La régulation bancaire globale: le rôle de la BRI Les accords de Bâle : de Cook à McDonough FMIT Octobre 2007 Michel Henry BOUCHET CERAM (c) Source: Alina Tanasa

Bref historique de Bâle Les nouveaux accords de Bâle II PLAN Qu’est-ce que la BRI? Risque & Capital Bref historique de Bâle 1988 les Accords de Bâle I Les nouveaux accords de Bâle II CERAM (c)

La Banque des Règlements Internationaux: la plus ancienne institution financière internationale The Bank for International Settlements (BIS) is an international organisation which fosters international monetary and financial cooperation and serves as a bank for 55 central banks. The BIS fulfils this mandate by acting as: a forum to promote discussion and policy analysis among central banks and within the international financial community a centre for economic and monetary research a prime counterparty for central banks in their financial transactions agent or trustee in connection with international financial operations Head office is in Basel, Switzerland Established in May 1930 (Young Plan) CERAM (c)

La BRI: source d’information- clé sur les banques internationales et la dette des pays Cross-border lending and borrowing of internationally active banks in key financial centres, including offshore centres Issuing activity in international and domestic securities markets Operations in over-the-counter and exchange-traded derivatives markets Effective exchange rate (EER) indices for 52 economies Operations in the global foreign exchange markets External debt positions of individual countries based on BIS banking and securities statistics as well as on data from other international organisations Payment and settlement systems in major financial centres CERAM (c)

Risque/Capital - les risques majeurs auxquels les banques se confrontent Comme toute entreprise, une banque recherche le profit en compensation de sa prise de risque => elle peut parfois avoir des pertes et, dans des cas extrêmes, faire faillite. Le risque lié à la variation des taux d’intérêts et des taux de changes entraînant des variations dans la valeur des actifs. Le possibilité que la comptabilité,les ordinateurs ou d’autres aspects opérationnels conduisent à des pertes pour une entreprise. Risque de liquidité Risque Légal Risque opérationnel risque de marché Autres risques Risque crédit Le risque lié à l’incertitude quant à la volonté ou la possibilité d’une contrepartie d’assumer ses obligations contractuelles. Like any company, a bank aims to earn money in return for taking the risk. A bank that doesn’t take risk is not a bank. But, taking risk may result occasionally in experiencing losses (in the extreme, the bank may default). The bank will survive by accepting the risks and it will prosper by managing them adequately. 1.      Market risk is the risk of changes due to changes in market prices. It is the risk from shifts in interest rates and foreign exchange rates. 2.      Operational risk An area of risk on which both banks and supervisors are increasingly focusing because of its relative importance. There is no single available definition Example: external and internal fraud (Nick Leeson from Bearings Bank), computer systems breakdown, etc. 3.      Liquidity risk - It represents the possibility that depositors may collectively decide to withdraw more funds that the bank has on hand. Sound liquidity management is one of the most important activities conducted by a bank. Liquidity shortfall at a single institution can have system-wide repercussions. ·          Legal risk is the risk of being sued for negligence or discrimination or the risk that a counterparty is not legally able to enter into a contract. 5.      Other risks o       Business risk - The risk of making bad business decisions. o       Force majeure is the risk from natural calamities such as earthquakes. o        Reputational risk – the risk of bad publicity. Credit risk is the risk that borrowers will default on loan repayment obligations.   Le risque qu’une banque manque de liquidité pour assumer ses obligations immédiates bien qu’elle dispose des actifs suffisants pour couvrir ses transactions. Le risque d’être poursuivi pour négligence ou discrimination ou le risque qu’une contrepartie ne soit pas légalement apte à s’engager dans un contrat. CERAM (c)

Risque & Capital - Fonctions du Capital Afin de se protéger et de protéger ses clients contre une faillite, une banque doit détenir du CAPITAL: Offre une sécurité pour absorber les pertes Protège les épargnants contre les pertes Protège les fonds d’assurance et les contribuables. Offre un accès direct aux marchés financiers et protège des problèmes de liquidités => réduit le risque de liquidité Favorise la croissance & limite la prise de risque. A bank’s default will have a large impact on economy: Depositors will lose their money; Firms will lack sources of financing their investments.   Provides a cushion for loss absorption - Capital is needed to allow a bank to cover any losses with its own funds. Protects depositors against losses Protects the insurance funds & the tax-payers (Regulator view – cost of bailing out banks) Provides ready access to financial markets, guards against liquidity problems Constrains growth & limits risk-taking ·        This particular function is apparent when a bank starts up, when money raised from subscribing shareholders is used to buy buildings, land and equipment. It is desirable to have permanent capital coverage for fixed assets. That means any additional investments in fixed assets should coincide with a capital rise. ·        The capital adequacy ratio first set by the Basel Committee in 1988 represents the main limit, imposing minimum capital requirements against risk-weighted assets. Conclusion: Thus, bank capital plays a critical role in the safety and soundness of individual banks and the banking system as a whole. CERAM (c)

Risque & Capital - définition comptable du Capital: Qu’est-ce qui constitue le capital bancaire? Capital = Les fonds engagés dans une entreprise d’une manière permanente dans le but de réaliser un profit. Définition comptable du Capital: Actif total – Passif Total Bilan comptable Actifs Passifs Capital: Actions Actions préférentielles (droit de vote ou dividende) Réserves Résultat Undistributed profits!!! Equity capital CERAM (c)

Résumé Risque & Capital Bref historique de Bâle 1988 les accords de Bâle Les nouveaux accords de Bâle CERAM (c)

Bref historique de Bâle Bank for International Settlements (BIS) Quartier général à Bâle, en Suisse (1933) Représente les banques centrales du G10 1974 – Comité de Bâle sur la Supervision bancaire Janvier, 1996 Amendement pour Incorporer le risque marché Juillet, 1988 Introduction du ratio Cook Juin, 1999 Première consultation sur les nouveaux accords Janvier, 2001 Seconde Consultation “Intended to align regulatory capital requirements more closely with underlying risks, and to provide banks and their supervisors with several options for the assessment of capital adequacy.” W.J. McDonough The BIS - is the major international organization for central banks, created at the Hague Conference in January 1930 and it represents the Group of ten countries. Its mission has been to facilitate international money flows. In 1974, the Basel Committee was created by the central banks governors of G10 countries in order to foster cooperation and understanding among regulators. July, 1988 – The Basel Committee on Banking Supervision introduced the current Capital Accord End-1992 – Deadline for implementation, although at the beginning it was targeted on internationally active banks, in the end it was introduced in more than 100 countries. January, 1996 – Amendment to incorporate Market Risk (remained unchanged in the latest proposals) In June 1999 the Committee released a proposal to replace the 1988 Accord with a more risk-sensitive framework.The First Consultative Package on the New Accord was followed by January 2001 – Second Consultative Package We are waiting for a Third Consultative Package which should be published in the spring of 2003 2006) – Implementation date (postponed from 2004) 2003 Troisième Consultation 2007 Date limite pour la mise en oeuvre CERAM (c)

Bref Chronologie des accords de Bâle Comité de Bâle sur la Supervision bancaire (BCBS) par les banques centrales du G10 Amendement pour couvrir le risque marché (effectif en 1997) Seconde action Consultative (CP2) version finale des nouveaux accords de Bâle Fin de la période de transition 1974 1988 1996 Juin 1999 Jan 2001 Avril 2003 Q4 2003 Jan 2007 2010 Accords de Bâle originaux (Bâle I) …effectif en 1992 Proposition pour un nouveau système de régulation – Première action consultative (CP1) Troisième action Consultative (CP3) Nouveaux accords de Bâle effectifs 1974 – BCBS In 1974, the central banks governors of G10 countries created the Basel Committee in recognition of the fact that the financial marketplaces of the world were unifying into a single global financial marketplace. Since that time the Committee has fostered cooperation and understanding among the world's bank regulators by sharing global perspectives on industry and regulatory best practices. Through these discussions, they have acted to harmonize international bank regulation as necessary to keep surprises from impacting the global economy. 1988 – Basel I Since 1974, when the Basel Committee on Banking Supervision was established, a series of international standards on banking operations and supervisions were adopted. Among those are the International Convergence of Capital Measurement and Capital Standards, commonly referred to as the 1988 Basel Capital Accord. The major impetus for the 1988 Basel Capital Accord ware the concern of the governors of the G10 central banks that the capital of the world’s major banks had become dangerously low after the persistent erosion through competition and the Latin American and Russian monetary crisis. The merits of the 1988 Basel Capital Accord were widely recognised. During the 1990s it became an accepted world standard, with well over 100 countries applying the Basel framework to their banking systems. As a result, the two objectives of adequate capital levels and the creation of a “more level playing field” were achieved. 1996 – Amendment for Market Risk The 1988 Basel Accord has been successful. However, bank innovation, new financial instruments, and complex bank practices have acted to disassociate actual risk from the capital requirements. A significant amendment to cover market risk was enacted in 1996 and became effective from January 1st, 1998. Market risk was defined as the risk of losses in on- and off-balance-sheet positions arising from movements in market prices. 1999 – CP1 In June 1999 the Committee released a proposal to replace the 1988 Accord with a more risk-sensitive framework. January 2001 – CP2 A Second Consultative Package was published in January 2001; the proposal is based on three mutually reinforcing pillars that allow banks and supervisors to evaluate properly the various risks that banks face. April 2003 – CP3 The Third (and final) Consultative Package was published in April 29th, 2003. Banks must send their comments before July 20th. Year end 2003 – Final Accord The final reform proposal will not be introduced until sometime in the fourth quarter of 2003, allowing for implementation of the new framework in each country at year-end 2006 => 2006 – Parallel running if IRB Approach January 2007 – NBCA effective CERAM (c)

Résumé Risque & Capital Bref historique de Bâle 1988 les accords de Bâle Les nouveaux accords de Bâle CERAM (c)

1988 Accords de Bâle - Risque basé sur les ratios de capitaux Développé par le Comité dans le but de renforcer le système bancaire international Initialement prévu pour les banques de dimension internationales, ils ont finalement été mis en œuvre dans plus de 100 pays. Les banques doivent détenir un capital > 8% des actifs pondérés par leurs risques spécifiques . => Capital règlementaire = >8% x Actifs pondérés par risque *Why it was introduced?: The major impetus for the 1988 Basel Capital Accord was the concern of the Governors of the G10 central banks that the capital of the world’s major banks had become dangerously low after persistent erosion through competition and the Latin American debt crisis. The 1988 Accord established minimum levels of capital that helped to strengthen the soundness and stability of the international banking systems and enhanced competitive equality among internationally active banks. Capital réglementaire Actifs pondérés par risque Ratio de capital adéquat = CERAM (c)

Capital Réglementaire - 1988 Bâle Tier 1 – Noyau dur du capital = + détention permanente d’actions + Réserves (Retained earnings) + Intérêts minoritaires dans les filiales - « Goodwill » Tier 2 – capital Supplémentaire = + Réserves non allouées + réserves liées à la réévaluation d’Actifs + provisions générales / réserves pour pertes sur emprunts + Instruments hybrides + Dettes à terme subordonnées - Investissements dans des filiales fin. & autres institutions financières Set by the regulators!!! In the 1988 Basel Accord, the definition of regulatory capital was set broadly in two tiers. (a) Core capital (basic equity) – TIER 1 The Committee considers that the key element of capital on which the main emphasis should be placed is equity capital and disclosed reserves. This key element of capital is the only element common to all countries' banking systems; it is wholly visible in the published accounts and is the basis on which most market judgments of capital adequacy are made.   (b) Supplementary capital – TIER 2 (additional internal and external resources available to the bank) The other elements of capital (supplementary capital) will be admitted into tier 2 up to an amount equal to that of the core capital. Each of these elements may be included or not included by national authorities at their discretion in the light of their national accounting and supervisory regulations. (c) TIER 3 capital In April 1995, the Committee allowed banks, at national discretion, to issue short-term subordinated debt to meet a part of their market risks. It is limited to 250% of a bank’s Tier 1 capital that is required to support market risk The bank has to hold at least half of its measured capital in Tier 1 form. Tier 3 (pour le risque marché)=Dettes à court terme subordonnées Tier 1 >= Tier 2 + Tiers 3 CERAM (c)

Capital Économique vs. Capital Règlementaire Capital économique = Le montant de ressources disponibles nécessaire pour absorber les pertes inattendues sur une période donnée Toute entreprise a besoin de capital, mais seules les institutions financières ont des exigences de capital minimum à respecter! Capital règlementaire = le montant minimum de capital imposé par le régulateur Regulatory capital is derived from a set of rules, such as Basel Capital Accords and it is design to ensure that there is enough capital in the banking system. In fact, most financial institutions hold more capital than the regulators require. CERAM (c)

1988 Accords de Bâle- Pondération du risque Bilan comptable Pondération du risque Catégorie d’actif 0% Liquide & or Bons du trésor émis par les gouvernements de l’OCDE y compris le Mexique,la Pologne la Turquie et la Hongrie. 20% Titres émis par les banques de l’OCDE 50% Hypothèques immobilières 100% Toutes les autres formes de titres comme les obligations émises par des entreprises , des titres représentatifs de dettes des pays en voie de développements, l’immobilier ou les équipements industriels CERAM (c)

1988-2006 Les accords de Bâle - 5 seuils de capitalisation 1.Très capitalisé Ratio de capital pondéré par le risque >10% 2. Bien capitalisé Ratio de capital pondéré par le risque > 8% 3. Sous capitalisé Ratio de capital pondéré par le risque < 8% 4. Largement sous capitalisé Ratio de capital pondéré par le risque < 6% 5. Sous capitalisé de manière critique Ratio de capital pondéré par le risque < 2% Sujet à des restrictions règlementaires CERAM (c)

1988 Les accords de Bâle - Insuffisances 1. Pas de différenciation par le risque Un prêt émis par une firme notée AA est traité de la même manière qu’un prêt émis par une firme notée B Un prêt pour une banque turque nécessite 5 fois moins de capital qu’un prêt pour General Electric (notée AAA ) => Il est moins lucratif de détenir des actifs peu risqués Besoin de Capital % Exposition au risque Emprunteurs 1.6 8 Banque turque General Electric 1. Low risk diversification For example corporate obligors of all types receive now a 100% weighting, while banks in an OECD country are weighted at 20% and OECD governments at 0%. This leads to many distortions, for example General Electric Corporation, a AAA rated entity, is weighted 5 times riskier than a Turkish bank (B-). G.E. is also thus considered to be infinitely more risky than the sovereign debt of Turkey. Regulatory rules assume that all corporate borrowers are deemed to have equal risk. For example a loan to an AA corporate requires that same amount of regulatory capital as a B rated credit. This is clearly inappropriate. => The current risk weighting of assets results, at best, is a crude measure of economic risk, primarily because degrees of credit risk exposure are not sufficiently calibrated to differentiate adequately among borrowers’ differing default risks. For example, a loan to a corporate borrower rated AAA would attract the same regulatory capital of 8% as a loan to a borrower rated BB, regardless of the obviously very different default risk as indicated in the rating. Top quality loans require relatively high capital underpinning. Therefore, from a return-on-capital point of view, it has become less lucrative to hold such low risk assets. CERAM (c)

1988 Les accords de Bâle - Insuffisances 2. Pas d’incitation à la diversification de portefeuille Un simple prêt nécessite le même capital qu’un prêt pour un portefeuille d’actifs diversifié de même valeur. Pas de distinction entre un prêt de $100 et 100 prêts de $1 Besoin de Capital % Exposition au risque Emprunteurs 8 1 prêt de $100 100 prêts de $1 2. No benefit from diversification A $100million loan to one obligor is allocated the same capital as 100 separate, $1million loans to 100 different obligors. The current regulation does not take into account portfolio diversification, which has an impact on overall portfolio risk, and does not specifically address operational risks. CERAM (c)

1988 les accords de Bâle - Insuffisances 3. “Arbitrage” structurel Les crédits ayant une maturité de moins d’un an ne sont pas soumis aux règles de régulation du capital => La création de crédits de 364-jours, mais qui sont continuellement refinancées. 4. Pas de besoin de capital pour le risque opérationnel 3. Structural arbitrage Facilities with an original maturity of less than one year do not attract regulatory capital. This has lead to the creation of the 364-day facility, in which banks commit to lend for 364 days only. But which is then, continuously rolled over. Finally, the current regulation does not specifically address operational risks, which can have an important impact on banks’ activity as we could see in the last years (Barings Bank – Nick Leeson). CERAM (c)

Résumé Risque & Capital Bref historique de Bâle 1988 les accords de Bâle Les nouveaux accords de Bâle CERAM (c)

Les nouveaux accords de Bâle 2007 Les 3 piliers In January 2001 the Basel Committee on Banking Supervision issued a proposal for a New Basel Capital Accord that, once finalized, will replace the current 1988 Capital Accord. The proposal is based on three mutually reinforcing pillars that allow banks and supervisors to evaluate properly the various risks that banks face and which should contribute to safety and soundness in the financial system. Taken together they are seen as essential to the working of an effective regulatory capital framework The New Basel Capital Accord focuses on: Minimum capital requirements seek to expand and develop the concept of standardized rules to calculate a minimum level of capital for any institution Supervisory review of an institution's capital adequacy and internal assessment process;it intends to ensure that banks follow rigorous processes,they measure their risk exposures correctly, and they have enough capital to cover their risks. Market discipline tries to encourage safe and sound banking practices through effective disclosure. Réglementation des Marchés Besoin de Capital minimum Supervision des Processus CERAM (c)

Risques et Capital risque opérationnel 20% 12% Risque de marché 5% 75% The credit risk is expected to represent, on average, 75% of the minimum regulatory capital charge, while operational risk will represent 20% and market risk only 5%. Business risk and reputation risk transferred to credit risk => Operational risk = 12% (even 9% under the Advanced Measurement Approach) 75% Risque crédit CERAM (c)

Pilier 2 - Processus de supervision 4 principes pour le processus de supervision : 1. Les banques doivent disposer d’un processus d’évaluation de la validité de leurs ratios de capitaux internes en relation avec leurs profils de risque; elles doivent aussi adopter une stratégie et des outils pour maintenir le niveau de ces ratios de capitaux. 2. Les Superviseurs doivent réévaluer leurs ratios et leurs stratégies constamment tout comme leurs capacités à maintenir le respect des règles liées aux ratios de capitaux. 3. Il est recommandé aux banques de toujours conserver des niveaux de capitaux au dessus du niveau minimum réglementaire. 4. Les Superviseurs doivent toujours chercher à intervenir le plus tôt possible pour empêcher les capitaux de tomber sous le niveau minimum de régulation autorisé. In essence Pillar 2 recognizes that no set of rules for capital requirements – even the more risk sensitive approaches included in Pillar 1 – can be relied on to capture all aspects of an individual bank’s risk profile. Therefore each bank must systematically assess its economic capital requirement i.e. the size of the buffer needed to cover its real risks; and the supervisor’s job is to review and assess the bank’s process and take into account the results.   The proposals identify four key principles of supervisory review, which are listed below: Principle 1: Banks should have a process for assessing their overall capital adequacy in relation to their risk profile and a strategy for maintaining their capital levels. Management has responsibility for ensuring that their institution has adequate capital to encapsulate the risks it faces and that suitable systems and procedures are in place to support and facilitate their assessment and monitoring of the adequacy of capital. Principle 2: Supervisors should review and evaluate banks’ internal capital adequacy assessments and strategies, as well as their ability to monitor and ensure their compliance with regulatory capital ratios. Supervisors should take appropriate supervisory action if they are not satisfied with the result of this process. Principle 3: Supervisors should expect banks to operate above the minimum regulatory capital ratios and should have the ability to require banks to hold capital in excess of the minimum. Banks will be typically required to operate with a buffer above the minimum required capital ratio. Principle 4: Supervisors should seek to intervene at an early stage to prevent capital from falling below the minimum levels required to support the risk characteristics of a particular bank and should require rapid remedial action if capital is not maintained or restored. CERAM (c)

Matrice d’approche pour le calcul des besoins de capitaux Risque crédit Risque Opérationnel Risque de Marché Simple Standard indicateur Basique Intermédiaire Fondation IRB   Avancée IRB mesure interne Modèle VaR Interne Type de risque Complexité Standard There are 3 types of approaches (simple, intermediate and advanced) for credit and operational risks and only two approaches for market risk. We will focus our presentation on credit risk assessment, we will present just briefly the definition and the different approaches for calculating the operational and market risks capital requirements. Regulatory capital requirements: The credit risk is expected to represent, on average, 75% of the minimum regulatory capital charge, while operational risk will represent 20% and market risk only 5%. CERAM (c)

Approche IRB - les catégories d’exposition aux risques a) Risque entreprise : les obligations émises par les entreprises ou les sources du remboursement sont basées sur les opérations futures de l’emprunteur plutôt que sur ses actifs ou ses titres de propriétés. b) Risque bancaire : les risques de couverture des banques et des compagnies financières peuvent aussi inclure les banques de développement multi-latérales (MDBs) c) Risque gouvernemental : inclus les gouvernements et leurs banques centrales : « risque-pays » The different assets categories that we have to consider are: a) Corporate exposure = a debt obligation of a corporation, partnership, or proprietorship. Exposures to corporates are characterized by the fact that the source of repayment is based primarily on the ongoing operations of the borrower, rather than the cash flow from a project or property. This definition would also include those public sector entities (PSEs) that do not meet the characteristics of a sovereign. Specialized lending – payments are done from future cash flows not from the on-going operations of the borrower. Exposures covered by IRB approach to specialized lending: The purpose of the loan is to acquire or to finance an asset The sole or most exclusive source of repayment of the loan is the cash flows generated by the collateral The loan represents a significant liability in the borrowers capital structure The variability of the CF generated by the collateral is the main determinant of CR Example: ST lending to finance reserves, inventories or receivables; the construction or the acquisition of income producing real estate (lease payments, sale of the asset) b) Bank exposures cover exposures to banks and securities firms. This includes Multilateral Development Banks (MDBs) that do not meet the criteria for a 0% risk weighting under the standardized approach. c) Sovereign exposures includes sovereigns (and their central banks), PSEs identified as sovereigns in the standardized approach and MDBs which meet the criteria for a 0% risk weighting under the standardized approach. CERAM (c)

Risques de Marché Risques de marché Risques marché action Risques de taux d’intérêts Risques marché des changes Risques matières premières Definition: The risk of adverse deviations in the mark-to-market value of the trading portfolio during the period required to liquidate transactions. The market risks covered by Basel are: •interest rate risk and equity risk in the trading portfolios •currency (foreign exchange) risk and commodity risk for the whole bank. The interest rate risk= the exposure to loss resulting from a change in interest rates.   The market risk of a financial instrument can be caused by more than one factor. For example, holding a bond denominated in a foreign currency exposes the owner to currency risk and to interest rate risk. Two alternatives methods to measure market risks: •Standardized approach uses the measurement framework of the Current Accord and a "building-block" approach in which specific risk and the general market risk arising from debt and equity positions are calculated separately. •Internal model approach is subject to approval of supervisory authority and to a set of qualitative and quantitative conditions. 2 méthodes alternatives pour mesurer le risque de marché : Approche standard Modèle d’approche interne (VaR modèle) CERAM (c)

Risque crédit - Approche standard évoluée Similaire aux accords de 1988: les pondérations sont déterminées par la catégorie de l’emprunteur Les pondérations du risque sont basées sur les notations des agences externes ( si disponible) Amélioration de la sensibilité au risque Cible des banques désirant une simplification du système de gestion des risques des capitaux Elements of improved risk sensitivity: Elimination of OECD club preference Two options for treating exposures to banks Greater differentiation for corporate credits Introduction of higher risk categories (150%) Problem: external ratings must exist Besoin de capital Minimum = encours de créances x risques pondérés CERAM (c)

Risque crédit - Approche standard évoluée Nouvelles pondérations 3 Option 22 Evaluation Titres AAA à AA- A+ à A- BBB+ à BBB- BB+ à B- Sous B- Sans notation Gouvernements 0% 20% 50% 100% 150% Banques Option 11 100 Entreprises The differences between the Current Accord and the new Standardized approach Sovereign and bank risk weights would no longer depend on whether the sovereign (for banks, the sovereign of incorporation) was a member of the OECD; Externally rated corporates would no longer all have a 100% risk weight; The maximum risk weight would be increased from 100% to 150%. The 150% weight would apply to exposures to counterparties with a low external rating i.e. below B- for sovereigns and banks and below BB for corporates The 50% ceiling on counterparty risk weightings of OTC derivatives would no longer apply; The credit conversion factor for loan commitments with original maturity up to one year would be increased to 20% from 0%, except where the commitment was unconditionally cancelable, or effectively provided for automatic cancellation due to deterioration in a borrower’s creditworthiness. The unrated assets have a 100% weight, but most of the bank’s assets are not rated (including the retail exposures) therefore we can see that the revised standardized approach doesn’t change much for the retail (consumer) sector. CERAM (c)

L’approche de IIF des nouveaux standard de risque IIF est une association globale d’institutions financières comprenant 330 membres dans son organisation   IIF déclare que « de nombreux changements sont encore nécessaires avant que le nouveau système de régulation des capitaux soit finalisé et que les objectifs du comité de Bâle soient atteints (stabilité financière,diminution de la sensibilité au risque…) ». Nombreux sujets à considérer : Procyclicalité, reconnaissance de l’importance de la diversification et des modèles de risques crédit ; simplification; calibration et coordination de la régulation; chacun de ces points est essentiel à résoudre selon l’IIF. CERAM (c)

Les critiques des banques face aux nouveaux accords Importance exagérée du risque opérationnel (20% du total des besoins de capitaux ) Effet cyclique : accentuation des tendances : Baisse de niveau de notation du crédit => Plus grand besoin de capitaux => souscription automatique de crédits Pilier 3: Le volume et le niveau de détail proposé dépasse largement les pratiques actuelles. Favorise les grandes banques & les pays développés plutôt que les petites banques et les pays émergeants. CERAM (c)

Les accords 1988 vs. les Nouveaux Accords   Les accords de 1988 Les nouveaux accords Structure et contenu Unique besoin : exigence minimum de capital 3 piliers: Plus d’importance sur les méthodologies bancaires et la discipline du marché Flexibilité d’application Une seule taille pour tous Plus flexible,différentes approches, meilleur management du risque Sensibilité risque Mesure globale Plus sensible aux risques Pondération du risque 0~100, Favorable à l’OCDE 0~150 ou plus,pas de privilège, Notation interne et externe Risque Crédit techniques de couverture Collatéral et garantie seulement Plus de techniques telles que collatéral, garanties, crédits dérivés, position net 1. The new Basel Accord proposals are frequently referred to as a ‘package’ because it additionally introduces the supervisory review process and the market discipline. 2. Secondly, it gets rid of the mechanical features of its predecessor and it is characterized by a higher risk sensitivity and flexibility of application by covering almost all risks, providing a long list of approaches based on prescriptive standards or internal and external ratings, and giving more discretion to national supervisors. Meanwhile, it greatly emphasizes banks’ internal control by offering incentives for better risk management and setting a series of general and specific requirements for a sound capital assessment and bank management. 2. Elements of improved risk sensitivity: Risk weights are based on internal and external credit assessments Eliminates the OECD club preference Two options for treating exposures for banks Greater differentiation of corporate credits Introduction of higher risk category (150% - for assets rated below B-) CERAM (c)