IV.1.2 Riesgo de contraparte - Asociación de Supervisores Bancarios de las Américas

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

(Anónimo) — Thu, 19 Nov 2015 18:03:08 +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.
(Texto en inglés)

Criteria for Identifying Simple, Transparent & Comparable Securitizations

(Anónimo) — Tue, 30 Jun 2015 14:49:39 +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.
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Public Quantitative Disclosure Standards for Central Counterparts

(Anónimo) — Sat, 31 Jan 2015 17:59:23 +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.
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Revised Pillar 3 Disclosure Requirements

(Anónimo) — Thu, 01 Jan 2015 01:01:08 +0000

Market discipline has long been recognised as a key objective of the Basel Committee on Banking Supervision (hereafter the “Committee” or “BCBS”). The provision of meaningful information about common key risk metrics to market participants is a fundamental tenet of a sound banking system. It reduces information asymmetry and helps promote comparability of banks’ risk profiles within and across jurisdictions. Pillar 3 of the Basel framework aims to promote market discipline through regulatory disclosure requirements. These requirements enable market participants to access key information relating to a bank’s regulatory capital and risk exposures in order to increase transparency and confidence about a bank’s exposure to risk and the overall adequacy of its regulatory capital.
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Revisions to the Securitization Framework

(Anónimo) — Tue, 09 Dec 2014 21:04:52 +0000

The Basel Committee is publishing the revised securitisation framework, which aims to address a number of shortcomings in the Basel II securitisation framework and to strengthen the capital standards for securitisation exposures held in the banking book. This framework, which will come into effect in January 2018, forms part of the Committee’s broader Basel III agenda to reform regulatory standards for banks in response to the global financial crisis and thus contributes to a more resilient banking sector.
(Texto en inglés)

Foundations of the SA for Measuring Counterparty Credit Risk Exposures

(Anónimo) — Thu, 31 Jul 2014 08:53:31 +0000

This technical paper explains modelling assumptions that were used in developing the standardised approach for measuring counterparty credit risk exposures (SA-CCR). The paper also clarifies certain aspects of the SA-CCR calibration that are not discussed in the final standard that was published in March 2014 (revised April 2014).1 The language used to describe the SA-CCR in this paper may differ somewhat from the language used in the final standard. For example, the paper uses concepts that are not present in the final standard such as trade-level add-ons and single-factor subsets of hedging sets. Furthermore, it does not use the concept of effective notional, which is employed in the standard. The purpose of these adaptations is to emphasise the common aggregation framework that underpins the SA-CCR add-on formulas for different asset classes.
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Capital Requirements for Bank Exposures to Central Counterparts (Final Standard)

(Anónimo) — Mon, 31 Mar 2014 14:46:19 +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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Supervisory Framework for Measuring and Controlling Large Exposures

(Anónimo) — Mon, 31 Mar 2014 02:37:24 +0000

One of the key lessons from the financial crisis was that banks did not always consistently measure, aggregate and control exposures to single counterparties or to groups of connected counterparties across their books and operations. Throughout history there have been instances of banks failing due to concentrated exposures to individual counterparties (eg Johnson Matthey Bankers in the United Kingdom in 1984, the Korean banking crisis in the late 1990s). Large exposures regulation has been developed as a tool for limiting the maximum loss a bank could face in the event of a sudden counterparty failure to a level that does not endanger the bank’s solvency.
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The Standardized Approach for Measuring Counterparty Credit Risk

(Anónimo) — Sun, 30 Mar 2014 15:16:44 +0000

This document presents the Basel Committee’s formulation for its Standardised Approach (SA-CCR) for measuring exposure at default (EAD) for counterparty credit risk (CCR). The SA-CCR will replace both current non-internal models approaches, the Current Exposure Method (CEM) and the Standardised Method (SM). In formulating the SA-CCR, the Basel Committee’s main objectives were to devise an approach that is suitable to be applied to a wide variety of derivatives transactions (margined and unmargined, as well as bilateral and cleared); is capable of being implemented simply and easily; addresses known deficiencies of the CEM and the SM; draws on prudential approaches already available in the Basel framework; minimises discretion used by national authorities and banks; and improves the risk sensitivity of the capital framework without creating undue complexity.
(Texto en inglés)

Supervisory Guidance for Managing Risks Associated with the Settlement of FX Transactions

(Anónimo) — Thu, 31 Jan 2013 11:07:28 +0000

Since the previous supervisory guidance was published in 2000, the foreign exchange (FX) market has made significant strides in reducing the risks associated with the settlement of FX transactions. These risks include principal risk, replacement cost risk, liquidity risk, operational risk and legal risk. Such FX settlement-related risks have been mitigated by the implementation of payment-versus-payment (PVP) arrangements and the increasing use of close-out netting and collateralisation. However, substantial FX settlement-related risks remain due to rapid growth in FX trading activities. In addition, many banks underestimate their principal risk and other associated risks by not taking into full account the duration of exposure between trade execution and final settlement. While such risks may have a relatively low impact during normal market conditions, they may create disproportionately larger concerns during times of market stress.
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Basel III The Liquidity Coverage Ratio and Liquidity Risk Monitoring Tools

(Anónimo) — Sun, 30 Dec 2012 13:33:37 +0000

This document presents one of the Basel Committee’s key reforms to develop a more resilient banking sector: the Liquidity Coverage Ratio (LCR). The objective of the LCR is to promote the short-term resilience of the liquidity risk profile of banks. It does this by ensuring that banks have an adequate stock of unencumbered high-quality liquid assets (HQLA) that can be converted easily and immediately in private markets into cash to meet their liquidity needs for a 30 calendar day liquidity stress scenario. The LCR will improve the banking sector’s ability to absorb shocks arising from financial and economic stress, whatever the source, thus reducing the risk of spillover from the financial sector to the real economy. This document sets out the LCR standard and timelines for its implementation.
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Instructions for Calculating Capital Reqs for Bank Default Fund Exposures to CCP

(Anónimo) — Wed, 31 Oct 2012 08:58:03 +0000

There are 4 worksheets in the CCP Kccp and Capital Calculation Method 1 Template. CCPs are asked to fill in the data for the “Input” worksheet only. The rest of the calculation will be filled in automatically after all the data has been inputted.
(Texto en inglés)

Instructions for Calculating Capital Reqs for Bank Default Fund Exposures to CCP

(Anónimo) — Sat, 30 Jun 2012 08:39:55 +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”).
(Texto en inglés)

The application of Basel II-Treatment of Double Default Effects

(Anónimo) — Thu, 30 Jun 2005 03:11:22 +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 Framework 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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