[Detailed client memorandum to come.] We have prepared a set of tables that provide a high-level comparison of the available stable funding (ASF) factors and the required stable funding (RSF) factors used to calculate the Basel III net stable funding ratio (NSFR). The tables compare the Basel Committee’s January 2014 proposed revisions to the NSFR with the original December 2010 version of the NSFR. We will be publishing a client memorandum that analyzes the key proposed changes to the Basel III NSFR.… Read More
We have prepared a blackline that compares the Basel Committee’s January 2014 final Basel III liquidity coverage ratio (LCR) disclosure standards to its July 2013 proposed disclosure standards. The Basel Committee expects national regulators to implement the LCR disclosure standards by January 1, 2015, so that banking organizations in their jurisdiction may begin making disclosures in 2015.
Background: Today, the Basel Committee finalize its Pillar 3 disclosure standards for the Basel III LCR. Our blog post summarizing the Basel Committee’s July 2013 proposed disclosures standards is available here. … Read More
[Detailed client memorandum to come.] Today, the Basel Committee proposed revisions to the Basel III net stable funding ratio (NSFR). The original version of the NSFR was published in December 2010.
Background: Part of the Basel III liquidity coverage ratio, the NSFR requires banking organizations to maintain a stable funding profile in relation to the composition of their assets and off-balance sheet activities. The NSFR is defined as the amount of available stable funding (ASF) relative to the amount of required stable funding (RSF). … Read More
Today, the Basel Committee’s oversight body, the Group of Governors and Heads of Supervision (GHOS), endorsed a number of important proposed and final revisions to the Basel III capital and liquidity standards, including:
- Revisions to the Basel III leverage ratio, which are intended to reflect agreement on a consistent measure of leverage “to overcome differences in national accounting frameworks” and to maintain the leverage ratio as a “backstop” to risk-based capital requirements;
- Proposed changes to the Basel III net stable funding ratio (NSFR), for which the Basel Committee has released a consultative document;
- Final Pillar 3 disclosures standards relating to the Basel III liquidity coverage ratio (LCR);
- Revisions to the Basel III LCR providing that committed liquidity facilities of a type already recognized for jurisdictions with insufficient high-quality liquid assets (HQLAs) may have a role to play within the LCR framework; and
- The Basel Committee’s strategic priorities for the next two years, which include ongoing monitoring and assessment of Basel III implementation; further examining the Basel framework’s balance between simplicity, comparability and risk sensitivity; and improving effectiveness of supervision.
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
Today, pursuant to CRD IV, the European Banking Authority (EBA) published two reports on the liquidity coverage ratio (LCR). The first report concerns the appropriate uniform definitions of extremely high quality liquid assets (extremely HQLAs) and high quality liquid assets (HQLAs) and operational requirements for liquid assets. The second report assesses the impact of an LCR requirement in the EU. The two reports provide the European Commission with specific recommendations for the purpose of its forthcoming delegated act setting forth a uniform LCR requirement in the EU.… Read More