Managed Initiatives - Basel III & ILAS references

Set below is a summary of important Basel III and ILAS reference material arising from four principle sources:

Basel Committee on Banking Supervision (BCBS) - Basel Accords and papers outlining principles that banks and supervisory bodies should adhere to under Basel III.
European Commission - Directives implementing capital and liquidity requirements.
Committee of European Banking Supervisors (CEBS) - Consultation papers on liquidity and capital adequacy.
Financial Services Authority - Discussion papers, consultation papers and handbook material which set out the rules under which Basel III and ILAS are implemented in the UK.

Published: DailyFSA Handbook (online)

The FSA's online handbook which includes current prudential standards applying to banks, building societies and investment firms.
http://www.fsa.gov.uk/Pages/handbook/

Published: To-dateEU Directives and Regulation

The European Commission's EU rules on capital and liquidity requirements for banks and investment firms, including changes to Capital Requirements Directives (CRD I, CRD II, CRD III & CRD IV)and the CRD IV Regulation.
http://ec.europa.eu/internal_market/bank/regcapital/index_en.htm

Published: August 2011FSA Recovery and Resolution Plans

A set of four FSA publications concerning Recovery and Resolution Plans (RRP): Consultation paper CP11/16, Annexes providing background to the proposals, RRP Guidance pack and Draft handbook text.
http://www.fsa.gov.uk/pages/Library/Policy/CP/2011/11_16.shtml

Published: March 2011FSA Prudential Risk Outlook 2011

The FSA’s views on important risks to financial stability within the context of overall macroeconomic and financial trends. It also sets out the macroeconomic parameters which the FSA will be using in its supervisory stress tests of major banks.
http://www.fsa.gov.uk/pubs/other/pro.pdf

Revised: January 2011FSA’s Liquidity Metric Monitor

Provided by the FSA on an ‘information only’ basis, this Excel workbook shows a range of liquidity metrics that are calculated from the FSA047 and FSA048 reports. The workbook incorporates stress assumptions that reflect the FSA’s ‘anchor scenario’ that serves as a benchmark of regulatory expectations when reviewing the results of a bank’s own liquidity stress testing. The FSA has subsequently revised the LMM to include estimations of the Basel III Liquidity Coverage Ratio and the Net Stable Funding Ratio.
http://www.fsa.gov.uk/Pages/About/What/International/liquidity/lmm/index.shtml

Published: December 2010BCBS Finalised Basel III Framework

These two BCBS documents on strengthening global capital and liquidity regulations together define the Basel III framework. The first (BSBS188) sets out minimum liquidity standards for internationally active banks based on ‘Liquidity Coverage’ and ‘Net Stable Funding’ ratios, to define a common set of monitoring metrics for supervisors. The second (BSBS189) aims to raise the quality of the capital base, strengthen risk coverage, supplement capital requirements with a leverage ratio and address procyclicality risk.
http://www.bis.org/publ/bcbs188.pdf
http://www.bis.org/publ/bcbs189.pdf

Published: July/December 2010FSA Final Rules for Implementing CRD2

FSA feedback on responses to CP09, changes to rules for CRD2 included in CP09/29, proposals on CRD2-related credit risk and implementation of CEBS guidance on core tier one capital, large exposures and operational risk.
http://www.fsa.gov.uk/pubs/cp/cp10_17.pdf
http://www.fsa.gov.uk/pubs/policy/ps10_19.pdf

Published: November 2010ILSA Submission Information

The FSA's suggested content and format for submission of an Individual Liquidity Systems Assessment (ILSA) document.
http://http://www.fsa.gov.uk/pubs/guidance/gc10_05.pdf

Published: September 2010FSA Policy on Capital Planning Buffers

FSA’s policy statement (PS10/14) and final rules on capital planning buffers, including case studies and examples of their calculation.
http://www.fsa.gov.uk/pubs/policy/ps10_14.pdf

Published: August 2010EBA Guidelines on Stress Testing

EBA (CEBS) revised guidelines (GL32) on stress testing that aim to identify “building blocks” in an effective stress testing programme.
Guidelines/2010/Stress-testing-guidelines/ST_Guidelines.aspx

Published: December 2009CEBS Guidelines on Large Exposures

CEBS guidelines on two aspects of the revised large exposures (LE) regime included in the amended CRD; the definition of ‘connected clients’ and the treatment of schemes with exposures to underlying assets. Separately, CEBS also offers guidance on LE reporting requirements.
Guidelines-on-Large-exposures_connected-clients-an.pdf
Guidelines-on-Large-Exposures-reporting.pdf

Published: December 2009FSA Stress Testing Policy

FSA’s policy statement (PS09/20) on firms’ own stress testing, including their stress testing infrastructure, reverse stress testing, Pillar 2 stress scenarios and capital planning.
http://www.fsa.gov.uk/pubs/policy/ps09_20.pdf

Published: December 2009FSA Proposals on Implementing CRD2 & CRD3

FSA's consultation paper (CP09/29) on implementing changes to the Capital Requirements Directive (CRD). The CP covers the European Commission's amendments contained in two packages – ‘CRD2’ and (in part) ‘CRD3’ - made in response to the credit market turmoil of mid 2007.
http://www.fsa.gov.uk/pubs/cp/cp09_29.pdf

Revised: December 2009ILAA Submission Information

The FSA's suggested content and format for submission of an Individual Liquidity Adequacy Assessment (ILAA) document.
http://www.fsa.gov.uk/pubs/international/adequacy_assessment.pdf

Published: October 2009FSA Policy Statement on Liquidity Standards

FSA's policy statement (PS09/16) entitled “Strengthening liquidity standards” which sets out the FSA’s final rules for the new liquidity regime. The statement includes feedback from the three related consultation papers: CP08/22, CP09/13 and CP09/14.
http://www.fsa.gov.uk/pubs/policy/ps09_16.pdf

Published: July 2009CEBS Consultation Paper on Liquidity Buffers

CEBS’ proposed guidelines (CP28) on the appropriate size and composition of liquidity buffers to enable banks to withstand a liquidity stress for a ‘survival period’ of at least one month without changing their business models.
CP28-on-Liquidity-Buffers.pdf

Published: April 2009CEBS Principles for Risk Management

CEBS’ consultative proposals (CP24) for guidance on risk management in response to the G-20 Declaration and Action Plan published in November 2008, which called for strengthening banks’ risk management practices.
CP24_High-level-principles-for-risk-management.pdf

Published: March 2009FSA’s Regulatory Response to the Global Banking Crisis

FSA’s discussion paper (DP09/2) accompanying the Turner Review, examining the causes of the financial crisis and recommending regulatory actions to create a stable and effective banking system.
http://www.fsa.gov.uk/pubs/discussion/dp09_02.pdf

Published: January 2009BCBS Proposed Enhancements to Basel III Framework

Consultative proposals for Pillar 1 and 3 changes, mainly focussed on securitisation /resecuritisation, and Pillar 2 guidance on risk management and capital planning, aimed to address weaknesses revealed during the financial crisis that began in 2007.
http://www.bis.org/publ/bcbs150.pdf

Published: January 2009BCBS Principles for Stress Testing Practices

The Basel Committee's “Principles for Sound Stress Testing Practices and Supervision” which sets out recommendations to banks and supervisors on developing, evaluating and applying stress tests.
http://www.bis.org/publ/bcbs147.pdf

Published: September 2008BCBS Principles for Sound LRM & Supervision

Review of BCBS 2000 Sound Practices for Managing Liquidity in Banking Organisations. Guidance has been significantly expanded in a number of key areas, including risk tolerance, maintaining a cushion of liquid assets, allocating costs and risks, stress testing and contingency planning.
http://www.bis.org/publ/bcbs144.pdf

Updated: November 2007ICAAP Suggested Format

The FSA's suggested format for submission of an Internal Capital Adequacy Assessment (ICAAP). Two versions are offered; one for banks and one for small investment firms. Although the FSA does not prescribe a format, these templates are intended to assist firms in their formulation and review with the FSA.
http://www.fsa.gov.uk/pages/about/what/international/pdf/icaap_sub.pdf
http://www.fsa.gov.uk/pages/about/what/international/pdf/icaap_smaller.pdf

Published: January 2007FSA Mapping of ECAIs' Credit Assessments

A list of external credit assessment institutions (ECAIs) that are recognised by the FSA for risk weighting purposes and the mapping of their credit assessments (ratings) to credit quality steps.
http://www.fsa.gov.uk/pubs/international/ecais_standardised.pdf

Published: December 2006CEBS Guidelines on Concentration Risk

CEBS technical guidelines on concentration risk that compliment guidelines on the Supervisory Review Process issued in GL03 in January 2006.
CEBS_GL03_concentration_risk.pdf

Published: August 2006The FSA's Risk-Assessment Framework

This paper explains some important changes that have made to the FSA's risk assessment process (ARROW II) and what firms can expect from the process.
http://www.fsa.gov.uk/pubs/policy/bnr_firm-framework.pdf

Published: March 2006CEBS Paper on the ICAAP for Smaller Institutions

Recommendations for smaller institutions on how they might approach their Internal Capital Adequacy Assessment Process (ICAAP) and comply with GL03.
http://www.fsa.gov.uk/pubs/international/cebs_icaap.pdf

Published: January 2006CEBS Pillar 2 Guidelines GL03

The Committee of European Banking Supervisors (CEBS) "Guidelines on the Application of Supervisory Review Process (SRP) under Pillar 2". This includes guidelines on Internal Governance and the ICAAP.
CEBS_GL03_(CP03_revised).pdf

Published: July 2004Capital Requirements Directive (CRD1)

The European Commission's first Capital Requirements Directive (CRD), under which Basel II was implemented in the EU.
http://europa.eu.int/comm/internal_market/bank/regcapital/index_en.htm

Published: June 2004Basel II Capital Accord

The Basel Committee's revised framework of "International Convergence of Capital Measurement and Capital Standards".
http://www.bis.org/publ/bcbs107.htm

Published: January 1996Basel '1.5' Capital Accord

Amendment to the Capital Accord to incorporate market risk, sometimes referred to as Basel 1.5.
http://www.bis.org/publ/bcbs24.pdf

Published: July 1988Basel I Capital Accord

The 1988 Basel Capital Accord, "International Convergence of Capital Measurement and Capital Standards".
http://www.bis.org/publ/bcbs04A.pdf