最新巴塞尔协议三中英对照

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巴塞尔新资本协议第三版(中文版)

……………………...10 第一部分新协议的主要内容............................................................................11
第一支柱：最低资本要求 ..........................................................................11 信用风险标准法 ................................................................................11 内部评级法（Internal ratings-based (IRB) approaches）.................12 公司、银行和主权的风险暴露...........................................................13 零售风险暴露....................................................................................14 专业贷款（Specialised lending） .....................................................14
第二部分：第一支柱－最低资本要求 .................................................. 33
I. 最低资本要求的计算 ....................................................................................33 II. 信用风险－标准法(Standardised Approach) .............................................33

巴塞尔协议3全文

巴塞尔协议3全文介绍巴塞尔协议3（Basel III）是一个国际上的银行监管规范，旨在增强银行的资本充足性和抵御金融风险的能力。

该协议于2010年12月由巴塞尔银行监管委员会发布，是对前两个巴塞尔协议（巴塞尔协议1和巴塞尔协议2）的进一步改进和完善。

背景巴塞尔协议3的制定是对全球金融危机的应对措施之一。

全球金融危机爆发后，许多银行陷入资本不足的困境，无法应对金融市场的风险。

因此，国际社会开始呼吁改革银行监管制度，以防范未来类似的金融危机。

巴塞尔协议3作为回应，采取了一系列措施来强化银行资本和风险管理。

核心要点1. 资本要求巴塞尔协议3规定了更严格的资本要求，以确保银行有足够的资本来应对损失。

首先，对风险加权资产计量的方法进行了改进，旨在更准确地反映银行资产的风险水平。

其次，规定了更高的最低资本要求，包括最低的核心一级资本比率和总资本比率。

2. 流动性风险管理巴塞尔协议3要求银行制定和实施更加严格的流动性风险管理政策。

银行需要具备足够的流动性资产，以应对紧急情况下的资金需求。

此外，银行还需要进行定期的压力测试，以确保其流动性风险管理措施的有效性。

3. 杠杆比率巴塞尔协议3引入了杠杆比率作为一种更简单的资本要求衡量指标。

杠杆比率是银行核心一级资本与风险敞口的比例。

该指标旨在衡量银行的杠杆风险水平，以防止过度借贷。

4. 缓冲储备巴塞尔协议3要求银行建立缓冲储备，以应对经济衰退期间的损失。

缓冲储备由国际流动性缓冲储备和资本缓冲储备两部分组成。

国际流动性缓冲储备用于应对流动性风险，而资本缓冲储备用于应对信用风险。

影响巴塞尔协议3的实施对金融体系和全球经济有着重要的影响。

首先，它有助于提高银行的资本充足性和稳定性，减少金融风险，防止金融危机的发生。

其次，巴塞尔协议3的推行可能会导致银行的成本上升，因为它要求银行持有更多的资本和流动性资产。

但与此同时，这也可以促使银行更加谨慎和适度的风险管理，从而提高整个金融体系的稳定性。

巴塞尔资本协议中英文完整版(首封)

概述导言1. 巴塞尔银行监管委员会（以下简称委员会）现公布巴塞尔新资本协议（BaselII,以下简称巴塞尔II）第三次征求意见稿（CP3，以下简称第三稿）。

第三稿的公布是构建新资本充足率框架的一项重大步骤。

委员会的目标仍然是在今年第四季度完成新协议，并于2006年底在成员国开始实施。

2. 委员会认为，完善资本充足率框架有两方面的公共政策利好。

一是建立不仅包括最低资本而且还包括监管当局的监督检查和市场纪律的资本管理规定。

二是大幅度提高最低资本要求的风险敏感度。

3. 完善的资本充足率框架，旨在促进鼓励银行强化风险管理能力，不断提高风险评估水平。

委员会认为，实现这一目标的途径是，将资本规定与当今的现代化风险管理作法紧密地结合起来，在监管实践中并通过有关风险和资本的信息披露，确保对风险的重视。

4. 委员会修改资本协议的一项重要内容，就是加强与业内人士和非成员国监管人员之间的对话。

通过多次征求意见，委员会认为，包括多项选择方案的新框架不仅适用于十国集团国家，而且也适用于世界各国的银行和银行体系。

5. 委员会另一项同等重要的工作，就是研究参加新协议定量测算影响分析各行提出的反馈意见。

这方面研究工作的目的，就是掌握各国银行提供的有关新协议各项建议对各行资产将产生何种影响。

特别要指出，委员会注意到，来自40多个国家规模及复杂程度各异的350多家银行参加了近期开展的定量影响分析（以下称简QIS3）。

正如另一份文件所指出，QIS3的结果表明，调整后新框架规定的资本要求总体上与委员会的既定目标相一致。

6. 本文由两部分内容组成。

第一部分简单介绍新资本充足框架的内容及有关实施方面的问题。

在此主要的考虑是，加深读者对新协议银行各项选择方案的认识。

第二部分技术性较强，大体描述了在2002年10月公布的QIS3技术指导文件之后对新协议有关规定所做的修改。

第一部分新协议的主要内容7. 新协议由三大支柱组成：一是最低资本要求，二是监管当局对资本充足率的监督检查，三是信息披露。

巴塞尔资本协议中英文完整版

巴塞尔资本协议中英文完整版导言1. 巴塞尔银行监管委员会〔以下简称委员会〕现公布巴塞尔新资本协议〔Basel II, 以下简称巴塞尔II〕第三次征求意见稿〔CP3，以下简称第三稿〕。

第三稿的公布是构建新资本充足率框架的一项重大步骤。

委员会的目标仍旧是在今年第四季度完成新协议，并于2006年底在成员国开始实施。

2. 委员会认为，完善资本充足率框架有两方面的公共政策利好。

一是建立不仅包括最低资本而且还包括监管当局的监督检查和市场纪律的资本治理规定。

二是大幅度提高最低资本要求的风险敏锐度。

3. 完善的资本充足率框架，旨在促进鼓舞银行强化风险治理能力，不断提高风险评估水平。

委员会认为，实现这一目标的途径是，将资本规定与当今的现代化风险治理作法紧密地结合起来，在监管实践中并通过有关风险和资本的信息披露，确保对风险的重视。

4. 委员会修改资本协议的一项重要内容，确实是加强与业内人士和非成员国监管人员之间的对话。

通过多次征求意见，委员会认为，包括多项选择方案的新框架不仅适用于十国集团国家，而且也适用于世界各国的银行和银行体系。

5. 委员会另一项同等重要的工作，确实是研究参加新协议定量测算阻碍分析各行提出的反馈意见。

这方面研究工作的目的，确实是把握各国银行提供的有关新协议各项建议对各行资产将产生何种阻碍。

专门要指出，委员会注意到，来自40多个国家规模及复杂程度各异的350多家银行参加了近期开展的定量阻碍分析〔以下称简QIS3〕。

正如另一份文件所指出，QIS3的结果说明，调整后新框架规定的资本要求总体上与委员会的既定目标相一致。

6. 本文由两部分内容组成。

第一部分简单介绍新资本充足框架的内容及有关实施方面的问题。

在此要紧的考虑是，加深读者对新协议银行各项选择方案的认识。

第二部分技术性较强，大体描述了在2002年10月公布的QIS3技术指导文件之后对新协议有关规定所做的修改。

第一部分新协议的要紧内容7. 新协议由三大支柱组成：一是最低资本要求，二是监管当局对资本充足率的监督检查，三是信息披露。

巴塞尔协议三

The Basel III Capital Framework:a decisive breakthroughHervé HannounDeputy General Manager, Bank for International Settlements1BoJ-BIS High Level Seminar onFinancial Regulatory Reform: Implications for Asia and the PacificHong Kong SAR, 22 November 2010IntroductionTen days ago, the Basel III framework was endorsed by the G20 leaders in South Korea. Basel III is the centrepiece of the financial reform programme coordinated by the Financial Stability Board.2 This endorsement represents a critical step in the process to strengthen the capital rules by which banks are required to operate. When the international rule-making process is completed and Basel III has been implemented domestically, we will have considerably reduced the probability and severity of a crisis in the banking sector, and by extension enhanced global financial stability.The title of my intervention, “The Basel III Capital Framework: a decisive breakthrough”, sounds like a military metaphor, which may be surprising in the context of a speech on banking regulation. But indeed, the supervisory community had to fight a fierce battle to require more capital and less leverage in the financial system in the face of significant resistance from some quarters of the banking industry.I will highlight nine key breakthroughs in Basel III, from a focus on tangible equity capital to a reduced reliance on banks’ internal models and a greater focus on stress testing, that will increase the safety and soundness of banks individually and the banking system more broadly.1This speech was prepared together with Jason George and Eli Remolona, and benefited from comments by Robert McCauley, Frank Packer, Ilhyock Shim, Bruno Tissot, Stefan Walter and Haibin Zhu.2Basel III: towards a safer financial system, speech by Mr Jaime Caruana, General Manager of the BIS, at the 3rd Santander International Banking Conference, Madrid, 15 September 2010Restricted3Thirty years of bank capital regulation11/2010G20 endorsement of Basel III06/2004Basel II issued 12/1996Market risk amendmentissued 07/1988Basel Iissued 01/2019Full implementation of Basel III12/1997 Market risk amendmentimplemented 12/1992Basel I fullyimplemented 12/2009Basel III consultative document issued 12/2006Basel II implemented 07/2009Revised securitisation & trading book rulesissued 12/2007Basel II advanced approaches implemented 01/2013Basel III implementation begins12/2011Trading book rules implementedTo understand the importance of the Basel III reforms and where we are headed in terms of capital regulation, I think it is instructive if we briefly look back to see where we have come from.Basel I, the first internationally agreed capital standard, was issued some 22 years ago in 1988. Although it only addressed credit risk, it reflected the thinking that we continue to subscribe to today, namely, that the amount of capital required to protect against losses in an asset should vary depending upon the riskiness of the asset. At the same time, it set 8% as the minimum level of capital to be held against the sum of all risk-weighted assets.Following Basel I, in 1996 market risk was added as an area for which capital was required. Then, in 2004, Basel II was issued, adding operational risk, as well as a supervisory review process and disclosure requirements. Basel II also updated and expanded upon the credit risk weighting scheme introduced in Basel I, not only to capture the risk in instruments and activities that had developed since 1988, but also to allow banks to use their internal risk rating systems and approaches to measure credit and operational risk for capital purposes. What could more broadly be referred to as Basel III began with the issuance of the revised securitisation and trading book rules in July 2009, and then the consultative document in December of that year. The trading book rules will be implemented at the end of next year and the new definition of capital and capital requirements in Basel III over a six-year period beginning in January 2013. This extended implementation period for Basel III is designed to give banks sufficient time to adjust through earnings retention and capital-raising efforts.Restricted5The Basel III reform of bank capital regulationCapital ratio =Capital Risk-weighted assets Enhancing risk coverage ●Securitisation products●Trading book●Counterparty credit riskNew capital ratios●Common equity●Tier 1●Total capital●Capital conservation buffer Raising the quality of capital ●Focus on common equity ●Stricter criteria for Tier 1●Harmonised deductions from capital Macroprudential overlay Mitigating procyclicality●Countercyclical bufferLeverage ratio Mitigating systemic risk(work in progress)●Systemic capitalsurcharge for SIFIs●Contingent capital●Bail-in debt●OTC derivativesIn my remarks today I will try to illustrate the fundamental change introduced by Basel III, that of marrying the microprudential and the macroprudential approaches to supervision. Basel III builds upon the firm-specific, risk based frameworks of Basel I and Basel II by introducing a system-wide approach. I will structure my remarks around these two approaches and, in so doing, will demonstrate how Basel III is BOTH a firm-specific, risk based framework and a system-wide, systemic risk-based framework.I. Basel III: a firm-specific, risk-based frameworkLet us look first at the microprudential, firm-specific approach, and consider in turn the three elements of the capital equation: the numerator of the new solvency ratios, ie capital, the denominator, ie risk-weighted assets, and finally the capital ratio itself.A. The numerator: a strict definition of capitalRegarding the numerator, the Basel III framework substantially raises the quality of capital. Basically, in the old definition of capital, a bank could report an apparently strong Tier 1 capital ratio while at the same time having a weak tangible common equity ratio. Prior to the crisis, the amount of tangible common equity of many banks, when measured against risk-weighted assets, was as low as 1 to 3%, net of regulatory deductions. That’s a risk-based leverage of between 33 to 1 and 100 to 1. Global banks further increased their leverage by infesting the Tier 1 part of their capital structure with hybrid “innovative” instruments with debt-like features.In the old definition, capital comprised various elements with a complex set of minimums and maximums for each element. We had Tier 1 capital, innovative Tier 1, upper and lower Tier 2, Tier 3 capital, each with their own limits which were sometimes a function of other capital elements. The complexity in the definition of capital made it difficult to determine what capital would be available should losses arise. This combination of weaknesses permitted tangible common equity capital, the best form of capital, to be as low as 1% of risk-weighted assets.In addition to complicated rules around what qualifies as capital, there was a lack of harmonisation of the various deductions and filters that are applied to the regulatory capital calculation. And finally there was a complete lack of transparency and disclosure on banks’ structure of capital, making it impossible to compare the capital adequacy of global banks.As we learned again during the crisis, credit losses and writedowns come directly out of retained earnings and therefore common equity. It is thus critical that banks’ risk exposures are backed by a high-quality capital base. This is why the new definition of capital properly focuses on common equity capital.The concept of Tier 1 that we are familiar with will continue to exist and will include common equity and other instruments that have a loss-absorbing capacity on a “going concern” basis,3 for example certain preference shares. Innovative capital instruments which were permitted in limited amount as part of Tier 1 capital will no longer be permitted and those currently in existence will be phased out.Tier 2 capital will continue to provide loss absorption on a “gone concern” basis1 and will typically consist of subordinated debt. Tier 3 capital, which was used to cover a portion of a bank’s market risk capital charge, will be eliminated and deductions from capital will be harmonised. With respect to transparency, banks will be required to provide full disclosure and reconciliation of all capital elements.The overarching point with respect to the numerator of the capital equation is the focus on tangible common equity, the highest-quality component of a bank’s capital base, and therefore, the component with the greatest loss-absorbing capacity. This is the first breakthrough in Basel III.B. The denominator: enhanced risk coverageRegarding the denominator, Basel III substantially improves the coverage of the risks, especially those related to capital market activities: trading book, securitisation products, counterparty credit risk on OTC derivatives and repos.In the period leading up to the crisis, when banks were focusing their business activities on these areas, we saw a significant increase in total assets. Yet under the Basel II rules, risk-weighted assets showed only a modest increase. This point is made clear in the following chart showing the increase in both total assets and risk-weighted assets for the 50 largest banks in the world from 2004 to 2010. This phenomenon was more pronounced for some countries and regions than for others.3Tier 1 capital is loss-absorbing on a “going concern” basis (ie the financial institution is solvent). Tier 2 capital absorbs losses on a “gone concern” basis (ie following insolvency and upon liquidation).Restricted9I. Firm specific framework (microprudential)B. The denominator: enhanced risk coverage1. From 2004 to 2009, total assets at the top 50 banks have increased at a more rapid pace than risk weighted assets2. The need to monitor the relationship between risk weighted assets and total assets which varies greatly across countriesand underscores the importance of consistent implementation of theglobal regulatory standards across jurisdictionsFor global banks the enhanced risk coverage under Basel III is expected to cause risk-weighted assets to increase substantially. This, combined with a tougher definition and level of capital, may tempt banks to understate their risk-weighted assets. This points to the need in future to monitor closely the relationship between risk-weighted assets and total assets with a view to promoting a consistent implementation of the global capital standards across jurisdictions.Risk weighting challengesLet me now focus for a moment on the challenges of getting the risk weights right in a risk-based framework.Many asset classes may appear to be low-risk when seen from a firm-specific perspective. But we have seen that the system-wide build-up of seemingly low-risk exposures can pose substantial threats to broader financial stability. Before the recent crisis, the list of apparently low-risk assets included highly rated sovereigns, tranches of AAA structured products, collateralised repos and derivative exposures, to name just a few. The leverage ratio will help ensure that we do not lose sight of the fact that there are system-wide risks that need to be underpinned by capital.The basic approach of the Basel capital standards has always been to attach higher risk weights to riskier assets. The risk weights themselves and the methodology were significantly enhanced as we moved from Basel I to Basel II, and they have now been further refined under Basel III. Nonetheless, as the crisis has made clear, what is not so risky in normal times may suddenly become very risky during a systemic crisis. Something that looks risk-free may turn out to have rather large tail risk.Focusing a bit more on exposures with low risk weights, let me cite a few examples to illustrate the difficulty of getting the risk weights correct.Sovereigns: the sovereign debt crisis of 2010 has shown that the zero risk weightassumption for AAA and AA-rated sovereigns under the standardised approach of Basel II did not account for the dramatic deterioration in the fiscal and debt positionsof major advanced economies. These exposures are still considered as low-risk but certainly not totally risk-free.∙ OTC derivatives (under CSAs) and repos: the Lehman and Bear Stearns failuresdemonstrated that the very low capital charge on OTC derivatives and repos did not capture the systemic risk associated with the interconnectedness and potential cascade effects in these markets.∙ Senior tranches of securitisation exposures: financial engineering produced AAA-rated tranches of complex products, such as the super-senior tranches of ABS CDOs. These proved much more risky than what would be expected from a AAA exposure. The preferential risk weight of 7% for those super-senior tranches was too low, and the risk weight has now been raised to 20%.For assets with medium risk weights, one could cite the following examples: ∙ Residential mortgages: 35% risk weight under the standardised approach. For highest-quality mortgages: 4.15% risk weight (IRB approach)∙ Highly rated corporates: 20% risk weight under the standardised approach. For best-quality corporates: 14.4% risk weight (IRB approach)∙ Highly rated banks: 20% risk weight (standardised approach)For assets with high risk weights, the following examples can be considered:∙ HVCRE (high volatility commercial real estate)∙ Mezzanine tranches of ABS/CDOs∙ Hedge fund equity stakes: 400% risk weight ∙ Claims on unrated corporates: 100% risk weight Restricted3I. Firm specific framework (microprudential)●●B. The denominator: risk weighting challengesWeak correlation between risk-weights and crisis-related losses Low risk-weights may have contributed to the build-up of system wide risksThe chart above shows how different asset classes fared during the crisis. Relative to their Basel II risk weights, equity stakes in hedge funds, claims on corporates and some retailexposures experienced modest losses during the crisis. By contrast, mortgages, highly rated banks, AAA-rated CDO tranches and sovereigns inflicted rather heavy losses on banks. These cases show that there is a rather weak correlation between risk weights and crisis-related losses during periods of system-wide stress. Moreover, we have also discovered that low risk weights can lead to an excessive build-up of system-wide risks. Recognising this problem, the Basel Committee has now introduced a backstop simple leverage ratio, which will require a minimum ratio of capital to total assets without any risk weights. I will come back to this later.The trading book and securitisationsTwo areas the crisis has revealed as needing enhanced risk coverage are the trading book and securitisations. Here capital charges fell short of risk exposures. Basel II focused primarily on the banking book, where traditional assets such as loans are held. But the major losses during the 2007–09 financial crisis came from the trading book, especially the complex securitisation exposures such as collateralised debt obligations. As shown in the table below, the capital requirements for trading assets were extremely low, even relative to banks’ own economic capital estimates. The Basel Committee has addressed this anomaly.Restricted15Trading assetsand marketriskcapitalrequirements¹The revised framework now requires the following:∙Introduction of a 12-month stressed VaR capital charge; ∙Incremental risk capital charge applied to the measurement of specific risk in credit sensitive positions when using VaR; ∙Similar treatment for trading and banking book securitisations; ∙Higher risk weights for resecuritisations (20% instead of 7% for AAA-rated tranches); ∙ Higher credit conversion factors for short-term liquidity facilities to off-balance sheetconduits and SIVs (the shadow banking system); andMore rigorous own credit analyses of externally rated securitisation exposures with less reliance on external ratings.As a result of this enhanced risk coverage, banks will now hold capital for trading book assets that, on average, is about four times greater than that required by the old capital requirements. The Basel Committee is also conducting a fundamental review of the market risk framework rules, including the rationale for the distinction between banking book and trading book. This is the second Basel III breakthrough: eradicate the trading book loophole, ie eliminate the possibility of regulatory arbitrage between the banking and trading books.Counterparty credit risk on derivatives and reposThe Basel Committee is also strengthening the capital requirements for counterparty credit risk on OTC derivatives and repos by requiring that these exposures be measured using stressed inputs. Banks also must hold capital for mark to market losses (credit valuation adjustments – CVA) associated with the deterioration of a counterparty’s credit quality. The Basel II framework addressed counterparty credit risk only in terms of defaults and credit migrations. But during the crisis, mark to market losses due to CVA (which actually represented two thirds of the losses from counterparty credit risk, only one third being due to actual defaults) were not directly capitalised.C. Capital ratios: calibration of the new requirementsWith a capital base whose quality has been enhanced, and an expanded coverage of risks both on- and off-balance sheet, the Basel Committee has made great strides in strengthening capital standards. But in addition to the quality of capital and risk coverage, it also calibrated the capital ratio such that it will now be able to absorb losses not only in normal times, but also during times of economic stress.To this end, banks will now be required to hold a minimum of 4.5% of risk-weighted assets in tangible common equity versus 2% under Basel II. In addition, the Basel Committee is requiring a capital conservation buffer – which I will discuss in just a moment – of 2.5%. Taken together, this means that banks will need to maintain a 7% common equity ratio. When one considers the tighter definition of capital and enhanced risk coverage, this translates into roughly a sevenfold increase in the common equity requirement for internationally active banks. This represents the third breakthrough.Restricted18I. Firm-specific framework (microprudential)C. Capital ratio: the new requirementsIncreases under Basel III are even greater when one considersthe stricter definition of capital and enhanced risk-weighting10.588.567.02.54.5Basel IIINewdefinition andcalibration Equivalent to around 2% for an average international bank underthe new definition Equivalent to around 1% for an averageinternational bank under the new definition Memo:842Basel II RequiredMinimum Required Minimum Required Conservationbuffer Minimum Total capital Tier 1 capital Common equityCapital requirementsAs a percentageof risk-weightedassets Third breakthrough: an average sevenfold increase in the common equityrequirements for global banksThis higher level of capital is calibrated to absorb the types of losses associated with crises like the previous one.The private sector has complained that these new requirements will cause them to curtail lending or increase the cost of borrowing. In an effort to address some of the industry’s concerns, the Basel Committee has agreed upon extended transitional arrangements that will allow the banking sector to meet the higher capital standards through earnings retention and capital-raising.The new standards will take effect on 1 January 2013 and for the most part will become fully effective by January 2019.D. Capital conservationA fourth key breakthrough of Basel III is that banks will no longer be able to pursue distribution policies that are inconsistent with sound capital conservation principles. We have learned from the crisis that it is prudent for banks to build capital buffers during times of economic growth. Then, as the economy begins to contract, banks may be forced to use these buffers to absorb losses. But to offset the contraction of the buffer, banks could have the ability to restrict discretionary payments such as dividends and bonuses to shareholders, employees and other capital providers. Of course they could also raise additional capital in the market.In fact, what we witnessed during the crisis was a practice by banks to continue making these payments even as their financial condition and capital levels deteriorated. This practice, in effect, puts the interest of the recipients of these payments above those of depositors, and this is simply not acceptable.To address the need to maintain a buffer to absorb losses and restrict the ability of banks to make inappropriate distributions as their capital strength declines, the Basel Committee will now require banks to maintain a buffer of 2.5% of risk-weighted assets. This buffer must be held in tangible common equity capital.As a bank’s capital ratio declines and it uses the conservation buffer to absorb losses, the framework will require banks to retain an increasingly higher percentage of their earnings and will impose restrictions on distributable items such as dividends, share buybacks and discretionary bonuses. Supervisors now have the power to enforce capital conservation discipline. This is a fundamental change.II. Basel III: A system-wide, systemic risk-based frameworkOverviewReturning to the theme of my discussion, Basel III is not only a firm-specific risk-based framework, it is also a system-wide, systemic risk-based framework. The so-called macroprudential overlay is designed to address systemic risk and is an entirely new way of thinking about capital.This new dimension of the capital framework consists of five elements. The first is a leverage ratio, a simple measure of capital that supplements the risk-based ratio and which constrains the build-up of leverage in the system. The second is steps taken to mitigate procyclicality, including a countercyclical capital buffer and, although outside a strict discussion of capital, efforts to promote a provisioning framework based upon expected losses rather than incurred losses. The third element of the macroprudential overlay is steps to address the externalities generated by systemically important financial institutions through higher loss-absorbing capacity. The fourth is a framework to address the risk arising from systemically important markets and infrastructures. In particular, I am referring to the OTC derivatives markets. And finally, the macroprudential overlay aims to better capture systemic risk and tail events in the banks’ own risk management framework, including through risk modelling, stress testing and scenario analysis.ratioA. LeverageIn the lead up to the crisis many banks reported strong Tier 1 risk based ratios while, at the same time, still being able to build up high levels of on and off balance sheet leverage.In response to this, the Basel Committee has introduced a simple, non-risk-based leverage ratio to supplement the risk-based capital requirements. The leverage ratio has the added benefit of serving as a safeguard against model risk and any attempts to circumvent the risk-based capital requirements.The leverage ratio will be a measure of a bank’s Tier 1 capital as a percentage of its assets plus off balance sheet exposures and derivatives.For derivatives, regulatory net exposure will be used plus an add-on for potential future exposure. Netting of all derivatives will be permitted. In so doing, the Basel Committee has successfully solved the difficulty resulting from the divergence between the main accounting frameworks. (Bank leverage is significantly lower under US GAAP than under IFRS due to the netting of OTC derivatives allowed under the former. Given that banks may hold offsetting contracts, US GAAP allows banks to report their net exposures while IFRS does not allow netting. As a result, the size of a bank‘s total assets can vary significantly based on the treatment of this one accounting item.)The leverage ratio will also include off-balance sheet items in the measure of total assets. These off-balance sheet items, including commitments, letters of credit and the like, unless they are unconditionally cancellable, will be converted using a flat 100% credit conversion factor.To highlight the importance of the leverage ratio we need look no further than the increase in total assets in the years leading up to the crisis versus the increase in risk-weighted assets. It is obvious that balance sheets were being leveraged, but the risk-based framework failed tocapture this dynamic, as suggested by the following chart depicting risk-weighted and totalassets for the top 50 banks.Restricted5II. System-wide approach (macroprudential)A. Leverage ratiothe importance of the banking sector building up additional capital defences in periods where the risks of system-wide stress are growing markedly.While some in the financial community are sceptical about the usefulness of a leverage ratio, the Basel Committee’s Top-down Capital Calibration Group recently completed a study that showed that the leverage ratio did the best job of differentiating between banks that ultimately required official sector support in the recent crisis and those that did not.This leads me to the fifth breakthrough: Basel III is a framework that remains risk-based but now includes – through the Tier 1 leverage ratio – a backstop approach that also captures risks arising from total assets. The risk-based and leverage ratios reinforce each other.For all of these reasons, public policymakers and legislators must resist the intense lobbying effort of the industry to water down the leverage ratio to merely a Pillar 2 instrument. Giving in to this lobbying would increase the exposure of taxpayers to future bank failures and hurt long-term growth over a full credit cycle since sustainable credit growth cannot be achieved through excessive leverage.B. Countercyclical capital bufferWe have learned that procyclicality, which is inherent in banking, has exacerbated the impact of the crisis. While we will not eliminate cyclicality, what we would like to do is prevent its amplification through the banking sector, particularly that caused by excessive credit growth. This can be achieved through the new countercyclical capital buffer.As the volume of loans grows, if asset price bubbles burst or the economy subsequently enters a downturn and loan quality begins to deteriorate, banks will adopt a very conservative stance when it comes to the granting of new credit. This lack of credit availability only serves to exacerbate the problem, pushing the real economy deeper into trouble with asset prices declining further and the level of non-performing loans increasing further. This in turn causes bank lending to become scarcer still. These interactions highlights of stress, but it helps to ensure that by leading to the build-up of ed in each of the jurisdictions in which the bank has credit exposures.th breakthrough in Basel III.As you know, there is considerable work being done by the Financial Stability Board on how tions, ework for identifying SIFIs and a study of the magnitude of se to the global financial ically infrastructures. This is clearly illustrated ring and trade reporting on OTC derivatives. Derivative counterparty credit exposures to central counterparty clearing The countercyclical capital buffer not only protects the banking sector from losses resulting from periods of excess credit growth followed by period credit remains available during this period of stress. Importantly, during the build-up phase, as credit is being granted at a rapid pace, the countercyclical capital buffer may cause the cost of credit to increase, acting as a brake on bank lending.Each jurisdiction will monitor credit growth in relation to measures such as GDP and, using judgment, assess whether such growth is excessive, there system-wide risk. Based on this assessment they may put in place a countercyclical buffer requirement ranging from 0 to 2.5%. This requirement will be released when system-wide risk dissipates.For banks that are operating in multiple jurisdictions, the buffer will be a weighted average of the buffers appli To give banks time to adjust to a buffer level, jurisdictions will preannounce their countercyclical buffer decisions by 12 months.The introduction of a countercyclical capital charge to mitigate the procyclicality caused by excessive credit growth is the six C. Systemically important financial institutions: additional loss-absorbing capacityto design the best framework for the oversight of systemically important financial institu or SIFIs.4 It is broadly recognised that systemically important banks should have loss-absorbing capacity beyond the basic Basel III standards. This can be achieved by a combination of a systemic capital charge, contingent bonds that convert to equity at a certain trigger point and bail-in debt.Although the work on SIFIs is incomplete at this time, the Basel Committee has committed to complete by mid-2011 a fram additional loss absorbency that global systemically important banks should have. Also by mid-2011, the Basel Committee will complete its assessment of going-concern loss absorbency in some of the various contingent capital structures.What is clear, and this is the seventh breakthrough, is that SIFIs need higher loss-absorbing capacity to reflect the greater risks that they po system. A systemic capital surcharge is the most straightforward, but not the only way to achieve this.D. Systemically important markets and infrastructures (SIMIs): the case of OTCderivativesJust as there are systemically important financial institutions, there are also system important markets and systemically important market by the case of OTC derivatives. In particular, the Lehman failure demonstrated that the very low capital charge on OTC derivatives did not capture the systemic risk associated with the interconnectedness and potential cascade effects in these markets.To address the problem of interconnectedness as it relates to derivatives, the Basel Committee and Financial Stability Board have endorsed central clea4 Reducing the moral hazard posed by systemically important financial institutions , FSB Recommendations and Time Lines, 20 October 2010.。

巴塞尔协议3(中文版)

巴塞尔银行监管委员会增强银行体系稳Array健性征求意见截至2010年4月16日2009年12月目录I 摘要 (3)1. 巴塞尔委员会改革方案综述及其所应对的市场失灵 (3)2. 加强全球资本框架 (5)（a）提高资本基础的质量、一致性和透明度 (5)（b）扩大风险覆盖范围 (6)（c）引入杠杆率补充风险资本要求 (8)（d）缓解亲周期性和提高反周期超额资本 (8)（e）应对系统性风险和关联性 (11)3. 建立全球流动性标准 (11)4. 影响评估和校准 (12)II加强全球资本框架 (14)1. 提高资本基础的质量、一致性和透明度 (14)（a）介绍 (14)（b）理由和目的 (15)（c）建议的核心要点 (16)（d）具体建议 (18)（e）一级资本中普通股的分类 (19)（f）披露要求 (28)2. 风险覆盖 (29)交易对手信用风险 (29)（a）介绍 (29)（b）发现的主要问题 (29)（c）政策建议概览 (31)降低对外部信用评级制度的依赖性，降低悬崖效应的影响 (53)3. 杠杆率 (59)（a）资本计量 (60)（b）风险暴露计量 (60)（c）其它事宜 (63)（d）计算基础建议概述 (64)4. 亲周期效应 (65)（a）最低资本要求的周期性 (65)（b）具有前瞻性的拨备 (65)（c）通过资本留存建立超额资本 (66)（d）信贷过快增长 (69)缩写词增强银行体系稳健性I. 摘要1.巴塞尔委员会改革方案综述及其所应对的市场失灵1. 本征求意见稿提出巴塞尔委员会1关于加强全球资本监管和流动性监管的政策建议，目标是提升银行体系的稳健性。

巴塞尔委员会改革的总体目标是改善银行体系应对由各种金融和经济压力导致的冲击的能力，并降低金融体系向实体经济的溢出效应。

2. 本文件提出的政策建议是巴塞尔委员会应对本轮金融危机而出台全面改革规划的关键要素。

巴塞尔委员会实施改革的目的是改善风险管理和治理以及加强银行的透明度和信息披露2。

巴塞尔协议三中英对照

Group of Governors and Heads of Supervision announces higher global minimum capital standards12 September 2010At its 12 September 2010 meeting, the Group of Governors and Heads of Supervision, the oversight body of the Basel Committee on Banking Supervision, announced a substantial strengthening of existing capital requirements and fully endorsed the agreements it reached on 26 July 2010. These capital reforms, together with the introduction of a global liquidity standard, deliver on the core of the global financial reform agenda and will be presented to the Seoul G20 Leaders summit in November.The Committee's package of reforms will increase the minimum common equity requirement from 2% to %. In addition, banks will be required to hold a capital conservation buffer of % to withstand future periods of stress bringing the total common equity requirements to 7%. This reinforces the stronger definition of capital agreed by Governors and Heads of Supervision in July and the higher capital requirements fortrading, derivative and securitisation activities to be introduced at the end of 2011.Mr Jean-Claude Trichet, President of the European Central Bank and Chairman of the Group of Governors and Heads of Supervision, said that "the agreements reached today are a fundamental strengthening of global capital standards." He added that "their contribution to long term financial stability and growth will be substantial. The transition arrangements will enable banks to meet the new standards while supporting the economic recovery." Mr Nout Wellink, Chairman of the Basel Committee on Banking Supervision and President of the Netherlands Bank, added that "the combination of a much stronger definition of capital, higher minimum requirements and the introduction of new capital buffers will ensure that banks are better able to withstand periods of economic and financial stress, therefore supporting economic growth."Increased capital requirementsUnder the agreements reached today, the minimum requirement for common equity, the highest form of loss absorbing capital,will be raised from the current 2% level, before the application of regulatory adjustments, to % after the application of stricter adjustments. This will be phased in by 1 January 2015. The Tier 1 capital requirement, which includes common equity and other qualifying financial instruments based on stricter criteria, will increase from 4% to 6% over the same period. (Annex 1 summarises the new capital requirements.)The Group of Governors and Heads of Supervision also agreed that the capital conservation buffer above the regulatory minimum requirement be calibrated at % and be met with common equity, after the application of deductions. The purpose of the conservation buffer is to ensure that banks maintain a buffer of capital that can be used to absorb losses during periods of financial and economic stress. While banks are allowed to draw on the buffer during such periods of stress, the closer their regulatory capital ratios approach the minimum requirement, the greater the constraints on earnings distributions. This framework will reinforce the objective of sound supervision and bank governance and address the collective action problem that has prevented some banks fromcurtailing distributions such as discretionary bonuses and high dividends, even in the face of deteriorating capital positions.A countercyclical buffer within a range of 0% - % of common equity or other fully loss absorbing capital will be implemented according to national circumstances. The purpose of the countercyclical buffer is to achieve the broader macroprudential goal of protecting the banking sector from periods of excess aggregate credit growth. For any given country, this buffer will only be in effect when there is excess credit growth that is resulting in a system wide build up of risk. The countercyclical buffer, when in effect, would be introduced as an extension of the conservation buffer range.These capital requirements are supplemented by a non-risk-based leverage ratio that will serve as a backstop to the risk-based measures described above. In July, Governors and Heads of Supervision agreed to test a minimum Tier 1 leverage ratio of 3% during the parallel run period. Based on the results of the parallel run period, any final adjustmentswould be carried out in the first half of 2017 with a view to migrating to a Pillar 1 treatment on 1 January 2018 based on appropriate review and calibration.Systemically important banks should have loss absorbing capacity beyond the standards announced today and work continues on this issue in the Financial Stability Board and relevant Basel Committee work streams. The Basel Committee and the FSB are developing a well integrated approach to systemically important financial institutions which could include combinations of capital surcharges, contingent capital and bail-in debt. In addition, work is continuing to strengthen resolution regimes. The Basel Committee also recently issued a consultative document Proposal to ensure the loss absorbency of regulatory capital at the point of non-viability. Governors and Heads of Supervision endorse the aim to strengthen the loss absorbency of non-common Tier 1 and Tier 2 capital instruments.Transition arrangementsSince the onset of the crisis, banks have already undertakensubstantial efforts to raise their capital levels. However, preliminary results of the Committee's comprehensive quantitative impact study show that as of the end of 2009, large banks will need, in the aggregate, a significant amount of additional capital to meet these new requirements. Smaller banks, which are particularly important for lending to the SME sector, for the most part already meet these higher standards.The Governors and Heads of Supervision also agreed on transitional arrangements for implementing the new standards. These will help ensure that the banking sector can meet the higher capital standards through reasonable earnings retention and capital raising, while still supporting lending to the economy. The transitional arrangements, which are summarised in Annex 2, include:National implementation by member countries will begin on 1 January 2013. Member countries must translate the rules into national laws and regulations before this date. As of 1 January 2013, banks will be required to meet the following new minimum requirements in relation to risk-weighted assets (RWAs):% common equity/RWAs;% Tier 1 capital/RWAs, and% total capital/RWAs.The minimum common equity and Tier 1 requirements will be phased in between 1 January 2013 and 1 January 2015. On 1 January 2013, the minimum common equity requirement will rise from the current 2% level to %. The Tier 1 capital requirement will rise from 4% to %. On 1 January 2014, banks will have to meet a 4% minimum common equity requirement and a Tier 1 requirement of %. On 1 January 2015, banks will have to meet the % common equity and the 6% Tier 1 requirements. The total capital requirement remains at the existing level of % and so does not need to be phased in. The difference between the total capital requirement of % and the Tier 1 requirement can be met with Tier 2 and higher forms of capital.The regulatory adjustments (ie deductions and prudential filters), including amounts above the aggregate 15% limit for investments in financial institutions, mortgage servicing rights, and deferred tax assets from timing differences, would be fully deducted from common equity by 1 January 2018.In particular, the regulatory adjustments will begin at 20% of the required deductions from common equity on 1 January 2014, 40% on 1 January 2015, 60% on 1 January 2016, 80% on 1 January 2017, and reach 100% on 1 January 2018. During this transition period, the remainder not deducted from common equity will continue to be subject to existing national treatments.The capital conservation buffer will be phased in between 1 January 2016 and year end 2018 becoming fully effective on 1 January 2019. It will begin at % of RWAs on 1 January 2016 and increase each subsequent year by an additional percentage points, to reach its final level of % of RWAs on 1 January 2019. Countries that experience excessive credit growth should consider accelerating the build up of the capital conservation buffer and the countercyclical buffer. National authorities have the discretion to impose shorter transition periods and should do so where appropriate.Banks that already meet the minimum ratio requirement during the transition period but remain below the 7% common equity target (minimum plus conservation buffer) should maintain prudent earnings retention policies with a view to meeting the conservation buffer as soon as reasonably possible.Existing public sector capital injections will be grandfathered until 1 January 2018. Capital instruments that no longer qualify as non-common equity Tier 1 capital or Tier 2 capital will be phased out over a 10 year horizon beginning 1 January 2013. Fixing the base at the nominal amount of such instruments outstanding on 1 January 2013, their recognition will be capped at 90% from 1 January 2013, with the cap reducing by 10 percentage points in each subsequent year. In addition, instruments with an incentive to be redeemed will be phased out at their effective maturity date.Capital instruments that no longer qualify as common equity Tier 1 will be excluded from common equity Tier 1 as of 1 January 2013. However, instruments meeting the following three conditions will be phased out over the same horizon described in the previous bullet point: (1) they are issued by a non-joint stock company 1 ; (2) they are treated as equity under the prevailing accounting standards; and (3) they receive unlimited recognition as part of Tier 1 capital under current national banking law.Only those instruments issued before the date of this press release should qualify for the above transition arrangements.Phase-in arrangements for the leverage ratio were announced in the 26 July 2010 press release of the Group of Governors and Heads of Supervision. That is, the supervisory monitoring period will commence 1 January 2011; the parallel run period will commence 1 January 2013 and run until 1 January 2017; and disclosure of the leverage ratio and its components will start 1 January 2015. Based on the results of the parallel run period, any final adjustments will be carried out in the first half of 2017 with a view to migrating to a Pillar 1 treatment on 1 January 2018 based on appropriate review and calibration.After an observation period beginning in 2011, the liquidity coverage ratio (LCR) will be introduced on 1 January 2015. The revised net stable funding ratio (NSFR) will move to a minimum standard by 1 January 2018. The Committee will put in place rigorous reporting processes to monitor the ratios during the transition period and will continue to review the implications of these standards for financial markets, credit extension and economic growth, addressing unintended consequences as necessary.The Basel Committee on Banking Supervision provides a forum for regular cooperation on banking supervisory matters. It seeks to promote and strengthen supervisory and risk management practices globally. The Committee comprises representatives from Argentina, Australia, Belgium, Brazil, Canada, China, France, Germany, Hong Kong SAR, India, Indonesia, Italy, Japan, Korea, Luxembourg, Mexico, the Netherlands, Russia, Saudi Arabia, Singapore, South Africa, Spain, Sweden, Switzerland, Turkey, the United Kingdom and the United States.The Group of Central Bank Governors and Heads of Supervision is the governing body of the Basel Committee and is comprised of central bank governors and (non-central bank) heads of supervision from member countries. The Committee's Secretariat is based at the Bank for International Settlements in Basel, Switzerland.Annex 1: Calibration of the Capital Framework (PDF 1 page, 19 kb)Annex 2: Phase-in arrangements (PDF 1 page, 27 kb)Full press release (PDF 7 pages, 56 kb)--------------------------------------------------------------------------------1 Non-joint stock companies were not addressed in the Basel Committee's 1998 agreement on instruments eligible for inclusion in Tier 1 capital as they do not issue voting common shares.最新巴塞尔协议3全文央行行长和监管当局负责人集团1宣布较高的全球最低资本标准1央行行长和监管当局负责人集团是巴塞尔委员会中的监管机构，是由成员国央行行长和监管当局负责人组成的。

巴塞尔协议三中英对照样本

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Group of Governors and Heads of Supervision announceshigher globalminimum capital standards12September Atits12September meeting,the Group of Governors and Heads of Supervision,the oversightbody of the Basel Committee onBanking Supervision,announced asubstantial strengtheningof existingcapital requirementsand fullyendorsed the agreements itreached on26July.These capitalreforms,together with the introduction of aglobal liquiditystandard,deliver on the coreof theglobal financialreform agendaand will be presentedto theSeoul G20Leaders summitin November.The Committee's packageof reformswill increasethe minimum mon equity requirement from2%to%.In addition,banks will be requiredto holda capital conservation bufferof%to withstandfuture periods of stress本文档所提供的信息仅供参考之用，不能作为科学依据，请勿模仿。

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9月12日的巴塞尔银行监管委员会央行行长和监管当局负责人会议就资本监管改革一些关键问题达成了共识。

这些资本监管改革措施一旦付诸实施将对全球银行业未来发展产生重大的影响。

一、会议的基本内容作为巴塞尔银行监管委员会中的监管机构，央行行长和监管当局负责人集团在的会议上，宣布加强对现有资本金要求的持续监管，并对在达成的协议进行充分认可。

这些银行资本改革措施和全球银行业流动性监管标准的推行，履行了全球金融改革核心议程的诺言，并且将在11月份韩国首尔召开的G20领导峰会上提交。

巴塞尔委员会一揽子改革中，普通股（含留存收益，下同）将从2%增至4.5%。

另外，银行需持有2.5%的资本留存超额资本以应对未来一段时期对7%的普通股所带来的压力。

此次资本改革巩固了央行行长和监管当局负责人在7月份达成的关于强化资本约束和在____年底前提高对市场交易、衍生产品和资产证券化的资本需要。

此次会议达成了一个从根本上加强全球资本标准的协议。

这些资本要求将对长期的财政稳定和经济增长有重大的贡献。

安排资本监管过渡期将使银行在满足新的资本标准的同时，支持经济复苏。

更强的资本定义，更高的最低资本要求和新的超额资本的结合将使银行可以承受长期的经济金融压力，从而支持经济的增长。

二、增加的资本要求（一）最低普通股要求。

根据巴塞尔委员会此次会议达成的协议，最低普通股要求，即弥补资产损失的最终资本要求，将由现行的2%严格调整到4.5%。

这一调整将分阶段实施到结束。

同一时期，一级资本（包括普通股和其他建立在更严格标准之上的合格金融工具）也要求由4%调整到6%。

（附件一概述了新的资本要求）（二）建立资本留存超额资本。

央行行长和监管当局负责人集团一致认为，在最低监管要求之上的资本留存超额资本将应达到2.5%，以满足扣除资本扣减项后的普通股要求。

留存超额资本的目的是确保银行维持缓冲资金以弥补在金融和经济压力时期的损失。

当银行在经济金融出于压力时期，资本充足率越接近监管最低要求，越要限制收益分配。

这一框架将强化良好银行监管目标并且解决共同行动的问题，从而阻止银行即使是在面对资本恶化的情况下仍然自主发放奖金和分配高额红利的（非理性的）分配行为。

（三）建立反周期超额资本。

反周期超额资本，比率范围在0%-2.5%的普通股或者是全部用来弥补损失的资本，将根据经济环境建立。

反周期超额资本的建立是为了达到保护银行部门承受过度信贷增长的更广的宏观审慎目标。

对任何国家来说，这种缓冲机制仅在信贷过度增长导致系统性风险累积的情况下才产生作用。

反周期的缓冲一旦生效，将被作为资本留存超额资本的扩展加以推行。

（四）运行期限规定。

上述这些资本比例要求是通过在风险防范措施之上建立非风险杠杆比率。

7月，央行行长和监管机构负责人同意对平行运行期间3%的最低一级资本充足率进行测试。

基于平行运行期测试结果，任何最终的调整都将在____年上半年被执行，并通过适当的方法和计算带入____年1月起的最低资本要求中。

（五）其他要求。

对金融系统至关重要的银行应具备超过今天所提标准的弥补资产损失的能力，并继续就金融稳定委员会和巴塞尔委员会工作小组出台的意见进行进一步讨论。

巴塞尔委员会和金融稳定委员会正在研发一种对这类银行非常好的包括资本附加费，核心资金和担保金在内的综合的方法。

另外，加强制度决议的工作还将继续。

巴塞尔委员会最近也发表了一份咨询文件，建议确保监管资本在非正常环境下的损失弥补能力。

央行行长和监管机构负责人赞同加强非普通一级资本和二级资本工具的损失弥补能力。

三、过渡时期安排自危机开始，银行为提高资本水平已经采取了很多努力。

但是，巴塞尔委员会的综合定量影响研究结果显示，截至____年底，大型银行从总体上考虑仍需要相当大量的额外资本才能满足新的监管要求。

那些对中小企业贷款尤为重要的规模较小的银行，大部分已经满足了更高的资本要求。