Today, the Basel Committee proposed a set of liquidity coverage ratio (LCR) disclosure standards. Part of the Basel III liquidity framework, the LCR requires a banking organization to maintain a minimum amount of liquid assets to withstand a short-term liquidity stress period. Specifically, the LCR requires a banking organization’s stock of unencumbered high-quality liquid assets (HQLAs) to be at least 100% of its total net cash outflows over a 30-day standardized supervisory liquidity stress scenario. Following is a high-level overview of the Basel Committee’s proposed LCR disclosure standards.… Read More
Basel III Leverage Ratio: U.S. Proposes American Add-on; Basel Committee Proposes Important Denominator Changes
On the heels of publishing the U.S. Basel III final rule, the U.S. banking agencies have proposed higher leverage capital requirements for the eight U.S. global systemically important banks (G-SIBs) and their insured depository institution subsidiaries. The higher leverage capital requirements, which we are calling the American Add-on, build upon the minimum Basel III supplementary leverage ratio in the U.S. Basel III final rule.
Recently, the Basel Committee on Banking Supervision has proposed important changes to the Basel III leverage ratio. … Read More
We are pleased to launch an interactive web tool to help you navigate key differences between the U.S. Basel III final rule and the existing bank capital framework. The tool compares the new standardized risk weights under U.S. Basel III with the existing Basel I-based risk weights for major asset classes and exposure categories. Along with our U.S. Basel III visual memorandum, the tool is designed to illustrate key aspects of the new capital framework through an interactive platform. The tool is optimized for viewing on both desktop and portable devices.… Read More
Basel Committee Publishes Report on Regulatory Consistency of Risk-Weighted Assets in the Banking Book
Today, the Basel Committee published its first report on the regulatory consistency of risk-weighted assets (RWAs) for credit risk in the banking book. This study is a part of the Basel Committee’s wider Regulatory Consistency Assessment Programme (RCAP), which is intended to ensure consistent implementation of the Basel III framework. The study draws on supervisory data from more than 100 major banks, as well as additional data on sovereign, bank and corporate exposures collected from 32 major international banks as part of a portfolio benchmarking exercise.… Read More
Today, the Basel Committee published a proposal to revise the existing risk-based capital treatment of banks’ equity investments in funds. The Basel Committee noted that the existing treatment, set forth in Basel II’s Standardized Approach and Internal Ratings-Based (IRB) approaches for credit risk, do not require banks to reflect a fund’s leverage when determining capital requirements associated with their investments in a fund. The Basel Committee stated that a fund’s leverage is an important risk driver.
The Basel Committee’s proposal is based on the general principle that banks should use a look-through approach to identify the underlying assets of the investment funds in which they invest. … Read More