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Stress-testing Banks for Climate Change - A Comparison of Practices

FSI report shows how challenges have been addressed in practice

Financial Stability Institute report discusses the challenges that emerge when trying to adapt traditional stress tests to banks' climate-related risks. These challenges relate to: i) data availability and reliability; ii) adoption of very long time horizons; iii) uncertainty around future pathways of key reference variables covering physical risks; and iv) uncertainty relating to transition risks. 

Publisher: International Organizations     Release date: Jul 2021    

Type: Consultative, discussion and issues paper

Topics: Climate change , Stress-testing

Sectors: Banking

Early Lessons from the COVID-19 Pandemic on the Basel Reforms

BCBS report provides preliminary assessment of the impact of Basel reforms during the pandemic

Basel Committee on Banking Supervision report provides preliminary assessment of whether the reforms implemented to date have functioned as intended in light of the pandemic. It outlines the BCBS's initial findings regarding: i) overall resilience of the banking system during the pandemic; ii) usability of capital buffers, members' experience with the countercyclical capital policies and price movements of additional tier 1 capital instruments; iii) liquidity buffers; iv) impact of the leverage ratio on financial intermediation; and v) cyclicality of specific Basel capital requirements. 

Publisher: Global Standard-Setting Bodies     Release date: Jul 2021    

Type: Consultative, discussion and issues paper

Topics: COVID-19, Stress-testing

Sectors: Banking

UK Internal Capital Adequacy Assessment Process (ICAAP) and the Supervisory Review and Evaluation Process (SREP)

PRA supervisory statement on its expectations for firms undertaking an ICAAP and factors it takes into consideration in its SREP

UK Prudential Regulatory Authority updated supervisory statement sets out expectations of firms in relation to: i) undertaking their ICAAP; ii) stress testing, scenario analysis and capital planning; and iii) reverse stress testing. Sets out the factors that the PRA takes into consideration to assess a firm’s ICAAP. Provides further detail in relation to high-level expectations outlined in PRA’s Approach to Banking Supervision.

Publisher: National Regulators     Release date: Dec 2020     Country: United Kingdom

Type: Guideline

Parent: Capital Requirements Directive - CRD IV

Peer: The Prudential Regulation Authority's Approach to Banking Supervision

Topics: Capital adequacy, Stress-testing

Sectors: Banking, Securities

Supervising Liquidity and Funding Risks

PRA supervisory statement on liquidity risk

UK Prudential Regulation Authority supervisory statement sets out PRA's approach to supervising liquidity and funding risks. Covers its expectations regarding: i) Internal Liquidity Adequacy Assessment Process; ii) Liquidity Supervisory Review and Evaluation Process; iii) drawing down Liquid Asset Buffers; iv) collateral placed at Bank of England; v) daily reporting under stress; and vi) disclosure of Pillar 2 guidance. Updated March 2020.

Publisher: National Regulators     Release date: Sep 2020     Country: United Kingdom

Type: Supervisory Practice

Topics: Liquidity risk and rules, Stress-testing, Recovery and resolution

Sectors: Banking

Stress Testing and Climate Change

TC Note guides supervisors toward making appropriate choices when considering possible regulatory or supervisory actions

TC Note assists supervisors to: i) understand the key aspects of stress testing and how they might need to be applied differently in dealing with climate-related risks; ii) understand how climate change scenarios can be developed and their potential effects analyzed; iii) understand how the potential effects of climate change scenarios can be translated into assumptions that can be used in stress testing; iv) identify how financial institutions might use stress testing and scenario analysis in dealing with climate-related risks; and v) identify steps that supervisors can take to use stress testing and scenario analysis, and to promote their use by the financial institutions they supervise. 

Publisher: Toronto Centre     Release date: Jun 2020    

Type: TC Notes

Peer: Climate Change: Issues for Banking Supervisors , Climate Change

Topics: Climate change , Stress-testing

Sectors: Banking, Insurance, Microfinance, Microinsurance, Pensions, Securities

The COVID-19 Pandemic: Supervisory Implications and Priorities for Islamic Banking

TC Note considers implications of COVID-19 as it affects Islamic finance

Toronto Centre Note discusses seven potential implications and priorities for supervisors regulating Islamic banks in response to the COVID-19 pandemic in dual banking systems: i) ensuring supervisory transparency, clarity in regulatory interventions, and a level playing field for Islamic banks; ii) navigating a tricky trade-off between regulatory capital requirements and economic growth; iii) managing Islamic banks' asset quality and the treatment of moratoria and non-performing financing; iv) dealing with a liquidity crunch and providing Shariah-compliant liquidity support and lender-of-last-resort facilities; v) providing supervisory support for issuing sovereign Sukuk for fiscal deficits; vi) evaluating stress testing and credit quality; and vii) reviewing financial safety nets and insolvency regimes for Islamic banks. 

Publisher: Toronto Centre     Release date: May 2020    

Type: TC Notes

Topics: Crisis management and contingency planning, Islamic finance, Stress-testing, COVID-19

Sectors: Banking

Stress Testing in Sub-Saharan Africa

IMF paper discusses practices, communications, and capacity development

International Monetary Fund paper focuses on analyzing the authorities' disclosure and communications approach to informing the public about stress test outcomes and illustrating how technical assistance has helped to shape stress testing and communications. 

Publisher: International Organizations     Release date: May 2020    

Type: Consultative, discussion and issues paper

Topics: Stress-testing

Sectors: Banking

Stress Testing in Latin America

BIS report compares approaches and methodologies

Bank for International Settlements report describes how major Latin American central banks conduct and use stress tests in assessing the soundness of their banking systems. 

Publisher: International Organizations     Release date: Feb 2020    

Type: Consultative, discussion and issues paper

Topics: Stress-testing

Sectors: Banking

Bank Stress Testing Principles

BCBS principles for stress testing

Basel Committee on Banking Supervision principles address stress testing by supervisors and banks. Principles can be applied across banks and jurisdictions while remaining relevant as stress testing practices continue to evolve. 

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

Type: Guideline

Parent: Principles for Sound Stress Testing Practices and Supervision

Peer: Supervisory and Bank Stress Testing: Range of Practices , Peer Review of Supervisory Authorities' Implementation of Stress Testing Principles

Topics: Stress-testing

Sectors: Banking

Revised Procedures and Methodologies for the Supervisory Review and Evaluation Process and Supervisory Stress Testing

EBA update to its SREP guidelines

European Banking Authority update to its guidelines on common procedures and methodology for Supervisory Review and Evaluation Process (SREP), including by incorporating supervisory stress testing. 

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

Type: Guideline

Parent: Guidelines on Common Procedures and Methodologies for the Supervisory Review and Evaluation Process (SREP)

Peer: Guidelines on ICT Risk Assessment Under SREP, Guidelines on Assessment of ICAAP and ILAAP under SREP, Guidelines on Institutions' Stress Testing

Topics: Stress-testing, Capital adequacy, Liquidity risk and rules, Corporate governance, Risk management

Sectors: Banking

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