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- Preliminary Material
- Main Text
- Part I The Elements of Bank Financial Supervision
- Preliminary Material
- 1 Introduction to Banks and Banking
- 2 Why Are Banks Supervised?
- Preliminary Material
- 2.01
- A The Basis of Bank Supervision—the Basel Principles
- 2.02
- Principle 1—Responsibilities, objectives and powers:
- Principle 2—Independence, accountability, resourcing and legal protection for supervisors:
- Principle 3—Cooperation and collaboration:
- Principle 4—Permissible activities:
- Principle 5—Licensing criteria:
- Principle 6—Transfer of significant ownership:
- Principle 7—Major acquisitions:
- Principle 8—Supervisory approach:
- Principle 9—Supervisory techniques and tools:
- Principle 10—Supervisory reporting:
- Principle 11—Corrective and sanctioning powers of supervisors:
- Principle 12—Consolidated supervision:
- Principle 13—Home–host relationships:
- Principle 14—Corporate governance:
- Principle 15—Risk management process:
- Principle 16—Capital adequacy:
- Principle 17—Credit risk:
- Principle 18—Problem assets, provisions and reserves:
- Principle 19—Concentration risk and large exposure limits:
- Principle 20—Transactions with related parties:
- Principle 21—Country and transfer risks:
- Principle 22—Market risks:
- Principle 23—Interest rate risk in the banking book:
- Principle 24—Liquidity risk:
- Principle 25—Operational risk:
- Principle 26—Internal control and audit:
- Principle 27—Financial reporting and external audit:
- Principle 28—Disclosure and transparency:
- Principle 29—Abuse of financial services:
- B Bank Capital Regulation
- C The Constraints on Bank Capital Regulation
- D The Quantum of Bank Capital Requirements
- E Does the Banking Crisis Prove that Risk-based Capital Regulation Failed?
- F Market Crisis and Regulation
- G Protecting the Public from the Consequences of Bank Failure
- 3 Basel and International Bank Regulation
- Preliminary Material
- A The Basel Committee and the Basel Accord
- B Policy Responses to the Crisis
- C Basel 2.5
- D Basel III Framework
- 3.15
- 3.16
- Strengthening the global capital framework
- Enhancing risk coverage
- Leverage ratio
- Countercyclical buffers
- Systematic interconnectedness
- Systemic risk
- Introducing a global liquidity standard
- The first liquidity standard—the liquidity coverage ratio
- The second liquidity standard—the net stable funding ratio
- Monitoring tools
- Addressing reliance on external credit ratings and minimizing cliff effects
- Enhanced counterparty credit risk management requirements
- Stress testing
- Implementation and transitional arrangements
- E Other Initiatives
- F Basel III Final
- G Beyond Basel III?
- 4 The Composition of Bank Capital
- Preliminary Material
- A What Is Capital?
- B Tier 1 Capital
- C Tier 2 Capital
- D Deductions from Capital
- 4.41
- Intangibles and goodwill
- Deferred tax assets
- Cash flow hedge reserve
- Provision shortfall
- Gain on sale related to securitization transactions
- Gains and losses due to changes in own credit risk on fair valued financial liabilities
- Defined benefit pension fund assets and liabilities
- Investments in own shares (treasury stock)
- Revaluations
- Qualifying holdings (holdings in non-financial undertakings)
- Material holdings (holdings in banking, financial, and insurance entities)
- Smaller holdings
- Significant investments in unconsolidated entities
- Connected lending of a capital nature
- E Provisioning, Expected Loss, and Revaluation
- F Capital Monitoring
- 5 Bank Capital Requirements
- 6 Total Loss-Absorbing Capacity
- Part II Commercial Banking
- Preliminary Material
- 7 Credit Risk
- Preliminary Material
- A Background
- B Risk Weighting of Assets
- C Valuation of Exposures
- D Provisioning and Expected Loss—IFRS9 and CECL
- E Step-in Risk—Bringing Off-Balance Sheet Assets onto the Balance Sheet
- F Interest Rate Risk in the Banking Book
- 8 The Standardized Approach
- Preliminary Material
- 8.01
- 8.02
- A Classification of Exposures, Credit Conversion Factors, and Credit Risk Mitigation
- B Ratings and Rating Agencies
- C Exposures to Sovereigns
- D Exposures to Banks and Financial Institutions
- E Exposures to Corporates—Credit Exposures
- F Exposures to Corporates—Specialized Lending
- G Exposures to Retail Customers
- H Commercial Mortgage Exposures
- I Overdue Undefaulted Exposures
- J High-Risk Exposures
- K Covered Bonds
- L Short-Term Claims on Financial Institutions and Corporates
- M Fund Exposures
- N Other Assets
- O Off-Balance Sheet Items
- 9 Model-Based Approaches to Risk Weighting
- Preliminary Material
- A Introduction to the Basel Risk Model
- B VaR and the Basel Framework
- C The Basic Basel Formula
- D Putting It All Together
- E Specific Amendments for Different Exposure Classes
- F Translating between Capital Requirements and Risk Weightings
- G Model Types
- H Illustrative Risk Weights
- I Modelling in Practice
- J Variations in Credit Risk Weightings between Firms
- K Inputs and Outputs
- L Becoming an IRB Firm
- 10 The Internal Ratings-Based Approach
- Preliminary Material
- 10.01
- 10.02
- 10.03
- A Basel III and IRB
- B Corporate, Sovereign, and Bank Exposures
- C Exposure at Default
- D Specialized Lending
- E Retail and Mortgage Exposures
- F Eligible Purchased Receivables
- G Equity Exposures
- 11 Netting, Collateral, and Credit Risk Mitigation
- Preliminary Material
- A Introduction
- B Netting
- C Collateral
- D Guarantees and Credit Derivatives
- Part III Investment Banking
- Preliminary Material
- 12 The Trading Book
- 13 Trading Book—Standardized Approaches
- 14 Trading Book—Models
- 15 Counterparty Risk in the Trading Book
- Preliminary Material
- A Introduction
- B Counterparty Credit Risk Calculation Methods
- C The Current Exposure or Mark-to-Market Method
- D The Standardized Method
- E Credit Risk Exposure Calculation
- F The CCR Internal Model Method
- G Contractual Netting within the CCR Regime
- H CCR Models and Securities Financing Transactions
- I Credit Derivatives
- J Collateral in the Trading Book
- K Double Default in the Trading Book
- L Rules Common to Banking and Trading Books
- M Basel III Foundation and CCR
- N Basel III Final and CCR (SA-CCR)
- 16 Credit Value Adjustment
- 17 Derivatives, Clearing, and Exposures to CCPs
- 18 Securitization and Repackaging
- Preliminary Material
- A Introduction
- B Risk Weighting of Securitization Exposures
- C The IRB Approach
- D Revolving Credit Securitizations
- E Securitization and Basel 2.5
- F Basel III—‘Simple, Transparent, Comparable’ Securitizations
- G Basel III—Securitization Framework
- 18.114
- Definitions and general terminology
- 18.115
- 18.116
- 18.117
- 18.118
- Originating bank:
- Asset-backed commercial paper (ABCP) programme:
- Clean-up call:
- Credit enhancement:
- Credit-enhancing interest-only strip:
- Early amortization:
- Excess spread:
- Implicit support:
- IRB pool:
- Mixed pool:
- Standardized approach (SA) pool:
- Senior securitization exposure (tranche):
- Securitization exposure amount:
- Special purpose entity (SPE):
- Tranche maturity:
- Recognition of risk transference—cash securitizations
- Recognition of risk mitigation—synthetic securitizations
- Early amortization provisions
- Clean-up calls
- Due diligence requirements
- H Basel III—Risk Weighting of Securitization Exposures
- Part IV Other Risks
- Preliminary Material
- 19 Operational Risk Requirements
- 20 Concentration and Large Exposures
- Part V Liquidity and Leverage
- Preliminary Material
- 21 Liquidity Requirements
- 22 Liquidity Coverage Ratio and Net Stable Funding Ratio
- Preliminary Material
- A Liquidity under Basel III
- B Liquidity Coverage Ratio
- 22.05
- 22.06
- 22.07
- 22.08
- 22.09
- 22.10
- 22.11
- 22.12
- Characteristics of high-quality liquid assets
- Operational requirements
- Level 1 assets
- Level 2 assets
- Level 2B assets
- Treatment for jurisdictions with insufficient liquid assets
- Shari’ah banks
- Total net cash outflows
- Retail deposits
- Unsecured wholesale funding
- Wholesale funding from operational relationships
- Secured funding
- Other outflows
- Drawdowns on committed credit and liquidity facilities
- Cash inflows
- C The Net Stable Funding Ratio
- 23 The Leverage Ratio
- Preliminary Material
- A The Leverage Ratio
- B The 2014 Standard
- C Basel III Final and the Leverage Ratio
- Part VI Bank Group Supervision
- Preliminary Material
- 24 Group Supervision
- 25 Financial Conglomerates
- 26 Cross-Border Supervision of Bank Groups
- 27 Pillar 3—Disclosure Requirements
- Part I The Elements of Bank Financial Supervision
- Further Material
- [3.235.60.197]
- 3.235.60.197
