Handbook of Basel III Capital - Enhancing Bank Capital in Practice

A deeper examination of Basel III for more effective capital enhancement The Handbook of Basel III Capital Enhancing Bank Capital in Practice delves deep into the principles underpinning the capital dimension of Basel III to provide a more advanced understanding of real–world implementation. Going beyond the simple overview or model, this book merges theory with practice to help practitioners work more effectively within the regulatory framework, and utilise the complex rules to more effectively allocate and enhance capital. A European perspective covers the CRD IV directive and associated guidance, but practitioners across all jurisdictions will find value in the strategic approach to decisions surrounding business lines and assets; an emphasis on analysis urges banks to shed unattractive positions and channel capital toward opportunities that actually fit their risk and return profile. Real–world cases demonstrate successful capital initiatives as models for implementation, and in–depth guidance on Basel III rules equips practitioners to more effectively utilise this complex regulatory treatment. The specifics of Basel III implementation vary, but the underlying principles are effective around the world. This book expands upon existing guidance to provide a deeper working knowledge of Basel III utility, and the insight to use it effectively. Improve asset quality and risk and return profiles Adopt a strategic approach to capital allocation Compare Basel III implementation varies across jurisdictions Examine successful capital enhancement initiatives from around the world There is a popular misconception about Basel III being extremely conservative and a deterrent to investors seeking attractive returns. In reality, Basel III presents both the opportunity and a framework for banks to improve their assets and enhance overall capital the key factor is a true, comprehensive understanding of the regulatory mechanisms. The Handbook of Basel III Capital Enhancing Bank Capital in Practice provides advanced guidance for advanced practitioners, and real–world implementation insight. INDICE: Preface .About the Author .Chapter 1: Overview of Basel III .1.1 Introduction to Basel III .1.2 Expected and Unexpected Credit Losses and Bank Capital .1.3 The Three–Pillar Approach to Bank Capital .1.4 Risk–Weighted Assets (RWAs) .Chapter 2: Minimum Capital Requirements .2.1 Components and Minimum Requirements of Bank Capital .2.2 Components and Minimum Requirements of Capital Buffers .2.3 Capital Conservation Buffer .2.4 Countercyclical Buffer .2.5 Systemic Risk Buffers .2.6 Going Concern vs. Gone Concern Capital .2.7 Case Study: UBS vs. JP Morgan Chase G–SIB Strategies .2.8 Transitional Provisions .Chapter 3: Common Equity 1 (CET1) Capital .3.1 CET1 Minimum Requirements .3.2 Eligibility Requirements of CET1 Instruments .3.3 Case Study: UBS Dividend Policy and Its Impact in CET1 .3.4 Case Study: Santander Dividend Policy and Its Impact in CET1 .3.5 Accumulated Other Comprehensive Income .3.6 Case Study: Banco BPI s Partial Disposal of Portfolio of Portuguese and Italian Government Bonds .3.7 Other Items Eligible for CET1 Capital .3.8 CET1 Prudential Filters .3.9 Additional Valuation Adjustments .3.10 Intangible Assets (Including Goodwill) .3.11 Case Study: Danske Bank s Goodwill Impairment .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 Defined Benefit Pension Plans .3.20 Holdings by a Bank of Own CET1 Instruments .3.21 Case Study: Danske Bank s Share Buyback Program .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 AT1 Deductions .3.28 Temporary Filter on Unrealised Gains and Losses on Available–for–Sale Instruments .Chapter 4: Additional Tier 1 (AT1) Capital .4.1 AT1 Minimum Capital Requirements .4.2 Criteria Governing Instruments Inclusion in AT1 Capital .4.3 Deductions from AT1 Capital .4.4 Holdings of AT1 Instruments of Other Financial Institutions .4.5 Case Study: Lloyds Banking Group Exchange Offer of Tier 2 for AT1 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 .Chapter 6: Contingent Convertibles (CoCos) .6.1 Types of CoCos .6.2 Trigger Levels .6.3 CoCo s Statutory Conversion or Write Down Point of Non–Viability .6.4 CoCo s Coupon Suspension Maximum Distributable Amount .6.5 Adding Pillar 2 Capital Requirements to the MDA Calculation .6.6 Case Study: Barclays Equity Convertible CoCo .6.7 Case Study: Deutche Bank s Write–Down CoCo .6.8 CoCos from an Investor s Perspective .Chapter 7: Additional Valuation Adjustments (AVAs) .7.1 Fair Valuation Accounting Framework (IFRS 13) .7.2 Case Study: Goldman Sachs Investment in Industrial and Commercial Bank of China .7.3 Prudent Valuation vs. Fair Valuation .7.4 Additional Valuation Adjustments (AVAs) Under the Core Approach .7.5 Market Price Uncertainty AVA .7.6 Close–Out Costs AVA .7.7 Model Risk AVA .7.8 Unearned Credit Spreads AVA .7.9 Investing and Funding Costs AVA .7.10 Concentrated Positions AVA .7.11 Future Administrative Costs AVA .7.12 Early Terminations Costs AVA .7.13 Operational Risk AVA .Chapter 8: Accounting vs. Regulatory Consolidation .8.1 Accounting Recognition of Investments in Non–Structured Entities .8.2 Accounting for Full Consolidation .8.3 Working Example on Consolidation .8.4 Loss of Control .8.5 The Equity Method – Associates .8.6 Case Study: Deutsche Bank s Acquisition of Postbank .8.7 IFRS Consolidation vs. Regulatory Consolidation .Chapter 9: Treatment of Minority Interests in Consolidated Regulatory Capital .9.1 Minority Interests Included in Consolidated CET1 .9.2 Minority Interests Included in Consolidated AT1, Tier 1, Tier 2 and Qualifying Total Capital .9.3 Illustrative Example 1: Calculation of the Impact of Minority Interests on Consolidated Capital .9.4 Illustrative Example 2: Calculation of the Impact of Minority Interests on Consolidated Capital .9.5 Case Study: Artificial Creation of Minority Interests .9.6 Case Study: Banco Santander Repurchase of Minority Interests in Santander Brasil .Chapter 10: Investments in Capital Instruments of Financial Institutions .10.1 Basel III Treatment of Investments in Capital Instruments of Financial Institutions .10.2 Worked Examples of Investments in Capital Instruments of Unconsolidated Financial Institutions .10.3 Case Study: BBVA s Acquisition of Garanti .Chapter 11: Investments in Capital Instruments of Insurance Entities .11.1 The Concept of Double Leverage .11.2 Case Study: ING s Double Leverage .11.3 Regulatory Pecularities of Investments in Insurance Entities .11.4 Case Study: Lloyds Banking Group s Capital Enhancement Initiatives Related to its Insurance Subsidiaries .Chapter 12: Equity Investments in Non–financial Entities .12.1 Basel III and Equity Exposures to Non–Financial Entities in the Banking Book .12.2 Equity Exposures Under the Standardised Approach .12.3 Equity Exposures Under the IRB Approach .12.4 Expected Losses from Equity Exposures Under the IRB Approach .12.5 Qualified Holdings Outside the Financial Sector Exceeding the 15% Threshold .12.6 Temporary Exemption from the IRB Treatment of Certain Equity Exposures .12.7 Case Study: CaixaBank s Mandatory Exchangeable on Repsol .12.8 Case Study: Mitsubishi UFJ Financial Group s Corporate Stakes .Chapter 13: Deferred Tax Assets (DTAs) .13.1 Taxes from an Accounting Perspective .13.2 Accounting for Deferred Taxes Arising from Temporary Differences Application to Equity Investments at Either FVTPL or FVTOCI .13.3 Worked Example: Temporary Differences Stemming from Debt Instruments Recognised at Fair Value .13.4 Case Study: UBS Deferred Tax Assets .13.5 Deferred Tax Assets from a Regulatory Capital Perspective .13.6 Case Study: Spanish Banks Conversion of DTAs Into Tax Credits, Improving Their CET1 Positions .13.7 Case Study: Lloyds Banking Group s Expected Utilisation of Deferred Tax Assets .13.8 Initiatives to Reduce Impacts of Deferred Tax Assets on Bank Capital .Chapter 14: Asset Protection Schemes and Bad Banks .14.1 ING s Illiquid Asset Back–Up Facility With the Dutch State .14.2 Royal Bank of Scotland s Asset Protection Scheme .14.3 Case Study: SAREB, The Spanish Bad Bank .14.4 Case Study: NAMA, The Irish Bad Bank .14.5 Asset Protection Schemes Versus Bad Banks .Chapter 15: Approaching Capital Enhancement Initiatives .15.1 Initial Thoughts .15.2 Overview of Main CET1 Capital Ratio Enhancement Initiatives .15.3 Case Study: Deutsche Bank s Rights Issue .15.4 Case Study: Structuring the Disposal of a Portfolio of NPLs .15.5 Case Study: Banco Popular Joint Venture With Verde Partners and Kennedy Wilson .15.6 Case Study: Co–Operative Bank s Liability Management Exercise .Glossary .Bibliography

• ISBN: 978-1-119-33082-0
• Editorial: John Wiley & Sons
• Encuadernacion: Cartoné
• Páginas: 592
• Fecha Publicación: 27/01/2017
• Nº Volúmenes: 1
• Idioma: Inglés