Schlagwort: Standardised Approach for Credit Risk

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Supervisory measures in reaction to the Corona crisis – Minimum capital ratios

Minimum capital ratios

The following blog post is part of the overview of supervisory measures in reaction to the Corona crisis:Supervisory measures in reaction to the Corona crisis – Overview.

According to the ad hoc measures taken by the ECB, banks can fully use their capital buffers during this time of financial distress, including the Capital Conservation Buffer (CCB) and the Pillar 2 Guidance (P2G). This means that banks are allowed to operate temporarily – until further notice – below the level of capital defined by the P2G and the CCB. 

Besides, banks can partially use capital instruments that do not qualify as CET1 capital, e.g. Additional Tier 1 or Tier 2 instruments, to meet their Pillar 2 Requirement (P2R). This measure is effectively an early implementation of the standards laid down in CRD V that originally should entry into force in January 2021). Banks will therefore benefit from relief in the composition of capital for the P2R.

Supervisory measures in reaction to the Corona crisis – Overview

Closed factories and shops, cancelled events, travel bans, wide-ranging curfews – the Corona crisis turns out to have dangerous and sudden effects on the global economy. The dramatic meltdown of leading stock markets in recent weeks seems to reflect the fears of a long-lasting recession. For some people, this brings back bad memories of the financial crisis back in 2008. Although “this time is different” [credits to Reinhart/Rogoff], the financial sector is facing severe second-order effects, including:

  • An unprecedented wave of distressed and defaulted clients leading to a sharp increase in loan loss provisions and thus serious P&L hits
  • Deterioration and high volatility of prices for bonds and equities that serve, e.g. as liquid assets or collateral

Besides, banks themselves need to cope with multiple operational challenges resulting from the extensive shutdown, e.g. working from home as a trader within a highly regulated environment or managing ongoing on-site inspections and important implementation projects “remotely”.

Therefore, besides several short-term measures to support companies, employees and self-employed people, the governments and respective competent authorities also agreed on various temporary reliefs for banks to ensure that they “can continue to fulfil their role to fund households and corporations amid the coronavirus-related economic shock to the global economy” [ECB].

PwC is committed to to be side by side with our clients in these difficult times, in any way possible to support institutions deal with the many challenges they are facing. Part of this commitment includes informing our clients proactively and help to analyze the potential impact of this crisis and related measures. Through this Regulatory Blog, we will continuously provide you with updates on regulatory and supervisory measures and share our views on how these could affect banks. (this time only in English since we have a steadily growing number of international readers – thank you for your understanding!). Information in German on the impact on the German Banking & Capital Market are available here: Banken und Kapitalmärkte – Auswirkungen durch COVID-19

Please do not wait to contact us whenever you need our support – be it in understanding and analyzing the impact of the crisis and the potential measures or in coping with the operational challenges in these extraordinary times. And most important: Please stay healthy and take good care of you and your loved ones!

Basel IV-Channel: The EBA’s reforms impact study and key recommendations – Part II: Recommendations

At the beginning of August 2019, the European Banking Authority (EBA) published its report on the EU Commission’s Call for Advice on the finalisation of Basel III. The EBA report includes a quantitative analysis of the estimated impact based on data from 189 banks, and a set of policy recommendations. Part I of our Basel IV-Channel episodes covered the results of the Quantative Impact Study (QIS).

Our current Basel IV channel episode:

„The EBA’s Basel III reforms impact study and key recommendations Part II – Recommendations“

focus on the policy recommendations to the implementation of the Basel III reforms in the EU. 

Basel IV Channel: Online Einführung in den KSA revised

Der Basel IV Channel geht in die nächste Runde und zwar am

8. April 2016 um 15 Uhr mit dem Thema „Revisions to the Standardised Approach for Credit Risk – second consultative document“.

Wir laden Sie herzlich ein, sich kostenfrei und unverbindlich zu dem genannten Termin über den folgenden Link anzumelden: Hier geht es direkt zur Anmeldeseite für unseren Basel IV Channel! (Alle Teilnehmer des ersten Channels erhalten automatisch eine Einladung per e-mail). The Basel IV Channel in English is scheduled for April 29, 2016 –  more Information will be available soon.

Sie werden live durch die Veranstaltung geführt.

Die Regelungen zur Berechnung von Eigenkapitalanforderungen von Kreditrisiken – bei den meisten Banken die wichtigste der aufsichtsrechtlich mit Kapital zu unterlegenden Risikoarten – wurde zuletzt im Rahmen von Basel II umfassend neu geregelt. Spätestens nach Ausbruch der Finanzmarktkrise der Jahre 2007 wurde zunehmend Kritik an der mangelnden Risikosensitivität des KSA und insbesondere der Nutzung externer Ratings laut. Der Baseler Ausschuss reagierte hierauf durch die Veröffentlichung von zwei Konsultationspapieren zur Überarbeitung des KSA. Sie zielen auf eine höhere Risikosensitivität ab, ohne gleichzeitig die Komplexität des Standardansatzes zu erhöhen. Ferner soll durch die Überarbeitung die Vergleichbarkeit der Kapitalanforderungen von Banken erhöht werden. Zum einen sollen Unterschiede in der Eigenmittelunterlegung bei Anwendung des KSA und des IRB-Ansatzes verringert werden, zum anderen möchte der Baseler Ausschuss nationale Ermessensspielräume bei der Anwendung des KSA begrenzen.

Die nächsten Termine und Themen für den Basel IV Channel stehen fest:

13. Mai 2016 „Revised Market Risk Framework Part 1: SBA – Sensitivities-Based Approach“

17. Juni 2016 „Revised Market Risk Framework Part 2: Internal Models Approach“

Wir freuen uns, Sie zu unserem nächsten Termin begrüßen zu dürfen!

Herzlichst,

Ihr Martin Neisen,

Global Basel IV Leader

Mehr Informationen rund um Basel IV erhalten Sie auch auf unserer Webseite: Willkommen in der Welt von Basel IV

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