Credit risk

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Counterparty Credit Risk

APRA standard requires banks to adopt risk management practices relating to counterparty credit risk

Australian Prudential Regulation Authority standard requires banks to: i) calculate counterparty credit risk exposure amounts according to a standardized approach for measuring such exposures or the adjusted current exposure method; ii) apply risk weights to counterparty credit risk exposure amounts for capital adequacy purposes; iii) where applicable, calculate and hold a credit valuation adjustment risk capital charge; iv) where applicable, calculate and hold a default fund capital charge for default fund contributions to a qualifying central counterparty; and v) adopt risk management practices for bilateral and centrally cleared counterparty credit risk exposures.

Publisher: National Regulators Release date: Jul 2019

Type: Consultative, discussion and issues paper

Peer: The Standardised Approach for Measuring Counterparty Credit Risk Exposures , Capital Requirements for Bank Exposures to Central Counterparties

Topics: Credit risk

Sectors: Banking

Prudential Standard on Large Exposures

APRA standard on large exposures for banks

Australian Prudential Regulation Authority prudential standard requires banks to implement prudent measures and to set prudent limits to monitor and control their large exposures and risk concentrations. Key requirements are that banks must: i) have a board approved policy that governs large exposures and risk concentrations; ii) have adequate systems and controls to identify, measure, monitor and report large exposures and risk concentrations; iii) identify large exposures, including identifying a group of connected counterparties; iv) ensure large exposures meet the large exposure limit; and v) measure exposure values for large exposure purposes using specified treatments.

Publisher: National Regulators Release date: Jan 2019 Country: Australia

Type: Standard

Topics: Credit risk, Risk management, Corporate governance

Sectors: Banking

Guidelines on Disclosure of Non-Performing and Forborne Exposures

EBA guidelines provide better picture of the quality of the banks' assets

European Banking Authority guidelines set enhanced disclosure requirements and uniform disclosure formats applicable to credit institutions' public disclosure of information regarding non-performing exposures, forborne exposures and foreclosed assets.

Publisher: Regional Standard-Setting Bodies Release date: Dec 2018

Type: Guideline

Peer: Supervisory Reporting on Forbearance and Nonperforming Exposures , Guidelines on Management of Non-Performing and Forborne Exposures

Topics: Credit risk, Transparency and disclosure, Accounting, actuarial and auditing , Asset classification and provisioning

Sectors: Banking

Guidelines on Management of Non-Performing and Forborne Exposures

EBA guidelines on how to manage non-performing exposures

European Banking Authority guidelines on how to manage non-performing exposures (NPEs) and forborne exposures (FBEs). Guidelines target high NPE banks with the aim of achieving a sustainable reduction of NPEs.

Publisher: Regional Standard-Setting Bodies Release date: Oct 2018

Type: Guideline

Peer: Supervisory Reporting on Forbearance and Nonperforming Exposures , Guidelines on Disclosure of Non-Performing and Forborne Exposures

Topics: Credit risk, Asset classification and provisioning, Transparency and disclosure, Accounting, actuarial and auditing

Sectors: Banking

Notice on Risk Based Capital Adequacy Requirements for Banks in Singapore

MAS notice establishes minimum capital adequacy ratios for banks and the methodology to calculate the ratios

Monetary Authority of Singapore notice establishes minimum capital adequacy ratios for banks and the methodology they must use to calculate these ratios (Pillar 1). Provides a range of approaches for calculating regulatory capital based on the complexity and sophistication of a bank's businesses and operations. Requires banks to consider whether they have adequate capital to cover exposure to all risks and sets out MAS expectations for bank's internal capital adequacy assessment process (Pillar 2). Specifies minimum disclosure requirements in relation to capital adequacy.

Publisher: National Regulators Release date: Oct 2018 Country: Singapore

Type: Law, Regulation and Policy

Parent: Basel III Leverage Ratio Framework and Disclosure Requirements, Revisions to the Basel III Leverage Ratio Framework

Peer: Risk Based Capital Adequacy Requirements

Topics: Capital adequacy, Credit risk, Market risk, Operational risk, Securitization, Transparency and disclosure

Sectors: Banking

Single-Counterparty Credit Limits for Bank Holding Companies and Foreign Banking Organizations

FRB rule to address risks associated with large credit exposures

US Federal Reserve Board addresses credit exposures of large banking organizations to a single counterparty. Rule increases in stringency based on the systemic importance of firms to which they apply.

Publisher: National Regulators Release date: Jun 2018 Country: United States

Type: Law, Regulation and Policy

Topics: Credit risk, Systemic risk, Systemically important financial institutions (SIFIs)

Sectors: Banking

Capital Treatment for Short-Term "Simple, Transparent and Comparable" Securitisations

BCBS standard for applying preferential regulatory capital treatment of STC short-term securitizations

Basel Committee on Banking Supervision standard sets out additional guidance and requirements for applying preferential regulatory capital treatment for banks acting as investors in, or as sponsors of, simple, transparent and comparable (STC) short-term securitizations, typically in asset-backed commercial paper (ABCP) structures. Additional guidance and requirements include that: i) investors have access to key monthly information on performance and key characteristics of the ABCP structure; ii) redemption risk of the underlying assets is addressed from the sponsor's perspective; and iii) transactions funded by the conduit have an enforceable legal structure and that relevant information is disclosed by the sponsor to investors.

Publisher: Global Standard-Setting Bodies Release date: May 2018

Type: Standard

Parent: Revisions to the Basel Securitisation Framework

Peer: Criteria for Identifying Simple, Transparent and Comparable Securitisations, Criteria for Identifying Short-Term Simple, Transparent and Comparable Securitisations

Topics: Securitization, Credit risk, Capital adequacy

Sectors: Banking

The PRA's Methodologies for Setting Pillar 2 Capital

PRA policy statement on its Pillar 2 capital requirements

UK Prudential Regulatory Authority updated methodology for setting Pillar 2 capital requirements. Sets out methodologies to inform setting a firm’s Pillar 2A individual capital guidance for credit risk, market risk, operational risk, counterparty credit risk, credit concentration risk, and interest rate risk in the banking book and pension obligation risk. Pillar 2B provides information on the purpose of a PRA buffer, how it is determined and how it relates to the CRD IV buffers. Also provides details on PRA’s approach to tackling weak governance and risk management under Pillar 2B.

Publisher: National Regulators Release date: Apr 2018 Country: United Kingdom

Type: Supervisory Practice

Parent: Capital Requirements Directive - CRD IV, Capital Requirements - CRD IV/CRR – Frequently Asked Questions

Peer: Assessing Capital Adequacy Under Pillar 2

Topics: Capital adequacy, Credit risk, Market risk, Operational risk, Interest rate risk

Sectors: Banking

Digitally Delivered Credit

AFI policy guidance note and results from survey of regulators

Alliance for Financial Inclusion guidance note focuses on potential customer risks from different models of digitally-delivered credit. Discusses how policy makers and regulators in emerging markets and developing economies could develop approaches for identifying, monitoring and mitigating the most important customer risks.

Publisher: Others Release date: Apr 2018

Type: Consultative, discussion and issues paper

Topics: Financial inclusion, Consumer education and protection, Credit risk, Conduct, Transparency and disclosure

Sectors: Banking, Microfinance

The Identification and Measurement of Nonperforming Assets: A Cross-Country Comparison

FSI Insights paper describes accounting and regulatory treatment of problem assets across a range of countries

Financial Stability Institute paper sets out the importance of timely recognition and loss provisioning on banks' balance sheets of non-performing assets (NPAs). Describes the role of prudential regulation and supervision in facilitating the prompt identification and measurement of NPAs, based in part on a cross-country survey. Outlines key differences in accounting standards on problem assets and provisioning across jurisdictions. Sets out policy options to enhance identification and measurement of NPAs.

Publisher: International Organizations Release date: Apr 2018

Type: Consultative, discussion and issues paper

Topics: Credit risk, Transparency and disclosure, Accounting, actuarial and auditing , Asset classification and provisioning, Capital adequacy

Sectors: Banking

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Resources

382 records

Counterparty Credit Risk

Prudential Standard on Large Exposures

Guidelines on Disclosure of Non-Performing and Forborne Exposures

Guidelines on Management of Non-Performing and Forborne Exposures

Notice on Risk Based Capital Adequacy Requirements for Banks in Singapore

Single-Counterparty Credit Limits for Bank Holding Companies and Foreign Banking Organizations

Capital Treatment for Short-Term "Simple, Transparent and Comparable" Securitisations

The PRA's Methodologies for Setting Pillar 2 Capital

Digitally Delivered Credit

The Identification and Measurement of Nonperforming Assets: A Cross-Country Comparison

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