Basel III Insight

The Basel Committee on Banking Supervision (BCBS) published its second consultation on the capital measurement for operational risk in March 2016. This whitepaper gives a thorough overview of the BCBS’s consultation and the quantitative impact study (QIS) on the proposals set out in this consultation. The results of this study and comments received are expected to be used as inputs to the final design and calibration of the operational risk framework.

Author: Pierre-Etienne Chabanel
Date: March 2017
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Views on what banks should be thinking about for 2017 in their IFRS 9 implementation.

Date: January 2017
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IFRS 9 will limit the earnings dynamics for long-dated assets, banks will need to consider the long-term impacts on their business and the marketplace.

Date: January 2017
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The Basel Committee on Banking Supervision issued the final Basel III securitization framework in July 2016, incorporating the alternative capital treatment for simple, transparent, and comparable (STC) securitizations. This framework comes into effect in January 2018. This paper reviews the prescribed hierarchy of approaches, and looks at the potential overall impact of the framework on banks.

Author: Pierre-Etienne Chabanel
Date: January 2017
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Discussion on how to quantify the cost of capital under IFRS 9, how portfolio concentrations and credit migrations can impact allowances, and how to think about efficient asset origination that recognises the accounting rules.

Date: January 2017
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Learn how to address the immediate IFRS 9 implementation challenges relating to data, models and infrastructure and the strategic implications on earnings and capital management and banking culture.

Date: January 2017
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With the implementation of IFRS 9 underway, institutions want to better quantify the impact of IFRS 9 on provisions, result earnings and capital buffers. During this video webinar, we will discuss the strategic impact of IFRS 9 on earnings, capital and investment concentration. In addition, we discuss how to incorporate these impacts into a strategic business process to better manage the interplay between supply and demand dynamics for regulatory capital.

Date: December 2016
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This paper summarizes the core Pillar 2 approach of IRRBB, and the alternative Pillar 1 approach of IRRBB used by certain banks in a few situations. It also includes a practical approach to implementing IRRBB.

Authors: Yannick Fessler
Date: November 2016

Learn how Moody’s Analytics is helping institutions of all sizes address the challenges of implementing the IFRS 9 impairment model.

In this webinar we will discuss:
Key challenges institutions face when implementing the impairment modelling requirements

Specific relevance of impairment modelling for small and medium sized organizations Practical examples of how Moody’s Analytics solutions have been leveraged for IFRS 9

Presenters: Burcu Guner, Nihil Patel
Date: October, 2016

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As firms adopt BASEL III, most financial institutions have seen a dramatic increase in regulatory capital requirements. Gradually, these institutions have started to use regulatory capital in portfolio management activities, including pricing and limit setting. However, using only regulatory capital poses challenges as it does not account for economic risks such as concentrations. In this webcast, we will discuss how to overcome this challenge by leveraging metrics which effectively combine regulatory capital with economic risks.

 

In this webinar we will discuss:
Market trends and different approaches in credit portfolio management
Dangers of only using regulatory capital when optimizing your portfolio
How to appropriately incorporate regulatory capital considerations
Metrics to consider when optimizing your portfolio and setting appropriate limits

Authors: Nihil Patel
Date: June 20, 2016
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As financial institutions are currently focusing on the execution of their IFRS 9 program and solution integration, risk and finance teams are working together to anticipate their effect on the financial reports. Especially, on the impairment modeling side, point-in-time forward-looking credit assessments are prone to be more responsive to the surrounding economic environment than the through-the-cycle measurements in practice so far. As institutions are anticipating some variability of provisions levels in relation to evolving macro-economic assumptions as well as forecast uncertainty, the details of the macro-economic outlook and scenario assumptions as well as clarifications of provision variances over time, are set to be a particular area of focus.

Presenter: Pierre Gaudin
Date: June 6, 2016

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The FASB voted to move forward with the new impairment model, known as the Current Expected Credit Loss (“CECL”) model, which will change how you calculate allowance for credit losses. Watch this webinar to help ensure your institution identifies challenges and processes early.

Presenter: Christian Henkel
Date: May 26, 2016

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With the release of IFRS 9 Financial Instruments, the International Accounting Standards Board set out new requirements for the accounting of financial assets, financial liabilities, and some other contracts to buy or sell non-financial assets. This paper explains the specific challenges facing structured finance investors and outlines how to effectively address these challenges.

Authors: Miten Amin, Stephen Clarke, Gus Harris
Date: April 27, 2016

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This webinar provides some observations of some of the challenges and possible processes banks are considering for their IFRS 9 Impairment Implementation.

Presenter: Burcu Guner
Date: March 9, 2016

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The last webinar in our three-part series discusses how to determine the best approaches for model development and governance for IFRS 9 Impairment calculations.

Speakers: Mauele Iorio, Dr. Juan Licari
Date: September 30, 2015

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The second webinar in our three-part series discusses the IFRS 9 infrastructure challenges (data, performance, flexibility, controls, integration) and highlights some of the hidden challenges that implementation will bring to financial institutions.

Speaker: Carles Herrero
Date: September 28, 2015

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The first webinar in our three part series discusses the challenges of IFRS 9 Impairment calculation and provides market insights for overcoming these challenges.

Speaker: Burcu Guner
Date: September 25, 2015

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This Whitepaper explores the BCBS' final framework on the revised Pillar 3 disclosure requirements for credit risk, counterparty credit risk (CCR), securitization, and market risk. 

Author: Pierre-Etienne Chabanel
Date: July 14, 2015

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The AnaCredit project is scheduled to be implemented in three stages by mid-2020. This paper looks at the challenges for banks in creating the Anacredit framework and how to overcome these main challenges. 

Author: Dr. Christian Thun
Date: July 1, 2015

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This Whitepaper provides a detailed description of the upcoming Net Stable Funding Ratio (NSFR) requirements under Basel III liquidity compliance.

Author: Pierre-Etienne Chabanel
Date: June 25, 2015

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This whitepaper looks at the results of the Moody's Analytics survey in January 2015, which reveals that many banks underestimate the time, resources and cost involved to implement BCBS 239. 

Author: Christian Thun
Date: April 20, 2015

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This whitepaper reviews the Liquidity Managment requirements of Basel III, and explores how best to implement them.

Author: Cayetano Gea Carrasco
Date: April 16, 2015

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With all eyes on IFRS 9, Moody's Analytics carried out our first IFRS 9 survey to allow practitioners to understand how their peers are preparing for the implementation. This paper presents our findings.

Author: Cayetano Gea-Carrasco
Date: March 26, 2015
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The Financial Stability Board (FSB) published an updated list of Global Systemically Important Banks (G-SIBs). The list now includes 30 banks: Agricultural Bank of China was added this year. To address the "Too Big To Fail" issue, the FSB is proposing a policy, developed at the request of G-20 leaders, to enhance the loss-absorbing capacity of G-SIBs in resolution.

Author: Pierre-Etienne Chabanel
Date: December 11, 2014
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The Basel Committee on Banking Supervision (BCBS) released the final policy framework for the measurement and control of large exposures in April 2014. The final framework takes into account the industry comments on the March 2013 proposal and would replace the Committee’s 1991 guidance.

Author: Pierre-Etienne Chabanel
Date: November 19, 2014
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The BCBS has published the final Basel III Net Stable Funding Ratio (NFSR) regulation that will become a minimum standard by January 2018. The NSFR, defined as the amount of available stable funding relative to the amount of required stable funding, complements the 30 days short-term Basel III Liquidity Coverage Ratio (LCR) and intends to reduce funding risk over a longer time horizon by requiring banks to fund their activities with sufficient stable sources of funding.

Author: Pierre-Etienne Chabanel
Date: November 12, 2014
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The Basel Committee for Banking Supervision (BCBS) released its final policy framework for the capital treatment of bank exposures to central counterparties (CCPs) in April 2014. The final policy framework, which takes into account results and feedback from the joint quantitative impact study, would replace the interim capital requirements set forth by the committee in July 2012 and will be applicable as of January 1, 2017.

Author: Pierre-Etienne Chabanel
Date: October 08, 2014
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In January 2014, the Basel Committee on Banking Supervision (BCBS) published the final standard on the leverage ratio requirements. The leverage ratio framework will complement the risk-based capital framework to limit both the on- and off-balance sheet leverage of banks. The BCBS has defined the leverage ratio as the “capital measure” (Tier 1 capital) divided by the “exposure measure,” expressed in percentage, with a minimum value of 3%. The exposure measure will be calculated as the sum of the exposures from the on-balance sheet items, derivative transactions, securities financing transactions (SFTs) and off-balance sheet (OBS) items.

Author: Pierre-Etienne Chabanel
Date: October 21, 2014
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This executive summary outlines the key themes discussed at a recent Bank Capital Management Roundtable held in London on October 8th 2014.

Authors: Amnon Levey, Burcu Guner
Date: October 8, 2014
This material introduces best practices for Liquidity Risk Management, especially from IT perspective. It clarifies what Basel Committee on Banking Supervision requires banks to develop as sound liquidity risk management and extracts IT related elements from those practices.

Author: Yuji Mizuno
Date: September 17, 2014
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