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!"# Global Equity Research Global UBS Investment Research Banks Post-crisis banking Equity Strategy Basel III proposal 17 December 2009 ! Consultation paper www.ubs.com/investmentresearch Today, the Basel Committee for Bank Supervision published a consultation paper on financial regulatory reforms that set out to enhance capital and liquidity standards. The consultation paper is subject to an impact assessment and at this stage lacks definitive quantifications. Philip Finch Analyst ! Key proposals [email protected] Proposed changes to financial regulations include: 1) a capital ratio based on +44-20-7568 3456 common equity and retained earnings (excluding hybrids and DTAs); 2) an Peter Carter introduction of a leverage ratio based on a harmonised definition; 3) a 30-day Analyst liquidity ratio; 4) counter-cyclical buffers; and 5) a new risk weighting to reflect [email protected] counter-party risk. +44 20 7568 4043 ! Potential timeframe The proposed measures are subject to an impact assessment to be carried out in the first half of 2010. Feedback on the consultative documents should be submitted by 16 April 2010. The implementation deadline is year-end 2012, although extended transition arrangements might be permitted. ! Initial conclusion While the proposed framework appears to be robust and comprehensive, regulatory uncertainty will likely persist, given the absence of definitive quantifications, and could continue to weigh on sector growth and risk appetite. As such, we maintain our preference for banks that are well capitalised and strongly funded. Following coverage initiation, we add BAC to our preferred list. This report has been prepared by UBS Limited ANALYST CERTIFICATION AND REQUIRED DISCLOSURES BEGIN ON PAGE 8. UBS does and seeks to do business with companies covered in its research reports. As a result, investors should be aware that the firm may have a conflict of interest that could affect the objectivity of this report. Investors should consider this report as only a single factor in making their investment decision. Post-crisis banking 17 December 2009 Basel III proposal Today, the Basel Committee on Banking Supervision published its consultative proposals to strengthen the resilience of the banking sector. The proposals set out to enhance capital and liquidity standards within the banking system. The proposals build on the previous "Enhancements to the Basel II framework (July 2009)" and "Report and recommendations of the Cross-border Bank Resolution Group (September 2009)”. There was little in terms of surprise in the broad themes of the document in that it seems a logical extension of the July 2009 and September 2009 documents. We would characterise this as a cautious follow-up on that work. A key theme running throughout the document is the requirement for harmonisation of standards globally to prevent capital and regulatory arbitrage, along with increased disclosure to both regulators and shareholders. Key proposals ! Capital base and risk coverage: raising the quality, transparency and consistency of the capital base, reducing the possibility of capital and regulatory arbitrage. This is an extension and modification of the existing tier 1 capital regime, with an increased emphasis on the importance of common equity capital as the primary means of ensuring solvency and reducing the usage of non-equity tier 1 capital. ! Leverage ratio: to be introduced as a supplementary measure to Basel II, and to be “calculated in a comparable manner across jurisdictions, adjusting for any remaining differences in accounting standards. It will include a 30- day liquidity coverage ratio requirement underpinned by a longer-term structural liquidity ratio. ! Countercyclical capital measures: to promote more forward-looking provisions, conserve capital to build buffers at individual banks and in the banking sector that can be used in times of stress, and achieve the broader macro prudential goal of protecting the banking sector from periods of excess credit growth; ! Global liquidity standard: for internationally active banks with a minimum 30-day liquidity coverage ratio and a longer-term structural liquidity ratio. To enable implementation of this standard, there will a common set of liquidity metrics to assist supervisors to understand liquidity risks at a bank and system level. Capital base measures Tier 1 capital is to be predominantly comprised of common shares and retained equity. Non-equity tier 1 must be subordinated and have discretionary dividends/coupons with no incentive to redeem in times of stress. Tier 2 capital instruments will be harmonised, and tier 3 capital will be phased out. There will be a calculation of a stressed VaR capital requirement based on a 12m period of financial stress. Banks must calculate capital requirements for counterparty credit risk, similar to those that have been proposed for market risk. UBS 2 Post-crisis banking 17 December 2009 Banks will be subject to a capital charge for mark-to-market losses (i.e. credit valuation adjustments) and increased margining requirements for large and illiquid derivative exposures. Exclusions from tier 1 capital The committee is proposing a number of measures to harmonise the types of capital that can comprise tier 1 capital and the exclusions from that capital. The key tenet is that common equity and retained earnings are the key capital to protect depositors in a going concern. Tier 2 capital is only expected to be used to protect depositors in the event of a failure of the bank. The proposal is that there will be additional types of capital tier 1 capital (Tier 1 Additional Going Concern Capital), but this will be limited in both scale and types of capital. All of these additional tier 1 capital types must be perpetual, callable at the initiative of the issuer after regulatory authorisation, have fully discretionary dividends/coupon and be capable of principal loss absorption at pre-specified trigger points, and cannot have features that hinder recapitalisation. There are a number of detailed proposals, but these are mostly to prevent loopholes being exploited to require less common equity than would otherwise be required. Key exclusions from tier 1 capital are: ! Goodwill and other intangibles. ! Minority interests. ! Stock surplus, i.e. share premium can only be included if the shares to which it relates can also be included in tier 1 capital. This is to prevent, for example, the share premium from preference shares being included in tier 1 capital, given that the share premium might need to be repaid in the event of the (non-tier 1 preference shares) being repaid. ! Unrealised gains on debt instruments, loans and receivables, equities and own-use properties and investment properties – all unrealised gains/losses will be applied to the tier 1 capital. ! Deferred tax assets that rely on future profitability to be realised will be excluded from the common equity component of tier 1 capital. In the case that the assets do not require future profitability (because local laws vary in this respect), the assets would be assigned the relevant sovereign risk weighting. ! Investments in own shares: to prevent double-counting of a bank's own capital, all investments in own shares would be excluded from tier 1 capital, except gross long positions that can be netted with shorts without any counterparty risk. Also to be excluded from tier 1 capital would be a bank’s investments in itself via its holdings in relevant index securities. ! Investment in certain other types of banking, financial and insurance entities: to prevent the double-counting of system-wide tier 1 capital. For example, reciprocal cross-shareholdings and large investments in other banks. These restrictions will apply irrespective of whether the investments occur in the UBS 3 Post-crisis banking 17 December 2009 banking book or the trading book. Investments via index securities would be included in this provision. ! Shortfalls in the stock of provisions to expected losses, which are currently only charged 50% to tier 1 capital and 50% to tier 2. ! Gains or losses due to changes in own credit risk on fair-values financial liabilities. ! Defined benefit pension fund assets and liabilities: if assets in the fund to which the bank has unregistered access can be used to offset the deduction once the relevant risk weight has been applied for that asset class, but only with regulator's approval. In addition, banks will be required to disclose a full reconciliation of all regulatory capital elements back to the balance sheet in the audited accounts, along with a disclosure of regulatory adjustments and a description of all limits. All banks will be required to make available all the terms and conditions related to all regulatory capital instruments. Leverage ratio measures A harmonised leverage ratio including certain off-balance sheet assets will be introduced to limit overall leverage levels so that there is non-risk based "backstop" based on gross exposure. The measure is to be based on measures consistent with company accounts. No netting of positions is to be allowed and no allowance for collateral or other credit risk mitigation measures will be allowed. Certain off-balance sheet items will also be included using a flat 100% credit conversion factor, and written credit protection is included at notional value. Repo transactions (without netting) will be included in this measure and there are two options being considered to calculate the exposure of derivatives. Counterparty credit risk The proposal comprises a large number of changes to the Basel II framework in the area of capital provisions for counterparty credit risk. From those changes a few key points stand out: ! The application of a multiplier of 1.25 to the asset value correlation for exposures to large regulated financial businesses (>$25bn assets) and to all unregulated financial businesses. Both the multiplier and the asset size threshold are subject to calibration. ! A supervisory haircut for all repo-style transactions using securitisation collateral and the prohibition of re-securitisations as collateral for regulatory capital purposes.
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