BCBS 239 (part2)
www.bis.org/publ/bcbs268.pdf

BCBS 239 (part2)

Renjith K P PMP? CAIO? TOGAF? DCAM? CDMC? LSSBB? Renjith K P PMP? CAIO? TOGAF? DCAM? CDMC? LSSBB?

Renjith K P PMP? CAIO? TOGAF? DCAM? CDMC? LSSBB?

Enterprise Architect - Data Architecture, Graph Data Modelling, Knowledge Graph, Semantic Modelling, Data Modelling, Information Architecture, Graph Innovation Lab

发布日期: 2022年10月14日
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In part 1 we discussed what BCBS-239 is & Summary of its principles, in this part we will go back to Dec 2013 publication including the self-assessment questionnaire; self assessment ratings by principles

Background

The Principles are initially addressed to systemically important banks (SIBs). In addition, the Basel Committee strongly suggests that national supervisors also apply the Principles to banks identified as domestic systemically important banks (D-SIBs)

The Basel Committee and national supervisors agreed to monitor and assess banks’ progress through the Basel Committee’s Supervision and Implementation Group (SIG), To facilitate consistent and effective implementation of the Principles among G-SIBs, The first step of this coordinated approach was to implement a “stocktaking” self-assessment questionnaire completed by G-SIBs during 2013.

G-SIBs’ self-assessments (www.bis.org/publ/bcbs268.pdf)

The Basel Committee’s Working Group on SIB Supervision (WGSS) developed the questionnaire (87 questions/requirements for 11 principles)

List of 11 Principles and 87 requirements
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Principle 1 – Governance – A bank’s risk data aggregation capabilities and risk reporting practices should be subject to strong governance arrangements consistent with other principles and guidance established by the Basel Committee.
Principle 2 – Data architecture and IT infrastructure – A bank should design, build and maintain data architecture and IT infrastructure which fully supports its risk data aggregation capabilities and risk reporting practices not only in normal times but also during times of stress or crisis, while still meeting the other Principles.
Principle 3 – Accuracy and Integrity – A bank should be able to generate accurate and reliable risk data to meet normal and stress/crisis reporting accuracy requirements. Data should be aggregated on a largely automated basis so as to minimise the probability of errors.
Principle 4 – Completeness – A bank should be able to capture and aggregate all material risk data across the banking group. Data should be available by business line, legal entity, asset type, industry, region and other groupings, as relevant for the risk in question, that permit identifying and reporting risk exposures, concentrations and emerging risks.
Principle 5 – Timeliness – A bank should be able to generate aggregate and up-to-date risk data in a timely manner while also meeting the principles relating to accuracy and integrity, completeness and adaptability. The precise timing will depend upon the nature and potential volatility of the risk being measured as well as its criticality to the overall risk profile of the bank. The precise timing will also depend on the bank-specific frequency requirements for risk management reporting, under both normal and stress/crisis situations, set based on the characteristics and overall risk profile of the bank.
Principle 6 – Adaptability – A bank should be able to generate aggregate risk data to meet a broad range of on-demand, ad hoc risk management reporting requests, including requests during stress/crisis situations, requests due to changing internal needs and requests to meet supervisory queries.
Principle 7 – Accuracy – Risk management reports should accurately and precisely convey aggregated risk data and reflect risk in an exact manner. Reports should be reconciled and validated.
Principle 8 – Comprehensiveness – Risk management reports should cover all material risk areas within the organisation. The depth and scope of these reports should be consistent with the size and complexity of the bank’s operations and risk profile, as well as the requirements of the recipients.
Principle 9 – Clarity and usefulness – Risk management reports should communicate information in a clear and concise manner. Reports should be easy to understand yet comprehensive enough to facilitate informed decision-making. Reports should include meaningful information tailored to the needs of the recipients.
Principle 10 – Frequency – The board and senior management (or other recipient as appropriate) should set the frequency of risk management report production and distribution. Frequency requirements should reflect the needs of the recipients, the nature of the risk reported, and the speed, at which the risk can change, as well as the importance of reports in contributing to sound risk management and effective and efficient decision-making across the bank. The frequency of reports should be increased during times of stress/crisis.
Principle 11 – Distribution – Risk management reports should be distributed to relevant parties while ensuring confidentiality is maintained.

G-SIBs identified in 2011 and 2012

Jurisdiction - G-SIB
Belgium - Dexia*
China - Bank of China
France - BNP Paribas, Group BPCE, Group Crédit Agricole, Société Générale
Germany - Commerzbank, Deutsche Bank
Italy - Unicredit Group
Japan - Mitsubishi UFJ FG, Mizuho FG, Sumitomo Mitsui FG
Netherlands - ING Bank
Spain - BBVA, Santander
Sweden - Nordea
Switzerland - Credit Suisse, UBS
UK - Barclays, HSBC, Lloyds Banking Group, Royal Bank of Scotland, Standard Chartered
US - Bank of America, Bank of New York Mellon, Citigroup, Goldman Sachs, JPMorgan Chase Morgan Stanley, State Street, Wells Fargos

To be cont...

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