1 / 6

BASLE 3 (Over Basle2)

PHILIPPE CARREL. BASLE 3 (Over Basle2). RISK INTELLIGENCE FOR GOVERNANCE & COMPLIANCE. BASLE 3 (Over Basle 2). Quality and consistency of capital base T1 Equity from 2.5% to 4.5% Total T1 from 4% to 6% Total 8% + Conservation Buffer 2.5% = 10.5% T3 abolished.

dexter
Download Presentation

BASLE 3 (Over Basle2)

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. PHILIPPE CARREL BASLE 3 (Over Basle2) RISK INTELLIGENCE FOR GOVERNANCE & COMPLIANCE

  2. BASLE 3 (Over Basle 2) Quality and consistency of capital base T1 Equity from 2.5% to 4.5% Total T1 from 4% to 6% Total 8% + Conservation Buffer 2.5% = 10.5% T3 abolished Counter-cyclical measures Capital buffers from 0% to 2.5% to limit excess credit and leverage Probability of Default (PD) and Exposure At Default (EAD) computed over long term Expected Loss (EL) to replace IAS39, potentially VaR Leverage ratio Ratio added to Pillar1 calculated with credit conversion factors Focus on off-balance sheet items Trial ratio is 33 times of Tier1 limit Enhanced risk coverage Stressed VaR (includes periods of stress) Credit Value Adjustment (CVA net DVA ) to represent counterparty risk in market exposure Centralised clearing counterparties Global Liquidity Standard (BCBS 165) LCR and NTF ratios SIFIs Additional buffers and living wills

  3. POTENTIAL IMPACT OF BASLE 3 Surge in RWA due to stressed assumptions on risk Standard Chartered said would need $5.3bn in right issue UBS said the change would double RWA (CHF 400bn) Morgan Stanley 80% Credit Suisse estimates an increase of 70% Deutsche Bank predicts 50% JP Morgan, 36% Higher Costs Centrally cleared derivatives will require operating costs and margin management “Skin in the game” in securitisation Counter-cyclical measures Probability of Default (PD) and Exposure At Default (EAD) computed over long term Expected Loss (EL) to replace IAS39 Capital buffers to limit excess credit and leverage Global Liquidity Standard Push back on NTF ratios

  4. Core Tier1 Capital Level of US largest banks

  5. Core Tier1 Capital Level of European largest banks

  6. Core Tier1 Capitals Level for Asian Banks

More Related