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

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RWA: COUNTERPARTY RISK• Requirements related to the counterparty risksarisen from derivatives operations:− Must be determined on the basis of stress parametersand an increased correlation.• Three years of data including a period of stronger increase ofthe CDS spreads− The contributed guarantees/collateral and initialcalculation of the margins are taken into account moreconservatively.• In particular, the banks with material and illiquid derivativespositions must apply longer margin calculation periods in orderto calculate regulatory capital requirements.31
RWA: COUNTERPARTY RISK• Counterparty risk (continued)− The banks must also:• regularly check the relevance of their exposure’smeasurement through backtesting;• calculate an additional capital requirement representing therisk of an impairment of the non-defaulting counterparty’scredit quality (credit value adjustments).− corresponds to the mark-to-market losses that have induced losses largelyexceeding the default-related losses during the crisis (2007-2009).• better manage the Wrong Way risk: when exposures increasewhile the counterparty’s credit quality increases.− Incentive fostering reliance on clearing housesthrough lower capital requirements.32
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 and 24: RWA: SECURITIZATIONS• The prudent
Page 25 and 26: RWA: MARKET RISKS• Increase in ca
Page 27 and 28: RWA: MARKET RISKS• Standardized a
Page 29 and 30: QUESTIONS• What are the three new
Page 31: 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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