bcbs157.pdfVIP

Basel Committee on Banking Supervision Enhancements to the Basel II framework July 2009 Requests for copies of publications, or for additions/changes to the mailing list, should be sent to: Bank for International Settlements Press Communications CH-4002 Basel, Switzerland E-mail: publications@ Fax: +41 61 280 9100 and +41 61 280 8100 © Bank for International Settlements 2009. All rights reserved. Brief excerpts may be reproduced or translated provided the source is stated. ISBN print: 92-9131-781-0 ISBN web: 92-9197-781-0 Table of Contents Revisions to Pillar 1 (Minimum capital requirements)1 Introduction1 Resecuritisations under the IRB Approach2 Ratings resulting from self guarantees 4 Standardised Approach resecuritisation risk weights 4 Operational criteria for credit analysis 5 Securitisation liquidity facilities – Standardised Approach6 Securitisation liquidity facilities – IRB Approach7 Market disruption lines – Standardised and IRB Approaches 8 Supplemental Pillar 2 Guidance (Supervisory review process)9 I. Introduction and background9 A. Scope of the risk management guidance9 B. Need for improved risk management 10 C. Supervisory responsibility 12 II. Firm-wide risk oversight 12 A. General firm-wide risk management principles 12 B. Board and senior management oversight 13 C. Policies, procedures, limits and controls 14 D. Identifying, measuring, monitoring and reporting of risk 14 E. Internal controls15 III. Specific risk management topics15 A. Risk concentration15 B. Off-balance sheet exposures and securitisation risk17 C. Reputational risk and implicit support 19 D. Valuation practices20 E. Liquidity risk management and supervision 22 F.