Handbook of Basel III Capital
Сумата се прибавя директно в кошницата
19.38 лв.
Preface xlii
About the Author xv
CHAPTER 1
Overview of Basel Ш 1
1.1 Introduction to Basel III 1
1.2 Expected and Unexpected Credit Losses and Bank Capital 3
1.3 The Three-Pillar Approach to Bank Capital 4
1.4 Risk-Weighted Assets (RWAs) 8
CHAPTER 2
Minimum Capital Requirements It
2.1 Components and Minimum Requirements of Bank Capital 11
2.2 Components and Minimum Requirements of Capital Buffers 12
2.3 Capital Conservation Buffer 13
2.4 Countercyclical Buffer 14
2.5 Systemic Risk Buffers 19
2.6 Going Concern vs. Gone Concern Capital 23
2.7 Case Study: UBS vs. JP Morgan Chase G-SIB Strategies 25
2.8 Transitional Provisions 36
CHAPTER 3
Common Equity 1 (GET1) Capital 39
3.1 CET1 Minimum Requirements 39
3.2 Eligibility Requirements of CET1 Instruments 39
3.3 Case Study: UBS Dividend Policy and Its Impact on CET1 48
3.4 Case Study: Santander Dividend Policy and Its Impact in CET1 54
3.5 Accumulated Other Comprehensive Income 58
3.6 Case Study: Banco BPI’s Partial Disposal of Portfolio of Portuguese
and Italian Government Bonds 69
3.7 Other Items Eligible for CET1 Capital 74
3.8 CET1 Prudential Filters 75
3.9 Additional Valuation Adjustments 76
3.10 Intangible Assets (Including Goodwill) 76
3.11 Case Study: Danske Bank’s Goodwill Impairment 84
3.12 Case Study: Barclays Badwill Resulting From Its Acquisition of Lehman Brothers N.A.
3.13 Deferred Tax Assets
3.14 Fair Value Reserves Related to Gains or Losses on Cash Flow Hedges
3.15 Negative Amounts Resulting From the Calculation of Expected Loss Amounts
3.16 Equity Increases Resulting from Securitised Assets
3.17 Gains or Losses on Liabilities Valued at Fair Value Resulting from Changes in Own Credit Standing
3.18 Defined-Benefit Pension Plans
3.19 Case Study: Lloyds’ De-Risking of its Defined Benefit Pension Plans
3.20 Holdings by a Bank of Own CET1 Instruments
3.21 Case Study: Danske Bank’s Share Buyback Programme
3.22 Case Study: Deutsche Bank’s Treasury Shares Strategy
3.23 Holdings of the CET1 Instruments of Financial Sector Entities
3.24 Deduction Election of 1,250% RW Assets
3.25 Amount Exceeding the 17.65% Threshold
3.26 Foreseeable Tax Charges Relating To CET1 Items
3.27 Excess of Qualifying ATI Deductions
3.28 Temporary Filter on Unrealised Gains and Losses on Available-for-Sale Instruments
CHAPTER 4
Additional Tier 1 (ATI) Capita!
4.1 ATI Minimum Capital Requirements
4.2 Criteria Governing Instruments Inclusion in ATI Capital
4.3 Deductions from ATI Capital
4.4 Holdings of ATI Instruments of Other Financial Institutions
4.5 Case Study: Lloyds Banking Group Exchange Offer of Tier 2 for ATI Securities
CHAPTER 5 Tier 2 Capital
5.1 Tier 2 Capital Calculation and Requirements for Inclusion
5.2 Negative Amounts Resulting from the Calculation of Expected Loss Amounts
5.3 Deductions from Tier 2 Capital
5 .4 Holdings of Tier 2 Instruments of Other Financial Institutions
5.5 Case Study: Deutsche Bank’s Tier 2 Issue
CHAPTERS
Contingent Convertibles (CoCos)
6.1 Types of CoCos
6.2 Trigger Levels
6.3 CoCos’ Statutory Conversion or Write-Down - Point of Non-Viability
6.4 CoCo’s Coupon Suspension - Maximum Distributable Amount 195
6.5 Adding Pillar 2 Capital Requirements to the MDA Calculation 200
6.6 Case Study: Barclays’ Equity Convertible CoCo 200
6.7 Case Study: Deutsche Bank’s Write-Down CoCo 210
6.8 CoCos from an Investor’s Perspective 226
CHAPTER 7
Ammonal Valuation Adjustments (AVAs) 228
7.1 Fair Valuation Accounting Framework (IFRS 13) 229
7.2 Case Study: Goldman Sachs Investment in Industrial
and Commercial Bank of China 241
7.3 Prudent Valuation vs. Fair Valuation 243
7.4 Additional Valuation Adjustments (AVAs) Under the Core'Approach 248
7.5 Market Price Uncertainty AVA 250
7.6 Close-Out Costs AVA 266
7.7 Model Risk AVA 267
7.8 Unearned Credit Spreads AVA 268
7.9 Investing and Funding Costs AVA 269
7.10 Concentrated Positions AVA 269
7.11 Future Administrative Costs AVA 271
7.12 Early Terminations Costs AVA 272
7.13 Operational Risk AVA 272
CHAPTER 8
Accounting vs. Regulatory Consolidation 275
8.1 Accounting Recognition of Investments in Non-Structured Entities 275
8.2 Accounting for Full Consolidation 276
8.3 Working Example on Consolidation 283
8.4 Loss of Control 294
8.5 The Equity Method - Associates 295
8.6 Case Study: Deutsche Bank’s Acquisirion of l’osrbank 298
8.7 IFRS Consolidation vs. Regulatory Consolidation 309
CHAPTER 9
Treatment of Minority Interests in Consolidated Regulatory Capital 812
9.1 Minority Interests Included in Consolidated CET1 312
9.2 Minority Interests Included in Consolidated Л1 1.
Tier 1, Tier 2 and Qualifying Tota 1 Capital 316
9.3 Illustrative Example 1: Calculation of the Impact of Minority
Interests on Consolidated Capital 319
9.4 Illustrative Example 2: Calculation of the Impact of Minority
Interests on Consolidated Capital 322
9.5 Case Study: Artificial Creation of Minority Interests 325
9.6 Case Study: Banco Santander Repurchase of Minority
Interests in Santander Brasil 326
CHAPTER 10
Investments in Capital Instruments of Financial institutions 334
10.1 Basel 111 Treatment of Investments in Capital
Instruments of Financial Institutions 335
10.2 Worked Examples of Investments in Capital Instruments
of Unconsolidated Financial Institutions 347
10.3 Case Study: BBVA's Acquisition of Garanti 354
CHAPTER 11
Investments in Capital instruments of Insurance Entitles 370
11.1 The Concept ot Double Leverage 370
11.2 Case Study: ING’s Double Leverage 371
11.3 Regulatory Peculiarities of Investments in Insurance Entities 377
11.4 Case Study: Lloyds Banking Group's Capital
Enhancement Initiatives Related to its Insurance Subsidiaries 379
CHAPTER 12
Equity Investments in Non-financial Entities 384
12.1 Basel III and Equity Exposures to Non-Financial Entities
in the Banking Book 384
12.2 Equity Exposures Under the Standardised Approach 385
12.3 Equity Exposures Under the IRB Approach 386
12.4 Expected losses from Equity Exposures Under the IRB Approach 392
12.5 Qualified Holdings Outside the Financial Sector
Exceeding the 15% Threshold 393
12.6 Temporary Exemption from the IRB Treatment
of Certain Equity Exposures 394
11~ Case Study: CaixaBank’s Mandatory Exchangeable on Repsol 395
12.8 Case Study: Mitsubishi UFJ Financial Group’s Corporate Stakes 405
CHAPTER 13
Deferred Tax Assets (DTAs) 411
13.1 Taxes front an Accounting Perspective 411
13.2 Accounting for Deferred Taxes Arising from Temporary Differences -
Application to Equity Investments at Either FVTPL or FVTOCI 415
13.3 Worked E'xainple: Temporary Differences Stemming
from Debt Instruments Recognised at Fair Value 428
13.4 Case Study: UBS's Deferred Tax Assets 435
13.5 Deferred Tax Assets from a Regulatory Capital Perspective 442
13.6 Case Study: Spanish Banks Conversion of DTAs Into Tax Credits,
Improving Their CHTl Positions 449
13.7 Case Study: Lloyds Banking Group’s Expected Utilisation
of Deferred Tax Assets 452
13.8 Initiatives to Reduce Impacts of Deferred Tax
Assets on Bank Capital 459
CHAPTER 14
Asset Protection Schemes and Bad Banks 469
14.1 ING’s Illiquid Asset Back-Up Facility With the Dutch State 469
14.2 Royal Bank of Scotland’s Asset Protection Scheme 476
14.3 Case Study: SAREB, The Spanish Bad Bank 486
14.4 Case Study: NAMA, The Irish Bad Bank 489
14.5 Asset Protection Schemes Versus Bad Banks 493
CHAPTER 15
Approaching Capital Enhancement Initiatives 495
15.1 Initial Thoughts 495
15.2 Overview of Main CET1 Capital Ratio Enhancement Initiatives 497
15.3 Case Study: Deutsche Bank’s Rights Issue 501
15.4 Case Study: Structuring the Disposal of a Portfolio of NPLs 502
15.5 Case Study: Banco Popular Joint Venture with
Verde Partners and Kennedy Wilson 508
15.6 Case Study: Co-Operative Bank’s Liability Management Exercise 516
GLOSSARY 523
BIBLIOGRAPHY 531
INDEX 533
