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BASEL IIIBy Vict
or
Setiawan Kath
y Ji
Mary Mao
• RECAP: HISTORY OF BASEL ?
• WHAT IS BASEL III ?
• WHAT’S NEW IN BASEL III ?
• IMPLEMENTATION BY
APRA
HISTORY OF BASEL ?
RECAP:
WHAT IS BASEL III ?
BASEL 3.0: BUFFER THAN EVER
BEFORE
WHAT’S NEW IN BASEL III ?
CAPITAL
LIQUIDITY
CAPITAL Minimum Capital Requirements
Non-allowable Capital
New Capital Buffers
Leverage Ratio
CAPITAL Minimum Capital Requirements
Non-allowable Capital
New Capital Buffers
Leverage Ratio
INCREASED CAPITAL REQUIREMENTS
CAPITAL Minimum Capital Requirements
Non-allowable Capital
New Capital Buffers
Leverage Ratio
CAPITAL Minimum Capital Requirements
Non-allowable Capital
New Capital Buffers
Leverage Ratio
CAPITAL BUFFERS
BASEL II vs. BASEL III
CAPITAL Minimum Capital Requirements
Non-allowable Capital
New Capital Buffers
Leverage Ratio
LEVERAGE
LIQUIDITY Liquidity Coverage Ratio (LCR)
Net Stable Funding Ratio (NSFR)
Liquidity Risk
LIQUIDITY Liquidity Coverage Ratio (LCR)
Net Stable Funding Ratio (NSFR)
Liquidity Risk
LIQUIDITY COVERAGE RATIO
LIQUIDITY Liquidity Coverage Ratio (LCR)
Net Stable Funding Ratio (NSFR)
Liquidity Risk
NET STABLE FUNDING RATIO
LIQUIDITY TIMELINE
LIQUIDITY Liquidity Coverage Ratio (LCR)
Net Stable Funding Ratio (NSFR)
Liquidity Risk
Fundamental Principle for Management & Supervision of
Liquidity RiskA bank should:
Be responsible for the sound management of liquidity risk
Establish a robust liquidity risk management framework
Assess the adequacy of both a bank's liquidity risk management framework and its liquidity position
Take prompt action if a bank is deficient
Protect depositors and to limit potential damage to the financial system.
IMPLEMENTATION BY APRA
Allows for the capital conservation buffer to be phased-in from 1 January 2016 and become fully effective on 1 January 2019
Capital conservation buffer implemented in full from 1 January 2016
TRANSITION OF LCR AND NSFR
Phase-in:1 January 2015 -> LCR requirement of 60%
+ 10% each year to reach 100 per cent on 1 January 2019.
APRA is not proposing to adopt this phase-in
arrangement for the LCR.
NSFR does not come into effect until 1 January 2018
EXPECTED IMPACT ON ECONOMY
Financial markets0 Steeper yield curves 0 Lower yields for instruments qualifying as a part of the liquidity buffer
0 LCR used to fund government budget deficits post GFC.
The new liquidity rules are likely to 0 increase interest rates and 0 reduce available liquidity
Thus putting pressure on interest margins