EC s Consultation on Counterparty Credit Risk
|
|
- Mervin Riley
- 5 years ago
- Views:
Transcription
1 EU-Commission Division Bank and Insurance Austrian Federal Economic Chamber Wiedner Hauptstraße 63 P.O. Box Vienna T +43 (0) F +43 (0) E bsbv@wko.at W Your reference, Your message of Our reference, contact person Extension Date BSBV 47/Dr.Rudorfer/Na March 2011 EC s Consultation on Counterparty Credit Risk The Bank and Insurance Division of the Federal Economic Chamber representing the entire Austrian Banking Industry appreciates the possibility to comment on the Commission consultation regarding counterparty redit risk : I. Capitalisation of bank exposures to central counterparties As requested in the document the following refers to the specific questions raised within the consultation document. Ad 1: Yes, the two conditions and the outlined approach are appropriate. However if a qualified CCP fulfills all conditions on capitalisation and a definite margin process etc. an additional capital requirement (instead of 0%) would be an overassessment regarding the incurred risk. The second condition should always be fulfilled, since the bank has to have the necessary information to complete capital calculations. Ad 2: Basically yes. Within well functioning markets the outlined approach appears to be reasonable as there will be a self-regulating mechanism where qualifying and non-qualifying CCP s will be available and chosen according to market demands. Within niche markets such a self regulating mechanism might fail. E.g. it might be unattractive for a CCP which offers clearing in niche products to aim for a qualifying status if its business is de facto captive. Certain minimum requirements should always be fulfilled by CCPs, however, the two-tier system allows distinguishing better and worse CCPs. Special care should be taken to keep C:\Documents and Settings\laubale\Local Settings\Temporary Internet Files\OLKB7\ENG ST_Counterparty Credit Risk_ doc - 1 -
2 the right relationship between capital requirements for non-qualifying CCPs and normal non-ccp market participants. Additionally the characteristics of a qualified CCP should be specified and more detailed. Ad 3: No, a single tier system would not be preferable, because a clear distinction between "safe" CCPs and the other types of CCPs is decisive. However it would have to be transparent to the market participants which CCPs are qualifying. Ad 4: No, based on the description of condition 2 we do not see obstacles. Ad 5: The second condition, that the trade must not have been rejected, is questionable. Since, if the trade was rejected, anyway it cannot be cleared with the CCP. It should be specified under which circumstances a CCP has the possibility to reject a transaction (quality of the collateral, inappropriate threshold, transfer amount, creditworthness of the counterparty etc.) as stated in condition 2. Furthermore the definition is unclear. Is it possible to have a non-qualified transaction with a qualified CCP? Otherwise the sense of the last sentence is not clear (p.7...irrespective of the type of CCP used) Ad 6: As a general remark we note that the treatment of indirect members' clients is not mentioned at all. This is relevant because currently the major clearing houses we are aware of do not offer clearing models which would make it feasible for indirect members' clients to fulfil the two conditions. In order to achieve preferential capital treatment such clients would need to become clients of direct members, therefore cementing oligopolistic structures in the clearing arena. The requirement to legally ensure that another CCP member will take over the portfolio if the original clearing member cannot perform does not appear to be reasonable as the consequence of the default of a general clearer would be (depending on the CCP rules) that the (indirect) clients' portfolio would be liquidated (if no other direct clearing member was willing to take the portfolio). The liquidation proceeds would then be paid out to the (indirect) client. While we are aware of the fact that liquidation of the portfolio would be highly undesirable and could result in m-t-m loss, we cannot see how the fact that the portfolio would be liquidated could result in additional counterparty risk to the (direct) clearing member. In this regard we would ask for clarification. Point b) could lead to a problem, since any clearing member would have to accept positions from another clearing member in case the other clearing member is defaulted. Additionally it needs to be clarified who is the legal counterpart of the trades for the CCP and what happens in case of the default of the CCP
3 It has to be feared that transaction costs for small and medium-sized market participants being reliant on an indirect access are systemically higher compared to those for direct market participants. This results in a massive discrimiation for small and medium-sized market participants. Ad 7: Please refer to Question 6 If there would be a possibility of a so-called client- to client clearing (a clearing for indirect member s clients) the approach would make sense for those client s client accounts. Ad 8: The outlined approach for non-qualifying CCP s raises the question why only the standardised approach can be applied? Since trades with a CCP are in general over collateralized, this will lead to an exposure which is larger than necessary. Therefore the risk weight should be even smaller than 2%. Ad 9: It would make sense to extend the treatment of bankruptcy-remote collateral to nonqualifying CCPs in order to reduce capital requirements also for this type of CCP Ad 10: We agree with the proposed treatment. Ad 11: It certainly can be improved, e.g. by using the internal model method for calculating the hypothetical capital. Additionally the 20% risk weight should be replaced by a more diversified approach. Ad 12: Yes. Ad 15: If CCPs do the calculation there should be an independent unit checking the results. Ad 16: We agree, but the risk weight should be less than 1250%, which means that the risk weights in scenario 3 is too high because it does not take into account the rating of the clearing members. II. Treatment of incurred credit valuation adjustments (CVA) Recognition of CVA via reduced exposure or via provisions/increase of available capital Ad 17: There is no special treatment for counterparty risk exposures. Exposures from derivatives against a counterparty are aggregated together with all other type of exposures and contribute to the expected loss calculation. Any CVA adjustment reduces the EAD
4 The treatment in internal capital assessment is similar to regulatory capital treatment. a) Currently not considered in the regulatory capital. b) Currently not considered in the internal capital. Ad 18: We simulate 40 time gridpoints in the future. For the EAD calculation we take the grid points in the first year, for the CVA calculation we take the average till the end of the trade. Ad 19: The reduction of the exposure amount is the more straightforward way and emphasizes that CVA is a price correction. However, in this case the capital is deducted for each counterpart separately, while in the other case with the provision, the provision is calculated for all customers and losses are deducted from there. Additionally, the provision method might be more consistent with the credit risk framework. Recognising CVA via provisions/increase of capital seems to be the more adequate procedure. As a loss is already taken into P/L a bank that has a conservative CVApolicy would see a benefit from recycling the difference to capital vis-a-vis competitors that have a less conservative approach. Reducing the exposure amount only would resemble more a trading book style approach where a full negative price development is taken to P/L and capital requirements are calculated on the current market value of the position. Ad 20: Reducing the exposure amount is the more consistent with the treatment of other trading book risks however it should be done with CVA divided by LGD. Recognising CVA via provisions/increase of capital seems to be the more in line with the credit risk framework. Ad 21: The loss in case of default is NPV CVA NPV*R = (NPV CVA/LGD)*LGD, therefore the exposure should be reduced by CVA/LGD. Ad 22: The CVA excess over the EL should be treated as Tier 1 capital which supports the counter cyclicality and it could be incorporated in the forthcoming provisioning procedure. (Excess over EL as Tier 1 only) B. The incurred CVA should be compared to the total EL from credit risk and counterparty risk. Restricting to a specific netting set or specific asset would not reflect the fact that fundamentally there is no difference between expected loss from counterparty credit risks to other risk. C. As we think, that incurred CVA should be measured compared to total credit risk we find it appropriate that no further restriction to the current Basel II level should be applied. D. a special risk weight if the CVA was taking into account depending from the percentage of - 4 -
5 provisioning Ad 24: We do not suggest an alternative treatment Ad 25: We do not consider them unsuitable, but think that the reduction of the exposure amount is the most straightforward one, where least additional calibration has to be done. Ad 26: The reduction of the exposure amount will not lead to a significant change in the capital requirements as the CVA is much smaller than the EAD and additionally they are multiplied by the risk weight and 8%. Ad 27: Unexpected losses from CVA should be covered by capital charge that recognizes already incurred losses by reducing the exposure amount. As remarked also in Question 19 the capital charge should be based on the future downside risk. Any loss taken into account in the CVA calculation reduces the downside risk and therefore should be fully factored in the capital requirements by reducing EAD. Ad 28: For a stand-alone consideration of the derivatives business the CVA-capital charge the impact is significant leading to multiple of 3-5 times the current capital requirements. Therefore we consider it as important that double counting of already incurred CVA-losses in the capital treatment is avoided. As derivatives exposure contribute only to a small extent to total risk weighted assets and capital requirements, the overall impact of CVA-capital requirements are limited. Kindly give our comments due consideration. Yours sincerely, Dr. Herbert Pichler Managing Director Division Bank and Insurance - 5 -
Public ConsultationEffective Resolution of Systemically Important Financial Institutions 19 July 2011
fsb@bis.orgbaselcommittee@bis.org Division Bank and Insurance Austrian Federal Economic Chamber Wiedner Hauptstraße 63 P.O. Box 320 1045 Vienna T +43 (0)5 90 900-DW F +43 (0)5 90 900-272 E bsbv@wko.at
More informationYour ref., Your message of Our ref., person in charge Extension Date BSBV 64/ th July 2009 Dr. Rudorfer/Ob
CESR via Homepage Division Bank and Insurance Austrian Federal Economic Chamber Wiedner Hauptstraße 63 P.O. Box 320 1045 Vienna T +43 (0)5 90 900-DW F +43 (0)5 90 900-272 E bsbv@wko.at W http://wko.at/bsbv
More informationYour reference, Your message of Our reference, contact person Extension Date BSBV 47/Dr.Rudorfer/Br/Ko December 2009
Mario.nava@ec.europa.eu MARKT-H1@ec.europa.eu Federal Division of Banking and Insurance Wiedner Hauptstrasse 63 PO Box 320 1045 Vienna T +43 (0)5 90 900-EXT F +43 (0)5 90 900-272 E bsbv@wko.at W http://wko.at/bsbv
More informationRe: Adequacy of loss-absorbing capacity of global systemically important banks in resolution - FSB Consultative Document
Financial Stability Board (FSB) Division Bank and Insurance Wiedner Hauptstraße 63 Postfach 320 1045 Wien T +43 (0)5 90 900-DW F +43 (0)5 90 900-272 E bsbv@wko.at W http://wko.at/bsbv Ihr Zeichen, Ihre
More informationCESR s draft advice to the European Commission on the eligible assets of UCITS
CESR Bundessparte Bank und Versicherung Wiedner Hauptstraße 63 Postfach 320 1045 Wien T +43 (0)5 90 900-DW F +43 (0)5 90 900-272 E bsbv@wko.at W http://wko.at/bsbv Ihr Zeichen, Ihre Nachricht vom Unser
More informationRe: Comment on Draft proposal for a common EU definition of Tier 1 Hybrids
CEBS Via E-Mail Bundessparte Bank und Versicherung Wiedner Hauptstraße 63 Postfach 320 1045 Wien T +43 (0)5 90 900-DW F +43 (0)5 90 900-272 E bsbv@wko.at W http://wko.at/bsbv Ihr Zeichen, Ihre Nachricht
More informationExposure draft zum RE-Exposure des IFRS 9
IASB Division Bank and Insurance Austrian Federal Economic Chamber Wiedner Hauptstraße 63 P.O. Box 320 1045 Vienna T +43 (0)5 90 900-DW F +43 (0)5 90 900-272 E Mail: bsbv@wko.at http://wko.at/bsbv Your
More informationIhr Zeichen, Ihre Nachricht Unser Zeichen, Sachbearbeiter Datum BSBV 189/2004 Dr.Rudorfer/Br Durchwahl 3137
Mister Patrick Pearson Head of Unit European Commission, DG Internal Market C.1 200, rue de la Loi, C107 03/18 B-1049 Bruxelles Bundessparte Bank und Versicherung Wiedner Hauptstraße 63 Postfach 320 1045
More informationEBA FINAL draft Regulatory Technical Standards
EBA/Draft/RTS/2012/01 26 September 2012 EBA FINAL draft Regulatory Technical Standards on Capital Requirements for Central Counterparties under Regulation (EU) No 648/2012 EBA FINAL draft Regulatory Technical
More informationDisclosure of UniCredit Bank Austria AG as of 30 September 2018
Bank Austria Disclosure Report as of 30 September 2018 pursuant to Part 8 of the Capital Requirements Regulation (CRR) / Disclosure by Institutions (Pillar 3) Disclosure of UniCredit Bank Austria AG as
More informationDisclosure of UniCredit Bank Austria AG as of 31 March 2018
Bank Austria Disclosure Report as of 31 March 2018 pursuant to Part 8 of the Capital Requirements Regulation (CRR) / Disclosure by Institutions (Pillar 3) Disclosure of UniCredit Bank Austria AG as of
More informationEBA-DP-2012-01@eba.europa.eu Division Bank and Insurance Austrian Federal Economic Chamber Wiedner Hauptstraße 63 P.O. Box 320 1045 Vienna T +43 (0)5 90 900-DW F +43 (0)5 90 900-272 E bsbv@wko.at W http://wko.at/bsbv
More informationCommission services staff working document: Further possible changes to the Capital Requirement Directive (CRD4)
HUNGARIAN BANKING ASSOCIATION European Commission DG Internal Market and Services Banking and Financial Conglomerates Unit markt-h1c.europa.eu Commission services staff working document: Further possible
More informationBCBS Discussion Paper: Regulatory treatment of accounting provisions
12 January 2017 EBF_024875 BCBS Discussion Paper: Regulatory treatment of accounting provisions Key points: The regulatory framework must ensure that the same potential losses are not covered both by capital
More informationBasel Committee on Banking Supervision. Basel III counterparty credit risk - Frequently asked questions
Basel Committee on Banking Supervision Basel III counterparty credit risk - Frequently asked questions November 2011 Copies of publications are available from: Bank for International Settlements Communications
More informationOpinion. 1. Legal basis
Date: 22 May 2015 2015/ESMA/880 Opinion Impact of Regulation 648/2012 on Articles 50(1)(g) (iii) and 52 and of Directive 2009/65/EC for over-the-counter financial derivative transactions that are centrally
More informationEBF response to the EBA consultation on prudent valuation
D2380F-2012 Brussels, 11 January 2013 Set up in 1960, the European Banking Federation is the voice of the European banking sector (European Union & European Free Trade Association countries). The EBF represents
More informationFEE Comments on the Commission Services Staff Working Document on Possible Further Changes to the Capital Requirements Directive (CRD) IV
DG Internal Market Unit H1 European Commission Rue de la Loi 200 B-1049 Brussels E-mail: markt-h1@ec.europa.eu 16 April 2010 Ref.: BAN/HvD/LF/ID Dear Sir or Madam, Re: FEE Comments on the Commission Services
More informationRegulatory Disclosures 30 June 2017
Regulatory Disclosures 30 June 2017 CONTENTS PAGE Key ratio - Capital ratio 1 - Leverage ratio 1 Overview of RWA 2 Credit risk for non-securitization exposures 3 Counterparty credit risk 12 Securitization
More informationRegulatory Disclosures 30 June 2017
Regulatory Disclosures 30 June 2017 CONTENTS PAGE 1. Key ratio 1 2. Overview of 2 3. Credit risk for non-securitization exposures 3 4. Counterparty credit risk 15 5. Securitization exposures 20 6. Market
More informationCommentary of Wiener Börse AG on CESR s Advice on Possible Implementing Measures of the Directive 2004/39/EC on Markets in Financial Instruments
Commentary of Wiener Börse AG on CESR s Advice on Possible Implementing Measures of the Directive 2004/39/EC on Markets in Financial Instruments Wiener Börse AG welcomes the possibility to comment on the
More informationSantander UK plc Additional Capital and Risk Management Disclosures
Santander UK plc Additional Capital and Risk Management Disclosures 1 Introduction Santander UK plc s Additional Capital and Risk Management Disclosures for the year ended should be read in conjunction
More informationDeposit Guarantee Schemes
To the European Commission via E-Mail: markt-dgs-consultation@ec.europa.eu Federal Division of Banking and Insurance Wiedner Hauptstrasse 63 PO Box 320 1045 Vienna T +43 (0)5 90 900-EXT F +43 (0)5 90 900-272
More informationRaising the quality, consistency and transparency of the capital base
SunTrust Banks, Inc. Mail Code: GA-Atlanta-0635 P.O. Box 4418 Atlanta, GA 30302 Secretariat of the Basel Committee on Banking Supervision Bank for International Settlements CH-4002 Basel Switzerland April
More informationž ú ¹ { Ä ÿˆå RESERVE BANK OF INDIA RBI/ /113 DBOD.No.BP.BC.28 / / July 2, 2013
ž ú ¹ { Ä ÿˆå RESERVE BANK OF INDIA www.rbi.org.in RBI/2013-14/113 DBOD.No.BP.BC.28 /21.06.201/2013-14 July 2, 2013 The Chairman and Managing Director/ Chief Executives Officer of All Scheduled Commercial
More informationDear Mr. Nava, Mr. Pearson, Mr. Van der Plaats, Mr Hrovatin and Mr. Pranckevicius
Mario Nava Patrick Pearson Erik Van der Plaats Sebastijan Hrovatin Audrius Pranckevicius November 7, 2012 The European Commission By email: mario.nava@ec.europa.eu ; sebastijan.hrovatin@ec.europa.eu; patrick.pearson@ec.europa.eu;erik.van-der-plaats@ec.europa.eu;
More informationComments on The Application of Basel II to Trading Activities and the Treatment of Double Default Effects
May 27, 2005 Comments on The Application of Basel II to Trading Activities and the Treatment of Double Default Effects Japanese Bankers Association The Japanese Bankers Association would like to express
More informationTreatment of Segregated Initial Margin in the Calculation of Centrally Cleared Derivatives Exposures under the Basel III Leverage Ratio Framework
Basel Committee on Banking Supervision Bank for International Settlements Centralbahnplatz 2 CH-4002 Basel SWITZERLAND Re: Treatment of Segregated Initial Margin in the Calculation of Centrally Cleared
More informationRegulatory treatment of accounting provisions
BBA response to the Basel Committee s proposal for the Regulatory treatment of accounting provisions January 2017 Introduction The British Banker s Association (BBA) is pleased to respond to the Basel
More informationConsultation Paper. Draft Guidelines On Significant Credit Risk Transfer relating to Article 243 and Article 244 of Regulation 575/2013
EBA/CP/2013/45 17.12.2013 Consultation Paper Draft Guidelines On Significant Credit Risk Transfer relating to Article 243 and Article 244 of Regulation 575/2013 Consultation Paper on Draft Guidelines on
More informationSuperseded document. Basel Committee on Banking Supervision. Consultative Document. The New Basel Capital Accord. Issued for comment by 31 July 2003
Basel Committee on Banking Supervision Consultative Document The New Basel Capital Accord Issued for comment by 31 July 2003 April 2003 Table of Contents Part 1: Scope of Application... 1 A. Introduction...
More informationRBI/ /120 DBR.No.BP.BC.30/ / November 10, Guidelines on capital requirements for bank exposures to central counterparties
RBI/2016-17/120 DBR.No.BP.BC.30/21.06.201/2016-17 November 10, 2016 The Managing Director/ Chief Executive Officer All Scheduled Commercial Banks (Excluding Regional Rural Banks) Madam / Dear Sir, Guidelines
More informationTraded Risk & Regulation
DRAFT Traded Risk & Regulation University of Essex Expert Lecture 14 March 2014 Dr Paula Haynes Managing Partner Traded Risk Associates 2014 www.tradedrisk.com Traded Risk Associates Ltd Contents Introduction
More informationSummary of RBNZ response to submissions on the draft capital adequacy framework (internal models based approach)(bs2b)
Summary of RBNZ response to submissions on the draft capital adequacy framework (internal models based approach)(bs2b) In September 2007 the Reserve Bank of New Zealand released the draft document: Capital
More informationGUIDELINES ON SIGNIFICANT RISK TRANSFER FOR SECURITISATION EBA/GL/2014/05. 7 July Guidelines
EBA/GL/2014/05 7 July 2014 Guidelines on Significant Credit Risk Transfer relating to Articles 243 and Article 244 of Regulation 575/2013 Contents 1. Executive Summary 3 Scope and content of the Guidelines
More informationEBF POSITION ON THE EMIR REFIT PROPOSAL
03 November 2017 EBF_028570 EBF POSITION ON THE EMIR REFIT PROPOSAL General Remarks The EBF welcomes the proposal to revise the EMIR Regulation, and to reduce the burden on smaller financial counterparties.
More informationMarch 11, Secretariat Basel Committee on Banking Supervision Bank for International Settlements CH-4002 Basel, Switzerland
March 11, 2016 Secretariat Bank for International Settlements CH-4002 Basel, Switzerland Re: Revisions to the Standardised Approach for credit risk Ladies and Gentlemen: BAFT appreciates the opportunity
More informationInteraction between the prudential and accounting framework - Expected losses
EBF_021542 30 th June 2016 Interaction between the prudential and accounting framework - Expected losses Key messages The prudential framework has been strengthened since the beginning of the financial
More informationEUROPEAN COMMISSION S PUBLIC CONSULTATION ON DERIVATIVES AND MARKET INFRASTRUCTURES
EUROPEAN COMMISSION S PUBLIC CONSULTATION ON DERIVATIVES AND MARKET INFRASTRUCTURES EUROSYSTEM CONTRIBUTION 1 INTRODUCTION With a view to meeting the G20 s commitment to promote resilience and transparency
More informationCRR IV - Article 194 CRR IV Principles governing the eligibility of credit risk mitigation techniques legal opinion
CRR IV - Article 194 https://www.eba.europa.eu/regulation-and-policy/single-rulebook/interactive-single-rulebook/- /interactive-single-rulebook/article-id/1616 Must lending institutions always obtain a
More informationEUROPEAN COMMISSION Directorate-General for Financial Stability, Financial Services and Capital Markets Union
EUROPEAN COMMISSION Directorate-General for Financial Stability, Financial Services and Capital Markets Union DG FISMA CONSULTATION DOCUMENT PROPORTIONALITY IN THE FUTURE MARKET RISK CAPITAL REQUIREMENTS
More informationE.ON General Statement to Margin requirements for non-centrally-cleared derivatives
E.ON AG Avenue de Cortenbergh, 60 B-1000 Bruxelles www.eon.com Contact: Political Affairs and Corporate Communications E.ON General Statement to Margin requirements for non-centrally-cleared derivatives
More informationCitigroup Global Markets Limited Pillar 3 Disclosures
Citigroup Global Markets Limited Pillar 3 Disclosures 30 September 2018 1 Table Of Contents 1. Overview... 3 2. Own Funds and Capital Adequacy... 5 3. Counterparty Credit Risk... 6 4. Market Risk... 7
More informationDeutsche Bank s response to the Basel Committee on Banking Supervision consultative document on the Fundamental Review of the Trading Book.
EU Transparency Register ID Number 271912611231-56 31 January 2014 Mr. Wayne Byres Secretary General Basel Committee on Banking Supervision Bank for International Settlements Centralbahnplatz 2 Basel Switzerland
More informationBASEL II EUROCHAMBRES
BASEL II EUROCHAMBRES RESPONSE ON THE 3RD CONSULTATIVE DOCUMENT ISSUED BY THE BASEL COMMITTEE 1 EUROCHAMBRES POSITION On behalf of European entrepreneurs, EUROCHAMBRES seeks an enlarged competitive European
More informationExhibit 1. Corrections to Status of Capital Adequacy furnished on Form 6-K on July 30, Capital adequacy ratio highlights
Exhibit 1 Corrections to Status of Capital Adequacy furnished on Form 6-K on July 30, 2013 Capital adequacy ratio highlights Page 2 Capital adequacy ratio highlights Mizuho Financial Group (Consolidated)
More informationStrengthening Oversight and Regulation of Shadow Banking Regulatory framework for haircuts on non-centrally cleared securities financing transactions
Comment by Union Asset Management Holding AG on the Strengthening Oversight and Regulation of Shadow Banking Regulatory framework for haircuts on non-centrally cleared securities financing transactions
More informationComments. on EBA Consultation Papers:
on EBA Consultation Papers: Draft Regulatory Technical Standards on the specification of the nature, severity and duration of an economic downturn in accordance with Articles 181(3)(a) and 182(4)(a) of
More informationBasel Committee on Banking Supervision. Frequently asked questions on Joint QIS exercise
Basel Committee on Banking Supervision Frequently asked questions on Joint QIS exercise 30 August 2013 This publication is available on the BIS website (www.bis.org). Bank for International Settlements
More informationIhr Zeichen, Ihre Nachricht vom Unser Zeichen, Sachbearbeiter Durchwahl Datum BSBV 64/Dr.Rudorfer/Br
CESR Bundessparte Bank und Versicherung Wiedner Hauptstraße 63 Postfach 320 1040 Wien T +43 (0)5 90 900DW F +43 (0)5 90 900272 E bsbv@wko.at W http://wko.at Ihr Zeichen, Ihre Nachricht vom Unser Zeichen,
More informationAs of September 30, 2013 (Basel III) Risk weighted assets 58, ,790.1
Exhibit 1 Corrections to Status of Capital Adequacy furnished on Form 6-K on January 30, 2014 Capital adequacy ratio highlights Page 2 Capital adequacy ratio highlights Mizuho Financial Group (Consolidated)
More informationBefore Basel III, the Basel accord provided that derivatives and securities financing transactions (SFT) with central counterparties (CCP s) would
Before Basel III, the Basel accord provided that derivatives and securities financing transactions (SFT) with central counterparties (CCP s) would receive an exposure value of zero, including credit risk,
More informationGuideline. Capital Adequacy Requirements (CAR) Chapter 4 - Settlement and Counterparty Risk. Effective Date: November 2017 / January
Guideline Subject: Capital Adequacy Requirements (CAR) Chapter 4 - Effective Date: November 2017 / January 2018 1 The Capital Adequacy Requirements (CAR) for banks (including federal credit unions), bank
More informationConsultation Paper: Basel III Enhanced Risk Coverage: Counterparty Credit Risk and related issues
Summary of and response to submissions received on the Consultation Paper: Basel III Enhanced Risk Coverage: Counterparty Credit Risk and related issues This document summarises the main points made by
More informationTECHNICAL ADVICE ON THE TREATMENT OF OWN CREDIT RISK RELATED TO DERIVATIVE LIABILITIES. EBA/Op/2014/ June 2014.
EBA/Op/2014/05 30 June 2014 Technical advice On the prudential filter for fair value gains and losses arising from the institution s own credit risk related to derivative liabilities 1 Contents 1. Executive
More information2. Technical Comments. Risk Weighting for high LTV mortgage loans
Submission by Genworth Financial Mortgage Insurance Europe in Response to the Norwegian FSA s Consultation Paper on the Draft Capital Adequacy Regulations dated 28 April 2006 GE Mortgage Insurance Limited.
More informationASF s Position on possible further changes to the Capital Requirements Directive
ASF s Position on possible further changes to the Capital Requirements Directive -Responses to the Commission services staff working document- INTRODUCTION Question 1 What impact would the changes proposed
More informationSUPPLEMENTARY REGULATORY CAPITAL DISCLOSURE FIRST QUARTER 2018
SUPPLEMENTARY REGULATORY CAPITAL DISCLOSURE FIRST QUARTER (unaudited) For more information: Ghislain Parent, Chief Financial Officer and Executive Vice-President Finance and Treasury, Tel: 514 394-6807
More informationBasel II. Position paper on the. 3 rd Consultative Document issued by the Basel Committee
UNION EUROPEENNE DE L ARTISANAT ET DES PETITES ET MOYENNES ENTREPRISES EUROPÄISCHE UNION DES HANDWERKS UND DER KLEIN- UND MITTELBETRIEBE EUROPEAN ASSOCIATON OF CRAFT, SMALL AND MEDIUM-SIZED ENTERPRISES
More informationBasel III Pillar 3 disclosures 2014
Basel III Pillar 3 disclosures 2014 In various tables, use of indicates not meaningful or not applicable. Basel III Pillar 3 disclosures 2014 Introduction 2 General 2 Regulatory development 2 Location
More informationFinalising Basel II: The Way from the Third Consultative Document to Basel II Implementation
Finalising Basel II: The Way from the Third Consultative Document to Basel II Implementation Katja Pluto, Deutsche Bundesbank Mannheim, 11 July 2003 Content Overview Quantitative Impact Studies The Procyclicality
More informationConsultation Paper: Review of bank capital adequacy requirements for housing loans and internal models processes
Consultation Paper: Review of bank capital adequacy requirements for housing loans and internal models processes The Reserve Bank invites submissions on this Consultation Paper by 25 October 2013. Submissions
More informationESMA CONTRIBUTION TO THE EBA S DRAFT REGULATORY TECHNICAL STANDARDS ON CAPITAL REQUIREMENTS FOR CCPs
Date: 8 August 2012 ESMA/2012/516 Annex 1 ESMA CONTRIBUTION TO THE EBA S DRAFT REGULATORY TECHNICAL STANDARDS ON CAPITAL REQUIREMENTS FOR CCPs General comments 1. ESMA considers that it is particularly
More informationDIRECT CLIENT DISCLOSURE DOCUMENT 1. Indirect Clearing Goldman Sachs International
DIRECT CLIENT DISCLOSURE DOCUMENT 1 Indirect Clearing Goldman Sachs International Introduction 2 Throughout this document references to "we", "our" and "us" are references to the clearing broker's client
More informationEuropean Banking Authority Tower Old Broad Street London EC2N 1HQ United Kingdom. 2 April 2012
UBS AG P.O. Box 8098 Zürich Public Policy EMEA Group Governmental Affairs Dr. Gabriele C. Holstein Bahnhofstrasse 45 P.O. Box 8098 Zürich Tel. +41-44-234 44 86 Fax +41-44-234 32 45 gabriele.holstein@ubs.com
More informationBasel Committee on Banking Supervision. Frequently asked questions on Basel III monitoring
Basel Committee on Banking Supervision Frequently asked questions on Basel III monitoring 10 September 2018 This publication is available on the BIS website (www.bis.org/bcbs/qis/). Grey underlined text
More informationMODULE 11. Guidance to completing the Leverage Ratio module of BSL/2
MODULE 11 Guidance to completing the Leverage Ratio module of BSL/2 Glossary The following abbreviations are used within the document: CCF CCP CM MNA OBS PFE QCCP RC SFT Credit Conversion Factors Central
More informationConsultation Paper Indirect clearing arrangements under EMIR and MiFIR
Consultation Paper Indirect clearing arrangements under EMIR and MiFIR 5 November 2015 ESMA/2015/1628 Responding to this paper The European Securities and Markets Authority (ESMA) invites responses to
More informationDiscussion Paper: Counterparty credit risk for ADIs
Level 3, 56 Pitt Street Sydney NSW 2000 Australia +61 2 8298 0417 @austbankers bankers.asn.au 13 October 2017 General Manager, Policy Development Policy and Advice Division Australian Prudential Regulation
More informationESBG (European Savings Banks Group) Rue Marie-Thérèse, 11 - B-1000 Brussels ESBG Register ID
ESBG Response to the EBA s consultation paper on Draft Implementing Technical Standards on supervisory reporting requirements for liquidity coverage and stable funding. ESBG (European Savings Banks Group)
More informationDisclosure Report as at 30 June. in accordance with the Capital Requirements Regulation (CRR)
Disclosure Report as at 30 June 2018 in accordance with the Capital Requirements Regulation (CRR) Contents 3 Introduction 4 Equity capital, capital requirement and RWA 4 Capital structure 8 Connection
More informationBy
October 19, 2012 Office of the Comptroller of the Currency 250 E Street, S.W. Mail Stop 2-3 Washington, D.C. 20219 Jennifer J. Johnson Secretary Board of Governors of the Federal Reserve System 20th Street
More informationTARGET2-SECURITIES LEGAL FEASIBILITY
8 March 2007 TARGET2-SECURITIES LEGAL FEASIBILITY 1. Introduction On 6 July 2006 the Governing Council of the European Central Bank (ECB) decided to explore further the setting up of a new service for
More informationCapital adequacy and risk management
Capital adequacy and risk management 2016-12 Capital adequacy and risk management This information refers to Ikano Bank AB (publ) ( Ikano Bank or the Bank ), Corporate Identity Number 516406-0922. The
More informationMedia Industry Accounting Group Annual conference 2017
www.pwc.com/miag Media Industry Accounting Group Annual conference 2017 London 15 June 2017 General accounting update Katie Woods UK E: Katie.woods@uk.pwc.com Slide 2 What s new in 2017? Not much again!
More informationNVB. 25 May 2005(trz05-580)
VB V A B A K E 25 May 2005(trz05-580) To: Basel Committee on Banking Supervision, International Organisation of Securities Commissions (IOSCO) and European Commission Copy to: European Banking Federation
More informationCapital Ratio Information (Nonconsolidated) Sumitomo Mitsui Banking Corporation
SMBC Capital Ratio Information (Nonconsolidated) Sumitomo Mitsui Banking Corporation Capital Structure Information (Nonconsolidated Capital Ratio (International Standard)) Basel III Items Template (Millions
More informationRemoving Obstacles for Shareholder Identification. Trialogues on the Shareholder Rights Directive Should Recognize the Needs of Listed Companies
Removing Obstacles for Shareholder Identification Trialogues on the Shareholder Rights Directive Should Recognize the Needs of Listed Companies Positon Paper for the Trialogues on the Shareholder Identification
More informationQ2 15. Supplementary Regulatory Capital Disclosure. For the Quarter Ended - April 30, 2015
Supplementary Regulatory Capital Disclosure For the Quarter Ended - April 30, 2015 Q2 15 For further information, contact: LISA HOFSTATTER Managing Director, Investor Relations 416.867.7019 lisa.hofstatter@bmo.com
More informationNon-paper on K-factors for Risk to Market (RtM) from NL and CZ. Introduction
Non-paper on K-factors for Risk to Market (RtM) from NL and CZ Introduction The European Commission s proposal for the Investment Firm Regulation (IFR) provides in Article 21 that the Risk to Market (RtM)
More informationCRD Amendments. Referring to Large Exposures we consider the proposal as significantly critical especially in context of liquidity aspects.
189/Dr.Rudorfer/Br 30.5.2008 CRD Amendments The Bank and Insurance Division of the Austrian Federal Economic Chamber representing the entire Austrian Credit Industry would like to comment on the EU Commission
More informationQ1 16. Supplementary Regulatory Capital Information. For the Quarter Ended January 31, For further information, contact:
Supplementary Regulatory Capital Information For the Quarter Ended January 31, 2016 For further information, contact: LISA HOFSTATTER Managing Director, Investor Relations 416.867.7019 lisa.hofstatter@bmo.com
More informationEBF Response to EBA Consultation on draft ITS amending ITS on supervisory reporting on Liquidity Coverage Ratio (EBA/CP/2014/45)
EBF_0125713v5 The European Banking Federation is the voice of the European banking sector, uniting 32 national banking associations in Europe that together represent some 4,500 banks - large and small,
More informationBasel III Final Standards: Capital requirement for bank exposures to central counterparties
Basel III Final Standards: Capital requirement for bank exposures to central counterparties Marco Polito CC&G Chief Risk Officer Silvia Sabatini CC&G- Risk Policy Manager London Stock Exchange Group 16
More information14 July Joint Committee of the European Supervisory Authorities. Submitted online at
14 July 2014 Joint Committee of the European Supervisory Authorities Submitted online at www.eba.europa.eu Re: JC/CP/2014/03 Consultation Paper on Risk Management Procedures for Non-Centrally Cleared OTC
More informationResponse to Discussion Note on Essential Aspects of CCP Resolution Planning
Response to Discussion Note on Essential Aspects of CCP Resolution Planning To: Financial Stability Board fsb@fsb.org Amsterdam, 17 October 2016 Dear Sir/Madam, ABN AMRO Clearing Bank N.V. (AACB) 1 welcomes
More informationRe: BCBS 269 consultative document on revisions to the securitisation framework
UBS AG P.O. Box 8098 Zürich Group Governmental Affairs Thomas Pohl Bahnhofstrasse 45 P.O. Box 8098 Zurich Tel. +41-44-234 76 70 Fax +41-44-234 32 45 thomas.pohl@ubs.com www.ubs.com Secretariat of the Basel
More informationBasel III Pillar 3. Capital Adequacy and Risks Disclosures as at 31 December 2016
Basel III Pillar 3 Capital Adequacy and Risks Disclosures as at 31 December 2016 COMMONWEALTH BANK OF AUSTRALIA ACN 123 123 124 15 FEBRUARY 2017 This page has been intentionally left blank Table of Contents
More informationRegulation and Public Policies Basel III End Game
Regulation and Public Policies Basel III End Game Santiago Muñoz and Pilar Soler 22 December 2017 The Basel Committee on Banking Supervision (BCBS) announced on December 7th that an agreement was reached
More informationIFRS 9 Disclosure Checklist
9 Disclosure Checklist Including EDTF recommendations and BCBS guidance February 2017 Index Introduction and instructions... 2 Scoping and general considerations... 4 Classification and measurement...
More informationSUPPLEMENTARY REGULATORY CAPITAL DISCLOSURE FOURTH QUARTER 2015
SUPPLEMENTARY REGULATORY CAPITAL DISCLOSURE FOURTH QUARTER (unaudited) For more information: Ghislain Parent, Chief Financial Officer and Executive Vice-President Finance and Treasury, Tel: 514 394-6807
More information12618/17 OM/vc 1 DGG 1B
Council of the European Union Brussels, 28 September 2017 (OR. en) Interinstitutional File: 2017/0090 (COD) 12618/17 EF 213 ECOFIN 760 CODEC 1471 NOTE From: To: Subject: Presidency Delegations Proposal
More informationCredit Risk Modelling This course can also be presented in-house for your company or via live on-line webinar
Credit Risk Modelling This course can also be presented in-house for your company or via live on-line webinar The Banking and Corporate Finance Training Specialist Course Overview For banks and financial
More informationcomments on Consultation Paper 26 Jul 2012
European Association of Co-operative Banks Groupement Européen des Banques Coopératives Europäische Vereinigung der Genossenschaftsbanken European Association of Co-operative Banks comments on Consultation
More informationPillar 3 report. Table of Contents. Introduction 1. Scope of Application 2. Capital 3. Credit Risk Exposures 4. Credit Provision and Losses 6
Pillar 3 report Table of Contents Section 1 Introduction 1 Section 2 Scope of Application 2 Section 3 Capital 3 Section 4 Credit Risk Exposures 4 Section 5 Credit Provision and Losses 6 Section 6 Securitisation
More informationFebruary 17, Via Electronic Mail
February 17, 2015 Via Electronic Mail 400 7th Street, SW Suite 3E-218 Mail Stop 9W-11 Washington, DC 20219 Docket ID OCC-2014-0025 RIN 1557-AD88 Robert de V. Frierson, Secretary Board of Governors of the
More informationSUPPLEMENTARY REGULATORY CAPITAL DISCLOSURE. First Quarter 2015
SUPPLEMENTARY REGULATORY CAPITAL DISCLOSURE First Quarter 2015 (unaudited) For more information: Ghislain Parent, Chief Financial Officer and Executive Vice-President Finance and Treasury, Tel: 514 394-6807
More informationJanuary 13, Japanese Bankers Association
January 13, 2017 Comments on the Consultative Document and the Discussion Paper: Regulatory treatment of accounting provisions, issued by the Basel Committee on Banking Supervision Japanese Bankers Association
More informationCredit Risk Modelling This in-house course can also be presented face to face in-house for your company or via live in-house webinar
Credit Risk Modelling This in-house course can also be presented face to face in-house for your company or via live in-house webinar The Banking and Corporate Finance Training Specialist Course Content
More informationFINANCIAL STATEMENTS ON EIB ACTIVITY IN AFRICA, THE CARIBBEAN AND THE PACIFIC, AND THE OVERSEAS COUNTRIES AND TERRITORIES. years
20 17 FINANCIAL STATEMENTS ON EIB ACTIVITY IN AFRICA, THE CARIBBEAN AND THE PACIFIC, AND THE OVERSEAS COUNTRIES AND TERRITORIES years Financial Statements 2017 on EIB Activity in Africa, the Caribbean
More information