Gleeson international regulation of banking; capital and risk requirements, 2e (2012)

INTERNATIONAL REGULATION OF BANKING


INTERNATIONAL REGULATION OF BANKING
Capital and Risk Requirements
SECOND EDITION
SIMON GLEESON


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© Simon Gleeson, 2012
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Second Edition published 2012
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To Maxim and Josephine


PREFACE
Bank regulation is primarily about the quantification and restriction of the level of risk which banks
are permitted to take. However, it has for some time been an unfairly neglected area of law, since
those who understand law are uncomfortable with the quantitative aspects of risk calculation, and
those who understand risk quantification are not generally lawyers. This situation was tolerable in the
1980s and 1990s, when bank capital regulation existed as a separate discipline broadly outside the
main body of regulatory law. However, today bank capital regulation is as much a part of mainstream
law as the rules relating to market abuse or authorization, and lawyers must be able to find their way
around it.
The current work is an attempt to provide a topographical map of the regulatory landscape. Its aim is
to describe and explain the concepts involved in bank capital regulation, to set out how they fit
together, and to show how they contribute to the ultimate aim of regulating risk. It is not intended to be
a ‘how to’ manual setting out how to perform risk capital calculations—for that there are other and

better sources. It is, however, intended to enable lawyers who are called upon to construe the
concepts in the context of legal requirements to understand the purpose and the aim of the provisions
which they are being called upon to interpret.
The first edition of this book was finalized in the summer of 2009, a period when bank regulation was
changing rapidly. The second edition is published before the Basel III project has been finalized, and
whilst the EU Capital Adequacy regime is in preparation. The defence for both editions is the same—
that an author on this topic who had decided in 1999 to wait for the regime to be finalized before
commencing work would not yet have put pen to paper, and would see no prospect of doing so for at
least the next four or five years. The bones of the post-crisis settlement are now sufficiently wellformed to be capable of accurate description, and it is hoped that what the book loses in longevity it
may gain in timeliness.
The conceptual nature of the content makes it slightly difficult to anchor the work in any particular
legal system. The basic concepts which surround bank risk regulation are still determined by the
Basel Committee on Banking Supervision. These are elaborated at the European level in directives,
elaborated further by the European Banking Authority, and finally implemented (with—at least in the
case of the UK—further clarificatory material) by national bank supervisors. In theory at least, none
of this clarification alters the fundamental concept. However, it is an open (and unresolveable)
question as to what extent guidance given at one tier is useful or relevant at a higher tier. Non-UK
readers, in particular, may take the view that too much emphasis is placed herein on the views of the
UK regulatory authorities on contentious issues. However, this can be defended on the basis that the
UK is, in this area, one of the primary intellectual powerhouses of the global public sector, and even
where other regulators take the view that the UK view should not be followed, it is unlikely that any
regulator would take the view that the UK view should be disregarded. An apology may also be
ventured for the relative disregard of US regulatory concepts in this area. At the time of writing the
US was teetering on the brink of embracing the Basel regime for banks (but admittedly had been so
teetering for some years) and the disregard seemed legitimate for a non-US work. Events may prove
this wrong.
I should record two debts of gratitude. One is to OUP, who have put up with another round of ‘the dog
ate my manuscript’ excuses from me for longer than any human being should be expected to tolerate.
The other is to my children, who have put up with the writing process for the same period, and to my
wife, whose continued tolerance passes all understanding. Thank you.

Simon Gleeson


March 2012
Extracts from the Basel Accord and from the publications of other Basel committees are reproduced
with the permission of the Bank of International Settlements. All of these documents are available
free on their website: < />

CONTENTS—SUMMARY
Tables of Legislation
List of Abbreviations
I THE ELEMENTS OF BANK FINANCIAL SUPERVISION
1. Introduction to Banks and Banking
2. Why Are Banks Supervised?
3. Basel and International Bank Regulation
4. Basel III
5. The Bank Capital Calculation—Basel II
6. The Bank Capital Calculation—Basel III
II COMMERCIAL BANKING
7. Credit Risk
8. The Standardized Approach
9. Model Based Approaches to Risk Weighting
10. The Internal Ratings Based Approach
11. Netting, Collateral, and Credit Risk Mitigation
III INVESTMENT BANKING
12. The Trading Book
13. Securities Underwriting
14. Trading Book Models
15. Credit Derivatives
16. Counterparty Risk

17. Counterparty Credit Risk for Derivatives, Securities Financing, and Long Settlement
Exposures
18. Securitization and Repackaging
IV OTHER RISKS
19. Operational Risk Requirements
20. Concentration and Large Exposures
V BASEL III REQUIREMENTS
21. Liquidity Requirements
22. The Leverage Ratio
23. Basel III, Derivatives, Clearing, and Exposures to CCPs
VI BANK GROUP SUPERVISION
24. Group Supervision
25. Financial Conglomerates
26. Cross-Border Supervision of Bank Groups
27. Pillar Three—Disclosure Requirements
Index


CONTENTS—DETAILED
Tables of Legislation
List of Abbreviations
I THE ELEMENTS OF BANK FINANCIAL SUPERVISION
1. Introduction to Banks and Banking
A. Banks Considered as Risk Takers
B. A Prototypical Bank
Business summary
Risk analysis
Credit risk
Market and asset liquidity risks
Funding liquidity risk

Interest rate risk
Operational risk
Risk consolidation
Economic capital
2. Why Are Banks Supervised?
A. Basis of Bank Supervision—the Basel Principles
B. Capital Regulation
C. The Constraints on Bank Capital Regulation
D. The Quantum of Bank Capital Requirements
E. Does the Banking Crisis Prove that Risk Capital-based Regulation Failed?
Quantitative risk modelling and the crash
F. Market Crisis and Regulation
G. Protecting the Public from the Consequences of Bank Failure
Bank resolution regimes
3. Basel and International Bank Regulation
A. The Basel Committee and the Basel Accord
B. Addressing Failures of Multinational Banks
C. International Institutional Co-operation in Bank Regulation
4. Basel III
A. Policy Responses to the Crisis
B. Basel 2.5
Trading book reform
Stress testing
Pay and bonuses
C. Basel III
Strengthening the global capital framework
Enhancing risk coverage
Leverage ratio
Countercyclical buffers
Systematic interconnectedness

Systemic risk
Introducing a global liquidity standard


Monitoring tools
Addressing reliance on external credit ratings and minimizing cliff effects
Enhanced counterparty credit risk management requirements
Stress testing
Implementation and transitional arrangements
5. The Bank Capital Calculation—Basel II
A. The Basic Bank Capital Calculation
B. What is Capital?
C. The Bank Capital Hierarchy
D. Capital Monitoring
E. ‘Gearing’ Rules
F. The Components of Capital
G. Tier 1
Issuance
Redeemability
Permanence
Power to defer payments
Loss absorption
Subordination
Moral hazard
Associate transactions
Reserves
Share premium account
Externally verified profits
Innovative tier 1
Convertible and exchangeable instruments

Deductions from tier 1
H. Tier 2
Upper tier 2
Lower tier 2
Upper tier 2 requirements
Lower tier 2 requirements
Provisioning and expected loss
I. Deductions
Qualifying holdings (holdings in non-financial undertakings)
Material holdings (holdings in financial undertakings)
Connected lending of a capital nature
Expected losses and other negative amounts
Securitization positions
J. Tier 3
Upper tier 3
Lower tier 3
Deductions from tier 3
K. Capital Arising from Revaluation of Assets
L. Deductions for Investment Firms


M. Bank Capital Resources—Summary Table
6. The Bank Capital Calculation—Basel III
A. The Calculation of Bank Capital under Basel III
Core tier 1 capital
Tier 2 capital
Bank holdings in banking, financial, and insurance entities
Basel III and capital requirements
II COMMERCIAL BANKING
7. Credit Risk

A. Background
B. Risk Weighting of Assets
C. The Basel Approaches
D. Valuation of Exposures
E. Mark to Market
Financial assets at fair value through profit or loss
Available-for-sale financial assets
Loans and receivables
Held-to-maturity investments other than loans and receivables
8. The Standardized Approach
A. Classification of Exposures, Credit Conversion Factors, and Credit Risk Mitigation
B. Ratings and Rating Agencies
C. Exposures to Sovereigns
Regional governments or local authorities
Public sector entities
Multilateral Development Banks (MDBs)
D. Exposures to Banks and Financial Institutions
E. Exposures to Corporates
F. Exposures to Retail Customers
Retail mortgage lending
G. Commercial Mortgage Exposures
H. Overdue Undefaulted Exposures
I. High-Risk Exposures
J. Covered Bonds
K. Securitization Exposures
What is a securitization?
Tranching
Performance dependent payment
Subordination
Securitization and the specialized lending regime

Weighting of securitization positions—standardized approach
Asset backed commercial paper
L. Short-Term Claims on Financial Institutions and Corporates
M. Fund Exposures
N. Other Assets
O. Off-Balance Sheet Items


9. Model Based Approaches to Risk Weighting
A. Introduction to the Basel Risk Model
B. VaR and the Basel Framework
C. The Basic Basel Formula
Maturity adjustment
Default tail
Consequences
D. Putting It All Together
E. The Retail Exposures Formula
F. Translating between Capital Requirements and Risk Weightings
G. Model Types
H. Illustrative Risk Weights
I. Modelling in Practice
J. Variations in Credit Risk Weightings between Firms
K. Inputs and Outputs
The ‘use’ test
The meaning of default
Validation of PD estimates
Loss given default
Exposure at default
L. Becoming an IRB Firm
Eligibility for the IRB approach

Corporate governance
10. The Internal Ratings Based Approach
A. Corporate, Sovereign, and Bank Exposures
PD
LGD
Downturn LGDs
B. Exposure at Default
Netting and EAD
Commitments—when should a CF/EAD be applied?
Maturity
Basel III and Financial Sector Exposures under IRB—the Asset Value Correlation multiplier
Highly leveraged counterparties
Basel III, LGD, and EAD
C. Specialized Lending
D. Retail and Mortgage Exposures
Retail exposures
Specialized retail exposures
Default in the retail portfolio
E. Eligible Purchased Receivables
F. Equity Exposures
The simple risk weight approach for equity
The PD/LGD approach for equity
The internal models approach for equity


11. Netting, Collateral, and Credit Risk Mitigation
A. Introduction
B. Netting
On balance sheet netting
Off balance sheet netting and master netting agreements

C. Collateral
The simple approach
The comprehensive approach
Haircuts
Secured lending transactions
Government repo market concession
D. Unfunded Credit Protection
Effect of unfunded credit protection
Multiple default credit derivatives
III INVESTMENT BANKING
12. The Trading Book
A. Introduction
B. Trading Book Eligibility
Trading book eligibility under Basel 2.5
C. Trading and Market Exposures
Position risk requirement
Interest rate PRR
Position netting
Notional legs
Specific risk
General market risk
D. Equity PRR and Basic Interest Rate PRR for Equity Derivatives
Standard equity method
Standard equity model—specific risk
Standard equity method—general market risk
Simplified equity interest rate PRR
E. Commodity PRR
The simplified approach
The maturity ladder approach
The extended maturity ladder approach

F. Foreign Currency PRR
G. Option PRR
The option standard method
Options on funds
H. Annex—A Guide to Option Terminology
13. Securities Underwriting
14. Trading Book Models
A. ‘CAD 1’ Models
B. VaR Models
C. The Multiplication Factor


D. Basel 2.5
Stressed VaR
The incremental risk charge (IRC)
Securitization positions in the trading book
Correlation trading
15. Credit Derivatives
A. Introduction
B. Notional Positions
C. Recognition of Risk Reduction
D. Nth-to-default
16. Counterparty Risk
A. Introduction
B. Credit Derivatives
C. Collateral in the Trading Book
D. Double Default in the Trading Book
E. Rules Common to Banking and Trading Books
Unsettled transactions
Free deliveries

F. Basel III and CCR
Counterparty credit risk
General wrong-way risk
Credit Value Adjustment—the ‘bond equivalent approach’
Collateralized counterparties and margin period of risk
Downgrade triggers
Collateral management
Securitization and resecuritization collateral
17. Counterparty Credit Risk for Derivatives, Securities Financing, and Long Settlement
Exposures
A. Introduction
B. Calculating Exposures
C. The Mark to Market Method
PFE calculation
Netting within the mark to market method
D. The Standardized Method
E. Credit Risk Exposure Calculation
F. The CCR Internal Model Method
Contractual netting within the CCR regime
CCR models and securities financing transactions
18. Securitization and Repackaging
A. Introduction
B. What is a Securitization?
C. True Sale and Derecognition of Assets
‘Derecognition’ for synthetic securitizations
Implicit support, or ‘de-derecognition’
D. Risk Weighting of Securitization Exposures


E. Weighting Holdings of Securitization Positions—the Standardized Approach

Liquidity facilities
F. The IRB Approach
The ratings based approach
The supervisory formula approach
The ABCP IAA
G. Revolving Credit Securitizations
Treatment of the originator’s share
H. Securitization and Basel III
Resecuritization
Self-guarantees
Standardized approach resecuritization risk weights
Credit analysis
IV OTHER RISKS
19. Operational Risk Requirements
A. Operational Risk
B. The Basic Indicator Approach
C. Standard and Advanced Measurement Approaches—Criteria for Use
D. The Standardized Approach—The Charge
E. Advanced Measurement Approach—The Charge
F. Corporate Governance and Operational Risk
20. Concentration and Large Exposures
A. The Large Exposures Regime
B. Exposure
C. Counterparty
Connected counterparties
Total exposure
D. Exposure Limits
Parental guarantees
Collateralization
Advanced IRB firms

Treasury concession
Intra-group securities financing transactions
National integrated groups
The UK Integrated Group
V BASEL III REQUIREMENTS
21. Liquidity Requirements
A. Liquidity Supervision
B. Qualitative Supervision of Liquidity
C. Quantitative Supervision of Liquidity—pre Basel III
The simplified ILAs liquid assets buffer
Contents of the liquidity pool
Cross-border and intra-group management of liquidity
D. Liquidity under Basel III
The two requirements


Liquidity Coverage Ratio
The net stable funding ratio
22. The Leverage Ratio
A. The Leverage Ratio
B. Transitional Arrangements
23. Basel III, Derivatives, Clearing, and Exposures to CCPs
A. Exposures to Central Counterparties
B. Summary of the Proposed Reforms
The proposed CCP framework
Default fund exposures
VI BANK GROUP SUPERVISION
24. Group Supervision
A. Introduction
Solo supervision

Consolidated supervision
Conglomerate supervision
B. Consolidated Supervision
C. Scope of Consolidation
D. Minority Interests
E. Solo Consolidation
F. Consolidated Capital
G. Consolidated Capital Resources Requirements
Operational risk
Advanced IRB approaches
Large exposures
25. Financial Conglomerates
A. Issues with Conglomerates
Double or multiple gearing
Debt downstreamed as equity
Unregulated intermediate holding companies
Unregulated entities engaged in financial business
Participations and minority interests in regulated entities
B. Banks in Non-Financial Groups
C. Mixed Activity Groups
D. Methods of Regulating Financial Conglomerates
Method 1
Method 2
Method 3
Method 4
E. Consolidating Unconnected Entities
F. Groups Headquartered Outside the EU
26. Cross-Border Supervision of Bank Groups
A. International Group Supervision
B. EU Group Supervision

27. Pillar Three—Disclosure Requirements


A. Introduction
B. Scope of the Pillar Three Regime
C. Basic Requirements
Basel requirements
EU requirements
D. Capital Structure
Basel requirements
EU requirements
E. Capital Adequacy
Basel requirements
EU requirements
F. Credit Risk: General Disclosures for All Banks
Basel requirements
EU requirements
G. Credit Risk: Disclosure for Portfolio Subject to the Standardized Approach and Supervisory
Risk Weights in the IRB Approaches
Basel requirements
EU requirements
H. Credit Risk: Disclosures for Portfolio Subject to IRB Approaches
Basel requirements
EU requirements
I. Credit Risk Mitigation: Disclosures for Standardized and IRB Approaches
Basel requirements
EU requirements
J. General Disclosure for Exposures Related to Counterparty Credit Risk
Basel requirements
EU requirements

K. Securitization: Disclosure for Standardized and IRB Approaches
Basel requirements
EU requirements
L. Market Risk: Disclosures for Banks using the Standardized Approach
Basel requirements
EU requirements
M. Market Risk: Disclosures for Banks using the Internal Models Approach (IMA) for Trading
Portfolios
Basel requirements
EU requirements
N. Operational Risk
Basel requirements
EU requirements
O. Equities: Disclosures for Banking Book Positions
Basel requirements
EU requirements
P. Interest Rate Risk in the Banking Book
Basel requirements


EU requirements
Q. Remuneration
Qualitative disclosures
Quantitative disclosures
Index


TABLES OF LEGISLATION
Note: In this table, ‘Banking Co-ordination’ and ‘Banking Consolidation’ Directives have been
merged into one entry under ‘Banking Consolidation Directives’.

INTERNATIONAL
Basel (Basle) I Capital Accord (1988)

Basel II Accord (1996)

fn 29
para 49(xvii)
para 118
para 188
para 195
paras 438–440
para 444
para 538
paras 539–540
para 663
para 666
para 686
para 687
para 688
para 718(i)–(vii)
Annex 2
Annex 5
Basel 2.5 Accord (2012)

3.02, 3.04, 3.05, 3.06, 3.07, 6.24, 7.05, 7.10,
7.11, 8.02, 8.13, 8.21, 8.68, 9.19, 10.24,
10.25, 10.33, 11.14, 12.01, 12.02, 12.08,
21.46
2.52, 3.02, 3.06, 3.07, 3.08, 4.02, 4.03, 4.13,

5.01, 5.17, 5.84, 5.101, 6.32, 7.05, 7.11,
8.01, 8.04, 8.17, 8.21, 8.22, 8.26, 8.37,
8.38, 8.44, 8.68, 9.06, 9.11, 9.19, 9.20,
9.27, 9.28, 10.20, 10.37, 10.66, 10.76,
10.77, 10.79, 11.04, 11.07, 11.13, 11.14,
11.21, 12.01, 12.04, 12.06, 12.07, 14.17,
16.03, 17.09, 17.38, 18.01, 18.02, 18.04,
18.05, 18.08, 18.09, 18.11, 18.30, 18.35,
18.57, 19.04, 19.06, 19.07, 19.11, 19.17,
19.21, 19.24, 20.01, 20.29, 21.03, 21.07,
27.07, 27.09, 27.11, 27.12, 27.13, 27.17,
27.19
8.34
5.84
11.29
11.04
11.29
9.53
9.28
18.08
18.09
19.13
19.13
12.04
12.04, 12.06
12.06
12.29
8.05
9.16, 9.21, 10.72
4.03, 4.04, 4.05, 4.06, 4.12, 12.08, 14.09,

14.11, 14.14, 14.17, 14.28, 14.29, 14.30,
14.31, 18.65


4.02, 4.04, 4.09, 4.19, 4.27, 6.01, 6.13, 6.25,
6.32, 6.33, 6.35, 6.37, 6.46, 14.22, 14.23,
16.03, 17.09, 18.65, 20.01, 21.07, 21.43,
21.46, 22.01, 23.01

Basel III Accord (2010)

UNITED KINGDOM
Companies Act
Capital Requirements Regulations 2006
reg 22
Sch 1

5.20
8.04
8.04
8.04

EUROPEAN UNION
CRD see Directive 2006/49/EC (Capital Adequacy) and Directive (Banking Consolidation)
Directive 83/349/EEC (7th Company Law)
26.08
art 12(1)
26.08
Directive 85/611/EEC (UCITS), art 22(4)
8.41

Directive 89/647/EEC (Solvency Ratio)
3.07
Directive 2004/39/EC (Markets in Financial
24.13
Instruments)
Annex I, Section C
17.03, 24.13
Annex IV
17.03
3.07, 5.15, 8.04, 8.50, 10.08, 10.16, 10.18,
10.66, 10.80, 10.83, 13.02, 17.03, 17.42,
Directive 2006/48/EC (Banking Consolidation)
18.09, 18.30, 19.09, 20.29, 20.41, 21.07,
26.12, 27.14
Chapter V
27.06
art 3(1)
25.12
art 4(37)–(39)
18.09
art 66
20.01
art 69
27.14
art 69(3)
26.12
art 70
27.14
art 72(1)
26.05, 27.07

art 72(3)
27.08
art 73(2)
26.17
arts 84–89
27.25
art 105
27.37
arts 106–112
20.01
art 113
20.01
art 113(2)
20.41
arts 114–117
20.01


art 125(1)–(2)
art 126(1)–(3)
art 127(1)
arts 129–130
art 133(3)
art 134
Annex I
Pt 1
Annex III, Pt 7
Annex V, para 7
Annex VI
Pt 1

para 51
Annex VII
Pt 1
Pt 4
Annex VIII, Pt 1
Annex XII
Directive 2006/49/EC (Capital Adequacy)
art 3(1)
art 4(37)–(39)
art 22
arts 28–32
art 69(3)
art 125(1)–(2)
art 126(1)–(3)
art 127(1)
arts 129–130
art 133(3)
art 134
Annex I
Pt 1
Annex VI
Directive (Financial Groups)
art 3(3)–(6)
art 5(4)
art 6(5)
arts 10–11

26.15
26.15
26.16

26.13
26.09
26.09
24.13
13.02
17.42
20.01
8.27
8.34
27.25
7.31, 27.25
11.06
27.06
3.07, 5.15, 8.50, 10.08, 10.16, 10.18, 13.02,
14.01, 18.09, 19.09, 20.29, 21.07, 26.12
25.12
18.09
26.21
20.01
26.12
26.15
26.15
26.16
26.13
26.09
26.09
24.13
13.02
20.01
20.46, 25.21, 25.22, 25.25

25.22
25.22
25.22
25.19


Directive (Prospectus)
Regulation 1346/2000/EC (Insolvency)

8.61
20.45

UNITED STATES
Dodd–Frank Act, s. 939A

4.13


LIST OF ABBREVIATION
ABCP
AIRB
AMA
ASF
ASRF
AVC
BCBS
BCD
BIPRU
BIS
CAD

CCF
CCP
CCR
CDS
CEBS
CESR
CF
CFP
CIU
CLN
CM
CNCOM
CP
CRD
CRR
CVA
DSCR
DTA
DTL
DVP
EAD
EBA
ECAI
EE
EEA

asset backed commercial paper
Advanced IRB
Advanced Measurement Approach
available stable funding

Asymptotic Single Risk Factor
Asset Value Correlation
Basel Committee on Banking Supervision
EU Banking Consolidation Directive
the UK FSA’s Prudential Sourcebook for Banks, Building Societies
and Investment Firms
Bank for International Settlements
EU Capital Adequacy Directive
credit conversion factor
Central Counterparty
counterparty credit risk
credit default swap
Committee of European Banking Supervisors
Committee of European Securities Regulators
Commodities Finance
contingency funding plan
Collective Investment Undertakings
credit linked note
clearing member
concentration risk capital component
commercial paper
EU capital requirements directives (the BCD and the CAD)
counterparty credit risk requirement
credit valuation adjustment
debt service coverage ratio
deferred tax asset
deferred tax loss
delivery against payment
exposure at default
European Banking Authority

External Credit Assessment Institution
effective exposure level
European Economic Area


EL
ELBE
EPE
EU
EUL
FDIC
FMI
FRA
FSA
GAAP
GENPRU
G-SIB
HVCRE
IAA
IFRS
ILAA
ILAS
IPRE
IRB
KRI
LCR
LE
LGD
LTV
MDB

MiFID
MSR
NSFR
OBS
OECD
OF
OTC
PCA
PD
PF
PFCE
PFE
PRA

expected loss
estimate of expected loss
effective positive exposure
European Union
Expected and unexpected loss
Federal Deposit Insurance Corporation
future margin income
forward rate agreement
Financial Services Authority
Generally Accepted Accounting Principles
the UK FSA’s General Prudential Sourcebook
globally systemically important bank
High-volatility Commercial Real Estate
internal assessment approach
International Financial Reporting Standards
Individual Liquidity Adequacy Assessment

Individual Liquidity Adequacy Standards
income-producing real estate
internal ratings based
Key Risk Indicators
liquidity coverage ratio
large exposure
loss given default
Loan to Value
multilateral development bank
Markets in Financial Instruments Directive
mortgage servicing right
net stable funding ratio
off balance sheet
Organisation for Economic Co-operation and Development
Object Finance
over the counter
prompt corrective action
probability of default
Project Finance
potential future credit exposure
potential future exposure
Position Risk Adjustment


PRR
PSE

Position
Risk entity
Requirement

public sector

PVP
QRRE
RBA
RDS
repo
RSF
RWA
SA
SFA
SFT
SIFI
SIV
SL
SLRP
SPV/SPE
SSPE
UKIG
UL
VaR
VRDN
WIG

payment against payment
Qualifying Revolving Retail Exposures
Ratings Based Approach
Reference Data Set
repurchase agreement
required stable funding

risk-weighted assets
standardized approach
supervisory formula approach
securities financing transaction
Systemically Important Financial Institution
structured investment vehicle
specialized lending
Supervisory Liquidity Review Process
special purpose vehicle/special purpose entity
Securitization special purpose entity
UK Integrated Group
unexpected loss
value at risk
variable rate demand note
Wider Integrated Group