G-SIB scores, as well as the cut-off score and thresholds used to identify G-SIBs and allocate them to different G-SIB capital surcharge buckets. …  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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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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