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Home Archive for category "Risk Management" (Page 2)
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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

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Federal Reserve Makes Technical Revisions to Market Risk Capital Rule and U.S. Basel III

Today, the Federal Reserve issued a final rule that makes technical changes to the market risk capital rule to align it with the U.S. Basel III capital framework adopted by the Federal Reserve earlier this year.

The market risk capital rule is used by banking organizations with significant trading activities to calculate regulatory capital requirements for market risk.  The technical changes to the rule reflect modifications by the Organization for Economic Cooperation and Development regarding country risk classifications.  The revisions also clarify the criteria for determining whether underlying assets are delinquent for certain securitization positions in the trading book.  …  Read More

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Davis Polk Blackline Comparing 2014 CCAR Instructions with 2013 Instructions

Yesterday, the Federal Reserve issued instructions for the 2014 Comprehensive Capital Analysis and Review (CCAR).  Thirty bank holding companies with $50 billion or more of total consolidated assets will participate in the 2014 CCAR, including 18 bank holding companies that participated in the 2013 CCAR and 12 bank holding companies that will participate in CCAR for the first time.

We have created a blackline that compares the Federal Reserve’s 2014 CCAR instruction with its 2013 instructions.

View Blackline Comparing 2014 CCAR Instructions with 2013 Instructions (PDF) Read More

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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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Summary of Basel Committee’s Proposed Framework for Measuring and Controlling Large Exposures

The Basel Committee has proposed a framework for measuring, reporting and limiting a bank’s exposures to single counterparties and groups of connected counterparties.  The proposed large exposures framework, which borrows a number of concepts from the Basel capital framework, is intended to ensure greater international consistency in regulatory and supervisory approaches to large exposures and to act as a backstop to risk-based capital requirements.  The Basel Committee expects national supervisors to implement the large exposures framework by January 1, 2019.

Comments on the proposed framework are due June 28, 2013. …  Read More

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