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Home Archive for category "Basel III – International" (Page 8)
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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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Final Text of CRD IV Published in Official Journal of the European Union

CRD IV, which consists of a Regulation and Directive, was published in the Official Journal of the European Union on June 27, 2013.  CRD IV implements Basel III and other prudential standards for EU credit institutions and investment firms.  Links to the final text of the CRD IV Regulation and Directive are set forth below.

Materials:

CRD IV Regulation (June 27, 2013) available here: http://eur-lex.europa.eu/LexUriServ/LexUriServ.do?uri=OJ:L:2013:176:0001:0337:EN:PDF

CRD IV Directive (June 27, 2013) available here: http://eur-lex.europa.eu/LexUriServ/LexUriServ.do?uri=OJ:L:2013:176:0338:0436:EN:PDF Read More

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Basel Committee Revises Basel III Liquidity Coverage Ratio

The Basel Committee has made significant revisions to the Basel III Liquidity Coverage Ratio (LCR). The revised LCR standards allow banks to use a broader range of liquid assets to meet their liquidity buffer and relax some of the run-off assumptions that banks must make in calculating their net cash outflows. The revised standards also clarify that banks may dip below the minimum LCR requirement during periods of stress. The Basel Committee expects national regulators to implement the LCR on a phased-in basis beginning on January 1, 2015.…  Read More

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