Today, Federal Reserve Governor Daniel K. Tarullo delivered a speech that, among other things, argued for discarding the advanced internal ratings-based (IRB) approach for calculating risk-based capital requirements. Currently, under U.S. Basel III, the advanced IRB approach applies to U.S. banking organizations with at least $250 billion in total consolidated assets or at least $10 billion in on-balance-sheet foreign exposures. Governor Tarullo also argued for increasing the $50 billion applicability threshold for Dodd-Frank enhanced prudential standards to a higher asset level, such as $100 billion. … Read More
Following is a summary of the Basel Committee’s final framework for measuring, reporting and limiting a bank’s exposures to single counterparties and groups of connected counterparties. The large exposures framework, which relies on a number of concepts in the Basel Committee’s risk-based 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.
Blackline Showing Changes: Davis Polk’s blackline of the Basel Committee’s April 2014 final vs.… Read More
[Update: We have prepared a blackline (available here) of the April 2014 final standards vs. the July 2012 interim standards.] The Basel Committee has finalized its risk-based capital standards for bank exposures to central counterparties (CCPs). The final standards will take effect on January 1, 2017. The interim standards that were published in July 2012 will continue to apply until that time.
Like the interim standards, the final standards distinguish between trade exposures and default fund exposures to CCPs and distinguish between exposures to qualifying CCPs (QCCPs) and non-QCCPs. … Read More
[A PDF version of the comparison chart is available here (mobile and printer friendly)] We have prepared a chart that compares the U.S. banking agencies’ proposed revisions to the U.S. Basel III Supplementary Leverage Ratio (“SLR”) with the Basel Committee’s January 2014 revisions to the Basel III leverage ratio. While the revised SLR proposed by the U.S. banking agencies is similar to the revised Basel III leverage ratio in many respects, there are some important differences between the two ratios.… Read More
[Update: We have prepared a chart (available here) that compares the U.S. banking agencies’ proposed revisions to the SLR with the Basel Committee’s January 2014 revisions to the Basel III leverage ratio.] Today, the U.S. banking agencies finalized higher leverage capital standards for the 8 U.S. bank holding companies that have been identified as global systemically important banks (“U.S. G-SIBs”) and their insured depository institution (“IDI”) subsidiaries. The agencies also proposed important changes to the denominator of the U.S.… Read More
The Basel Committee has published the following table on the implementation progress of the Basel capital and liquidity framework for each member jurisdiction as of Q1 2014. The Basel Committee has published implementation progress reports on a semi-annual basis since October 2011.
In addition, the Basel Committee report contains a schedule of future Regulatory Consistency Assessment Programme (RCAP) assessments. Through RCAP, the Basel Committee monitors the adoption of regulations by its members, assesses their consistency with the Basel framework and analyzes the quality of intended regulatory outcomes.… Read More