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ChapterFifteenTheManagementofCapital
KeyTopicsTheManyTasksofCapitalCapitalandRiskExposuresTypesofCapitalInUseCapitalastheCenterpieceofRegulationBaselIandBaselIICapitalRegulationintheWakeoftheGreatRecession/BaselIIIPlanningtoMeetCapitalNeeds
IntroductionWhatiscapital?FundscontributedbytheownersofafinancialinstitutionRaisingandretainingsufficientcapitaltoprotecttheinterestsofcustomers,employees,owners,andthegeneralpublicistoughWhyiscapitalsoimportantinfinancial-servicesmanagement?ItprovidesacushionofprotectionagainstriskandpromotespublicconfidenceCapitalhasbecomethecenterpieceofsupervisionandregulationtoday
TheManyTasksCapitalPerformsProvidesacushionagainsttheriskoffailureProvidesfundstohelpinstitutionsgetstartedPromotespublicconfidenceProvidesfundsforgrowthRegulatorofgrowthRegulatorytooltolimitriskexposure
CapitalandRisksKeyRisksinBankingandFinancialInstitutions’ManagementCreditRiskLiquidityRiskInterestRateRiskOperationalRiskExchangeRiskCrimeRisk
CapitalandRisks(continued)DefensesagainstRisksQualityManagementDiversificationGeographicPortfolioDepositInsuranceOwners’Capital
TypesofCapitalinUseCommonstockPreferredstockSurplusUndividedprofitsEquityreservesSubordinateddebenturesMinorityinterestinconsolidatedsubsidiariesEquitycommitmentnotes
TABLE15–1CapitalAccountsofFDIC-InsuredU.S.CommercialBanks,December31,2010
OneoftheGreatIssuesintheHistoryofBanking:HowMuchCapitalIsReallyNeeded?RegulatoryApproachtoEvaluatingCapitalNeedsReasonsforCapitalRegulationTolimitriskoffailuresTopreservepublicconfidenceTolimitlossestothegovernmentandotherinstitutionsarisingfromdepositinsuranceclaims
OneoftheGreatIssuesintheHistoryofBanking:HowMuchCapitalIsReallyNeeded?(continued)RegulatoryApproachtoEvaluatingCapitalNeedsResearchEvidenceResearchhasbeenconductedontheissueofwhethertheprivatemarketplaceorgovernmentregulatoryagenciesexertabiggereffectonbankrisktakingMoststudiesfindthattheprivatemarketplaceisprobablymoreimportantthangovernmentregulationinthelongrunRecentlygovernmentregulationappearstohavebecomenearlyasimportantastheprivatemarketplaceEspeciallyinthewakeofthegreatcreditcrisisof2007-2009
OneoftheGreatIssuesintheHistoryofBanking:HowMuchCapitalIsReallyNeeded?(continued)RegulatoryApproachtoEvaluatingCapitalNeedsResearchEvidenceWearenotatallsuremarketdiscipliningworksaswellforsmallandmedium-sizeinsureddepositoryinstitutionsSomeofthemostpertinentinformationneededtoassessabank’sriskexposureisknownonlytogovernmentregulatorsResearchhasfoundthatincreasedcapitaldoesnotmateriallylowerabank’sfailurerisk
TheBaselAgreementonInternationalCapitalStandards:AContinuingHistoricContractAmongLeadingNationsTheBaselAgreementAninternationalagreementonnewcapitalstandardsDesignedtokeeptheircapitalpositionsstrongReduceinequalitiesincapitalrequirementsamongdifferentcountriesPromotefaircompetitionCatchupwithrecentchangesinfinancialservicesandfinancialinnovationInparticular,theexpansionofoff-balance-sheetcommitmentsFormallyapprovedinJuly1988Includedcountriessuchas:TheUnitedStates,Belgium,Canada,France,Germany,Italy,Japan,theNetherlands,Spain,Sweden,Switzerland,theUnitedKingdom,andLuxembourg
TheBaselAgreementonInternationalCapitalStandards:AContinuingHistoricContractAmongLeadingNations(continued)BaselITheoriginalBaselcapitalstandardsareknowntodayasBaselIVarioussourcesofcapitalweredividedintotwotiers:Tier1(core)capitalCommonstockandsurplus,undividedprofits(retainedearnings),qualifyingnoncumulativeperpetualpreferredstock,minorityinterestintheequityaccountsofconsolidatedsubsidiaries,andselectedidentifiableintangibleassetslessgoodwillandotherintangibleassetsTier2(supplemental)capitalAllowance(reserves)forloanandleaselosses,subordinateddebtcapitalinstruments,mandatoryconvertibledebt,intermediate-termpreferredstock,cumulativeperpetualpreferredstockwithunpaiddividends,andequitynotesandotherlong-termcapitalinstrumentsthatcombinebothdebtandequityfeatures
TheBaselAgreementonInternationalCapitalStandards:AContinuingHistoricContractAmongLeadingNations(continued)BaselIInorderforabanktoqualifyasadequatelycapitalized,itmusthave:Aratioofcorecapital(Tier1)tototalrisk-weightedassetsofatleast4percentAratiooftotalcapital(thesumofTier1andTier2capital)tototalrisk-weightedassetsofatleast8percent,withtheamountofTier2capitallimitedto100percentofTier1capital
TheBaselAgreementonInternationalCapitalStandards:AContinuingHistoricContractAmongLeadingNations(continued)CalculatingRisk-WeightedAssetsEachassetitemonabank’sbalancesheetandeachoff-balance-sheetcommitmentithasmadearemultipliedbyarisk-weightingfactorDesignedtoreflectitscreditriskexposureThemostcloselywatchedoff-balance-sheetitemsarestandbylettersofcreditandlong-term,legallybindingcreditcommitments
TheBaselAgreementonInternationalCapitalStandards:AContinuingHistoricContractAmongLeadingNations(continued)CalculatingRisk-WeightedAssetsTocomputethisbank’srisk-weightedassets:Computethecredit-equivalentamountofeachoff-balance-sheet(OBS)item
TheBaselAgreementonInternationalCapitalStandards:AContinuingHistoricContractAmongLeadingNations(continued)CalculatingRisk-WeightedAssetsTocomputethisbank’srisk-weightedassets:Multiplyeachbalancesheetitemandthecredit-equivalentamountofeachOBSitembyitsriskweight
TheBaselAgreementonInternationalCapitalStandards:AContinuingHistoricContractAmongLeadingNations(continued)CalculatingtheCapital-to-Risk-WeightedAssetsRatioUnderBaselI,onceweknowabank’stotalrisk-weightedassetsanditsTier1andTier2capitalamounts,wecandetermineitsrequiredcapitaladequacyratios
TheBaselAgreementonInternationalCapitalStandards:AContinuingHistoricContractAmongLeadingNations(continued)CapitalRequirementsAttachedtoDerivativesTheBaselIcapitalstandardswereadjustedtotakeaccountoftheriskexposurebanksmayfacefromderivativesFutures,options,swaps,interestratecapandfloorcontracts,andotherinstrumentsSometimesexposeabanktocounterpartyriskThedangerthatacustomerwillfailtopayortoperform,forcingthebanktofindareplacementcontractwithanotherpartythatmaybelesssatisfactory
TheBaselAgreementonInternationalCapitalStandards:AContinuingHistoricContractAmongLeadingNations(continued)CapitalRequirementsAttachedtoDerivatives(continued)Baselrequiredabankertodivideeachcontract’sriskexposureintotwocategoriesPotentialmarketriskexposureCurrentmarketriskexposureOncethereplacementcostofacontractisdetermined:Theestimatedpotentialmarketriskexposureamountisaddedtotheestimatedcurrentmarketriskexposuretoderivethetotalcredit-equivalentamountofeachderivativecontractThistotalismultipliedbythecorrectriskweight,tofindtheequivalentamountofrisk-weightedassetsrepresentedbyeachcontract
TheBaselAgreementonInternationalCapitalStandards:AContinuingHistoricContractAmongLeadingNations(continued)CapitalRequirementsAttachedtoDerivatives(continued)
TheBaselAgreementonInternationalCapitalStandards:AContinuingHistoricContractAmongLeadingNations(continued)CapitalRequirementsAttachedtoDerivatives(continued)
TheBaselAgreementonInternationalCapitalStandards:AContinuingHistoricContractAmongLeadingNations(continued)BankCapitalStandardsandMarketRiskBaselIfailedtoaccountformarketriskThelossesabankmaysufferduetoadversechangesininterestrates,securityprices,andcurrencyandcommoditypricesTheriskweightsonbankassetsweredesignedprimarilytotakeaccountofcreditrisk(notmarketrisk)Inanefforttodealwiththeseandotherformsofmarketrisk,in1996theBaselCommitteeapprovedamodificationtotherulesPermittedthelargestbankstoconductriskmeasurementandestimatetheamountofcapitalnecessarytocovermarketriskLedtoathirdcapitalratio(Tier3)
TheBaselAgreementonInternationalCapitalStandards:AContinuingHistoricContractAmongLeadingNations(continued)ValueatRisk(VaR)ModelsRespondingtoMarketRiskAstatisticalframeworkformeasuringabankportfolio’sexposuretochangesinmarketpricesormarketratesoveragiventimeperiod,subjecttoagivenprobabilityVaRExampleAbankestimatesitsportfolio’sdailyaveragevalueatriskis$100 billionovera10-dayintervalwitha99percentlevelofconfidenceIfthisVaRestimateof$100billioniscorrect,lossesinportfoliovaluegreaterthan$100billionshouldoccurlessthan1percentofthetime
TheBaselAgreementonInternationalCapitalStandards:AContinuingHistoricContractAmongLeadingNations(continued)LimitationsandChallengesofVaRandInternalModelingVaRestimatesandinternalmodelingarenotperfectInaccurateVaRestimatescanexposeabanktoexcessiverisksothatitscapitalpositionmayturnoutnottobelargeenoughtocoveractuallossesthebankfacesTheportfoliosofthelargestbanksaresocomplexwiththousandsofriskfactorsitmaybeimpossibletoconsistentlyforecastVaRsaccuratelyPromote“backtesting”Evenifanindividualbankisagoodforecaster,theremaystillbetroubleduetosystemicrisk
TheBaselAgreementonInternationalCapitalStandards:AContinuingHistoricContractAmongLeadingNations(continued)BaselIIBankersfoundwaysaroundmanyofBaselI’srestrictionsCapitalarbitrageInsteadofmakingbankslessrisky,partsofBaselIseemedtoencouragebankstobecomemoreriskyBaselIrepresenteda“onesizefitsall”approachtocapitalregulationItfailedtorecognizethatnotwobanksarealikeintermsoftheirriskprofilesBaselIIsetupasysteminwhichcapitalrequirementswouldbemoresensitivetoriskandprotectagainstmoretypesofriskthanBaselIBaselIIwouldbegraduallyphasedinforthelargestinternationalbanks
TheBaselAgreementonInternationalCapitalStandards:AContinuingHistoricContractAmongLeadingNations(continued)PillarsofBaselIIMinimumcapitalrequirementsforeachbankbasedonitsownestimatedriskexposurefromcredit,market,andoperationalrisksSupervisoryreviewofeachbank’srisk-assessmentproceduresandtheadequacyofitscapitaltoensuretheyare“reasonable”Greaterpublicdisclosureofeachbank’struefinancialconditionsothatmarketdisciplinecouldbecomeamorepowerfulforcecompellingexcessivelyriskybankstolowertheirriskexposure
TheBaselAgreementonInternationalCapitalStandards:AContinuingHistoricContractAmongLeadingNations(continued)BaselIIandCreditRiskModelsCreditriskmodelsComputeralgorithmsthatattempttomeasurealender’sexposuretodefaultbyitsborrowingcustomersortocreditdowngradingsMostcreditriskmodelsdevelopestimatesbasedupon:BorrowercreditratingsTheprobabilitythosecreditratingswillchangeTheprobableamountofrecoveryshouldsomeloansdefaultThepossibilityofchanginginterest-ratespreadsbetweenriskierandlessriskyloans
TheBaselAgreementonInternationalCapitalStandards:AContinuingHistoricContractAmongLeadingNations(continued)BaselIIandCreditRiskModelsUnderBaselI,minimumcapitalrequirementsremainedthesameformosttypesofloansregardlessofcreditratingUnderBaselII,minimumcapitalrequirementsweredesignedtovarysignificantlywithcreditquality
TheBaselAgreementonInternationalCapitalStandards:AContinuingHistoricContractAmongLeadingNations(continued)ADual(Large-Bank,Small-Bank)SetofRulesBaselIIwasdesignedtooperateunderonesetofcapitalrulesforthehandfuloflargestmultinationalbanksandanothersetformorenumeroussmallerbankingfirmsRegulatorswereconcernedthatsmallerbankscouldbeoverwhelmedby:Theheavyburdensofgatheringrisk-exposureinformationPerformingcomplicatedriskcalculationsBaselIIanticipatedthatsmallerinstitutionswouldbeabletocontinuetousesimplerapproachesindeterminingtheircapitalrequirementsandriskexposures,parallelingBaselIrules
TheBaselAgreementonInternationalCapitalStandards:AContinuingHistoricContractAmongLeadingNations(continued)ProblemsAccompanyingtheImplementationofBaselIIBaselIIwasnotperfectSomeformsofriskhadnogenerallyacceptedmeasurementscaleOperationalRiskHowdoweaddupthedifferentformsofriskexposureinordertogetanaccuratepictureofabank’stotalriskexposure?Whatshouldwedoaboutthebusinesscycle?MostbanksaremorelikelytofaceriskexposureinthemiddleofaneconomicrecessionthantheywillinaperiodofeconomicexpansionForexample,theGlobalcreditcrisisof2007-2009Somehaveexpressedconcernaboutimprovingregulatorcompetence
TheBaselAgreementonInternationalCapitalStandards:AContinuingHistoricContractAmongLeadingNations(continued)BaselIII:AnotherMajorRegulatoryStepUnderway,BorninGlobalCrisisBaselIIwasneverfullyimplementedHadtomovetowardBaselIIIinordertopreventfuturecrisesKeyissueinBaselIIIDeterminingthevolumeandmixofcapitaltheworld’sleadingbanksshouldmaintainiftheirtroubledassetsgeneratemassivelossesCapitalrequirementslaiddowninBaselIandIIapparentlywereinadequateinthefaceofthelatestcreditcrashBankersfoundwaystoholdbothlesscapitalintotalandaweakermixofkindsofcapital
TheBaselAgreementonInternationalCapitalStandards:AContinuingHistoricContractAmongLeadingNations(continued)BaselIII:AnotherMajorRegulatoryStepUnderway,BorninGlobalCrisisProponentsofBaselIIIcalledforgreatertotalcapitalization,strongerdefinitionofwhatbelongsinbanks’capitalaccountsVolckerRulewasproposedintheU.S.ImplementationofBaselIIIcouldtakemanyyearsImplementationwouldbephasedinslowly,beginningin2012andpossiblybecompletedcloseto2019BaselIIIcoversthecapital,liquidity,anddebtpositionsofindividualinternationalbanksandalsobroaderissuesassociatedwithglobalbusinesscyclesandsystemicrisks
ChangingCapitalStandardsInsidetheUnitedStatesSeveralnewcapitalrulescreatedrecentlybyU.S.regulatoryagenciesweremandatedbytheFDICImprovementActof1991RequiresfederalregulatorstotakePromptCorrectiveAction(PCA)whenaninsureddepositoryinstitution’scapitalfallsbelowacceptablelevelsU.S.bankregulatorscreatedcapital-adequacycategoriesforimplementingPCA:WellcapitalizedAdequatelycapitalizedUndercapitalizedSignificantlyundercapitalizedCriticallyundercapitalized
PlanningtoMeetCapitalNeedsRaisingCapitalInternallyDividendPolicyTheboardofdirectorsandmanagementmustagreeontheappropriateretentionratioanddividendpayoutratioKeyfactor-Howfastthefinancialfirmcanallowitsassetstogrowsothatitscurrentratioofcapitaltoassetsisprotectedfromerosion
PlanningtoMeetCapitalNeeds(continued)RaisingCapitalInternallyDividendPolicy
PlanningtoMeetCapitalNeeds(continued)RaisingCapitalExternallyIfafinancialfirmdoesneedtoraisecapitalfromoutsidesources,ithasseveraloptions:SellingcommonstockSellingpreferredstockIssuingdebtcapitalSellingassetsLeasingfacilitiesSwappingstockfordebtsecuritiesThechoiceofwhichmethodtouseisbasedontheireffectsonafinancialfirm’searningspershare
TABLE15–2MethodsofRaisingExternalCapitalforaFinancialFirm
QuickQuizWhatcrucialrolesdoescapitalplayinthemanagementandviabilityofafinancialfirm?WhatarethemostimportantandleastimportantformsofcapitalheldbyU.S.-insuredbanks?Whatistherationaleforhavingthegovernmentsetcapitalstandardsforfinancialinstitutionsasopposedtolettingtheprivatemarketplacesetthosestandards?HowistheBaselAgreementlikelytoaffectabank’schoicesamongassetsitwouldliketoacquire?WhatarethedifferencesamongBaselI,II,andIII?Whataretheprincipalsourcesofexternalcapitalforafinancialinstitution?
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