Featured Product

    BCBS Assesses NSFR and Large Exposures Rules in US

    September 14, 2023

    The Basel Committee on Banking Supervision (BCBS) published reports that assessed the overall implementation of the net stable funding ratio (NSFR) and the large exposures rules in the U.S. The assessments, which form part of the Regulatory Consistency Assessment Program (RCAP), deemed the respective U.S. regulations to be Largely Compliant with the global NSFR and large exposure standards. The RCAP assessments grade key aspects of rules from various jurisdictions as Compliant, Largely Compliant, Materially Non-Compliant, and Non-Compliant. The published reports also outline the post-assessment suggestions from the Basel Committee, along with the responses from the regulators in U.S.

    Report on assessment of NSFR requirements. The report notes that the U.S. rules have been deemed to be Compliant with the international standard on aspects related to the disclosure requirements and to the scope, minimum requirements, and application issues. Moreover, the U.S. rules have been found to be Largely Compliant with respect to the available stable funding (ASF; numerator) and Materially Non-Compliant with respect to the required stable funding (RSF; denominator) components. With respect to certain assets being assigned a 0% RSF factor, the views of the US agencies differ from those of the assessment team. The report also identified an item for follow-up assessment and this relates to the calculation of derivative asset amounts. According to the US agencies, the conditions specified in the Basel framework were incorporated in paragraphs (3) and (4) of the definition of a qualifying master netting agreement in 12 CFR 217.2 but do not currently appear in the Code of Federal Regulations due to a technical issue, which the US agencies assured to address at the next opportunity.

     

    Report on assessment of large exposures rules. The large exposures framework in U.S. was found to be Compliant in the areas of the scope and definitions and the minimum requirements and transitional arrangements. However, with respect to the value of exposures, the frameworks in U.S. has been assessed as Materially Non-Compliant. The overall grade is driven by a material finding related to the definition of exposure values and eight findings that were deemed not material. For the definition of exposure values, the U.S. regulations allow that derivatives may be valued using any of the methods that the bank is authorized to use, including the internal model method (IMM), while the Basel large exposures framework requires such transactions to be valued using the standardized approach for counterparty credit risk (SA-CCR) only. The Assessment Team noted that the rules in the US are super-equivalent to the Basel framework in four areas. In accordance with the methodology and guidance provided in the RCAP Handbook for jurisdictional assessments, the stricter rules have not been taken into account as mitigants for the overall or component-level assessment of compliance.

    Visit the Moody’s Analytics microsite for Banking Cloud Solutions to find out how our solutions help banks become up-to-date with the latest capital adequacy requirements and address the regulatory reporting requirements.
     

    Reference Links

     

    Keywords: International, US, Banking, NSFR, Large Exposures, Basel, RCAP, Liquidity Risk, Credit Risk, BCBS

    Featured Experts
    Related Articles
    News

    BIS Bulletin Examines Cognitive Limits of Large Language Models

    The use cases of generative AI in the banking sector are evolving fast, with many institutions adopting the technology to enhance customer service and operational efficiency.

    January 25, 2024 WebPage Regulatory News
    News

    ECB is Conducting First Cyber Risk Stress Test for Banks

    As part of the increasing regulatory focus on operational resilience, cyber risk stress testing is also becoming a crucial aspect of ensuring bank resilience in the face of cyber threats.

    January 24, 2024 WebPage Regulatory News
    News

    EBA Continues Momentum Toward Strengthening Prudential Rules for Banks

    A few years down the road from the last global financial crisis, regulators are still issuing rules and monitoring banks to ensure that they comply with the regulations.

    January 24, 2024 WebPage Regulatory News
    News

    EU and UK Agencies Issue Updates on Final Basel III Rules

    The European Commission (EC) recently issued an update informing that the European Council and the Parliament have endorsed the Banking Package implementing the final elements of Basel III standards

    December 19, 2023 WebPage Regulatory News
    News

    Industry Agency Expects Considerable Uptake for Swiss Climate Scores

    The Swiss Federal Council recently decided to further develop the Swiss Climate Scores, which it had first launched in June 2022.

    December 18, 2023 WebPage Regulatory News
    News

    BCBS Consults on Disclosure of Climate Risks, Issues Other Updates

    The Basel Committee on Banking Supervision (BCBS) launched consultation on a Pillar 3 disclosure framework for climate-related financial risks, with the comment period ending on February 29, 2024.

    December 18, 2023 WebPage Regulatory News
    News

    US Government Moves to Regulate Development and Use of AI Models

    The U.S. President Joe Biden signed an Executive Order, dated October 30, 2023, to ensure safe, secure, and trustworthy development and use of artificial intelligence (AI).

    December 18, 2023 WebPage Regulatory News
    News

    MAS Launches Gprnt Digital Platform for ESG Reporting for SMEs

    The Monetary Authority of Singapore (MAS) launched an integrated digital platform, Gprnt, also known as “Greenprint.”

    November 29, 2023 WebPage Regulatory News
    News

    EBA Finalizes Templates for One-Off Climate Risk Scenario Analysis

    The European Banking Authority (EBA) has published the final templates, and the associated guidance, for collecting climate-related data for the one-off Fit-for-55 climate risk scenario analysis.

    November 28, 2023 WebPage Regulatory News
    News

    NGFS Publishes Phase IV Long-term Climate Scenarios for Banks

    The Network for Greening the Financial System (NGFS) published its latest set of long-term climate macro-financial scenarios (Phase IV) for assessing forward-looking climate risks.

    November 28, 2023 WebPage Regulatory News
    RESULTS 1 - 10 OF 8947