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Home Archive for category "Basel Committee" (Page 7)
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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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Basel Committee Proposal on the Capital Treatment of Bank Exposures to Central Counterparties

Today, the Basel Committee, in cooperation with the Committee on Payment and Settlement Systems (CPSS) and the International Organization of Securities Commissions (IOSCO), proposed changes to the capital treatment of banks’ exposures to central counterparties (CCPs).  The Basel Committee published an interim framework in July 2012 and noted at that time that additional work was needed to improve the capital framework.  Prior to publication of the interim framework, the Basel Committee issued two other proposals on the topic in November 2011 and December 2010. …  Read More

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Basel Committee Proposes Non-Internal Model Method for Capitalizing Counterparty Credit Risk Exposures

Today, the Basel Committee proposed a non-internal model method (NIMM) for assessing the counterparty credit risk associated with derivative transactions. The proposal would, when finalized, replace the Basel capital framework’s existing methods for determining the credit exposure amount for derivatives, i.e., the Current Exposure Method (CEM) and the Standardized Approach.

According to the Basel Committee, NIMM improves the risk sensitivity of the CEM by differentiating between margined and unmargined trades.  NIMM also revises certain supervisory factors to reflect the level of volatilities observed over the recent stress period and provides a more meaningful recognition of the benefits of legally enforceable netting agreements.…  Read More

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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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Basel Committee’s Final Guidance for Managing Risks Associated with the Settlement of Foreign Exchange Transactions

Today, the Basel Committee issued guidance for managing risks associated with the settlement of foreign exchange transactions.  The guidance updates the Basel Committee’s existing supervisory guidance, which was published in 2000.

According to the Basel Committee, while its original 2000 guidance focused mainly on the principal risk element of FX settlement-related risks, the new guidance is intended to address a broader range of FX settlement-related risks.  The new guidance provides more comprehensive and detailed direction on governance arrangements and the management of principal risk as well as all other FX settlement-related risks.  …  Read More

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