Philippe carrel
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BASLE 3 (Over Basle2) PowerPoint PPT Presentation


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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.

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BASLE 3 (Over Basle2)

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Philippe carrel

PHILIPPE CARREL

BASLE 3 (Over Basle2)

RISK INTELLIGENCE FOR GOVERNANCE & COMPLIANCE


Basle 3 over basle 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


Potential impact of basle 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


Core tier1 capital level of us largest banks

Core Tier1 Capital Level of US largest banks


Core tier1 capital level of european largest banks

Core Tier1 Capital Level of European largest banks


Core tier1 capitals level for asian banks

Core Tier1 Capitals Level for Asian Banks


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