Market risk

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The Basel Framework in 100 Jurisdictions: Implementation Status and Proportionality Practices

FSI report sets out how authorities are implementing international standards in a proportionate manner

Financial Stability Institute report sets out current state of implementation of key Basel standards and outlines associated proportionality practices in 100 jurisdictions that are not members of the Basel Committee on Banking Supervision (BCBS). Report includes a range of proportionality practices applied in non-BCBS jurisdictions.

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

Type: Consultative, discussion and issues paper

Topics: Risk-based supervision, Transparency and disclosure, Capital adequacy, Liquidity risk and rules, Market risk, Operational risk

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: Dec 2017 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

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

Re-hypothecation and Collateral Re-Use

FSB report on financial stability issues, market evolution and regulatory approaches to re-hypothecation and collateral re-use

Financial Stability Board report describes potential financial stability issues and explains evolution of market practices and current regulatory approaches to re-hypothecation of client assets and collateral re-use. Examines possible regulatory approaches to re-hypothecation but concludes that there is no immediate case for harmonizing regulatory approaches to re-hypothecation.

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

Type: Consultative, discussion and issues paper

Peer: Non-Cash Collateral Re-Use: Measure and Metrics

Topics: Shadow banking, Market risk

Sectors: Banking, Securities

Non-Cash Collateral Re-Use: Measure and Metrics

FSB report on measure and metrics of collateral re-use in securities financing transactions

Financial Stability Board report finalizes measure and metrics of non-cash collateral re-use (re-hypothecation) in securities financing transactions that authorities will monitor for financial stability purposes. The FSB will collect from members national aggregated data related to the measure and metrics from January 2020 as part of its global securities financing data standards.

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

Type: Consultative, discussion and issues paper

Peer: Re-hypothecation and Collateral Re-Use

Topics: Shadow banking, Market risk

Sectors: Banking, Securities

Market Intelligence Gathering at Central Banks

BIS discussion paper assesses central bank intelligence activities

Bank for International Settlements discussion paper seeks to increase understanding of market intelligence (MI) activities conducted by central banks. Demonstrates that MI gathering can be conducted via a number of different models dependent on the central bank, its remit, size and resources. Highlights importance of MI to central banks. Focuses on recent evolution of MI activity, both in terms of markets and institutions as well as in terms of the organizational models for the collection, synthesis and dissemination of MI. Describes what central banks do with the information they collect, including how it is recorded and distributed, as well as treatment of sensitive or confidential information.

Publisher: International Organizations Release date: Dec 2016

Type: Consultative, discussion and issues paper

Topics: Market risk, Transparency and disclosure, Conduct, Macroprudential

Sectors: Banking, Securities

Minimum Capital Requirements for Market Risk

BCBS revised standards for minimum capital requirements for market risk

Basel Committee on Banking Supervision standard ensures that standardization and internal model approaches to market risk deliver credible capital outcomes and promote consistent implementation of standards across jurisdictions. Key features of revised framework include: i) revised boundary between trading book and banking book; ii) revised internal models approach for market risk; iii) revised standardized approach for market risk; iv) shift from value-at-risk to an expected shortfall measure of risk under stress; and v) incorporation of risk of market illiquidity.

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

Type: Standard

Parent: Basel II: International Convergence of Capital Measurement and Capital Standards: A Revised Framework, Basel III: A Global Regulatory Framework for More Resilient Banks and Banking Systems

Topics: Market risk, Capital adequacy, Risk management

Sectors: Banking

Proposed Regulatory Framework for Intermediaries Dealing in OTC Derivative Contracts and Other Legislative Amendments

MAS two part consultation on proposed: i) regulatory framework for capital markets intermediaries dealing in OTC derivative contracts, and ii) refinements to rules related to financial advisory services

Monetary Authority of Singapore consultation on proposed regulatory framework for capital markets intermediaries dealing in OTC derivative contracts and proposed refinements to rules governing execution-related advice and marketing of collective investment schemes (CIS). Sets out proposed licensing, capital, business conduct, risk mitigating and other requirements for OTC intermediaries. Proposes certain exemptions from current suitability requirements associated with providing execution-related advice to clients, and harmonization of certain requirements related to the marketing of CIS.

Publisher: National Regulators Release date: May 2015 Country: Singapore

Type: Consultative, discussion and issues paper

Parent: Risk Mitigation Standards for Non-Centrally Cleared OTC Derivatives

Topics: Risk management, Transparency and disclosure, Consumer education and protection, Market risk

Sectors: Banking, Securities

Range of Practice in the Regulation and Supervision of Institutions Relevant to Financial Inclusion

Findings of BCBS survey on evolution of supervisory and regulatory practices in response to developments in delivery of financial services to lower-income customers

Basel Committee on Banking Supervision analysis and summary of a 2013 Range of Practice Survey of over 50 member and non-member jurisdictions on current regulatory and supervisory approaches towards financial institutions and activities that are relevant to financial inclusion. Intended to provide a snapshot of how some banking supervisors are responding to the rapidly evolving financial inclusion landscape. The results of the survey will serve as background to subsequent work towards developing BCBS guidance on taking financial inclusion into account when implementing the 2012 Core Principles.

Publisher: Global Standard-Setting Bodies Release date: Jan 2015

Type: Sound Practice

Peer: Core Principles for Effective Banking Supervision, Guidance on the Application of the Basel Core Principles for Institutions Relevant to Financial Inclusion

Topics: Supervisory framework, Supervisory structures, Consumer education and protection, Market risk

Sectors: Banking, Microfinance

Enhancements to the Basel II Framework

BCBS enhancements to Pillars 1, 2 and 3 of Basel II

Final Basel Committee on Banking Supervision enhancements to Basel II including: i) in Pillar 1 (minimum capital requirements), strengthening the treatment for certain securitizations, introducing higher risk weights for resecuritization exposures, and requiring that banks conduct more rigorous credit analyses of externally rated securitization exposures; ii) in Pillar 2 (supervisory review process), expanding guidance addressing weaknesses revealed in banks' risk management processes during the financial crisis; and iii) in Pillar 3 (market discipline), strengthening requirements relating to securitizations, off-balance sheet vehicles; resecuritization exposures; and other risks regarding securitization exposures.

Publisher: Global Standard-Setting Bodies Release date: Jun 2009

Type: Standard

Peer: A Sound Capital Planning Process: Fundamental Elements

Topics: Capital adequacy, Risk management, Corporate governance, Transparency and disclosure, Market risk, Securitization

Sectors: Banking

Display # Page 1 of 2 Total: 13

Resources

382 records

The Basel Framework in 100 Jurisdictions: Implementation Status and Proportionality Practices

The PRA's Methodologies for Setting Pillar 2 Capital

Haircuts in EU Securities Financing Markets

Re-hypothecation and Collateral Re-Use

Non-Cash Collateral Re-Use: Measure and Metrics

Market Intelligence Gathering at Central Banks

Minimum Capital Requirements for Market Risk

Proposed Regulatory Framework for Intermediaries Dealing in OTC Derivative Contracts and Other Legislative Amendments

Range of Practice in the Regulation and Supervision of Institutions Relevant to Financial Inclusion

Enhancements to the Basel II Framework

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