Capital%20Adequacy

1
Capital Adequacy

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2
Agenda
3
Agenda
4
Function of capital

• To absorb unanticipated losses with enough margin
  to inspire confidence and enable the FI to
  continue as a going concern
• To protect uninsured depositors, bondholders, and
  creditors in the event of insolvency and
  liquidation
• To protect FI insurance funds and taxpayers
• To protect the FI owners against increase in
  insurance premiums
• To fund the branch and other real investments
  necessary to provide financial services

5
Capital

• Economists definition
• Capital (net worth) market value of assets
  market
• value of liabilities
• Accountants defined
• Capital book value of assets market value of
• liabilities

Market value accounting
Book value accounting
6
TABLE 20-2 Assets
Liabilities
(in millions of dollars) Long-term securities
80 Liabilities
90Long-term
loans 12
Net worth
2
92
921. The loss of
asset value is charged against the equity owners
capital or net worth2. The liability
holders (depositors) are fully protected in that
the total market value of their claims is
still 903. Because debt holders legally are
senior claimants and equity holders are junior
claimants to an FIs assets
credit risk effect on market value

• TABLE 20-1
• Assets
  Liabilities (in millions of
  dollars)
• Long-term securities 80
  Liabilities
  90
• Long-term loans
  20 Net worth
  10
• 
  100
  100

7
Interest risk effect on market value

• TABLE 20-1
• Assets
  Liabilities (in millions of
  dollars)
• Long-term securities 80
  Liabilities (short-term ,floating-
  90
• 
  rate deposits)
• Long-term loans
  20 Net worth
  10
• 
  100
  100
• Table 20-24
• Assets
  
  Liabilities
• Long-term securities 75
  Liabilities (short-term ,floating-
  90
• 
  rate deposits)
• Long-term loans
  17 Net worth
  2
  
• 
  92
  92
• Rising interest rates reduce the market value of
  the FIs long-term fixed-income securities and
  loans
• Because all deposit liabilities are assumed to be
  short-term floating-rate deposits, their market
  values are unchanged at 90
• the net worth loss from 10 to 2
• Only if the fall in market value of assets
  exceeds 10 are the liability holders adversely
  affected

8
conclusion

• Market valuation of their balance sheet produces
  an economically accurate picture of the net worth
• As long as the owners capital or equity stake is
  adequate ,or sufficiently large, liability
  holders are protected against insolvency risk
• If an FI were closed by regulators before its
  economic net worth became zero ,neither liability
  holders nor those regulators guaranteeing the
  claims of liability holders would stand to lose

9
The book value of capital

• The book value of capital usually comprises the
  following
• four components
• Par value of shares
• Surplus value of shares
• Retained earnings
• Loan loss reserve

10

the book value of capital and credit risk

• TABLE 20-5
• Assets
  
  Liabilities
• Long-term securities 80
  Liabilities
  90
• Long-term loans 20
  Net worth
  10
• 
  100
  100
• TABLE20-6
• Assets
  
  Liabilities
• Long-term securities 80
  Liabilities
  90
• Long-term loans 17
  Net worth
  7
• 
  97
  97
• FIs have greater discretion in reflection or
  timing problem loan loss
• recognition on their balance sheets
• Try to present a more favorable picture to
  depositors and regulators
• Only pressure from regulators such as bank,
  thrift, or insurance examiners may force loss
  recognition and write downs in the values of
  problem assets

11
the book value of capital and interest rate risk

• TABLE 20-5
• Assets
  
  Liabilities
• Long-term securities
  80 Liabilities
  90
• Long-term loans
  20 Net worth
  10
  
• 
  100
  100
• Assets
  Liabilities
• Long-term securities
  80 Liabilities
  90
• Long-term loans
  20 Net worth
  10
  
• 
  100
  100
• The rise in interest rates has no effect on the
  value of assets ,liabilities, or the book value
  of equity, the balance sheet remains unchanged

12
Arguments against market value accounting

• Against (market value)
  support (market value)
• 1. It is difficult to implement
  1. error resulting from the use of
  
• 
  market valuation is less
  serious
• 2. It introduces an unnecessary 2.
  FIs are increasingly trading, selling,
• degree of variability into an FIs
  and securitizing assets rather than
• earnings , especially they hold
  holding them to maturity
• loans and other assets to maturity
• 3. FIs are less willing to accept longer-
• term asset exposures

13
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14
Agenda
15
Background
1980??,???? ???????,?? ???????
1988?7???? BIS????? ????????? ?1988??????
G10????
???? ???????
???????
2001?1?16? ??????? ??????2006 ??????
1996?1? ????????? ????????
?????????
16
Basel I ???

• 1.?????????
• 2.????????,???????
• 3.???????
• 4.???????
• 5.????????
• 6.???????

17
(No Transcript)
18
Agenda
19
Capital-Assets Ratio (Leverage Ratio)

• LCore Capital /Total Assets
• Core Capital
• common equity(book value)
• qualifying cumulative perpetual preferred stock
• minority interests in equity accounts of
  consolidated subsidiaries

20
Specifications of Capital Categories for PCA
Receivership is mandatory
Prompt Correction Action must be taken if a bank
falls outside zone1
21
PCA of FDICIA of 1991
22
PCA of FDICIA of 1991
23
Problems of using Leverage Ratio as a measure
of capital adequacy

• Market Value 2 book leverage ratio could be
  consistent with a massive negative market value
  net worth
• Asset Risk fails to take into account the
  different credit, interest rate and other risks
  of the assets that comprise total assets
• Off-Balance-Sheet activities

24
Pillar I

• Minimum Capital Requirement In the Commercial
  Banking and Thrift Industry

25
Minimum capital requirement

• There are no change in market risk computation
  from Basel I to Basel II.
• Methods in measuring credit risk
  operational risk

Credit risk Operational risk
Standardized Approach Basic Indicator Approach
Foundation IRB Approach Standardized Approach
Advanced IRB Approach Advanced Measurement Approach
26
Standardized IRB Approach

• Standardized Approach
• Basel I Fixed Risk weight is given according
  to the counterparty
• Basel II Fixed Risk weight is corresponding to
  each supervisory category and make use of
  external credit assessments( OECD export
  agencies, private rating agencies, eg Standard
  Poors ).
• IRB
  Approach
• IRB approach substantially differs from the
  standardized approach in that banks internal
  assessments of key risk drivers serve as primary
  inputs to the capital calculation.

IRB Approach is more risk-sensitive ,but with
much higher development cost.
27
Credit RiskStandardized Approach
28
Risk-Based Capital Ratios

• Total risk-based capital ratio
• Total Capital(Tier I Tier II Tier
  III-Deduction)
• Credit risk-adjusted assets
• Tier I (Core) capital ratio
• Core Capital(Tier I)
• Credit risk-adjusted assets

?
8
?
4
It has been argued that capital requirement may
induce higher not lesser risk.
29
PCA of Banking Industry in Taiwan
?????????????? ??90? 10?16???

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30
PCA of Thrift Industry in Taiwan
????????????????? ?? 92?6?30???

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31
Credit Risk?Calculating Capital

• Tier I capital- primary or core capital
• linked to a banks book value of equity
  reflecting the concept of the core capital
  contribution of a banks owners.
• Tier II capital- supplementary capital
• broad array of secondary capital resources
• Tier III capital- to support market risk

32
Credit Risk?Calculating Capital
33
Credit Risk?Calculating Capital
Data source for Tier IIIOver View Of The
Amendment To The Capital Accord To Incorporate
Market Risk January 1996
34
Example
35
The Calculation of Credit-Risk Based
Capital

• On-Balance-Sheet Assets
• Off-Balance-Sheet Activities

Guaranty Type Contingent contracts
Derivative or Market Contracts
36
Credit Risk?Calculating Credit Risk-Adjusted
On-Balance-Sheet Assets

• The risk-adjusted value of the banks on- balance
  sheet assets(under Basel I) would be
• WiAi
• where
• Wi Risk Weight of the ith asset
• Ai Dollar(book)Value of the ith asset on
  the balance sheet

S
37
Risk Categories of On-Balance-Sheet Items Under
Basel I
38
Example
39
Example

• Credit risk-adjusted on-balance-sheet assets
• 0(8m13m60m5042m)
• 0.2(10m10m20m)
• 0.5(34m308m)
• 1.0(10m55m75m390m10m108m22m)
• 849m

40
Risk Categories of On-Balance-Sheet Items Under
Basel II
41
Risk Categories of On-Balance-Sheet Items Under
Basel II
42
Risk Categories of On-Balance-Sheet Items Under
Basel II
Data source Consultative Document of The New
Basel Capital Accord July,31 2003
43
Example
44
Example

• Credit risk-adjusted on-balance-sheet assets
• 0(8m13m60m5042m)
• 0.2(10m10m20m10m55m)
• 0.5(34m308m75m)
• 1.0(390m108m22m)
• 1.510m
• 764.5m

45
Credit Risk?Calculating Credit Risk-Adjusted
Off-Balance-Sheet Assets

• Off-Balance Sheet items was divided into two
  types?
• Guaranty type contracts
• vs.
• Derivative or market contracts
• Credit risk-adjusted assets of OBS Guaranty
  Contracts
• Credit Equivalent AmountRisk Weight
• (OBS activity i Conversion factorRisk
  weight)

S
S
46
Example
47
Example
48
Example
Under Basel I , the appropriate risk weight in
each case depends on the underlying counterparty
to the OBS activity such as a municipality, a
government, or a corporation.
Under Basel, risk weight treatment is the same
as on-balance-sheet items..
49
Credit Risk?Calculating Credit Risk-Adjusted
Off-Balance-Sheet Assets

• The credit or default risk of exchange-traded
  derivatives is approximately zero because when a
  counterparty defaults on its obligations,the
  exchange itself adopts the counterpartys
  obligations in full.
• Credit risk-adjusted assets of
• OBS Market Contracts
• Credit Equivalent Amount Risk Weight
• ( Potential ExposureCurrent Exposure )Risk
  Weight

50
Credit Risk?Calculating Credit Risk-Adjusted
Off-Balance-Sheet Assets

• The potential exposure component reflects the
  credit risk if the counterparty to the contract
  defaults in the future.
• The current exposure reflects the cost of
  replacing a contract if the counterparty defaults
  today.
• The bank calculates this replacement cost or
  current exposure by replacing the rate or price
  initially in the contract with the current price
  or rate for a similar contract and recalculates
  all the current and future cash flows that would
  have been generated under current rate or prices.

51
Credit Risk?Calculating Credit Risk-Adjusted
Off-Balance-Sheet Assets

• If replacement cost is positive,the current
  exposure equals replacement cost.
• If replacement cost is negative,the current
  exposure is set to be 0.

52
Example
FX were far more volatile than interest rate.
Conversion Factor
Credit Equivalent Amount
Gross Potential Exposure
Net Current Exposure
Gross Current Exposure
53
Example
Under Basel I,counterparties to these contracts
are assumed to be low credit risk entities.
Basel II assigns these Contracts a risk
weight of 100.
54
Calculating Risk-Based Capital Ratio
55
Netting

• BIS allows netting of off-Balance-Sheet
  derivative contracts as long as the bank has a
  bilateral netting contract that clearly
  establishes a legal obligation by the
  counterparty to pay or receive a single net
  amount on the different contracts.
• Credit equivalent amount
• Net Potential ExposureNet Current Exposure
• Net Current ExposureSum of all replacement cost
• Net Potential Exposure(0.4Gross potential
  exposure)(0.6NGRGross potential exposure)
• NGRThe ratio of net current exposure to gross
  current exposure

56
Example

• Following the preceding example
• Net Current Exposure3m-1m2m
• Gross Current Exposure3m0m3m
• Gross Potential Exposure0.5m2m2.5m
• NGR 2/3
• Net Potential Exposure
• (0.42.5m)(0.62/32.5m)2m
• Credit equivalent amount
• 2m2m4m

57
Calculating Risk-Based Capital Ratio After Netting
58
Basel II ???????????????????

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• ???????91?6?30?
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59
Basel II ???????????????????
60
Basel II ???????????????????
????? ????
????????????????,?????????????????,??????0.29,???
?2.79??????????????????,??????0.63????6?
61
Basel II ???????????????????

• ????
• Basel I ??????????????100 Basel
  II?????????????,?????????????????????????,????????
  ?????????26???????,???????????????????,??????(Mapp
  ing process)???????????????2??
• ?Basel II??????BBB????????100,??????????,???????
  ????16??

62
Basel II ???????????????????
63
Basel II ???????????????????

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  ?,??????????0.36,???3.19?
• ????????????????????????,??????????0.08,???0.75?
  

64
Basel II ???????????????????

• ????
• ?SP ??????????????????,????7??????????,???????
  ????,??????,????2?????????B-?????,?????150,??????
  ???????0.07,???0.66?

65
Basel II ???????????????????

• ????
• ??9?????????????,??????Basel I?Basel
  II?????????100,?Basel II?????????????????150,???
  ??????????????0.14,????-1.62,??????????????????

66
Basel II ???????????????????

• ???????????
• ?Basel II?????????????????????,??????????????????
  ?????????????
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  ???

67
Basel II ???????????????????

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  ?????????????????????????????,???????????????0.02
  ,???0.06 ,?????

68
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69
Agenda
70
Criticisms of the Risk-Based Capital Ratio

• Risk weights
• Risk weights based on external credit rating
  agencies
• Portfolio aspects
• DI specialness
• Other risks
• Competition

71
Internal Ratings-Based Approach

• Banks that qualify for the IRB approach may rely
  on their own internal estimates of risk
  components in determining the capital requirement
  for a given exposure.
• Advantages
• Effective credit risk management
• Potential cost reduction
• Two approach
• Foundation Approach
• Advanced Approach

72
Trend of Capital Adequacy
IRB Advanced Approach
IRB Foundation Approach
Standardized Approach
73
Internal Ratings-Based Approach

• Minimum
• requirements for
• IRB approach

• Classification of
• exposures

• Risk weight
• functions

• Risk components

74
Minimum requirements for IRB approach

• (a) Composition of minimum requirements
• (b) Compliance with minimum requirements
• (c) Rating system design
• (d) Risk rating system operations
• (e) Corporate governance and oversight
• (f) Use of internal ratings
• (g) Risk quantification
• (h) Validation of internal estimates
• (i) Supervisory LGD and EAD estimates
• (j) Calculation of capital charges for equity
  exposures
• (k) Disclosure requirements

75
Classification of exposures

• Corporate

• Sovereign

• Bank

• Retail

• Equity

76
Risk components

• PD probability of default

• LGD loss given default

• EAD the exposure at default

• M effective maturity

77
Risk Components Estimates - Corporate
Foundation Approach
Advanced Approach
PD

• One-year default probability based on historical
  experience or credit scoring model
• 0.03

LGD

• Senior claims ? 45
• Subordinated claims ? 75
• Secured by collateral

• Banks rely on own estimates

EAD

• EAD CCF primitive amount (CCF credit
  conversion factor)

• Follow the standardized
• approach and adjust by
• regulation

• Banks use their own internal estimates of CCFs

M

• Repo-style transaction
• ?M 6 month
• Others ? M 2.5 year

• Required to measure for each facility by
  regulation

78
Risk weight functions

• EAD PD LGD ??????
• ?????????
• Capital / Risk Asset 8
• Risk Asset ????????? / 8

no default
EAD
reclaimed
default
PD
loss
LGD
Risk-weighted assets EAD PD LGD/8????
79
Risk weight functions for Corporate , Sovereign ,
Bank

• Correlation (R)
• 0.24- 0.12 (1-e (-50 PD) ) / (1-e (-50 )
  )
• Maturity adjustment (b)
• (0.08451 . 0.05898 log (PD))2
• Capital requirement (K)
• LGDN (1 R)- 0.5 G ( PD ) (R / (1 -
  R))0.5 G (0.999)
• (1- 1.5 b)-1 (1 (M - 2.5) b )
• Risk-weighted assets (RWA) EAD K 8

80
Risk weight functions for Corporate - Adjustment

• For small- or medium-sized entities (SME)
• Firms reported sales is less than 50 million
• Correlation (R)
• 0.24- 0.12 (1-e (-50 PD) ) / (1-e (-50
  PD) )
• 0.04 (1- (S-5)/45)
• S sales (million )

81
Risk weight functions for retail
a. Residential mortgage b. Qualifying revolving
retail c. Others

• R
• a. 0.15
• b. 0.11- 0.09 (1-e (-50 PD) ) / (1-e (-50 )
  )
• c. 0.17- 0.15 (1-e (-35 PD) ) / (1-e (-35 )
  )
• K
• a?c. LGDN (1 R)- 0.5 G ( PD ) (R / (1 -
  R))0.5 G (0.999)
• b. LGD N (1 R)- 0.5 G ( PD ) (R / (1 -
  R))0.5 G (0.999) 0.75PD
• RWA EAD K 8

82
Risk weighted functions for equity exposures

• Market-Based approach
• PD/LGD approach.

83
Internal Ratings-Based Approach
84
?? IRB ???
1.????????????????

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2.????????
3.????????

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4.????????

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6.????????
5.??????????
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85
Market Risk and Risk-Based Capital

• The standardized model proposed by regulators
• The DIs own internal market risk model

Operational Risk and Risk-Based Capital

• The Basic Indicator Approach
• The Standardized Approach
• The Advanced Measurement Approach

86
Minimum Capital Requirement
Capital Credit
Risk Asset ( Market Risk OpRisk ) 12.5
8
87
Agenda
88
Capital Requirements for Other FIs

• Securities Firms
• Life Insurance
• Property-Casualty Insurance

89
Securities Firms

• The capital requirements for broker-dealers set
  by the SECs Rule 15C 3-1 in 1975 are close to a
  market value accounting rule
• Broker , dealers must calculate a market value
  for net worth on a day-to-day basis and ensure
  that their net worth-assets ratio exceeds 2
  percent

90
Securities Firms

• Net worth A Book value L Book value
• Deduction
• Assets such as fixed assets not really
  convertible into cash
• Securities that cannot be publicly offered
• or sold
• Haircuts reflecting potential market value
  fluctuations in assets
• ex haircut on illiquid equities 40
• debt securities 09

91
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  ???????,?????????5????????????,?????

92
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93
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94
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95
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96
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97
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• 100?,??????????????????
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???? ??3????????
100 75 8? 7?
75 50 7? 6?
50 25 6? 5?
25 0 5? 4?
lt 0 4? 3?
98
Life Insurance

• In 1993 the life insurance industry adopted a
  model Risk-Based Capital (RBC) scheme recommended
  by NAIC ( National Association of Insurance
  Commissioners )
• Identifying four risks faced by the life insurer
  
• C1 Asset risk
• C2 Insurance risk
• C3 Interest rate risk
• C4 Business risk

• If A and B are perfectly independent ( ? 0)
• s(AB) ( sA2 sB2 ) 1/2
• If A and B are perfectly correlated ( ? 1)
• s(AB) ( sA2 sB2 2 sA sB ) 1/2 ((sA
  sB )2 ) 1/2
• sA sB

99
Life Insurance

• RBC ( C1C3 )2 C22 C4
• Total surplus and capital
• RBC

1
100
Property-Casualty Insurance

• Similar to the life insurance industrys RBC
  introduced by the NAIC
• Except that there are six risk categories ,
  including three separate asset risk categories

101
Property-Casualty Insurance
Risk Type Description
R0 Asset RBC for investments( common and preferred ) in property-casualty affiliates
R1 Asset RBC for fixed income
R2 Asset RBC for equity-includes common and preferred stock ( other than in property-casualty affiliates) and real estate
R3 Credit RBC for reinsurance recoverables and other receivables
R4 Underwriting RBC for loss and loss (LAE) adjustment expense reserves plus growth surcharges
R5 Underwriting RBC for written premiums plus growth surcharges
102
Property-Casualty Insurance

• RBC R0 R12 R22 R32 R42 R52
• Total surplus and capital
• RBC

100
103
Risk-Based Capital Factors for Selected Assets
Asset Life Property-Casualty
Bonds
U.S. government 0.0 0.0
NAIC 1 AAA-A 0.3 0.3
NAIC 2 BBB 1.0 1.0
NAIC 3 BB 4.0 2.0
NAIC 4 B 9.0 4.5
NAIC 5 CCC 20.0 10.0
NAIC 6 In or near default 30.0 30.0
Residential mortgages ( whole loans ) 0.5 5.0
Commercial mortgages 3.0 5.0
Common stock 30.0 15.0
Preferred stock-bond factor for same NAIC category plus 2.0 2.0
104
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  ,?????????
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  ??????????????(??????????????)

105
?????

• C0????--?????
• C1????--??????
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• C1S ????????
• C2????
• C3????
• C4????
• ??????
• 0.4 (C0 C4v(C10C3)2C1S2C22 )
  200

106
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107
?????

• R0 ????--?????
• R1????--??????
• R1O ????????
• R1S ????????
• R2 ????
• R3a????--?????????
• R3b????--??
• R4 ????????
• R5 ????
• ??????
• 0.4 (R0 R5v(R10R4)2 R1S2 R22 R3a2
  R3b2 )
• 200

108
????????????
109
Agenda
110
Pillar II

• Supervisory Review of Capital Adequacy
• ????????
• ????????
• ????????

111
Pillar IIsupervisory review process

• ????????
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• 1. ???????????
• 2. ?????????
• 3. ???????
• 4. ??????????
• 5. ???????

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112
Pillar II supervisory review process

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• 3. ???????????
• 4. ?????????(????????)
• 5. ??????????
• ??????
• 1. ?????????
• 2. ????????
• 3. ?????????
• 4. ???????????

113
Pillar II supervisory review process

• ????????????????????????????,??????????????????
• ????
• 1. ???????????????
• 2. ????????????????????-??
• ?????????
• 3. ??????????????????

114
Pillar II supervisory review process

• ????????????,?????????????????????????,??????????
  ??????,?????????
• ????
• 1. ????????
• 2. ???????????,???????
• 3. ??????????????????????
• 4. ????????????????
• 5. ????????????????
• 6. ???????????????
• 7. ??????????
• 8. ??????????????

115
Pillar II supervisory review process

• ????????
• ???????????,????????????
• ?????,???????????????,??
• ??????????
• ????????
• ????????????????????????,??
• ????????????????,?????????,?
• ????????????????????????

116
??????
Basel II
????????? ????????????,??
????????????? ??????????????,?
??????????? ??????????
????????????
??????
?????????????
???????????
?????????????
?????????????
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?????????,???? ????????,???????
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?????????????

?????????????

?,???????
SUORCE??????
117
??????

• Basel II ??????????
• ?????????????? ????????????,?
• ??????????????, ??????????????
• ??????????????? ???????,??????
• ???
  ???????,??????
• 
  ??????????????
• 
  ????????????
• ????????????,? 1. ????????????
• ??????????????? ????,Basel 2 ?????
• ?????????,????? ????????
• ???????????,??? 2. ?????? Basel 2 ??
• ??????
  ??????????????
• 
  ????????
• 
  3. ??????????Basel 2
• 
  ???????????????
• 
  ????????????,??
• 
  ???????????????

SUORCE??????
118
Pillar III

• Public Disclosure

119
Pillar III-Market discipline

• Basel ????????????????????????
• 1. ???????????????????????????
• ??????????????????????
• ??????????????????????
• ?????
• 2. ?????????????????????
• ?,????????????????????
• ??
• 3. ???????????????????????????
• ??
• 4. ??????????

120
?Basel II ???

• ?????????????,??????
• PD??????
• ???????????
• ????????????????
• ?????????????
• ?????PD????????,???????????,???????
• ??????PD?,????????????????
• ????????

121

• Thanks for your attention