Capital Buffers and Risk-weighted Assets Under Basel III - METAC

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RWA: SECURITIZATIONS• The prudential framework related to the trading book’ssecuritization operations is materially overhauledCredit derivatives and structuredcredit products in the trading bookPrudentialapproachUnsecuritizedcredit products(mainly singlename creditderivatives)Securitized creditproductsRisk and capitalcalculationTrading bookBanking bookAll unsecuritizedcredit productsNot applicableCorrelationtrading activitiesAll othersecuritized creditproducts23
RWA: MARKET RISKS• Increase in capital requirements related tomarket operations:− Capital requirements are the aggregate of the VaRand new factors:• stressed VaR– intends to replicate a value-at-risk calculation that would be generatedto the bank’s current portfolio if the relevant market factors wereexperiencing a period of stress with inputs calibrated to historical datafrom a continuous 12-month period of financial stress (for instance,based on the 2007–08 turmoil);• incremental risk capital charge (IRC)– captures default risk as well as migration risk for unsecuritized creditproducts held in the trading book or• comprehensive risk capital charge– limited to so-called correlation trading portfolios and captures not onlyincremental default and migration risks, but all price risks at a 99.9confidence level on a one-year capital horizon.24
Page 2: INTRODUCTION:REFORMS• Overview of
Page 6: CAPITAL STRUCTURE• Ratio’s cali
Page 10: CAPITAL BUFFERS• Ratio’s calibr
Page 13 and 14: CAPITAL CONSERVATION BUFFER• The
Page 15 and 16: COUNTERCYCLICAL BUFFER• Countercy
Page 17 and 18: COUNTERCYCLICAL BUFFER• Extension
Page 19 and 20: COUNTERCYCLICAL BUFFER• Illustrat
Page 21 and 22: RISK-WEIGHTED ASSETS• Strengtheni
Page 23: RWA: SECURITIZATIONS• The prudent
Page 27 and 28: RWA: MARKET RISKS• Standardized a
Page 29 and 30: QUESTIONS• What are the three new
Page 31 and 32: RWA: COUNTERPARTY RISK• Counterpa
Page 33 and 34: RWA: COUNTERPARTY RISK• Counterpa
Page 35 and 36: SOLVENCY RATIO IMPACT• ImpactSour
Page 37 and 38: HOW TO COPE WITH SUCH NEWREQUIREMEN

Capital Buffers and Risk-weighted Assets Under Basel III - METAC

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