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Home Archive for category "Basel III – International" (Page 3)
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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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Federal Reserve to Vote on U.S. Basel III Supplementary Leverage Ratio (SLR) Rules

The Federal Reserve has scheduled an open meeting for Tuesday, April 8, 2014, at 4:00 p.m., to vote on the following capital-related rulemakings:

1. A draft interagency final rule implementing enhanced supplementary leverage ratio (SLR) standards for large, interconnected U.S. banking organizations.

  • Davis Polk’s memorandum on the U.S. banking agecies’s July 2013 proposed enhanced SLR standards for U.S. G-SIBs is available here.

2. An interagency notice of proposed rulemaking that would modify the definition of total leverage exposure (the denominator of the supplementary leverage ratio) and the calculation of the ratio in the agencies’ 2013 revised capital rule.…  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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Basel Committee Agrees to 0% Risk Weight for European Stability Mechanism (ESM) and European Financial Stability Facility (EFSF)

The Basel Committee has agreed that supervisors may allow banks to apply a 0% risk weight to claims on the European Stability Mechanism (ESM) and European Financial Stability Facility (EFSF). The ESM and EFSF will be included in the list of entities receiving a 0% risk weight under the Basel capital framework — paragraph 56 of Basel II: International Convergence of Capital Measurement and Capital Standards: A Revised Framework (June 2006). Claims on the ESM and EFSF will also be included as Level 1 High Quality Liquid Assets (HQLA) under the Basel Committee’s liquidity coverage ratio (LCR) framework — paragraph 50 (c) of Basel III: The Liquidity Coverage Ratio and Liquidity Risk Monitoring Tools (Jan.…  Read More

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

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

According to the Basel Committee, Australia’s implementation of the Basel capital framework was found to be closely aligned with the Basel III standards: 12 out of 14 assessed components were found to be “Compliant”. The two components that were graded “Largely Compliant” were the “Definition of Capital” and the “Internal Ratings-Based Approach for credit risk,” where some differences exist vis-à-vis the Basel framework.…  Read More

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Basel Committee Chairman Addresses Calibration of Basel III Leverage Ratio

Basel Committee Chairman Stefan Ingves has delivered a speech discussing the Basel III leverage ratio and its role in the Basel framework, noting that while the Basel Committee has recently agreed on a common measure of bank leverage, the issue of calibration (i.e., the percentage level of the leverage ratio) is still open.  Significantly, Chairman Ingves stated that “[e]ven though the leverage ratio has been designed as a backstop, it must be a meaningful backstop if it is to serve its intended purpose.”  In this respect, Chairman Ingves noted the following in his speech:

  • “Only now that we have an agreed [measure of leverage] can the [Basel] Committee begin to turn to the issue of calibration, and the relationship of the leverage ratio to the risk-based framework.
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