Transcription of バーゼルⅢレバレッジ比率に関する市中協議文書 G SIBs に対 …
1 2016 Spring 1 III G -SIBs 1. 2016 4 III 2016 1 GHOS 2018 1 2016 2. Tier1 3% G-SIBs G-SIBs G-SIBs G-SIB 3. G-SIBs 4 2018 G-SIBs 4.
2 5. 2016 2016 Spring 2 I BCBS 2016 4 6 III 1 backstop 2010 12 III 2014 1 2 G-SIBs 2015 III Tier1 Tier1 3 2017
3 2018 1 1 1 Pillar1 2016 1 GHOS Tier1 3 2018 1 1 1 2016 3 GHOS G-SIBs GHOS Tier1 3% G-SIBs G-SIBs G-SIBs G-SIB SA-CCR 1 Basel Committee on Banking Supervision, Revisions to the Basel III leverage ratio framework, Consultative Document, April 2016 ( ).
4 2016 7 6 2 Basel Committee on Banking Supervision, Basel III leverage ratio framework and disclosure requirements, January 2014. 3 Group of Central Bank Governors and Heads of Supervision, Revised market risk framework and work programme for Basel Committee is endorsed by its governing body, Press release, 11 January 2016. 2016 Spring 3 regular way purchase or sale prudent valuation adjustment III II G-SIBs G-SIBs Tier1 G-SIBs G-SIBs G-SIB G-SIBs G-SIBs
5 QIS Tier1 G-SIBs G-SIB (a) (b) III 2016 Spring 4 SA-CCR RC PFE CEM 4 CEM PFE
6 2014 3 CEM SM CEM EAD SA-CCR 2017 5 CEM SA-CCR III CRM 6 III SA-CCR RC CEM cash variation margin; CVM 7 4 RC OTC PFE 5 Basel Committee on Banking Supervision, The standardized approach for measuring counterparty credit risk exposures, March 2014.
7 6 III 157 7 CVM CCP CVM 1 2016 Spring 5 PFE 1 SA-CCR 5 20 margin period of risk; MPR 8 SA-CCR = ( + ) alpha = SA-CCR RC = max{V CVM CVMp; 0} V = CVM = CVM CVMp = CVM PFE = multiplier AddOnaggregate 1 SA-CCR CCP initial margin.
8 IM PFE PFE OTC G20 IM PFE SA-CCR SA-CCR 5 MPR QIS 8 5 164 5 MPR 2016 Spring 6 MPR PFE 9 G20 CVM MNA MNA CSA CCP CVM currency of settlement 10 MNA CSA CVA 2014 10 FAQ MNA MNA
9 CSA FAQ CVM CVM CVM effective notional amount 11 9 SA-CCR PFE IM MPR PFE 10 7 11 CCP 2016 Spring 7 wrong-way risk IFRS
10 Trade date accounting settlement date accounting IFRS
