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Home Archive for category "Risk-Based Capital Ratio" (Page 3)
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Financial Stability Board Updates List of Global Systemically Important Banks (G-SIBs); Basel Committee Releases Data Relating to Methodology for Identifying G-SIBs

Today, the Financial Stability Board (FSB) published its annual update to the list of global systemically important banks (G-SIBs).  The updated list is based on 2012 data and the revised assessment methodology for identifying G-SIBs issued by the Basel Committee in July 2013.  Please see below for a blackline of the 2013 list of G-SIBs against the 2012 list.

Data relating to G-SIB Assessment Methodology for Identifying G-SIBs:  In its revised assessment methodology for identifying G-SIBs, the Basel Committee announced that it will bring forward by one year to November 2013 the publication of the denominators used to calculate banks’ G-SIB scores, as well as the cut-off score and thresholds used to identify G-SIBs and allocate them to different G-SIB capital surcharge buckets. …  Read More

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Advanced Approaches Capital Rules: Federal Reserve Issues Guidance for Implementing the Supervisory Formula Approach for Securitization Exposures

The Federal Reserve’s Basel Coordination Committee has issued guidance regarding supervisory expectations for determining the capital requirements on the underlying exposures (KIRB) input to the Supervisory Formula Approach (SFA) for securitization exposures and the flexibility afforded to advanced approaches banking organizations when dealing with data limitations.  Federal Reserve and OCC staff worked together on the development of this guidance.

Background:  The advanced approaches capital rules, originally adopted by the U.S. banking agencies in 2007, apply to the largest and most internationally active U.S.…  Read More

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Basel Committee Updates Assessment Methodology for Global Systemically Important Banks (G-SIBs) and Introduces Disclosure Requirements

Today, the Basel Committee made certain revisions to its assessment methodology for identifying and assigning capital surcharges to global systemically important banks (G-SIBs).  The Basel Committee also introduced public disclosure requirements for large banks with respect to the 12 indicators used in the assessment methodology.  The original assessment methodology for G-SIBs was published by the Basel Committee in November 2011.

Background on Basel Committee’s G-SIB Framework:  The assessment methodology for G-SIBs is based on an indicator-based approach and comprises five broad categories: size; interconnectedness; lack of readily available substitutes or financial institution infrastructure; global (cross-jurisdictional) activity; and complexity.…  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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Federal Reserve Governor Tarullo Delivers Speech Setting Forth Roadmap for U.S. Prudential Regulatory Reforms

Today, Federal Reserve Governor Daniel K. Tarullo delivered a speech setting forth a roadmap for prudential regulatory reforms in the United States.  Among other things, Governor Tarullo:

  • U.S. Basel III:  Appealed to other U.S. bank regulators to approve the U.S. Basel III final rules to avoid further implementation delays, noting that they can always seek further changes down the road.
  • Leverage Ratio:  Suggested that the Federal Reserve may require the largest U.S. firms to maintain a Basel III leverage ratio greater than the 3% agreed upon by the Basel Committee.
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Advanced Approaches Capital Rules: Federal Reserve Issues Guidance for Independent Verification of a Banking Organization’s Advanced Approaches Systems

The Federal Reserve’s Basel Coordination Committee has issued guidance to advanced approaches banking organizations regarding the governance and the control environment for their advanced approaches systems.   The guidance provides that the governance and control environment should incorporate independent verification and promote the accuracy of inputs to risk-based capital calculations and the banking organization’s overall safe and sound operations.

Background:  The advanced approaches capital rules, originally adopted by the U.S. banking agencies in 2007, apply to the largest and most internationally active U.S.…  Read More

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