1 / 11

Enhancements to Basel II

Enhancements to Basel II. Hassan Nasser Compliance & Inspection Director Dubai Multi Commodities Centre. Enhancements To Basel II. Basel Committee is responding to the financial crisis by strengthening the Basel II framework. Enhancements to Pillar 1.

ember
Télécharger la présentation

Enhancements to Basel II

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript

  1. Enhancements to Basel II Hassan Nasser Compliance & Inspection Director Dubai Multi Commodities Centre

  2. Enhancements To Basel II • Basel Committee is responding to the financial crisis by strengthening the Basel II framework

  3. Enhancements to Pillar 1 • Strengthening the risk capture of Basel II framework • CDOs of ABS – Re-securitization are highly correlated with systematic risk • It warrants higher capital charge

  4. Enhancements to Pillar 1 • Increasing the capital requirement for Liquidity lines extended to support ABCP by eliminating the distinction between short-term and long-term facilities

  5. Enhancements to Pillar 1 • Banks must obtain comprehensive information about the underlying exposure characteristics of their externally-rated securitization positions • Failure of which would result in higher capital requirements

  6. Enhancements to Pillar 2 • Firm-wide governance and risk management • Understanding the firm-wide risk profile • Aggregate firm-wide exposure information in a timely manner using easy to understand and multiple metrics • Considering long term performance over the cycle

  7. Enhancements to Pillar 2 • Firm-wide governance and risk management (contd.) • Set clear incentives in accordance with the stated risk appetite

  8. Enhancements to Pillar 2 • Capturing the risk of off-balance exposures and securitization activities including: • Contractual risk • Non-contractual commitments • Implicit support • Reputational risk

  9. Enhancements to Pillar 3 • Disclosures will include: • Securitization exposures in the trading book • Sponsorship of off-balance sheet vehicles • IAA for securitization and other ABCP liquidity facilities • Re-securitization exposures

  10. Enhancements to Pillar 3 • Valuation with regards to securitization exposures • Pipeline and warehousing risk with regard to securitization exposures

  11. Thank You

More Related