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Home Archive for category "Proposals" (Page 3)
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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.
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Blackline of U.S. Liquidity Coverage Ratio Proposal: Federal Register Version vs. Draft Version

Today, the Office of the Federal Register released for public inspection the version of the U.S. liquidity coverage ratio (LCR) proposal that will be published in the Federal Register on November 29, 2013.  We have prepared a blackline of the rule text in the Federal Register version against the rule text in the Federal Reserve’s October 24 draft version of the U.S. LCR proposal.

A notable technical correction contained in the Federal Register version relates to the eligibility of a sovereign entity, U.S.…  Read More

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Basel Committee Issues Second Proposal on Fundamental Review of the Trading Book Capital Rules

Today, the Basel Committee issued a second proposal on the fundamental review of capital requirements for the trading book.

The first proposal, issued in May 2012, described a number of specific measures to improve trading book capital requirements.  The second proposal provides more detail on the approaches introduced in May 2012, and sets out a draft text for a revised market risk capital framework.

The key features of the proposed revised framework include:

  • A revised boundary between the trading book and banking book.
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U.S. Banking Agencies Propose Dodd-Frank Act Stress Test Guidance for Medium-Sized Firms

Today, the Federal Reserve, OCC and FDIC proposed supervisory guidance for stress tests conducted by banking organizations with total consolidated assets between $10 billion and $50 billion (mid-sized firms).  Medium-sized firms are required to conduct their first annual Dodd-Frank company-run stress tests beginning this fall.

Among other things, the proposed guidance describes general supervisory expectations for Dodd-Frank Act stress tests, and, where appropriate, provides examples of practices that would be consistent with those expectations.

The public comment period on the proposed supervisory guidance ends on September 25, 2013.…  Read More

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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

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Basel Committee Publishes Proposal on Capital Requirements for Banks’ Equity Investments in Funds

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

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