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Juan Ramirez - Handbook of Basel III Capital: Enhancing Bank Capital in Practice

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A deeper examination of Basel III for more effective capital enhancement

The Handbook of Basel III Capital Enhancing Bank Capital in Practice delves deep into the principles underpinning the capital dimension of Basel III to provide a more advanced understanding of real-world implementation. Going beyond the simple overview or model, this book merges theory with practice to help practitioners work more effectively within the regulatory framework, and utilise the complex rules to more effectively allocate and enhance capital. A European perspective covers the CRD IV directive and associated guidance, but practitioners across all jurisdictions will find value in the strategic approach to decisions surrounding business lines and assets; an emphasis on analysis urges banks to shed unattractive positions and channel capital toward opportunities that actually fit their risk and return profile. Real-world cases demonstrate successful capital initiatives as models for implementation, and in-depth guidance on Basel III rules equips practitioners to more effectively utilise this complex regulatory treatment.

The specifics of Basel III implementation vary, but the underlying principles are effective around the world. This book expands upon existing guidance to provide a deeper working knowledge of Basel III utility, and the insight to use it effectively.

  • Improve asset quality and risk and return profiles
  • Adopt a strategic approach to capital allocation
  • Compare Basel III implementation varies across jurisdictions
  • Examine successful capital enhancement initiatives from around the world

There is a popular misconception about Basel III being extremely conservative and a deterrent to investors seeking attractive returns. In reality, Basel III presents both the opportunity and a framework for banks to improve their assets and enhance overall capital the key factor is a true, comprehensive understanding of the regulatory mechanisms. The Handbook of Basel III Capital Enhancing Bank Capital in Practice provides advanced guidance for advanced practitioners, and real-world implementation insight.

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Table of Contents List of Tables Chapter 2 Minimum Capital Requirements - photo 1
Table of Contents
List of Tables
  1. Chapter 2: Minimum Capital Requirements
  2. Chapter 3: Common Equity 1 (CET1) Capital
  3. Chapter 4: Additional Tier 1 (AT1) Capital
  4. Chapter 5: Tier 2 Capital
  5. Chapter 6: Contingent Convertibles (CoCos)
  6. Chapter 7: Additional Valuation Adjustments (AVAs)
  7. Chapter 8: Accounting vs. Regulatory Consolidation
  8. Chapter 9: Treatment of Minority Interests in Consolidated Regulatory Capital
  9. Chapter 10: Investments in Capital Instruments of Financial Institutions
  10. Chapter 12: Equity Investments in Nonfinancial Entities
  11. Chapter 13: Deferred Tax Assets (DTAs)
  12. Chapter 14: Asset Protection Schemes and Bad Banks
  13. Chapter 15: Approaching Capital Enhancement Initiatives
List of Illustrations
  1. Chapter 1: Overview of Basel III
  2. Chapter 2: Minimum Capital Requirements
  3. Chapter 3: Common Equity 1 (CET1) Capital
  4. Chapter 4: Additional Tier 1 (AT1) Capital
  5. Chapter 5: Tier 2 Capital
  6. Chapter 6: Contingent Convertibles (CoCos)
  7. Chapter 7: Additional Valuation Adjustments (AVAs)
  8. Chapter 8: Accounting vs. Regulatory Consolidation
  9. Chapter 9: Treatment of Minority Interests in Consolidated Regulatory Capital
  10. Chapter 10: Investments in Capital Instruments of Financial Institutions
  11. Chapter 11: Investments in Capital Instruments of Insurance Entities
  12. Chapter 12: Equity Investments in Nonfinancial Entities
  13. Chapter 13: Deferred Tax Assets (DTAs)
  14. Chapter 14: Asset Protection Schemes and Bad Banks
  15. Chapter 15: Approaching Capital Enhancement Initiatives
Guide
Pages

This edition first published 2017

2017 Juan Ramirez

Registered office

John Wiley & Sons Ltd, The Atrium, Southern Gate, Chichester, West Sussex, PO19 8SQ, United Kingdom

For details of our global editorial offices, for customer services and for information about how to apply for permission to reuse the copyright material in this book please see our website at www.wiley.com.

All rights reserved. No part of this publication may be reproduced, stored in a retrieval system, or transmitted, in any form or by any means, electronic, mechanical, photocopying, recording or otherwise, except as permitted by the UK Copyright, Designs and Patents Act 1988, without the prior permission of the publisher.

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Designations used by companies to distinguish their products are often claimed as trademarks. All brand names and product names used in this book are trade names, service marks, trademarks or registered trademarks of their respective owners. The publisher is not associated with any product or vendor mentioned in this book.

Limit of Liability/Disclaimer of Warranty: While the publisher and author have used their best efforts in preparing this book, they make no representations or warranties with respect to the accuracy or completeness of the contents of this book and specifically disclaim any implied warranties of merchantability or fitness for a particular purpose. It is sold on the understanding that the publisher is not engaged in rendering professional services and neither the publisher nor the author shall be liable for damages arising herefrom. If professional advice or other expert assistance is required, the services of a competent professional should be sought.

Library of Congress Cataloging-in-Publication Data is available

ISBN 9781119330820 (hardcover) ISBN 9781119330806 (ePDF)

ISBN 9781119330899 (ePub)

Cover Design: Wiley

Cover Image: Vasiliy Yakobchuk/iStockphoto

To my wife Marta and our children Borja, Martuca and David

Preface

Often banks feel Basel III regulations are excessively conservative and act as a deterrent to investors looking for attractive returns. However, Basel III is an opportunity for banks to improve their asset quality and riskreturn profiles. It encourages a strategic approach to decisions about businesses and assets, allocating precious capital toward opportunities that fit the bank's actual risk and return profiles, and exerting pressure to shed unattractive positions.

This book tries to fill a gap in the financial literature on regulatory bank capital. I found a substantial number of excellent books often written by developers of quantitative models on the estimation of credit risk parameters (i.e., exposures, probabilities of default and so on). There also several good books providing a general overview of Basel III, which are useful to grasp an introductory knowledge of the regulation, but that might be too elementary for regulatory capital professionals.

This book has two objectives: (i) to provide readers with a deep understanding of the principles underpinning the capital dimension of Basel III (i.e., the numerator of the capital ratio calculation) and (ii) to be exposed to reallife cases of initiatives to enhance capital. The first objective is a notably challenging one due to the large number of complex rules and because it requires a thorough understanding of the accounting treatment of the items affecting regulatory capital. To meet the second objective, a large number of real case studies have been included.

This book is aimed primarily at capital practitioners at banks, bank equity analysts, institutional investors and banking supervisors. I believe that it is also a useful resource for structurers at investment banks developing capitalefficient transactions and for professionals at auditing, consulting and law firms helping client banks to enhance their capital positions.

Whilst the Basel III rules are intended to provide a common framework for financial institutions, its implementation may vary across the globe, as national supervisors have discretion about the domestic implementation of the Basel III rules. This book is based on the European Union version of Basel III, which is referred to as CRD IV. Whilst some particular changes to the general Basel III framework are introduced by the CRD, most of its contents are likely to be common to the regulation of other jurisdictions.

The interpretations described in this book are those of the author alone and do not reflect the positions of the entities which the author is or has been related to.

About the Author

Juan Ramirez currently works for Deloitte in London, assessing the accounting treatment, risk management and regulatory capital impact of complex transactions.

Prior to joining Deloitte, Juan worked for 20 years in investment banking in sales and trading at JP Morgan, Lehman Brothers, Barclays Capital, Santander and BNP Paribas. He has been involved with interest rate, equity, FX and credit derivatives. Juan holds an MBA from University of Chicago and a BSc in electrical engineering from ICAI.

Juan is the author of the books Accounting for Derivatives and Handbook of Corporate Equity Derivatives and Equity Capital Markets, both published by Wiley.

Chapter 1
Overview of Basel III

Bank executives are in a difficult position. On the one hand their shareholders require an attractive return on their investment. On the other hand, banking supervisors require these entities to hold a substantial amount of expensive capital. As a result, banks need capitalefficient business models to prosper.

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