Finalising Basel II: The Way from the Third Consultative Document to Basel II Implementation
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1 Finalising Basel II: The Way from the Third Consultative Document to Basel II Implementation Katja Pluto, Deutsche Bundesbank Mannheim, 11 July 2003 Content Overview Quantitative Impact Studies The Procyclicality Issue Schedule for the Accord Finalisation Implementation Issues United States Germany Mannheim, 11 July 2003 Katja Pluto Page 2 1
2 Structure of the New Capital Accord measurement of relative riskiness of all on and off balance sheet items of a bank (Risk Weights RW) credit risk market risk operational risk 8% capital supervisory risk weights customer type, external rating, collateral Revised Standardised Approach bank internal measurement of credit risk PD, LGD, EAD, M; supervisory risk weight functions IRB Approach + supervisory review process (qualitative banking supervision) + transparency / market discipline Mannheim, 11 July 2003 Katja Pluto Page 3 Foundation and Advanced IRB Approach foundation IRB approach Advanced IRB approach bank internal rating systems bank internal PD estimates bank internal rating systems bank internal PD estimates supervisory LGD and EAD estimates limited recognition of collateral bank internal LGD and EAD estimates unlimited collateral recognition no explicit maturity estimates implicit average maturity assumption of 2.5 years explicit maturity adjustments SME exemption up to 500 Mio. sales as well as balance sheet Mannheim, 11 July 2003 Katja Pluto Page 4 2
3 Minimum Requirements for the IRB Approaches Rating system design (# grades, assessment horizon...) Rating process (completeness, independence,...) Corporate governance (board approval, regular audits,...) Bank internal use of rating results (risk management, limit systems, pricing, provisioning...) Rating systems designed for supervisory purposes only are not acceptable! Risk quantification (time horizon, data, default definition...) Validation of rating systems and risk quantification Collateral management Transparency Mannheim, 11 July 2003 Katja Pluto Page 5 IRB Risk Weight Functions 350,00% 300,00% 250,00% 200,00% 150,00% 100,00% 50,00% 0,00% 0% 2% 4% 6% 8% 10% 12% 14% 16% 18% 20% corporate 45% SME 45% res. mortgages 25% revolving retail 45% other retail 45% Mannheim, 11 July 2003 Katja Pluto Page 6 3
4 Risk Weight Functions Generic Form Generic form of the Basel II risk weight functions G(PD) + RW(PD,LGD) = 12.5 LGD N R(PD) G(0.999) R(PD) N: Standard Normal Distribution G: Inverse of the Standard Normal Function (N -1 ) R: Asset Correlation specification of the different risk weight functions via R Mannheim, 11 July 2003 Katja Pluto Page 7 Risk Weight Functions Specific Forms (I) corporates, banks and sovereigns e e R(PD) = and k = 50 e e small and medium sized enterprises (Sales S < 50 Mio. ) R(PD) = Rcorporates(PD) 0,04 ( (S 5)/ 45) residential mortgages R (PD) = 0.15 other retail e e R(PD) = and k = 35 e e Mannheim, 11 July 2003 Katja Pluto Page 8 4
5 Risk Weight Functions Specific Forms (II) qualifying revolving retail loans additional term in risk weight function: recognition of future margin income (FMI) as EL coverage G(PD) RW(PD,LGD) 12.5 LGD N + = PD LGD R(PD) G(0.999) R(PD) e e R(PD) = and k = 50 e e Mannheim, 11 July 2003 Katja Pluto Page 9 Quantitative Impact Study 3: International Results % increase of risk weighted assets compared to Basel I: G10 RSA FIRB AIRB large international banks mean 11% 3% -2% small and regional banks mean 3% -19% Max 81% 41 % Min % Calibration confirmed - overall capital level approximately constant - moderate incentives for advanced approaches Mannheim, 11 July 2003 Katja Pluto Page 10 5
6 Quantitative Impact Study 3: National Results % increase of risk weighted assets compared to Basel I: Germany RSA FIRB AIRB large intl banks mean 12 % 16 % 5 % Small and regional banks mean 0 % -10 % -8 % Max 28 % 41 % 34 % Min -17 % -47 % -44 % Capital requirements slightly over current ratios Wide spread of results Mannheim, 11 July 2003 Katja Pluto Page 11 Quantitative Impact Study 3: Main Risk Drivers downside potential for capital: overall portfolio creditworthiness SME term in corporate risk weight function low retail risk weights (both RSA and IRB) upside potential for capital: overall portfolio creditworthiness capital requirements for short term committed credit lines rating dependent bank an sovereign risk weights potentially: definition of default although consistent with supervisory LGD values operational risk charge Mannheim, 11 July 2003 Katja Pluto Page 12 6
7 Procyclicality: The Issue credit risk is cyclical capital requirements become more cyclical the more risk sensitive the chosen framework Issues: How much procyclicality can banks bear? judgement needed What is the real impact on the economy, if any? empirical studies needed (over and above theoretical considerations) Mannheim, 11 July 2003 Katja Pluto Page 13 Procyclicality: Potential Solutions Through-the-cycle ratings / stress based ratings Banks do apply point-in-time ratings Varying confidence levels over business cycle Which benchmark? Bank internal credit risk models... Cyclical as well... Supervisors take procyclicality seriously and will continue to monitor the Basel II effects. However, ideal solution still to be found. Mannheim, 11 July 2003 Katja Pluto Page 14 7
8 Schedule 29 April 2003: Publication of the 3. Consultative Paper 31 July 2003: End of Consultation Period comment summaries / issues identification necessary adjustments to current proposal End of 2003: Finalisation of the New Capital Accord approval by central bank governors / heads of banking supervision 2004 / 2005: additional Quantitative Impact Studies??? 2006 parallel run of Basel I / Basel II (only for IRB banks) 2007: implementation on the New Capital Accord parallel: EU consultation / EU capital directive (presumably 2005) Mannheim, 11 July 2003 Katja Pluto Page 15 US Implementation Basel II mandatory for 10 large international banks only Another 10 banks expected to move voluntarily to Basel II Implementation of AIRB and AMA (op risk) only National rules proposal to be issued early July (3m consultation) Issues Schedule of Accord finalisation Cross border banking supervision US subsidiaries in Germany German subsidiaries in US Mannheim, 11 July 2003 Katja Pluto Page 16 8
9 German Implementation All banks under Basel II framework (as desired by German banking industry) Exercise of national discretion partial use of IRB and advanced op. risk approaches retail definition consequences for other regulatory frameworks... Schedule for national discretion start now (3rd quarter) close consultation and discussion with industry ( working groups ) national rules proposal expected to start early / mid 2004 final legal rules setting only after EU directive Mannheim, 11 July 2003 Katja Pluto Page 17 Conclusion: A New Approach for Banks and Supervisors Banks (IRB) few regulatory definitions / fixed risk weights strong focus on bank internal processes one size no longer fits all? Supervisors minimum requirements on bank internal processes focus on adequate / consistent implementation of internally developed systems and processes from qualitative to quantitative, from off-site to on-site supervision TÜV Mannheim, 11 July 2003 Katja Pluto Page 18 9
10 Thank you for your attention! Questions? Mannheim, 11 July 2003 Katja Pluto Page 19 10
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