Basel III和Solvency II 對法國銀行系統的影響

Abstract

Basel III和Solvency II 對法國銀行系統的影響

Following the 2008 financial crisis and the 2010 European Sovereign crisis, regulators and supervisors were urged to improve and reinforce the regulation of the banking system in order to prevent and assist banks from failing and provoking a system-wide crisis. Similarly some measures have been taken to regulate and reinforce the insurance industry in the EU.\r\nBasel III accords have been set up as an emergency measure and response to the financial crisis that hit the world in 2008 following a liquidity crisis that has started in 2007. Basel II framework had never been made to resist a system wide crisis and was not anymore effective in regulating the banking industry following the important deregulations that happened in the 2000s.\r\nSimilarly to Basel, the primary goal of Solvency II is to prevent (with a 99.5% probability or 1 chance over 200) a company from ceasing payments and/or going bankruptcy. It has therefore introduced a complete framework relying as well on three pillars which have been adapted to the constraints and specificities of the insurance industry. \r\nBank-insurances which are companies offering both insurance and banking services are therefore subject to both regulations. Moreover despite increasing their offerings, bank-insurer have to adapt to a complex maturing environment. The future of their business strongly depends upon their strategic choices regarding growth, profitability and mandatory compliance to regulation. They need to start and/or accelerate their transformation strategy in order to take into account this changing environment. The regulations are becoming more binding and therefore questioning the model of a global bank (as the banks have to increase their level of required capital). Despite these challenges, they still have an important role to play on the French Market.

1. INTRODUCTION 1\r\n2. BASEL – THEORETICAL FRAMEWORK 3\r\n2.1. BASEL COMMITTEE AND ACCORD 3\r\n2.1.1. General introduction 3\r\n2.1.2. A brief history 3\r\n2.1.3. Structure and roles 4\r\n2.1.4. Basel 1 6\r\n2.1.4.1. The Cooke Ratio 6\r\n2.1.4.2. Application of the accord 7\r\n2.1.4.3. Appearance of new practices and instruments 8\r\n2.1.4.4. Critics of Basel 1 9\r\n2.1.5. Basel II 9\r\n2.1.5.1. Pillar I 11\r\n2.1.5.2. Pillar II 13\r\n2.1.5.3. Pillar III 14\r\n2.1.5.4. Application of the accord 15\r\n2.1.5.5. Critics of Basel II 16\r\n2.2. BASEL III FRAMEWORK 18\r\n2.2.1. Motivation underlying Basel III 18\r\n2.2.2. Capital requirements, Leverage and Liquidity ratio 20\r\n2.2.2.1. Improving quality and homogeneity of equity capital 20\r\n2.2.2.2. Risk Coverage 23\r\n2.2.2.3. Leverage Ratio 24\r\n2.2.2.4. Liquidity ratio 25\r\n2.2.3. Counterparty Credit Risk 30\r\n2.2.3.1. Credit Value Adjustment 30\r\n2.2.3.2. Default Value Adjustment 31\r\n2.2.3.3. Funding Value Adjustment 32\r\n2.2.3.4. Big impacts 33\r\n2.2.4. Comparison of Basel II and Basel III 34\r\n2.2.5. Limitations and Summary of Basel III 36\r\n3. SOLVENCY – THEORETICAL FRAMEWORK 38\r\n3.1. SOLVENCY EU DIRECTIVE 38\r\n3.1.1. Motivation underlying Solvency II 38\r\n3.1.2. Structure 38\r\n3.1.2.1. Three Pillars 38\r\n3.1.2.2. A Layered Process 41\r\n3.1.3. Pillar I – Quantitative requirements 42\r\n3.1.3.1. Technical Provision 43\r\n3.1.3.1.1. Best Estimates Value 43\r\n3.1.3.1.2. Risk Margin 44\r\n3.1.3.2. Economic capital requirements 45\r\n3.1.3.2.1. Minimum Capital Requirement (MCR) 45\r\n3.1.3.2.2. Solvency Capital Requirements (SCR) 46\r\n3.1.3.3. Eligible Capital 49\r\n3.1.4. Pillar II – Qualitative requirements 50\r\n3.1.5. Pillar III – Financial Reporting 51\r\n3.2. FOCUS 52\r\n3.2.1. QIS 52\r\n3.2.1.1. QIS 1 to 4 53\r\n3.2.1.2. QIS 5 54\r\n3.2.2. Comparison with Basel III 55\r\n3.2.2.1. Pillar I 55\r\n3.2.2.2. Pillar II 56\r\n3.2.2.3. Pillar III 56\r\n4. FRENCH BANK CASE STUDY 57\r\n4.1. FRENCH BANKING SYSTEM 57\r\n4.1.1. Overview of the system 57\r\n4.1.2. European Directive on Financial Conglomerates (FICOD) 59\r\n4.1.2.1. Conglomerate Identification 60\r\n4.1.2.2. Capital Requirement 61\r\n4.1.2.3. Risk Concentrations and transactions 62\r\n4.1.2.4. Risk Management and Internal Control 62\r\n4.1.2.5. Regulators designation 63\r\n4.2. BANKS PRESENTATION 63\r\n4.2.1. Sample 63\r\n4.2.2. Activity Outlook Comparison 65\r\n4.2.2.1. International Segmentation 65\r\n4.2.2.2. Business Segmentation 66\r\n4.2.2.3. Capital Structure 68\r\n4.3. INSURANCE ACTIVITY 69\r\n4.3.1. BNPP 69\r\n4.3.2. Crédit Agricole 70\r\n4.3.3. Société Générale 71\r\n4.4. RISK EXPOSURE 71\r\n4.4.1. Sovereign Debt Exposure in European Union 71\r\n4.4.2. Result of 2014 EBA Stress Test 72\r\n4.5. EVOLUTION OF BUSINESS 75\r\n4.5.1. Geographical Segmentation 75\r\n4.5.2. Activity Segmentation 77\r\n4.5.3. Evolution of Profitability 78\r\n4.6. FUTURE ACTIONS AND IMPACTS 79\r\n4.6.1. BNP Paribas 79\r\n4.6.2. Credit Agricole 80\r\n4.6.3. Societe Generale 81\r\n5. SUMMARY AND CONCLUSION 83\r\nREFERENCE 86\r\nAPPENDIX 91