A BETTER UNDERSTANDING
BASEL III’S SCOPE

OF

Basel III is seeking to achieve a broader macroprudential goal of protection...


The liquidity management is a surreal puzzle.



Deep modification of the on and off-balance
sheet structure as much a...
6

The liquidity horizon is the time
required to exit or hedge a risky
position in a stressed market
environment without a...
Determine the CVA
1.

Quantifying and measuring net counterparty
credit exposures (computing the current mark
to market va...
SOURCES
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B

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R

A

P

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Basel Committee on Banking Supervision. 2011. FAQ: Basel III
Counterparty Cred...
OTC Groupe Onepoint. La lettre OTC. November 2012, Lettre n°49, pp. 1621.

Viglietti, Benoît. 2012. La réglementation bâlo...
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Basel iii : A better understanding of basel - 2013 11 03

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Basel III is seeking to achieve a broader macroprudential goal of protection for the banking sector by requesting:
 Longer horizon Default Probabilities (DP);
 Downturn loss-given-default measures;
 Improved calibration of risks (higher capital requirement and better quality capital for liquidity purposes).
Thus, the Basel III rules promote more modest global risk-taking by the banking sector (standards for bank capital and liquidity). Around the globe, different initiatives to implement the Basel III Requirements (B3R) have arisen.
In Europe, it’s been implemented through a directive, known as the Capital Requirement Directive (CRD IV) and for the first time a regulation (Capital Requirement Regulation - CRR) (transposition July 2013). In the United States, the US Basel III Requirements have been incorporated within the Dodd-Frank Wall Street Reform and Consumer Protection Act (DFA).
In lieu of strengthening and harmonizing the financial sector, it appears than the rules for banking supervision have become monstrously more complex than ever. These rules lead the industry in an environment in which the most successful institutions are the smartest, not the most aggressive any more. The Banking model has to be redefined.

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Basel iii : A better understanding of basel - 2013 11 03

  1. 1. A BETTER UNDERSTANDING BASEL III’S SCOPE OF Basel III is seeking to achieve a broader macroprudential goal of protection for the banking sector by requesting:    Longer horizon Default Probabilities (DP); Downturn loss-given-default measures; Improved calibration of risks (higher capital requirement and better quality capital for liquidity purposes). Thus, the Basel III rules promote more modest global risk-taking by the banking sector (standards for bank capital and liquidity). Around the globe, different initiatives to implement the Basel III Requirements (B3R) have arisen. In Europe, it’s been implemented through a directive, known as the Capital Requirement Directive (CRD IV) and for the first time a regulation (Capital Requirement Regulation - CRR) (transposition July 2013). In the United States, the US Basel III Requirements have been incorporated within the Dodd-Frank Wall Street Reform and Consumer Protection Act (DFA). In lieu of strengthening and harmonizing the financial sector, it appears than the rules for banking supervision have become monstrously more complex than ever. These rules lead the industry in an environment in which the most successful institutions are the smartest, not the most aggressive any more. The Banking model has to be redefined. Basel requirements timeline Basel I (1988) It enters into effect in 1988 and essentially dealt with the credit risk. The simple rules were subject to “regulatory arbitrage” and poor risk management. Basel II (2004)  Bank liquidity (a better efficient capital, two ne ratios);  Bank leverage. It enhances capital charges and lead certain banking activities much more capital intensive. The three pillars  Solvency ratio. Reduce risk of failure by cushioning against losses, new ratios to assess liquidity needs and incentive for prudential risk management.  Supervisory review and internal assessment.  Market discipline. The model is more risk sensitive and target capital ratios. The three pillars  Solvency ratio. The Risk Weighted Asset (RWA) capital ratio (the assumed risk level) is being more complex and risk oriented, including credit risk, market risk and operational risk.  Supervisory review and internal assessment. Banks must integrate the types of risks not covered in their risk profile.  Market discipline. Banks are expected to build comprehensive reports on their risk management and how Basel II is implemented. Criticisms charged that Basel II aimed at the wrong target (resilience on credit agencies to assess the credit risk) and did little to make the financial system more resilient. Some said that it encouraged the dispersion of risk from banks to other investors which lead to the last financial crisis. The new liquidity ratios specify liquidity levels of minimum financing to help Globaly Systemic important Financial Institutions (G-SiFI) to survive in the long run facing big tension in the markets. Benefits of the measure Strengthen protection of the savings thanks to measures that makes the banking sector more stable. Central Banks and national supervisors will more closely monitor the risk-taking by financial institutions and other aspect of the financial market’s life. Drawbacks Basel III The set of Basel III requirements is the direct response to the last crisis and addresses issues like capital adequacy, risk and liquidity regimes improve the ability to cushion the impact of financial crisis. The greatest impact will be about:  Liquidity ratios The trading book; The financing system becomes more complex and the rules don’t suit the international economical environment.  Higher and better capital requirements mean that loans will become more expensive for the public (the capital will be rarer).
  2. 2.  The liquidity management is a surreal puzzle.  Deep modification of the on and off-balance sheet structure as much as the banking structure.  More systematic use of the factoring firms.  Reacting to tighter bank lending standards, more companies will issue bonds to access capital. And small companies will look forward to the crownfunding for cheaper working capital. Banks will find new financial products to reduce the weight of the denominator of the solvency and liquidity ratio. In order to do that banks would be tempted to transfer the credit risk to the market. LIQUIDITY COVERAGE RATIO (LCR) This ratio provides a short term view of the liquidity and must be in place in early 2015. utstanding, high uality li uid assets Total free cash ou low o er The aim is to ensure the sustainability of the institution over 30 business days (BD) in case of idiosyncratic risks1 (assets must be hedged). DIFFERENT EXPOSURES UNDER THE SCOPE Derivatives exposure It’s the e posure arising from the underlying of the contract and the CCR exposure. The total exposure is the replacement costs plus the different add-on (potential future credit exposure for the remaining life of the contract). The collateral received in connection with derivatives has two effects on the LR:  It reduces the CCR exposure;  It can increase the economic resources at the disposal of the bank (collateral may be used as a leverage). The bank can’t reduce the e posure by any collateral received from the counterparty (limited to derivatives contracts). The stock of highly liquid assets should be under continuous capacity to monetize any assets in the stock without conflicting with a stated business or risk management strategy. The assets must be in a separate pool, managed with the intention of use as a source of contingent funds2. The stock should not cover operational costs. High quality liquid assets used to hedge structural interest rate risk are still eligible. The idiosyncratic risk is the risk of price change due to the unique circumstance of a specific security (eliminate through diversification) which is not traceable to the overall market. 2 Contingent funds permit to serve as a stabilizer and allow for the smoothing of income over time. 3 Core Equity Tier 1 (CET1) is the measure of a bank’s financial strength based on the sum of its equity capital and disclosed reserves. 4 A collateral is something place in guarantee in case of default. 5 The risk of a change of value because of a credit rating change is called a migration risk. Security Financing Transactions (SFT) exposures A SFT is a:  Repurchase transaction;  Securities or commodities borrowing transaction;  High quality assets 1 A margin lending transaction. lending or Secured lending and borrowing in the form of SFT is an important source of leverage and ensures consistent international implementation by recognizing the main differences across accounting framework. The trading and the banking book Only securities are eligible, no loans. NET STABLE FUNDING RATIO (NSFR) This ratio provides a long term view of the liquidity (the bank’s acti ity must go on during one year) and is planned to be in place in 2018. table funds table nancing re uirements Leverage ratio (LR) The purpose is to constrain the buildup of excessive leverage in banks. The LR is computed upon Core Equity Tier 13 (CET1) after full regulatory deduction (Basel Committee on Banking Supervision, 2013).   T posure easure Banks should apply the accounting measures of exposures for securitization and derivatives (including retaining positions – on and off sheet position). No liabilities may be deducted from the exposure measure. Physical or financial collateral4, guarantees and credit risk mitigation risks purchased, netting of loans ARE NOT allowed to diminish the balance sheet exposure. The Banking Book covers all securities (exposures) not actively traded, meant to be held (at the historical cost till maturity). The securities accounted in the Trading Book are supposed to be highly liquid assets traded on the market and valued by the performance of the market (sensitive to the choice of the risk model). Banking Book Trading Book Assets held for trading Assets held to maturity or hedging purposes. at historical costs. VaR at 99.99% c.l. over VaR at 99% c.l. over 1-year. 10BD. The ICR and the CRM were introduced to reduce the arbitrage incentives between the trading and the banking book. Incremental Risk Charge (IRC) It was incorporated into the trading book in response to the increasing amount of exposure to credit-risk and often illiquid products that risk is not reflected in the VaR (essentially because of the credit migration4 combining with widening of credit spread and the loss of liquidity). Products affected: flow products, bond and CDS (if not part of CRM) and some listed equities.    Migration and default risks. Liquidity horizon to measure the risk level. Losses linked to correlation and contagion effects. © WikiTree Consulting – BE 834 018 272 – Siège Social : rue Capitaine Crespel 3 - 1050 Bruxelles – Tél. +32 2 511 42 53 Rue du 4 Septembre 24 - 75002 Paris
  3. 3. 6 The liquidity horizon is the time required to exit or hedge a risky position in a stressed market environment without affecting the market priced (10 days, 1, 3 and 6 months, 1 year). 7 The Value at Risk (VaR) is a reasonable estimation of the maximal losses than can occur during a defined time horizon. It measures the market risk capital charge. 8 The benchmarking is a gauge indicator of the quality of the internal rating system. It compares internal risk with external measurements. 9 Calibrating is mapping a rating to a quantitative risk measure well calibrated of the estimated risk measures deviate only marginally from what has been observed. Comprehensive Risk Measure (CRM)  The CRM is the estimation of all price risks of the bank correlation trading positions over a 1-year time horizon  Products affected: correlation instruments (trading acti ities) and their hedges ( without “resecuritisation position” – CDO).   Migration and default risks. All price risk ( olatility, basis risks, rate, …). The CRM is an IRC-type charge with the requirement for additional risk factors:    Cumulative risks of multiple default. Credit spread risk. Volatility of implied correlation and cross effects between spread and correlation.  Recovery rate volatility (affect the tranche prices).  Comprehensive risk measure (benefits from dynamic hedging – rebalancing hedges). Careful, because US and EU based banks don’t follow the same rules. Prove to the regulators the soundness of the models; Ensure stakeholders that the capital position in on solid ground. In case of highly leverage counterparties with a likely significant vulnerability to market risk, the bank must assess the potential impact on the counterparty ability to perform (rating and probability of default). THE NEED FOR BACKTESTING The CCR associated with OTC derivatives trading is characterized by the uncertain nature of the future value of the contracts. The mark-to-market value may vary widely until maturity, exposing both parties to CCR. The counterparty with positive exposure at the time of default by the other party faces an economic loss equivalent to the current replacement cost of the contract (or portfolio) in the market. 10x discrimination measures how well the rating system provides an ordinal ranking of the risk measured considered (percentage of defaulters assigned to a low ratings and non-defaulters to a higher one). 11 European Market Infrastructure Regulation is the regulation designed to reduce the counterparty credit risk of OTC derivative markets and an attempt to make them more transparent. 12 IFRS 13 is a set of rules to harmonise the definition of fair value and the approaches to determining fair value in accounting. 13 The Credit Valuation Adjustment (CVA) represents the price of the default risk for a derivative with a particular CCR considering the effect of offsetting the collateral. It’s the price to hedge the derivative specific CRR (monetized value of the counterparty risk). 14 It is possible for the counterparty’s credit uality to be co-dependent (correlated) with the exposure level. This effect is called the Wrong Way Risk if the exposure tends to increase when the CCR quality gets worse. In this case, the exposure to the counterparty is adversely correlated with the credit quality of that counterparty. 15 Netting agreements are risk mitigants where in the event of default the values of the derivative positions between the two parties are aggregated (positive value offset positions with negative one). Therefore only the net positive value represents the credit exposure at the time of default. RISK OF MARKET ILLIQUIDITY The risk of market illiquidity is the default and rating migration risk associated with credit related exposures via the IRC and CRM charges. Must identify instruments that may become illiquid. 1. Risk associated; 3. The exposure is computed based on a distribution of prices for the financial abstracts that constitute the portfolio of the counterparty at any future date. Two reasons to measure the CCR: 5 Liquidity horizon (based upon the underlined asset or from the instrument with the longer horizon). Basel III strengthened the Internal Model The variety of Internal Model has its importance, if the model was homogenous it could create an additional instability (non diversification of the risk). The outputs should reflect the full extent of the trading book risk:  Limiting the diversification of techniques.  Moving to an expected shortfall metric.  Calibrating to a period of market stress. Profit and loss (P&L) that provide an assessment of how well a desk’s risk management model captures risks that drives the P&L daily backtesting for reconciliation forecast with actual losses. 5 Contrast between the VaR and the stressed VaR (s VaR) – more short term. Back testing The backtesting (BT) is an evolving process that consists of testing a trading strategy in competing the forecasts to the realized outcomes. In BT, the predicted risk measurements will be contrasted with the observed measurements using a benchmark7 of available statistical tests to evaluate the calibration8, discrimination9 and stability of the model. Basel III set out clear rules as to how to perform the VaR backtest, upon guidelines from the NCA. A solid backtesting methodology:  Limit the risk to the counteroarties;  Financial instruments; 2. The Counterparty Credit Risk (CCR) exposure Determine the amount of reserve capital in case the risk materialises. To evaluate the Expected Exposure, the evolution of the risk factor is needed. The BT must cover the entire distribution with different time horizons and different forecasts. Regulatory framework  Basel III  EMIR10: mandatory clearing for OTC derivatives and margin requirement for the other.  IFRS 1311: accounting rules for CVA12 at “Fair Value easurement”. All banks must comply with the Pillar I for Wrong Way Risks13. They have to face an increasing margin period of risk for some collateralised netting set14 and monitor P’s e posures. The correlation The Internal Model Method (IMM) needs to test risk factor model assumptions, the relationship between tenors of the same risk factors and the modelled between risk factors. The correlation is rising significantly during a bear market. The capital buffer calculation Regulators expect from the firm:  Feedback loops to improve the model;  Immediate remediation action to account for potential shortages of capital due to model differences. The capital buffer is expected to be punitive. It can be linked to the performance of the portfolio backtesting. Credit Value Adjustment (CVA) Capital needs to be held against potential mark to market losses resulting from changes in the credit worthiness of the counterparty (CCR). © WikiTree Consulting – BE 834 018 272 – Siège Social : rue Capitaine Crespel 3 - 1050 Bruxelles – Tél. +32 2 511 42 53 Rue du 4 Septembre 24 - 75002 Paris
  4. 4. Determine the CVA 1. Quantifying and measuring net counterparty credit exposures (computing the current mark to market value of the derivative). 2. Price the credit risk exposure using contractual terms and conditions of the derivatives instruments. Banks must cover the risk of mark to market losses on expected counterparty risk for all OTC derivatives (not covered by a CCP). The CCR exposure may be mitigated through the netting and offset position of the ISDA Master Agreement which permit offsetting negative positions against positive one with a specific counterparty in the event of default. Reduce the CVA Only hedges with external counterparties are eligible to reduce CVA. Any instrument of which the associated payment depends on cross default is not considered as an eligible hedge (CDS or CDS Triggers) but well Sovereign CDS.  Unilateral derivative instrument: purchase an option to hedge the exposure to any loss that would occur if the counterparty was defaulting.  Bilateral instrument: at any given valuation measurement date, they may be either an asset or a liability position or even no value at all. The derivative has the potential to change its position at any time (where the Front Office PV is equal to zero, counterparties remain exposed to one other). Conclusions Basel II had to face numerous criticisms such as it complicated the global financial regulatory framework, Basel III is even more complex. Some risks have been transferred from the trading to the banking book, which lead to new accounting strategies for banks in order to reduce its capital requirements. Other will be transferred to Central Clearing Counterparty, which may become the new G-SiFI. Some experts already forsee a new regulatory framework before the completion of the implementation on Basel III within smaller reliance on the Internal Model (Basel Committee on Banking Supervision, 2013). 16 Effective Expected Positive Exposure (EEPE) is the weighted average over time of effective expected exposure. The weights are the proportion that an individual exposure represents of the entire exposure horizon time interval. Potential Future Expsure (PFE) quantifies the sensitivity of the CCR to future changes in the market. Expected Exposure (EE) is the probability-weighted average exposure estimated for a future date. The Effective Expected Exposure is the maximum EE at that date (or prior). Inconsistencies are already emerging across countries in the design, interpretation and timing of the implementation of Basel III. Even in Europe (Basel 3 is being implemented under CRD IV and CRR), the Banking Union tends to have a major impact on the banking sector, but as only Euro Currency Countries have to join the Single USpervisery Mechanism and its suite, it might lead to a two speed regulatory framework within the European Community. The Expected Positive Exposure (EPE) Institutions that use IMM to manage the CCR must backtest their Expected Positive Exposure (EPE) models against realised values (appropriate Exposure at Default to compute the Economic Capital). An EPE model is designed to produce a distribution of possible exposure over time for a particular counterparty, used to determine the regulatory capital through application of the regulatory capital metric Effective Expected Positive Exposure (EEPE). The EEPE is the average of the effective Expected Exporsure (maximum probability-weighted average exposure estimated for a certain date) over a certain period. The EEPE is computed over 3-year historical data, containing a 1-year period most severe stress to credit spreads within the period (also used for the stressed CVA VaR) at the confidence level of 99%. The P gi es correctly the counterparty’s contribution to the systematic risk, but not the non-systematic risks of the portfolio, the EPE is then multiplied by alpha and . Aurélie DE VOEGHT, Academic traineeship for WikiTree, under the supervision of P. AFENDULIS 2013, 3rd November © WikiTree Consulting – BE 834 018 272 – Siège Social : rue Capitaine Crespel 3 - 1050 Bruxelles – Tél. +32 2 511 42 53 Rue du 4 Septembre 24 - 75002 Paris
  5. 5. SOURCES B I B L I O G R A P H Y Basel Committee on Banking Supervision. 2011. FAQ: Basel III Counterparty Credit Risk. Basel : Bank for International Settlement, 2011. ISBN 92-9197-891-4. —. 2012. FAQ: Basel III Counterparty Credit Risk. Basel : Bank for International Settlement, 2012. ISBN 92-9197-177-4. —. 2012. FAQ: Basel III Counterparty risk and exposures to central counterparties. Basel : Bank for International Settlement, 2012. ISBN 929197-910-4. —. 2013. FAQ: Basel III monitoring. Basel : Bank for International Settlement, 2013. ISSN 92-9197-872-8 . —. 2009. Guidelines for computing capital for incremental risk in the trading book. Basel : Bank for International Settlements, 2009. —. 2013. Regulatory Consistency Assessment Programme (RCAP) - Analysis of risk-weighted assets for market risk. Bank for International Settlements. [Online] First, January 2013. [Cited: 3 September 2013.] http://www.bis.org/publ/bcbs240.pdf. ISBN 92-9197-916-3. —. 2013. Results of the Basel III monitoring exercise as of 30 June2013. Basel : Bank for International Settlement, 2013. ISBN 92-9197-924-4 . —. 2013. Revised Basel III leverage ratio framework and disclosure requirements. Basel : Bank for International Settlements, 2013. Consultative document. ISBN 92-9197-942-2. —. 2013. The regulatory framework: risk sensitivity simplicity and comparability. Basel : Bank for International Settlements, 2013. ISBN 929197-940-6. Boisbourdain, Vincent. 2011. Evaluation des risques et VaR multifractale. OTC groupe Onepoint. [Online] November 2011. [Cited: 27 August 2013.] http://www.otc-conseil.fr/fre/newsletters/lettre-n-39/risque-varmultifractale.html. Brocard, Christine. 2013. La transformation du système bancaire et le "choc des mondes". La Lettre OTC. July 2013, Lettre n°51, pp. 25-28. Brunac, Jean-Baptiste. 2012. Incremental Risk Capital (IRC) and Comprehensive Risk Measure (CRM): Modelling Challenges in a Bank-wide System. 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[Cited: 26 August 2013.] http://www.fincad.com/trial-downloads/demos/credit-exposure-cvaworkbook.aspx. —. 2013. Wrong-Way Risk. FinCad. [Online] 2013. [Cited: 28 August 2013.] http://www.fincad.com/derivatives-resources/wiki/wrong-way-risk.aspx. Gnutti, Rita and Zante, James. 2013. Basel III and Beyond: Optimization With On-Demand Insights. Global Association of Risk Professionals. [Online] 27 June 2013. [Cited: 1 August 2013.] KPMG. 2011. Basics of credit value adjustments and implications for the assessment of hedge effectiveness. CME Group. [Online] 2011. [Cited: 27 August 2013.] http://www.cmegroup.com/education/files/fincad-hedgeaccounting-kpmg-3.pdf. Lal, Manohar. 2013. Bank's Trading Book and Value-at-Risk. Department of Banking and Finance, Fiji National Unversity. Nasinu : Fiji National Unversity, 2013. Meek, Jessica. 2013. OpRisk North America: Confusion remains between trading book and banking book definitions. Risk.net. [Online] 19 March 2013. 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Infosys : Infosys, 2012. p. 2. The International Swaps and Derivatives Association, Inc., Association, The Global Financial Markets and The Institute of International Finance, Inc. 2013. Further Response Covering Standard Calibration of Models and Standard Rules. 2013. The Swiss SiFi Policy. 2011. Addressing "Too Big to Fail". Bern : Swiss Financial Supervisory Authority FINMA, 2011. van Doorn, Philip. 2013. Regulators Double Basel III Capital Requirement (Update 1). The Street. [Online] July 9, 2013. [Cited: August 27, 2013.] http://www.thestreet.com/story/11972798/3/regulators-double-basel-iiicapital-requirement.html. Versigny, Caroline and Stoband, Olivier. 2012. Business model bancaire : Adaptation nécessaire face aux exigences bâloises sur la liquidité. [ed.] © WikiTree Consulting – BE 834 018 272 – Siège Social : rue Capitaine Crespel 3 - 1050 Bruxelles – Tél. +32 2 511 42 53 Rue du 4 Septembre 24 - 75002 Paris
  6. 6. OTC Groupe Onepoint. La lettre OTC. November 2012, Lettre n°49, pp. 1621. Viglietti, Benoît. 2012. La réglementation bâloise : ses impacts sur les portefeuilles de titrisation. [ed.] OTC Groupe Onepoint. La Lettre OTC. November 2012, Lettre n°49, pp. 22-24. © WikiTree Consulting – BE 834 018 272 – Siège Social : rue Capitaine Crespel 3 - 1050 Bruxelles – Tél. +32 2 511 42 53 Rue du 4 Septembre 24 - 75002 Paris

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