Twitter RSS

Capital and Prudential Standards Blog

magnify
Home Archive for category "Basel III – US" (Page 4)
formats

Volcker TruPS CDO Interim Final Rule: The Bottom Line

Here is the bottom line for the Volcker TruPS CDOs interim final rule issued by the U.S. regulators yesterday.

No Relief for CLOs:  The rule does not help CLOs at all.

TruPS CDOs:  For TRuPS CDOs we believe it will be very helpful.

Specifically, the interim final rule permits any banking entity, large or small, to retain an interest in, or to act as sponsor (including as trustee) of, an issuer that is backed by TruPS so long as:

  • The TruPS CDO issuer was established before May 19, 2010;
  • The banking entity reasonably believes that the offering proceeds received by the issuer were invested primarily in Qualifying TruPS Collateral; and
  • The banking entity’s interest in the vehicle was acquired on or before December 10, 2013 (unless acquired pursuant to an M&A).
 Read More
Comments Off on Volcker TruPS CDO Interim Final Rule: The Bottom Line.
formats

Definition of High-Quality Liquid Assets: U.S. LCR Proposal vs. European Banking Authority Recommendations

We have prepared a high-level comparison of (1) the definition of high-quality liquid assets in the U.S. liquidity coverage ratio (LCR) proposal and (2) the assets found to be of extremely high liquidity and credit quality (extremely HQLAs) and of high liquidity and credit quality (HQLAs) in the European Banking Authority’s recent report on the uniform definitions of extremely HQLAs and HQLAs.  Pursuant to CRD IV, the European Commission will consider the European Banking Authority’s report for purposes of introducing a detailed and harmonized LCR requirement in the EU.…  Read More

Comments Off on Definition of High-Quality Liquid Assets: U.S. LCR Proposal vs. European Banking Authority Recommendations.
formats

Federal Reserve Advises Large Banking Organizations to Carefully Evaluate Certain Risk-Transfer Transactions

Today, the Federal Reserve issued a Supervision and Regulation letter (SR letter) entitled Risk Transfer Considerations When Assessing Capital Adequacy – Supplemental Guidance on Consolidated Supervision Framework for Large Financial Institutions.

The SR letter applies to U.S. bank holding companies and savings and loan holding companies with consolidated assets of $50 billion or more as well as foreign banking organizations with combined assets of U.S. operations of $50 billion or more (collectively, “large banking organizations”).

The purpose of the SR letter is to provide guidance on how certain risk transfer transactions affect assessments of capital adequacy at large banking organizations. …  Read More

Comments Off on Federal Reserve Advises Large Banking Organizations to Carefully Evaluate Certain Risk-Transfer Transactions.
formats

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.
 Read More
Comments Off on Basel Committee Issues Second Proposal on Risk-Based Capital Requirements for Securitization.
formats

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

Comments Off on Basel Committee Issues Final Capital Standards for Equity Investments in Funds.
formats

European Banking Authority Publishes Assessment of Basel Pillar 3 Disclosures by Large EU Banks

Today, the European Banking Authority (EBA) published its assessment of the 2012 Basel Pillar 3 disclosures made by 19 EU banks.  The EBA concluded that overall, despite improvements in some specific areas, the banks’ compliance with disclosure requirements remains unchanged compared to last year’s assessment.  The report identifies examples of best practices that EU banks are encouraged to follow to improve the quality, consistency and comparability of their disclosures and their compliance with the regulatory requirements.

U.S. Pillar 3 Requirements:  Beginning in 2015, top-tier U.S.…  Read More

Comments Off on European Banking Authority Publishes Assessment of Basel Pillar 3 Disclosures by Large EU Banks.