IV. Risk Management - Asociación de Supervisores Bancarios de las Américas

Treatment of Interest Rate Risk in the Banking Book in LA

(Anonymous) — Mon, 02 Jan 2017 21:41:04 +0000

Interest rate risk in the banking book (IRRBB) is a bank’s exposure to adverse movements in interest rates and the associated risk to its capital and earnings. Fluctuations in interest rates affect the time path and the present value of future cash flows. In response, the economic value of a bank’s assets and liabilities change. This risk is inherent to the banking business. However, high levels of exposure to IRRBB can pose a significant threat to a bank’s viability. It is therefore important to establish sound supervisory assessments and, potentially, capital requirements for this type of risk.

Measures to Reduce Misconduct

(Anonymous) — Mon, 02 Jan 2017 19:25:13 +0000

In May 2015 the Financial Stability Board (FSB) agreed a work plan on measures to reduce misconduct risk, covering: (1) examining whether reforms to incentives, for instance to governance and compensation structures, are having sufficient effect on reducing misconduct; (2) examining whether steps are needed to improve global standards of conduct in the fixed income, commodities and currency (FICC) markets; and (3) coordinating reforms to other major financial threats. Collectively, these efforts are aimed at strengthening the resilience of the financial system by raising expectations for, as well as awareness of, good practice standards of behavior and conduct across markets and market participants. Therefore, this document presents a new wisdom of ethical conduct, compliant with the spirit of the corresponding applicable laws and regulations that is critical to foster public loyalty and confidence in the financial system.

Interest Rate Risk in the Banking Book

(Anonymous) — Mon, 02 Jan 2017 19:21:36 +0000

Interest rate risk in the banking book (IRRBB) is part of the Basel capital framework’s Pillar 2 (Supervisory Review Process) and subject to the Committee’s guidance set out in the 2004 Principles for the management and supervision of interest rate risk (aka as the IRR Principles). The IRR Principles lay out the Committee’s expectations for banks’ identification, measurement, monitoring and control of IRRBB as well as its supervision. However, the Committee has decided that the IRR Principles need to be updated to reflect changes in market and supervisory practices since they were first published; thus the document contains an updated version that revises both the Principles and the methods expected to be used by banks for accurately measuring, managing, monitoring and controlling risks inherent to interest rates.

FAQs on NSFR

(Anonymous) — Mon, 02 Jan 2017 18:51:13 +0000

The Basel Committee on Banking Supervision has received a number of interpretation questions related to some terms of previous documentation related to the Net Stable Funding Ratio (NSFR). To help ensure consistent global implementation of its standards, the Committee has agreed to periodically review frequently asked questions and publish their answers, along with any technical elaboration of the standards and interpretative guidance that may be necessary. The questions and answers for the NSFR are grouped into this document in the following fields: 1. Definitions; 2. Repos and secured lending; 3. Derivatives; 4. Maturity, and; 5. Others.

FAQs on Framework for Controlling Large Exposures

(Anonymous) — Mon, 02 Jan 2017 18:47:12 +0000

The Basel Committee on Banking Supervision developed this document to provide response to the most frequently asked questions related to the Supervisory Framework for Measuring and Controlling Large Exposures, particularly in the fields of: 1. Interbank exposures and exposures to central counterparties; 2. Definition of connected counterparties, and; 3. Values of exposures.

Elements of Effective Macroprudential Policies

(Anonymous) — Mon, 02 Jan 2017 18:35:06 +0000

Responding to an existing G20 mandate, this joint work reports on the experiences gained so far regarding elements and practices that can be useful for effective macroprudential policy making. The above since experience with macroprudential policy is growing: For instance, a large number of countries have put in place dedicated institutional arrangements, thus progress is being made with the design and implementation of macroprudential tools, as well as an increasing body of empirical research is available that is aimed at evaluating the effectiveness of those policies.

Basel III Monitoring Report

(Anonymous) — Mon, 02 Jan 2017 18:25:17 +0000

To assess the impact of the Basel III framework on banks, the Basel Committee on Banking Supervision monitors the effects and dynamics of the reforms taken. For this purpose, a semiannual monitoring framework has been set up on the risk-based capital ratio, the leverage ratio and the liquidity metrics, using data collected by national supervisors on a representative sample of institutions in different jurisdictions. This report is the tenth publication of results from the Basel III monitoring exercise and summarizes the aggregate results using data as of 31 December 2015. The Committee believes that the information contained in this report will provide its users with a useful benchmark for analysis.

Complete Set of Agreed Change to the LCR Formulation

(Anonymous) — Thu, 29 Oct 2015 04:20:56 +0000

Expand the definition of HQLA by including Level 2B assets, subject to higher haircuts and a limit
- Corporate debt securities rated A+ to BBB– with a 50% haircut
- Certain unencumbered equities subject to a 50% haircut
- Certain residential mortgage-backed securities rated AA or higher with a 25% haircut
Aggregate of Level 2B assets, after haircuts, subject to a limit of 15% of total HQLA

Summary Description of the LCR

(Anonymous) — Thu, 29 Oct 2015 04:19:28 +0000

To promote short-term resilience of a bank’s liquidity risk profile, the Basel Committee developed the Liquidity Coverage Ratio (LCR). This standard aims to ensure that a bank has an adequate stock of unencumbered high quality liquid assets (HQLA) which consists of cash or assets that can be converted into cash at little or no loss of value in private markets to meet its liquidity needs for a 30 calendar day liquidity stress scenario.

Basel II Framework

(Anonymous) — Wed, 28 Oct 2015 10:04:38 +0000

This section discusses the key principles of supervisory review, risk management guidance and supervisory transparency and accountability produced by the Committee with respect to banking risks, including guidance relating to, among other things, the treatment of interest rate risk in the banking book, credit risk (stress testing, definition of default, residual risk, and credit concentration risk), operational risk, enhanced cross-border communication and cooperation, and securitisation.

Template K exposure to CCP

(Anonymous) — Tue, 27 Oct 2015 23:56:59 +0000

Template for the input data for the calculation of capital requirements of banks' default fund exposures to CCPs under Method 1 of the interim rules

Supervisory Review Process and Market Discipline

(Anonymous) — Tue, 27 Oct 2015 21:56:36 +0000

Basel II Framework

(Anonymous) — Mon, 26 Oct 2015 09:28:15 +0000

Criteria for Identifying Simple, Transparent & Comparable Securitizations

(Anonymous) — Wed, 01 Jul 2015 04:00:42 +0000

The Basel Committee on Banking Supervision (BCBS) and the International Organization of Securities Commissions (IOSCO) have issued today final criteria for identifying simple, transparent and comparable securitisations. The purpose of these criteria is not to serve as a substitute for investors’ due diligence but rather to identify and assist in the financial industry’s development of simple and transparent securitisation structures. These criteria apply only to term securitisations and are non-exhaustive and non-binding. Additional and/or more detailed criteria may be necessary based on specific needs and applications. The criteria are not, of themselves, a prescription for regulatory action.

Criteria for Identifying Simple, Transparent & Comparable Securitizations

(Anonymous) — Tue, 30 Jun 2015 12:43:16 +0000

Guidelines for Identifying and Dealing with Weak Banks

(Anonymous) — Tue, 30 Jun 2015 05:08:27 +0000

Weak banks are a worldwide phenomenon. They pose a continuing challenge for bank supervisors and resolution authorities in all countries, regardless of the political structure, financial system and level of economic and technical development. All bank supervisors have to be prepared to minimise the incidence of weak banks and deal with them when they occur.

Net Stable Funding Ratio Disclosure Standards

(Anonymous) — Sun, 31 May 2015 22:17:50 +0000

The fundamental role of banks in financial intermediation makes them inherently vulnerable to liquidity risk, of both an institution-specific and market nature. Financial market developments have increased the complexity of liquidity risk and its management. During the early “liquidity phase” of the financial crisis that began in 2007, many banks – despite meeting the capital requirements then in effect – experienced difficulties because they did not prudently manage their liquidity. The difficulties experienced by some banks arose from failures to observe the basic principles of liquidity risk measurement and management.

Practices & Recommendations in Credit Risk Management Across Sectors

(Anonymous) — Sun, 31 May 2015 16:48:29 +0000

In 2013 the Joint Forum undertook a survey of supervisors and firms in the banking, securities and insurance sectors globally in order to understand the current state of credit risk (CR) management given the significant market and regulatory changes since the financial crisis of 2008. Credit risk is generally defined as the risk that a counterparty will fail to perform fully its financial obligations, and can arise from multiple activities across sectors. For example, CR could arise from the risk of default on a loan or bond obligation, or from the risk of a guarantor, credit enhancement provider or derivative counterparty failing to meet its obligations.

Margin Requirements for Non-Centrally Cleared Derivatives

(Anonymous) — Sat, 28 Feb 2015 18:58:55 +0000

This document presents the final policy framework that establishes minimum standards for margin requirements for non-centrally cleared derivatives as agreed by the Basel Committee on Banking Supervision (BCBS) and the International Organization of Securities Commissions (IOSCO).1 This final framework was developed in consultation with the Committee on Payment and Settlement Systems (CPSS) and the Committee on the Global Financial System (CGFS).

Public Quantitative Disclosure Standards for Central Counterparts

(Anonymous) — Sat, 31 Jan 2015 01:32:04 +0000

The CPSS-IOSCO Principles for financial market infrastructures (PFMI) states that financial market infrastructures (FMIs) should provide relevant information to participants, relevant authorities and the broader public. Quantitative data are important components of the set of public disclosures that is expected of FMIs as part of satisfying the PFMI. This document sets out the public quantitative disclosure standards that central counterparties (CCPs) are expected to meet. These standards complement the Disclosure framework published by CPSS and IOSCO in December 2012.