III.2 Gestión y suficiencia de capital - Asociación de Supervisores Bancarios de las Américas

Revisions to the Securitization Framework

(Anónimo) — Fri, 30 Dec 2016 16:11:56 +0000

Este marco para titularizaciones, que entrará en vigor en enero de 2018, forma parte de la agenda más amplia del Comité de Supervisión Bancaria de Basilea con relación a Basilea III y la propuesta de reformar estándares regulatorios para bancos, esto como respuesta a la crisis financiera global, lo que contribuye a un sector bancario más robusto. Este marco actualiza el marco previo en materia de titularizaciones publicado en diciembre de 2014, y va en consonancia con el tratamiento alternativo del capital para lograr titularizaciones más “simples, transparentes y comparables”, (términos también conocidos como STC).
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Revised Template Capital Requirements to CCP Exposures Final

(Anónimo) — Wed, 18 Nov 2015 11:24:29 +0000

Template for the input of data for the calculation of capital requirements of banks' default fund exposures to CCPs under Method 1 of the interim rules.
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Basel Capital Framework National Discretions

(Anónimo) — Thu, 30 Oct 2014 14:20:35 +0000

The Basel capital framework contains a number of national discretions to allow the standards to be implemented differently by authorities in different jurisdictions. This can be useful when differences in the structure and development of financial systems warrant different approaches. In practice, however, the Committee recognises that the use of national discretions can also impair the comparability of implementation across jurisdictions, particularly if supervisors do not implement them with the same conservatism. This was highlighted by three recent studies on the variation of risk-weighted assets in the banking book and trading book.
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Capital Requirements for Bank Exposures to Central Counterparties

(Anónimo) — Sun, 30 Mar 2014 20:15:17 +0000

This document presents the Basel Committee’s revised policy framework for the capital treatment of bank exposures to central counterparties (CCPs). Revisions to the framework were made to reflect decisions reached by the Committee after evaluating the results of the joint quantitative impact study (JQIS) and the feedback received from respondents to a related consultative document published in June 2013. The Committee wishes to thank institutions that participated in the JQIS as well as respondents to the consultative document.
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Sound Practices of a Sound Capital Planning Process

(Anónimo) — Mon, 30 Dec 2013 14:13:53 +0000

An important lesson from the financial crisis concerned the need for banking organisations (“banks”) to strengthen their capital planning processes. Some of the observed weaknesses reflected banks’ processes that were not sufficiently comprehensive, appropriately forward-looking or adequately formalised. As a result, some management teams underestimated the risks inherent in their banks’ business strategies and, in turn, misjudged capital needs.
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Capital Requirements for Banks Equity Investments in Funds

(Anónimo) — Fri, 29 Nov 2013 14:06:48 +0000

This document presents the Basel Committee’s final policy framework for calculating the capital requirements for banks’ equity investments in funds that are held in their banking book, including text for the final standard. This follows the consultative document published in July 2013.1 The Committee wishes to thank respondents for their comments in this regard.
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Updated Methodology and the Higher Loss Absorbency Requirement

(Anónimo) — Sat, 29 Jun 2013 20:05:04 +0000

This document updates and replaces the November 2011 publication Global systemically important banks: assessment methodology and the additional loss absorbency requirement. Below is a summary of the main changes relative to that publication. These changes reflect the lessons learnt from applying the assessment methodology using data submitted by banks in respect of their positions as at the financial year-ends 2009 to 2011. The changes also include the addition of the disclosures that banks are required to make to ensure that the assessment methodology operates on the basis of publicly available information.
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The Proposed Revised Ratings-Based Approach

(Anónimo) — Sun, 30 Dec 2012 21:02:17 +0000

This technical paper describes the assumptions and methodology underlying the Revised Ratings-Based Approach (RRBA) as proposed in the Basel Committee’s recent consultative paper “Revisions to the Basel Securitisation Framework.” The RRBA is calibrated to approximate tranche capital charges generated by the Modified Supervisory Formula Approach (MSFA) under the assumption that an external credit rating is a proxy for the tranche’s expected loss rate (EL). Given an assumed risk profile for an underlying homogeneous pool of exposures (‘pool’) -- characterised by maturity, probability of default (PD), loss given default (LGD), and asset value correlation (AVC) -- a stylised EL-based credit rating model consistent with the MSFA is used to infer attachment and detachment points for hypothetical tranches having various ratings, seniorities and, for non-senior tranches, thicknesses.
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Foundations of the Proposed Modified Supervisory Formula Approach

(Anónimo) — Sun, 30 Dec 2012 13:58:51 +0000

This technical paper describes the modelling framework underlying the Modified Supervisory Formula Approach (MSFA) as proposed in the Basel Committee’s recent consultative paper “Revisions to the Basel Securitisation Framework.” In contrast to the current Basel securitisation framework’s Supervisory Formula Approach (SFA), which assumes a one-year maturity for the underlying pool of securitised loans (‘pool’), the MSFA is based on an underlying Expected Shortfall, Mark-to-Market (MtM) framework for setting regulatory capital. This MtM underpinning, along with other key assumptions, is intended to render the MSFA more consistent with the Basel’s Internal Ratings-Based (IRB) framework for wholesale exposures.
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Capital Requirements for Banks Exposures to Central Counterparts (Interim Requirements)

(Anónimo) — Sat, 30 Jun 2012 21:21:05 +0000

The interim framework for determining capital requirements for bank exposures to central counterparties is being introduced via additions and amendments to the International Convergence of Capital Measurement and Capital Standards: A Revised Framework - Comprehensive Version, June 2006 (hereinafter referred to as “Basel II”).
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Composition of Capital Disclosure Requirements (Rules Text)

(Anónimo) — Wed, 30 May 2012 21:18:26 +0000

During the financial crisis, many market participants and supervisors attempted to undertake detailed assessments of the capital positions of banks and comparisons of their capital positions on a cross jurisdictional basis. The level of detail of the disclosure and the lack of consistency in the way that it was reported typically made this task difficult and often made it impossible to do with any accuracy. It is often suggested that lack of clarity on the quality of capital contributed to uncertainty during the financial crisis. Furthermore, the interventions carried out by the authorities may have been more effective if capital positions of the banks were more transparent.
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Treatment of Trade Finance under the Basel Capital Framework

(Anónimo) — Fri, 30 Sep 2011 15:16:54 +0000

Following consultations with the World Bank, the World Trade Organisation and the International Chamber of Commerce, the Basel Committee on Banking Supervision has evaluated the impact of Basel II and III on trade finance in the context of low income countries. As a result of this evaluation, the Committee has adopted two changes to the treatment of trade finance in the Basel II and III capital adequacy framework. These changes respect the integrity of the capital framework and its broader financial stability objectives.
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Guidelines for Computing Capital for Incremental Risk in the Trading Book

(Anónimo) — Tue, 30 Jun 2009 15:15:06 +0000

The Basel Committee/IOSCO Agreement reached in July 2005, contained several improvements to the capital regime for trading book positions. Among these revisions was a new requirement for banks that model specific risk to measure and hold capital against default risk that is incremental to any default risk captured in the bank’s value-at-risk (VaR) model. The incremental default risk charge was incorporated into the trading book capital regime in response to the increasing amount of exposure in banks’ trading books to creditrisk related and often illiquid products whose risk is not reflected in VaR. In October 2007, the Basel Committee on Banking Supervision (the Committee) released guidelines for computing capital for incremental default risk for public comments.
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Convergence of Capital Measurement and Capital Standards (comprehensive version)

(Anónimo) — Wed, 31 May 2006 21:10:35 +0000

This report presents the outcome of the Basel Committee on Banking Supervision’s (“the Committee”) work over recent years to secure international convergence on revisions to supervisory regulations governing the capital adequacy of internationally active banks. Following the publication of the Committee’s first round of proposals for revising the capitaladequacy framework in June 1999, an extensive consultative process was set in train in all member countries and the proposals were also circulated to supervisory authorities worldwide.
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The Application of Basel II to Trading Activities and the Treatment of Double Default Effects

(Anónimo) — Thu, 30 Jun 2005 09:07:42 +0000

The efforts of the Basel Committee on Banking Supervision (BCBS) to revise the standards governing the capital adequacy of internationally active banks achieved a critical milestone in the publication of an agreed text in June 2004. The International Convergence of Capital Measurement and Capital Standards: a Revised Framework2 describes a more comprehensive measure and minimum standard for capital adequacy that national supervisory authorities represented on the BCBS are now working to implement through domestic rule-making and adoption procedures.
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Convergence of Capital Measurement and Capital Standards (updated to April 98)

(Anónimo) — Mon, 30 Mar 1998 21:18:55 +0000

This report presents the outcome of the Committee’s work over several years to secure international convergence of supervisory regulations governing the capital adequacy of international banks. Following the publication of the Committee’s proposals in December 1987, a consultative process was set in train in all G-10 countries and the proposals were also circulated to supervisory authorities worldwide. As a result of those consultations some changes were made to the original proposals. The present paper is now a statement of the Committee agreed by all its members. It sets out the details of the agreed framework for measuring capital adequacy and the minimum standard to be achieved which the national supervisory authorities represented on the Committee intend to implement in their respective countries. The framework and this standard have been endorsed by the Group of Ten central-bank Governors.
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International Convergence of Capital Measurement and Capital Standards

(Anónimo) — Wed, 29 Jun 1988 09:04:02 +0000

This report presents the outcome of the Committee's1 work over several years to secure international convergence of supervisory regulations governing the capital adequacy of international banks. Following the publication of the Committee's proposals in December 1987, a consultative process was set in train in all G-10 countries and the proposals were also circulated to supervisory authorities worldwide. As a result of those consultations some changes were made to the original proposals. The present paper is now a statement of the Committee agreed by all its members. It sets out the details of the agreed framework for measuring capital adequacy and the minimum standard to be achieved which the national supervisory authorities represented on the Committee intend to implement in their respective countries. The framework and this standard have been endorsed by the Group of Ten central-bank Governors.
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