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Home Archive for category "Risk-Weighted Assets" (Page 3)
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U.S. Basel III: Interactive Risk Weights Tool

We are pleased to launch an interactive web tool to help you navigate key differences between the U.S. Basel III final rule and the existing bank capital framework. The tool compares the new standardized risk weights under U.S. Basel III with the existing Basel I-based risk weights for major asset classes and exposure categories. Along with our U.S. Basel III visual memorandum, the tool is designed to illustrate key aspects of the new capital framework through an interactive platform.  The tool is optimized for viewing on both desktop and portable devices.…  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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Advanced Approaches Capital Rules: Federal Reserve Issues Guidance for Excluding Certain Exposures to Investment Firms from the Definition of “Traditional Securitization”

The Federal Reserve’s Basel Coordination Committee has issued guidance to advanced approaches banking organizations with respect to excluding certain exposures to investment firms from the definition of “traditional securitization” in the advanced approaches capital rules.  This blog post focuses on the exclusion for investment firms that exercise unfettered control over their underlying exposures.

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. banking organizations (advanced approaches banking organizations) and implement the Basel capital framework’s internal ratings-based approach for calculating risk-weighted assets for credit risk and advanced measurement approaches for calculating risk-weighted assets for operational risk. …  Read More

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Basel Committee’s Final Guidance for Managing Risks Associated with the Settlement of Foreign Exchange Transactions

Today, the Basel Committee issued guidance for managing risks associated with the settlement of foreign exchange transactions.  The guidance updates the Basel Committee’s existing supervisory guidance, which was published in 2000.

According to the Basel Committee, while its original 2000 guidance focused mainly on the principal risk element of FX settlement-related risks, the new guidance is intended to address a broader range of FX settlement-related risks.  The new guidance provides more comprehensive and detailed direction on governance arrangements and the management of principal risk as well as all other FX settlement-related risks.  …  Read More

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Basel Committee Publishes Report on the Regulatory Consistency of Risk-Weighted Assets for Market Risk

Today, the Basel Committee published a report on the regulatory consistency of risk-weighted assets (RWAs) for market risk.  This analysis of market risk RWAs is part of the Basel Committee’s wider Regulatory Consistency Assessment Programme (RCAP).  A similar analysis is currently under way for credit risk RWAs.

The market risk RWAs report brings together two pieces of analysis: (1) an examination of publicly available data for a selection of large banks and (2) the results of a hypothetical test portfolio exercise, in which 15 internationally active banks participated.  …  Read More

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