Handbook of Basel III Capital : Enhancing Bank Capital in Practice.
Juan. Ramirez
Bok Engelsk 2017 · Electronic books.
| Omfang | 1 online resource (563 pages)
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| Opplysninger | Cover -- Title Page -- Copyright -- Contents -- Preface -- About the Author -- Chapter 1: Overview of Basel III -- 1.1 Introduction to Basel III -- 1.1.1 Basel III, CRR, CRD IV -- 1.1.2 A Brief History of the Basel Accords -- 1.1.3 Accounting vs. Regulatory Objectives -- 1.2 Expected and Unexpected Credit Losses and Bank Capital -- 1.2.1 Expected Losses -- 1.2.2 Unexpected Losses -- 1.3 The Three‐Pillar Approach to Bank Capital -- 1.3.1 Pillar 1 - Minimum Capital Requirements -- 1.3.2 Pillar 2 - Supervisory Review and Evaluation Process -- 1.3.3 Pillar 3 - Market Discipline -- 1.3.4 Significant Subsidiaries Disclosure Requirements -- 1.4 Risk‐Weighted Assets (RWAs) -- 1.4.1 Calculation of Credit Risk RWAs -- 1.4.2 Calculation of Counterparty Credit Risk (CCR) RWAs -- 1.4.3 Calculation of Market Risk RWAs -- 1.4.4 Calculation of Securitisation Exposures RWAs -- 1.4.5 Calculation of Operational Risk RWAs -- 1.4.6 Link between RWAs and Capital Charges -- Chapter 2: Minimum Capital Requirements -- 2.1 Components and Minimum Requirements of Bank Capital -- 2.1.1 Pillar 1 Capital Requirements -- 2.1.2 Pillar 2 Capital Requirements -- 2.2 Components and Minimum Requirements of Capital Buffers -- 2.3 Capital Conservation Buffer -- 2.4 Countercyclical Buffer -- 2.4.1 The Countercyclical Buffer Ratio and the Credit-to-GDP Gap -- 2.4.2 The Reciprocity Principle -- 2.5 Systemic Risk Buffers -- 2.5.1 Systemic Risk Buffer -- 2.5.2 Global Systemically Important Bank (G-SIB) Buffer -- 2.5.3 Other Systemically Important Institution (O-SII) -- 2.5.4 Interaction between the Systemic Risk Buffers -- 2.6 Going Concern vs. Gone Concern Capital -- 2.6.1 Going Concern -- 2.6.2 Gone Concern -- 2.7 Case Study: UBS vs. JP Morgan Chase G-SIB Strategies -- 2.7.1 G-SIB Methodology -- 2.7.2 UBS's G-SIB Strategy.. - 2.7.3 JP Morgan Chase's G-SIB Strategy -- 2.8 Transitional Provisions -- 2.8.1 Phase-in vs. Fully Loaded Capital -- 2.8.2 Grandfathering of Non-compliant AT1 and Tier 2 Instruments -- 2.8.3 Transitional Provisions Regarding Capital Conservation and G-SIB Buffers -- Chapter 3: Common Equity 1 (CET1) Capital -- 3.1 CET1 Minimum Requirements -- 3.2 Eligibility Requirements of CET1 Instruments -- 3.2.1 Criteria Governing Instruments Inclusion in CET1 -- 3.2.2 Major Components of CET1 -- 3.2.3 Accounting Overview of Shareholders' Equity -- 3.2.4 Capital Instruments and Share Premium -- 3.2.5 Retained Earnings and Interim Net Income less Expected Dividends -- 3.3 Case Study: UBS Dividend Policy and Its Impact on CET1 -- 3.3.1 UBS Historical Dividend and Buyback Policies -- 3.3.2 Accounting for Distributions of Non‐cash Assets to Owners -- 3.3.3 Distribution of Treasury Shares as Dividend -- 3.3.4 Distribution of Newly Issued Shares as Dividend -- 3.4 Case Study: Santander Dividend Policy and Its Impact in CET1 -- 3.4.1 Santander's Traditional Scrip Dividend Policy -- 3.4.2 Santander's New Dividend Policy -- 3.5 Accumulated Other Comprehensive Income -- 3.5.1 Translation Differences -- 3.5.2 Cash Flow Hedge Reserve -- 3.5.3 Gains and Losses on Instruments at FVTOCI -- 3.5.4 Actuarial Gains/Losses on Defined Benefit Pension Plans -- 3.5.5 Other Items in OCI -- 3.6 Case Study: Banco BPI's Partial Disposal of Portfolio of Portuguese and Italian Government Bonds -- 3.6.1 Accounting Treatment of the Combination of the Bonds and Swaps -- 3.6.2 Regulatory Capital Impact of the Combination of the Bonds and Swaps -- 3.6.3 Regulatory Rationale of BPI's Partial Disposal of the Bonds and Swaps Portfolio -- 3.7 Other Items Eligible for CET1 Capital -- 3.7.1 Other Reserves -- 3.7.2 Funds for General Banking Risks -- 3.7.3 Eligible Minority Interests.. - 3.18.5 Additional Considerations -- 3.19 Case Study: Lloyds' De‐Risking of its Defined Benefit Pension Plans -- 3.19.1 Changes during 2012 -- 3.19.2 Changes during 2013 -- 3.19.3 Changes during 2014 -- 3.20 Holdings by a Bank of Own CET1 Instruments -- 3.20.1 Indirect Holdings Arising from Index Holdings -- 3.20.2 Requirements for the Repurchase of Own CET1 Instruments -- 3.21 Case Study: Danske Bank's Share Buyback Programme -- 3.21.1 Legal Background -- 3.21.2 Accounting Impact -- 3.21.3 CET1 Capital Impact -- 3.22 Case Study: Deutsche Bank's Treasury Shares Strategy -- 3.22.1 Governance Related to Deutsche Bank's Acquisition of Own Shares -- 3.22.2 Accounting and Regulatory Impact of Forwards on Own Shares -- 3.22.3 Accounting and Regulatory Impact of Sold Put Options on Own Shares -- 3.22.4 Accounting and Regulatory Impact of Bought Call Options on Own Shares -- 3.22.5 Accounting and Regulatory Impact of Deutsche Bank's Treasury Shares Activity in 2014 -- 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 -- 4.2.1 Requirements of AT1 Instruments -- 4.2.2 Restrictions on the Cancellation of Distributions AT1 Instruments and Other Features -- 4.2.3 Special Requirements for Write‐down or Conversion of AT1 Instruments -- 4.2.4 Procedures and Timing for Determining the Occurrence of a Trigger Event -- 4.2.5 Use of Special Purposes Entities for Indirect Issuance of Capital Instruments.. - 3.8 CET1 Prudential Filters -- 3.8.1 Phase‐in Provisions -- 3.8.2 Deductions from CET1 -- 3.9 Additional Valuation Adjustments -- 3.10 Intangible Assets (Including Goodwill) -- 3.10.1 Goodwill from an IFRS Accounting Perspective -- 3.10.2 Treatment of Intangible Assets (other than Goodwill) from an IFRS Accounting Perspective -- 3.11 Case Study: Danske Bank's Goodwill Impairment -- 3.11.1 Accounting and Tax Impact of the Impairment -- 3.11.2 Regulatory Capital Impact of the Impairment -- 3.11.3 Other Impacts -- 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 -- 3.14.1 Cash Flow Hedges - Accounting Mechanics -- 3.14.2 Case Study: Hedging a Floating Rate Liability with an Interest Rate Swap -- 3.15 Negative Amounts Resulting From the Calculation of Expected Loss Amounts -- 3.15.1 Shortfall of Provisions -- 3.15.2 Excess of Provisions -- 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 -- 3.17.1 Financial Liability Categories -- 3.17.2 Partial Repurchases of Financial Liabilities -- 3.17.3 The Fair Value Option -- 3.17.4 Changes in Credit Risk in Financial Liabilities at FVTPL - Debt Instruments -- 3.17.5 Application of Own Credit Gains and Losses to Derivatives - DVA -- 3.17.6 CVA/DVA Calculation from Netting Sets -- 3.17.7 Basel III Treatment of Own Credit Gains and Losses -- 3.18 Defined‐Benefit Pension Plans -- 3.18.1 Defined Contribution vs. Defined Benefit Pension Plans -- 3.18.2 Accounting Treatment of Defined Benefit Pension Plans -- 3.18.3 Regulatory Treatment of Defined Benefit Pension Plans -- 3.18.4 Initiatives to Enhance CET1 Impact of Defined Benefit Pension Plans.. - 4.2.6 Conditions to the Redemption or Repurchase of Capital Instruments -- 4.3 Deductions from AT1 Capital -- 4.3.1 Direct and Indirect Holdings of Own AT1 instruments -- 4.3.2 Excess of Qualifying Tier 2 Deductions -- 4.3.3 Foreseeable Tax Charges Relating to AT1 Items -- 4.4 Holdings of AT1 Instruments of Other Financial Institutions -- 4.4.1 Reciprocal Cross‐holdings of AT1 Instruments Designed to Artificially Inflate Own Funds -- 4.4.2 Holdings of the AT1 Instruments of Financial Sector Entities where the Bank does not have a Significant Investment -- 4.4.3 Holdings of the AT1 Instruments of Financial Sector Entities where the Bank Has a Significant Investment -- 4.5 Case Study: Lloyds Banking Group Exchange Offer of Tier 2 for AT1 Securities -- 4.5.1 Takeover of HBOS -- 4.5.2 Asset Protection Scheme and its Regulatory Capital Benefits -- 4.5.3 Rights Issue and Issuance of the ECNs -- 4.5.4 Accounting Impact of the Rights Issue and the ECNs -- 4.5.5 Exchange Offer of ECNs for CoCos -- 4.5.6 Regulatory Impact of the Exchange -- 4.5.7 Accounting Impact of the Exchange -- Chapter 5: T ier 2 Capital -- 5.1 Tier 2 Capital Calculation and Requirements for Inclusion -- 5.1.1 Tier 2 Capital Calculation -- 5.1.2 Criteria Governing Instruments Inclusion in T ier 2 Capital -- 5.1.3 Amortisation of T ier 2 Instruments -- 5.1.4 Conditions to the Redemption or Repurchase of Tier 2 Instruments -- 5.2 Negative Amounts Resulting from the Calculation of Expected Loss Amounts -- 5.2.1 Shortfall of Provisions -- 5.2.2 Excess of Provisions -- 5.3 Deductions from Tier 2 Capital -- 5.3.1 Direct and Indirect Holdings of Own Tier 2 Instruments -- 5.4 Holdings of Tier 2 Instruments of Other Financial Institutions -- 5.4.1 Reciprocal Cross‐holdings of Tier 2 Instruments Designed to Artificially Inflate Own Funds.. - 5.4.2 Holdings of Tier 2 Instruments of Financial Sector Entities where the Bank does not Have a Significant Investment.
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| Emner | |
| Sjanger | |
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| ISBN | 9781119330806
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