1. Basel III 11 Aug 2014 , PAN Wei You, FRM, PMP, SCEA,
[email protected]
2. 1. III 2. III 3. 4. Enterprise Risk Solutions 2
3. 1. III 2. III 3. 4. Enterprise Risk Solutions 3
4. III LCR 30 Liquidity Coverage Ratio = Stock of High Quality
Liquid Assets Total Net cash outflow over 30 days 100% NSFR1, NSFR
LCR Enterprise Risk Solutions Net Stable Funding Ratio = Available
stable funding Required stable funding 100% 4
5. 1. III 2. III 3. 4. Enterprise Risk Solutions 5
6. Key III Enterprise Risk Solutions 6
7. LCR - HQLA 100% 100% 0% 100% 100% 0% 100% (L1) LCR = HQLA
TNCO ---------- Enterprise Risk Solutions 7 A 20% 85% twAA-85%
twAA-85% A(L2A) B 75% twA+twBBB-50% 50% B(L2B) LCR Liquidity
Coverage Ratio HQLA High Quality Liquid Asset TNCO Total Net Cash
Outflows (for 30 calendar days) twAA- twA+twBBB
12. Supervisor Discretion Supervisor Discretions Example : HQLA
Eligibility Comparison HQLA 2B TW Eligibility SG Eligibility HK
Eligibility RMBS Case by Case Common Equity (FED, HKMA, MAS, CBRC,
etc) APRA 10% 25% FED Peak Cumulative Net Cash Outflow Enterprise
Risk Solutions 12
13. MAS MLA Minimum Liquid Assets Enterprise Risk Solutions
13
14. HKMA - HKMA considers it appropriate to adopt an approach
that focuses more on the qualitative elements (including the home
factors) in determining the classification status of FBBs. Ref :
Consultation Paper Implementation of Basel III Liquidity Standards
in Hong Kong (L3) Adequacy of home jurisdiction liquidity
requirements Group compliance with home jurisdiction liquidity
requirements Enterprise Risk Solutions 14 Global liquidity risk
management system Effective home-host information-sharing
arrangements
23. Daily LCR BCBS BCBSLCR LCR Daily LCR Monitoring : For
example - Singapore MAS Enterprise Risk Solutions 23
24. - Collect Daily Collect extensive data to classify Classify
counterparties Alter current deposit systems to determine
Enterprise Risk Solutions 24 Contractual Cash Flow operational and
non-operational deposits based on various definitions coverage by
deposit insurance on daily basis Reference: 20140519 Joint Trades
Comment Letter on LCR Daily Calculation Requirement
25. 1. III 2. III 3. 4. Enterprise Risk Solutions 25
26. Enterprise Risk Solutions 26
27. Retail, Wholesale, Stable vs Less Stable, Operational vs
Non-Operational, Derivatives, etc HQLA , Level 1, 2A, 2B
Classification Haircut , Caps and Adjustments / Enterprise Risk
Solutions 27 Asset/Liability, Off-Balance Commitments and
Derivatives Principal vs Interests Daily Cashflows Generation
Counterparty Type, Country, Aggregated Exposure, etc Rating and PD
integration Daily Risk Weight Calculations
30. ( Risk Maps) Concern (Solvency) Regulatory Concern Retail
Depositors Large withdrawal Large Interest Rate Early Warning
Indicators Internal Risk and Profitability Indicators No rollover
Enterprise Risk Solutions Bank Credit Downgrade Corporate
Depositors Withdrawal of Funds Rollover less than 50 -70% Rollover
more than 70%
35. 1. III 2. III 3. 4. Enterprise Risk Solutions 35
36. . : , ; LCR Enterprise Risk Solutions 36
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Enterprise Risk Solutions
