Credit risk

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Haircuts in EU Securities Financing Markets

ESMA research paper on level and calculation methodology of haircuts by securities financing transaction market participants

European Securities and Markets Authority report on securities financing transactions (SFTs) in the European Union and participants' use of collateral haircuts. SFTs involve mainly repurchase agreements (repos) and securities lending, and are a key source of liquidity in the EU financial system. The discounts (haircuts) applied to collateral valuation by lenders are an important risk management tool, but changing haircut requirements can contribute to pro-cyclicality and financial instability by reinforcing asset price movements.

Publisher: Regional Standard-Setting Bodies Release date: Mar 2017

Type: Consultative, discussion and issues paper

Topics: Shadow banking, Risk management, Credit risk, Market risk

Sectors: Banking, Insurance, Securities

Regulatory Treatment of Accounting Provisions - Transitional Arrangements

BCBS consultation on regulatory treatment of accounting provisions as accounting standards bodies implement an expected credit loss framework

Basel Committee on Banking Supervision consultation on the phase-in arrangements for the regulatory treatment of accounting provisions under the Basel III capital framework as the International Accounting Standards Board (IASB) and the US Financial Accounting Standards Board (FASB) move from an incurred credit loss to an expected credit loss (ECL) approach to accounting provisions for loan losses. The adoption of an ECL approach is expected to increase required accounting provisions, potentially significantly.

Publisher: Global Standard-Setting Bodies Release date: Mar 2017

Type: Standard

Parent: Basel III: A Global Regulatory Framework for More Resilient Banks and Banking Systems

Topics: Accounting, actuarial and auditing , Credit risk, Capital adequacy

Sectors: Banking

Guidance to Banks on Non-Performing Loans

ECB guideline on best practices for managing and reducing NPLs

European Central Bank guideline addresses main aspects regarding strategy, governance and operations, which are key to successfully resolving non-performing loans (NPLs). Recommends that banks put in place appropriate governance and operations structures to deliver effective NPL workouts. Provides short-term and long-term options on viable forbearance solutions with aim of returning exposure to a situation of sustainable repayment. Outlines policies, procedures and disclosures banks should adopt when valuing immovable property held as collateral for NPLs.

Publisher: Regional Standard-Setting Bodies Release date: Mar 2017

Type: Guideline

Peer: Addendum to the ECB Guidance to Banks on Nonperforming Loans

Topics: Accounting, actuarial and auditing , Corporate governance, Transparency and disclosure, Credit risk

Sectors: Banking

Good Supervisory Practices for Reducing Mechanistic Reliance on Credit Ratings

EBA, EIOPA and ESMA report on good supervisory practices for reducing sole and mechanistic reliance on credit ratings

European Banking Authority, European Insurance and Occupational Pensions Authority and European Securities and Markets Authority final report to assist sectoral supervisory authorities to: i) monitor adequacy of their supervised entities' credit risk assessment processes; ii) assess the use of contractual references to credit ratings; and iii) encourage them to mitigate the impact of any such references.

Publisher: Regional Standard-Setting Bodies Release date: Dec 2016

Type: Supervisory Practice

Topics: Credit risk, Asset classification and provisioning

Sectors: Banking, Insurance, Pensions, Securities

Implicit Support for Securitisation Transactions

EBA guidelines on capital treatment of securitizations

European Banking Authority guidelines set out objective test for definition of arm's length conditions and for assessing when a securitization transaction is structured in a manner that does not provide implicit support. Originating institutions that fail to structure the transaction in a manner that does not involve implicit support must hold capital against the exposure as if it had not been securitized. Includes provisions to avoid a scenario whereby support is provided on behalf of originator by another entity.

Publisher: Regional Standard-Setting Bodies Release date: Oct 2016

Type: Guideline

Parent: Capital Requirements Regulation - CRR, Capital Requirements Directive - CRD IV

Topics: Securitization, Capital adequacy, Credit risk

Sectors: Banking

Frequently Asked Questions on the Supervisory Framework for Measuring and Controlling Large Exposures

BCBS FAQs on large credit exposures standard

Basel Committee on Banking Supervision frequently asked questions cover: i) interbank exposures and exposures to central counterparties; ii) definition of connected counterparties; and iii) calculation of value of exposures.

Publisher: Global Standard-Setting Bodies Release date: Sep 2016

Type: Standard

Parent: Supervisory Framework for Measuring and Controlling Large Exposures

Topics: Credit risk, Risk management

Sectors: Banking

Guidelines on the Application of the Definition of Default

EBA guidelines specify application of definition of default across the European Union

European Banking Authority guidelines clarify aspects related to application of definition of default including the days past due criterion for identification, indications of unlikeliness to pay, conditions for return to non-defaulted status, treatment of definition of default in external data, application of default definition in a banking group and specific aspects related to retail exposures.

Publisher: Regional Standard-Setting Bodies Release date: Sep 2016

Type: Guideline

Parent: Capital Requirements Regulation - CRR

Topics: Credit risk

Sectors: Banking

Credit Reviews by Supervisors

TC note on how to supervise credit risk

Toronto Centre note discusses processes and techniques to review banks' credit risk activities. Advocates an approach that reflects the business cycle, with varying focus, depth and intensity as the credit cycle evolves.

Publisher: Toronto Centre Release date: Sep 2016

Type: TC Notes

Topics: Credit risk, Asset classification and provisioning

Sectors: Banking

Assessment Methodology for Validation of Credit Risk Models

EBA final standards to ensure consistency in model outputs and comparability of risk-weighted exposure amounts

European Banking Authority technical standard specifies assessment for supervisory authorities to follow in assessing compliance of an institution with requirements for use of Internal Ratings Based Approach (IRB Approach). Standard harmonizes supervisory assessment methodology with respect to the IRB Approach across all member states in the EU.

Publisher: Regional Standard-Setting Bodies Release date: Jul 2016

Type: Standard

Parent: Capital Requirements Directive - CRD IV, Capital Requirements Regulation - CRR

Topics: Credit risk, Capital adequacy

Sectors: Banking

Non-Performing Loans: Regulatory and Accounting Treatment of Assets

BOE working paper discusses divergences in definition of NPLs across countries, accounting regimes, firms and data sources

Bank of England working paper sets out reasons non-performing loans often feature in banking and economic crises and why they are frequently obstacles to resolution. Discusses how loan loss provisions relate to recent Basel III capital requirements and international financial reporting standards such as IFRS 9.

Publisher: National Regulators Release date: Apr 2016 Country: United Kingdom

Type: Consultative, discussion and issues paper

Topics: Accounting, actuarial and auditing , Credit risk

Sectors: Banking

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Resources

382 records

Haircuts in EU Securities Financing Markets

Regulatory Treatment of Accounting Provisions - Transitional Arrangements

Guidance to Banks on Non-Performing Loans

Good Supervisory Practices for Reducing Mechanistic Reliance on Credit Ratings

Implicit Support for Securitisation Transactions

Frequently Asked Questions on the Supervisory Framework for Measuring and Controlling Large Exposures

Guidelines on the Application of the Definition of Default

Credit Reviews by Supervisors

Assessment Methodology for Validation of Credit Risk Models

Non-Performing Loans: Regulatory and Accounting Treatment of Assets

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