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counterparty fails to fulfill its obligations, the overall loss may be reduced, as the positions lent are matched by the positions borrowed. Netting was an important driving force behind the creation of swaps and time deposits. Swaps (of currencies and interest rates) are derivatives contracts involving a series of exchanges of payments and are contracted with explicit offset provisions. In the event of a counterparty default, the bank is exposed only to the net of the interest payments, not to the notional amount.76 Exposures to market risk were vaguely regulated. According to the 1988 Basel accord, assets were recorded at book value. These positions could deviate substantially from their current market values. As a result, the accounting approach created a potential situation in which an apparently healthy balance sheet with acceptable capital (recorded at book value) hid losses in market value. This regulatory approach concerning accounting created problems for the trading portfolios of banks with substantial positions in derivatives. This specific drawback convinced the Basel Committee to move toward measuring market risk by the value-at-risk approach and mark-to-market position booking. 2.5.4 Evolution of the 1996 Amendment on Market Risks
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In view of the increasing exposure to market risks in securities and derivatives trading, the Basel Committee created a substantial enhancement of the credit-risk-oriented capital adequacy regulations through new measurement rules and capital requirements to support market risks throughout an institution. The committee published the results of its work for discussion in January 1996.77 The discussion paper proposed two alternative methods for risk measurement and capital requirements to support market risks. The standard model approach was to be used by small and midsized banks lacking the complex technological infrastructure and expertise needed to calculate daily market risk exposures. The internal model approach could be used if the local regulator explicitly allowed the bank to use its own technological infrastructure and expertise to calculate daily market risk exposures. Banks would have the opportunity to use both approaches simultaneously during a transition period. After a certain time, banks would be expected to use only one model across the institution. Originally, the aim had been for a harmonized standard, which should have balanced the terms of competition between the securities dealers and the banks regarding capital requirements. The development of such a regulative framework would have been supported by a joint
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project between the Basel Committee and the stock exchange supervisory authorities, for whom market risks have always been in the foreground. The discussion with the Technical Committee of the International Organization of Securities Commission (IOSCO) the international association of supervisory authorities of the securities houses of the Western industrialized nations failed, because the IOSCO members could not agree on a common approach. Partly responsible for the failure was the fact that IOSCO had no concrete capital adequacy standard. This would have required a substantial reworking of IOSCO s regulations. Based on this discussion, the Basel Committee published a first consultation paper in 1993, which included proposals for the regulatory treatment of market risks of debt and equity positions in the trading books. For trading positions, the related derivatives instruments, and foreign currency risks from the banking books, the committee proposed a binding standard approach for measurement and capital requirements to support market risks. In addition, a proposal for the measurement of interest rate risks based on the bank s complete activity has been developed to identify unexceptionally high interest rate risks (the so-called outlier concept). As an alternative to the proposed standard approach for the measurement and capital requirements to support market risks, the committee also considered the banks own internal models for the measurement and capital requirements to support market risks. The modified recommendations of the Basel Committee were published in April 1995. Simultaneously, another globally coordinated consultation procedure was carried out with market participants and representatives from the local regulators. The final capital adequacy accord for measurement and capital requirements to support market risks was adopted by the committee in December 1995 and published in January 1996. The member countries had until the end of 1997 to include the modified capital adequacy regulation in their national supervisory regulations.
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