OCCASIONAL PAPER SERIES No 5 / 2015
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Basel III: Post-Crisis Reforms
Basel III: Post-Crisis Reforms Implementation Timeline Focus: Capital Definitions, Capital Focus: Capital Requirements Buffers and Liquidity Requirements Basel lll 2018 2019 2020 2021 2022 2023 2024 2025 2026 2027 1 January 2022 Full implementation of: 1. Revised standardised approach for credit risk; 2. Revised IRB framework; 1 January 3. Revised CVA framework; 1 January 1 January 1 January 1 January 1 January 2018 4. Revised operational risk framework; 2027 5. Revised market risk framework (Fundamental Review of 2023 2024 2025 2026 Full implementation of Leverage Trading Book); and Output 6. Leverage Ratio (revised exposure definition). Output Output Output Output Ratio (Existing exposure floor: Transitional implementation floor: 55% floor: 60% floor: 65% floor: 70% definition) Output floor: 50% 72.5% Capital Ratios 0% - 2.5% 0% - 2.5% Countercyclical 0% - 2.5% 2.5% Buffer 2.5% Conservation 2.5% Buffer 8% 6% Minimum Capital 4.5% Requirement Core Equity Tier 1 (CET 1) Tier 1 (T1) Total Capital (Tier 1 + Tier 2) Standardised Approach for Credit Risk New Categories of Revisions to the Existing Standardised Approach Exposures • Exposures to Banks • Exposure to Covered Bonds Bank exposures will be risk-weighted based on either the External Credit Risk Assessment Approach (ECRA) or Standardised Credit Risk Rated covered bonds will be risk Assessment Approach (SCRA). Banks are to apply ECRA where regulators do allow the use of external ratings for regulatory purposes and weighted based on issue SCRA for regulators that don’t. specific rating while risk weights for unrated covered bonds will • Exposures to Multilateral Development Banks (MDBs) be inferred from the issuer’s For exposures that do not fulfil the eligibility criteria, risk weights are to be determined by either SCRA or ECRA. -
Retirement Strategy Fund 2060 Description Plan 3S DCP & JRA
Retirement Strategy Fund 2060 June 30, 2020 Note: Numbers may not always add up due to rounding. % Invested For Each Plan Description Plan 3s DCP & JRA ACTIVIA PROPERTIES INC REIT 0.0137% 0.0137% AEON REIT INVESTMENT CORP REIT 0.0195% 0.0195% ALEXANDER + BALDWIN INC REIT 0.0118% 0.0118% ALEXANDRIA REAL ESTATE EQUIT REIT USD.01 0.0585% 0.0585% ALLIANCEBERNSTEIN GOVT STIF SSC FUND 64BA AGIS 587 0.0329% 0.0329% ALLIED PROPERTIES REAL ESTAT REIT 0.0219% 0.0219% AMERICAN CAMPUS COMMUNITIES REIT USD.01 0.0277% 0.0277% AMERICAN HOMES 4 RENT A REIT USD.01 0.0396% 0.0396% AMERICOLD REALTY TRUST REIT USD.01 0.0427% 0.0427% ARMADA HOFFLER PROPERTIES IN REIT USD.01 0.0124% 0.0124% AROUNDTOWN SA COMMON STOCK EUR.01 0.0248% 0.0248% ASSURA PLC REIT GBP.1 0.0319% 0.0319% AUSTRALIAN DOLLAR 0.0061% 0.0061% AZRIELI GROUP LTD COMMON STOCK ILS.1 0.0101% 0.0101% BLUEROCK RESIDENTIAL GROWTH REIT USD.01 0.0102% 0.0102% BOSTON PROPERTIES INC REIT USD.01 0.0580% 0.0580% BRAZILIAN REAL 0.0000% 0.0000% BRIXMOR PROPERTY GROUP INC REIT USD.01 0.0418% 0.0418% CA IMMOBILIEN ANLAGEN AG COMMON STOCK 0.0191% 0.0191% CAMDEN PROPERTY TRUST REIT USD.01 0.0394% 0.0394% CANADIAN DOLLAR 0.0005% 0.0005% CAPITALAND COMMERCIAL TRUST REIT 0.0228% 0.0228% CIFI HOLDINGS GROUP CO LTD COMMON STOCK HKD.1 0.0105% 0.0105% CITY DEVELOPMENTS LTD COMMON STOCK 0.0129% 0.0129% CK ASSET HOLDINGS LTD COMMON STOCK HKD1.0 0.0378% 0.0378% COMFORIA RESIDENTIAL REIT IN REIT 0.0328% 0.0328% COUSINS PROPERTIES INC REIT USD1.0 0.0403% 0.0403% CUBESMART REIT USD.01 0.0359% 0.0359% DAIWA OFFICE INVESTMENT -
Contents More Information
Cambridge University Press 978-1-107-10685-7 - The Future of Financial Regulation: Who Should Pay for the Failure of American and European Banks? Johan A. Lybeck Table of Contents More information Contents List of figures x List of tables xii List of boxes xiv Preface xv Acknowledgements xix List of abbreviations xx Introduction xxv Part I A chronological presentation of crisis events January 2007 – December 2014 1 Part II Bail-out and/or bail-in of banks in Europe: a country-by-country event study on those European countries which did not receive outside support 143 1 United Kingdom: Northern Rock, Royal Bank of Scotland (RBS), Lloyds Banking Group 149 2 Germany: IKB, Hypo Real Estate, Commerzbank, Landesbanken 175 3 Belgium, France, Luxembourg: Dexia 191 4 Benelux: Fortis, ING, SNS Reaal 199 5 Italy: Monte dei Paschi di Siena 209 6 Denmark: Roskilde Bank, Fionia Bank and the others vs. Amagerbanken and Fjordbank Mors 216 vii © in this web service Cambridge University Press www.cambridge.org Cambridge University Press 978-1-107-10685-7 - The Future of Financial Regulation: Who Should Pay for the Failure of American and European Banks? Johan A. Lybeck Table of Contents More information viii Contents Part III Bail-out and/or bail-in of banks in Europe: a country-by-country event study on those European countries which received IMF/EU support 225 7 Iceland: Landsbanki, Glitnir and Kaupthing 227 8 Ireland: Anglo Irish Bank, Bank of Ireland, Allied Irish Banks 237 9 Greece: Emporiki, Eurobank, Agricultural Bank 259 10 Portugal: Caixa Geral, -
Basel IV Quantitative Impact Study on Cyprus Banks September 2020 1 Basel IV | Quantitative Impact Study on Cyprus Banks
Basel IV | Quantitative Impact Study on Cyprus Banks Basel IV Quantitative Impact Study on Cyprus Banks September 2020 1 Basel IV | Quantitative Impact Study on Cyprus Banks The aim of this paper is to provide an (especially SME) and retail customers, Summary overview of the changes in Credit Risk as well as project financing (as part of quantification under Basel IV, focusing on specialised lending). Banking-book credit risk requirements both Our most recent publication from a Standardised and Internal Ratings Analysing and understanding how the examines the impact of Basel IV Based (IRB) approach. reforms will affect the various portfolios of on Cyprus Banks. a bank and how these drive the decrease Our paper also provides guidance on the in required capital, is of paramount In particular, this article steps required to begin understanding importance to Cyprus Banks to ensure focuses on the updated Credit the impact of the reforms on required required capital is allocated appropriately Risk assessment framework. data, changes in processes, modelling and to each of the components of a bank. governance. Banks are therefore challenged to start Our analysis indicates that collecting new data as required by the Cyprus Banks are expected to For our analysis, we have performed reforms. a Quantitative Impact Study (QIS) to have a reduction in capital understand the impact across the different Separate to the Standardised approach requirements as a consequence portfolios of a typical Cyprus Bank, (SA) reforms, our paper considers the Basel of the revised risk-weights shedding a light on which components of IV changes under the IRB approach. -
Basel IV and Proportionality Initiatives
Basel IV and proportionality initiatives Upcoming changes to the Canadian capital and liquidity framework Introduction Enhancements to risk-based capital requirements and minimum Q1-2020. Attention is now focused on the implementation of liquidity and funding standards for Deposit-Taking Institutions final Basel III reforms, informally referred to as ‘Basel IV’, which (DTIs) are two foundational aspects of post-financial crisis introduces extensive revisions to the calculation of Risk-Weighted reforms introduced by Basel III. In Canada, initial Basel III reforms Assets (RWA) for Pillar 1 risks. OSFI’s proposed policy direction dedicated to raising the quality and quantity of capital have and implementation timelines for Basel IV are included in OSFI’s already been implemented. The domestic implementation of July 2018 discussion paper, Implementation of the final Basel III Basel III liquidity and funding standards will be complete when reforms in Canada. DTIs begin reporting the Net Stable Funding Ratio (NSFR) in Figure 1: Summary of basel capital, leverage and liquidity requirements Focus of CET1 Basel III: ratio Raising the Capital LCR, NSFR Leverage ratio quality and quantity of capital Focus of RWA Basel IV: Revising how risks are calculated Risk positions SA for Securitisation Operational SA for IRB for Market risk CVA risk Output measuring risk credit risk credit risk (FRTB) floor counterparty credit risk Source: Workshop Basel IV, KPMG International, 2018. While the Basel framework was originally designed to apply to which obligates DTIs to achieve compliance with updated large, internationally-active banks, domestic regulators including standards in short order. OSFI have applied Basel standards to a wider set of banks In this paper, we provide a consolidated overview of the for pragmatic reasons. -
Basel Iv Compliance
REPRINT risk & R&Ccompliance DATA PRIVACY INBASEL EUROPE IV COMPLIANCE REPRINTED FROM: RISK & COMPLIANCE MAGAZINE JAN-MARJAN-MAR 20202014 ISSUE rriskisk && && compliance compliance������������ JAN-MAR 2014 RC ��������������������������������� RC www.riskandcompliancemagazine.com Inside this issue: FEATURE The evolving role of the chief risk officer EXPERT FORUM Managing your company’s regulatory exposure ������������������ HOT TOPIC ������� Data privacy in Europe ������������������������� ���������������������� ������������ ���������������������� �������������������� ��������� ������������������������� ����������������������������� www.riskandcompliancemagazine.com VVisitisit the website to request a free copy of the full e-magazine To learn more about how SAS can help drive business evolution with intelligent Published by Financier Worldwide Ltd [email protected]@financierworldwide.com risk analytics, please visit sas.com/risk. © 20202014 Financier Worldwide Ltd. All rights reserved. risk & R&Ccompliance www.riskandcompliancemagazine.com 2 RISK & COMPLIANCE Jan-Mar 2020 www.riskandcompliancemagazine.com MINI-ROUNDTABLE MINI-ROUNDTABLE BASEL IV COMPLIANCE www.riskandcompliancemagazine.com RISK & COMPLIANCE Jan-Mar 2020 3 BASEL IV COMPLIANCE MINI-ROUNDTABLE PANEL EXPERTS Luís Barbosa Partner PwC T: +351 213 599 151 E: luis.fi[email protected] Luís Barbosa is currently leading PwC’s European network in the area of risk modelling & risk-weighted assets (RWA) and is responsible for the credit risk -
Bad Bank Resolutions and Bank Lending by Michael Brei, Leonardo Gambacorta, Marcella Lucchetta and Bruno Maria Parigi
BIS Working Papers No 837 Bad bank resolutions and bank lending by Michael Brei, Leonardo Gambacorta, Marcella Lucchetta and Bruno Maria Parigi Monetary and Economic Department January 2020 JEL classification: E44, G01, G21 Keywords: bad banks, resolutions, lending, non-performing loans, rescue packages, recapitalisations BIS Working Papers are written by members of the Monetary and Economic Department of the Bank for International Settlements, and from time to time by other economists, and are published by the Bank. The papers are on subjects of topical interest and are technical in character. The views expressed in them are those of their authors and not necessarily the views of the BIS. This publication is available on the BIS website (www.bis.org). © Bank for International Settlements 2020. All rights reserved. Brief excerpts may be reproduced or translated provided the source is stated. ISSN 1020-0959 (print) ISSN 1682-7678 (online) Bad bank resolutions and bank lending Michael Brei∗, Leonardo Gambacorta♦, Marcella Lucchetta♠ and Bruno Maria Parigi♣ Abstract The paper investigates whether impaired asset segregation tools, otherwise known as bad banks, and recapitalisation lead to a recovery in the originating banks’ lending and a reduction in non-performing loans (NPLs). Results are based on a novel data set covering 135 banks from 15 European banking systems over the period 2000–16. The main finding is that bad bank segregations are effective in cleaning up balance sheets and promoting bank lending only if they combine recapitalisation with asset segregation. Used in isolation, neither tool will suffice to spur lending and reduce future NPLs. Exploiting the heterogeneity in asset segregation events, we find that asset segregation is more effective when: (i) asset purchases are funded privately; (ii) smaller shares of the originating bank’s assets are segregated; and (iii) asset segregation occurs in countries with more efficient legal systems. -
The Value of Diversity in Bank Credit Portfolios Basel Iv
BASEL IV REQUIRESIN BANKTHE SERIOUS CREDIT VALUE PORTFOLIOSOFU.S. DIVERSITY REVIEW REPRINTS OF THE QUARTERLY JOURNAL OF THE CLEARING HOUSE Q1 2018, VOLUME 6, ISSUE 1 AND DESIGNING A MORE EFFECTIVE AML/CFT SYSTEM MENDING THE RISK-BASED APPROACH HAS THE U.K. FOUND THE ANSWER TO AML INFORMATION SHARING? TECH’S ROLE IN IMPROVING THE AML SYSTEM AML REFORM: A SAFE HARBOR PROPOSAL THE VALUE OF DIVERSITY 2 BANKING PERSPECTIVES IN BANK CREDIT QUARTER 1 2018 PORTFOLIOS DIVERSITY CAN BE A POSITIVE FORCE FOR A HEALTHY CREDIT MARKET AND A SYSTEMICALLY HEALTHY FINANCIAL SYSTEM. BY DAVID CARRUTHERS AND MARK FAULKNER CREDIT BENCHMARK DIVERSITY – IN NATURE AND IN HUMAN ACTIVITY – is usually seen as a force for good. This view has strong support among credit market participants, especially the banks that mobilize and deploy capital; they believe that there are economic and systemic benefits resulting from banks taking PORTFOLIOS different views of risk. However, financial regulators are concerned about the role of this diversity in driving excess variability in risk-weighted assets. Regulators have argued for, and continue to impose, regulatory floors and ceilings to limit that variability; however, in some cases, these constraints could limit the scope for credit opinion diversity. Despite the differences in opinion, we find it encouraging that this important topic is now the subject of a constructive debate between the participants in the market and those who regulate it. D BANKING PERSPECTIVES QUARTER 1 2018 3 The Value of Diversity in Bank Credit Portfolios A broad and deep credit market is an essential element than 90% of the bank obligors are unrated by the major of a broad, deep, and robust economy, mobilizing idle nationally recognized statistical rating organizations.1 capital and facilitating maturity transformation. -
Summary of Government Interventions in Financial Markets Denmark
8 September 2009 Summary of Government Interventions in Financial Markets Denmark Overview and which is wholly owned by the Kingdom of Denmark. The Winding-Up Company is responsible for In response to effect of the crisis on Danish financial covering the unsecured claims and has a power to wind markets, Denmark, similar to the US, the UK, up a bank which fails to meet the statutory capital Germany, Ireland and the Netherlands, has established adequacy requirements and for which no sustainable a state guarantee scheme and a bailout package to private sector solution can be found. The Winding-Up ensure financial stability in the country. Company will contribute to a new subsidiary in order to take over the distressed bank and wind it up in a State guarantee scheme controlled way to safeguard unsecured creditors against losses. On 5 October 2008, the Danish Government and the Private Contingency Association (the “PCA”, in Danish: The scheme covers all Danish banks which were Det Private Beredskab, which was established in 2007 members of the PCA prior to 13 October 2008 and may and comprises nearly all Danish banks), agreed to cover their foreign branches, provided they are in a establish a safety scheme to ensure that depositors and country with a corresponding guarantee scheme. (in respect of Danish banks only) other unsubordinated Danish branches of foreign banks can also access the and unsecured creditors are protected. scheme but will only receive coverage for a limited type of claim (i.e. deposits of a type covered by the Danish The guarantee scheme provides that the Kingdom of Deposit Guarantee Scheme). -
Back to the 'Domestic' Future: Pricewaterhousecoopers M&A
Financial Services Back to the ‘domestic’ future* From strategic expansion to rapid contraction in financial services M&A in EMEA March 2009 *connectedthinking Contents Welcome 3 Annus horribilis 6 2008: year zero for Financial Services M&A 9 Valuations: fundamental value or hope, fear and greed? 12 UK large cap: the government steps in 15 UK mid-market: balance sheet restructuring driving non-core disposals 17 Western & Northern Europe: crisis leads to increased government involvement 19 Central, Eastern and South Eastern Europe and the CIS: the tide turns 22 Middle East and North Africa: shifting sands 25 Sub-Saharan Africa: feeling the heat? 28 The buyout market: down but not out 30 Speciality finance: coming in from the cold? 34 Infrastructure: the next big thing? 36 Investment management: at a crossroads 38 Distressed assets return to prominence 40 Does the industry need a new mindset? 42 The day after tomorrow 44 Greater domestic focus, lower valuations and restructuring 46 PricewaterhouseCoopers Back to the ‘domestic’ future 3 Welcome This 6th annual review of European Financial Services M&A has been written by a broader range of authors than previously. It comprises a series of articles covering specific issues and geographical areas. Notwithstanding this change, we continue to deliver in-depth deal analysis and still provide a consistent and continuous means to compare and contrast activity. We have also chosen to expand the scope of our report to embrace the Middle East and African markets. As a result, we now offer a comprehensive Europe, Middle East and Africa (EMEA) perspective. 2008 will be remembered as the year in which the developed economies entered recession and economists downgraded economic growth expectations (Figure 1). -
EU State Aid Rules and the Lender of Last Resort: Challenges to the Notion of State Aid in the Wake of the Financial Crisis
Department of Law EU State Aid Rules and the Lender of Last Resort: Challenges to the Notion of State Aid in the Wake of the Financial Crisis Kira Krissinel Thesis submitted for assessment with a view to obtaining the degree of Master in Comparative, European and International Laws (LL.M.) of the European University Institute Florence, October 2010 EUROPEAN UNIVERSITY INSTITUTE Department of Law EU State Aid Rules and the Lender of Last Resort: Challenges to the Notion of State Aid in the Wake of the Financial Crisis Kira Krissinel Thesis submitted for assessment with a view to obtaining the degree of Master in Comparative, European and International Law (LL.M.) of the European University Institute. Supervisor: Prof. Heike Schweitzer, University of Mannheim © 2010, Kira Krissinel No part of this thesis may be copied, reproduced or transmitted without prior permission of the author INTRODUCTION 4 PART I - OVERVIEW OF THE LEGAL FRAMEWORKS 6 THE ‘NO CRISIS’ LEGAL FRAMEWORK 6 CASE STUDY 1: NORTHERN ROCK 8 CASE STUDY 2: ROSKILDE BANK 9 THE ‘IN CRISIS’ FRAMEWORK 11 The Banking Communication and the new legal framework 12 The Recapitalisation Communication 13 Impaired Assets Communication 13 Restructuring Communication 14 CASE STUDY 3: CARNEGIE BANK 14 PART II - THE THEORY ON THE LENDER OF LAST RESORT 16 (1) The Central Bank’s Role as a Lender of Last Resort and its Justifications 16 Banks are special 17 Interbank market 18 (2) Academic Debate on LOLR and current practice 19 (i) The question of solvency 20 (ii) The question of good collateral -
Remuneration for Bank Executives
Remuneration for bank execu- tives A study on the impacts of corporate governance codes on executive re- muneration in Sweden, Denmark and the United Kingdom between 2004 and 2010 Degree Project within Business Administration Author: Andreas Klang and Niclas Kristoferson Tutor: Assoc. Prof. Dr. Dr. Petra Inwinkl Jönköping May 2011 Acknowledgements The process of this degree project, would not have been what it is without a number of people whom have contributed and played a part in shaping it to what it is today We would like to thank our tutor Assoc. Prof. Dr. Dr. Petra Inwinkl for herr advice and guidance throughout the process of the whole thesis. This thesis would not have been the same without her influential ideas and constructive criticism. We would also like to thank our seminare partners for their constructive feedback dur- ing all seminars. At last we would like to thank our families and girlfriends whom have endure us during the past six months with constant support and love. Andreas Klang Niclas Kristoferson Division of work The authors of the Remuneration for bank executives, a study on the impacts of corporate go- vernance codes on executive remuneration in Sweden, Denmark and the United Kingdom be- tween 2004 and 2010 are Andreas Klang and Niclas Kristoferson. Andreas Klang have done fif- ty per cent and Niclas Kristoferson have done fifty per cent. Degree Project within Business Administration Title: Remuneration for Bank Executive- A study on the impacts of corporate governance on executive remuneration Author: Andreas Klang and Niclas Kristoferson Tutor: Assoc. Prof. Dr. Dr.