巴塞尔协议三中英对照样本
巴塞尔协议第三版、银行和经济
Basel III, the Banks, and theEconomy|Brookings巴塞尔协议第三版、银行和经济作者：Douglas J. Elliott研究员布鲁金斯学会发表时间：2010年7月26日译者：Andy Cheng（@adianch2010）到11月份，银行的监管者们将有可能完成一个国际协议来决定银行必须的健康程度。
巴塞尔银行监管委员会（巴塞尔委员会）将讨论更严格的关于资本和流动性的规则。
该协议被称为“巴塞尔协议第三版”（Basel III），因为它将是这些规则的第三个版本。
这个协议将对世界金融体制和经济产生重大的影响。
从积极的一面来说，新的收紧的资本和流动性要求会令国家的金融体制以及全球金融体制变得更为安全。
不幸的是，安全性的增加需要付出成本，因为银行要持有更多的资本和变得更具流动性，其代价相当高昂。
毫无疑问，贷款以及银行的其他服务都将会变得更为昂贵、更难得到。
存在争论的只是影响的程度，方向上没有异议。
银行业争辩说，巴塞尔协议第三版将会严重损害经济。
例如，国际金融研究所（IIF）的测算认为，如果采用巴塞尔协议第三版，美国和欧洲的经济将会在5年后比不采用该协议的情况萎缩3％。
我自己的分析，以及其他中立的各方通常都认为这个成本小得多，相当大的程度上会被更大安全性带来的效益所抵消。
近期的危机清楚证明，严重的金融危机会对世界经济造成永久性的损害，给成千上万的人们——如果不是数十亿的话——带来经济上的损失和情感上的伤痛。
为了避免此类重大冲击，如我的研究所表明的那样，每年牺牲一点儿经济的增长是值得的。
另一方面，如果银行业是对的，增加的安全性可能与所需的成本不相匹配，那么一个更为温和的监管版本会受到欢迎。
本文探讨了以下与巴塞尔协议第三版相关的问题：∙什么是巴塞尔协议第三版？谁制定的政策？∙巴塞尔协议第三版的时间表是怎样的？∙资本和流动性是什么？∙现行的规则是怎样的？∙建议对现有规则作哪些更改？∙哪些东西保留不变？∙有哪些重要领域存在争议？∙原来建议的变化和时间表是否会作出修改？∙巴塞尔协议第三版的可能的影响是什么？什么是巴塞尔协议第三版？谁制定的政策？巴塞尔协议第三版是一套关于银行监管的资本和流动性要求以及其他相关领域国际规则的修改建议。
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。
巴塞尔资本协议中英文完整版(13附录5(英文))
Annex 5Illustrative Examples: Calculating the Effect ofCredit Risk Mitigation under Supervisory FormulaSome examples are provided below for determining how collateral and guarantees are to be recognised under the SF.Illustrative Example Involving Collateral - proportional coverAssume an originating bank purchases a €100 securitisation exposure with a credit enhancement level in excess of K IRB for which an external or inferred rating is not available. Additionally, assume that the SF capital charge on the securitisation exposure is €1.6 (when multiplied by 12.5 results in risk weighted assets of €20). Further assume that the originating bank has received €80 of collateral in the form of cash that is denominated in the same currency as the securitisation exposure. The capital requirement for the position is determined by multiplying the SF capital requirement by the ratio of adjusted exposure amount and the original exposure amount, as illustrated below.Step 1: Adjusted Exposure Amount (E*) = max {0, [E x (1 + He) - C x (1 - Hc - Hfx)]}E* = max {0, [100 x (1 + 0) - 80 x (1 - 0 - 0)]} = € 20Where (based on the information provide above):E* = the exposure value after risk mitigation (€20)E = current value of the exposure (€100)He = haircut appropriate to the exposure (This haircut is not relevant because the originating bank is not lending the securitisation exposure in exchange for collateral).C = the current value of the collateral received (€80)Hc = haircut appropriate to the collateral (0)Hfx= haircut appropriate for mismatch between the collateral and exposure (0)Step 2: Capital requirement = E* / E x SF capital requirementWhere (based on the information provide above):Capital requirement = €20 / €100 x €1.6 = €0.32.195196Illustrative Example Involving a Guarantee - proportional coverAll of the assumptions provided in the illustrative example involving collateral apply except for the form of credit risk mitigant. Assume that the bank has received an eligible, unsecured guarantee in the amount of €80 from a bank. Therefore, a haircut for currency mismatch will not apply. The capital requirement is determined as follows.∙ The protected portion of the securitisation exposure (€80) is to receive the riskweight of the protection provider. The risk weight for the protection provider is equivalent to that for an unsecured loan to the guarantor bank, as determined under the IRB approach. Assume that this risk weight is 10%. Then, the capital charge on the protected portion would be; €80 x10% x 0.08= €0.64.∙The capital charge for the unprotected portion (€20) is derived by multiplying the capital charge on the securitisation exposure by the share of the unprotected portion to the exposure amount. The share of the unprotected portion is: €20 / €100 = 20%. Thus, the capital requirement will be; €1.6 x 20% = €0.32. The total capital requirement for the protected and unprotected portions is:€0.64 (protected portion) + €0.32 (unprotected portion) = €0.96 .Illustrative example - the case of credit risk mitigants covering the most senior partsAssume an originating bank that securitises a pool of loans of €1000. The K IRB of this underlying pool is 5% (capital charge of €50). There is a first loss position of €20. The originator retains only the second most junior tranche: an unrate d tranche of €45. We can summarise the situation as follows:1. Capital charge without collateral or guaranteesAccording to this example, the capital charge for the unrated retained tranche that is straddling the K IRB line is sum of the capital requirements for tranches (a) and (b) in the graph above:(a)Assume the SF risk weight for this subtranche is 820%. Thus, risk weighted assets are €15 x 820% = €123. Capital charge is €123 x 8%= €9.84 (b) The subtranche below K IRB must be deducted. Risk weighted as sets: €30 x1250% =€375. Capital charge of €375 x 8% = €30Total capital charge for the unrated straddling tranche = €9.84 + €30 = €39.84unratedretained tranche (€45) First loss K IRB = € 50197 2. Capital charge with collateralAssume now that the originating bank has received €25 of collateral in the form of cash that is denominated in the same currency as the securitisation exposure. Because the tranche is straddling the K IRB level, we must assume that the collateral is covering the most senior subtranche above K IRB ((a) subtranche) and, only if there is some collateral left, the coverage will be applied proportionally to the subtranche below K IRB ((b) subtranche). Thus, we have:The capital requirement for the position is determined by multiplying the SF capital requirement by the ratio of adjusted exposure amount and the original exposure amount, as illustrated below. We must apply this for the two subtranches.(a) The first subtranche has an initial exposure of €15 and collateral of €15, so in thiscase it is completely covered. In other words: Step 1: Adjusted Exposure AmountE* = max {0, [E x (1 + He) - C x (1 - Hc - Hfx)]} = max {0, [15 - 15]} = € 0Where:E* = the exposure value after risk mitigation (€15)E = current value of the exposure (€15)C = the current value of the collateral received (€15)He = haircut appropriate to the exposure (not relevant here, thus €0)Hc and Hfx = haircut appropriate to the collateral and that for the mismatch between the collateral and exposure (to simplify, €0)Step 2: Capital requirement = E* / E x SF capital requirementCapital requirement = 0 x €9.84 = € 0(b) The second subtranche has an initial exposure of €30 and collateral of €10, which isthe amount left after covering the subtranche above K IRB . Thus, these €10 must be allocated in a proportional way to the €30 subtranche.Step1: Adjusted Exposure AmountE* = max {0, [30 x (1 + 0) - 10 x (1 - 0 - 0)]} = €20Step 2: Capital requirement = E* / E x SF capital requirementCapital requirement = €20/€30 x €30 = €20Finally, the total capital charge for the unrat ed straddling tranche = €0 + €20 = €20€30 Collateral (€25) Straddling tranche €45198 3. GuaranteeAssume now that instead of collateral, the bank has received an eligible, unsecured guarantee in the amount of €25 from a bank. Therefore the haircut for currency mismatch will not apply. The situation can be summarised as:The capital requirement for the two subtranches is determined as follows:(a) The first subtranche has an initial exposure of €15 and a guarantee of €15, so in thiscase it is completely covered. The €15 will receive the risk weight o f the protection provider. The risk weight for the protection provider is equivalent to that for an unsecured loan to the guarantor bank, as determined under the IRB approach. Assume that this risk weight is 20%. capital charge on the protected portion is €15 x 20% x 8%= €0.24(b)The second subtranche has an initial exposure of €30 and guarantee of €10.Accordingly, the protected part is €10 and the unprotected part is €20. ∙ Again, the protected portion of the securitisation exposure is to receive the riskweight of the guarantor bank.capital charge on the protected portion is €10 x 20% x 8%= € 0.16∙ The capital charge for the unprotected portion is derived by multiplying the share ofthe unprotected portion to the original capital charge. The share of the unprotected portion is: €20 / €30 = 66.7%.capital charge on the unprotected portion is 66.7% x €30 = €20(or equivalently €20 x 1250% x 8%= €20)Total capital charge for the unrated straddling tranche = €0.24 (protected portion, above K IRB ) + €0.16 (protected portion, below K IRB ) + €20 (unprotected portion, below K IRB ) = €20.4€30 Guarantee (€25) Straddling tranche €45。
巴塞尔资本协议中英文完整版(13附录5)
附录5例子：按照监管公式计算信用风险缓释的影响以下举例说明按监管公式(SF)下，如何认定抵押品和担保的作用。
关于抵押品的例子—按比例抵补假定一发起行购买了€100 的证券化的风险暴露，存在超出K IRB 水平的信用提升，但超出部分无外部的或可推出的评级。
此外，假定对资产证券化部分的风险暴露，按监管公式资本需求为€1.6（乘以12.5，加权资产为€20）。
在进一步假定，该发起行持有€80的现金作为资产证券化的抵押品，计价货币与资产证券化货币相同。
该头寸的资本要求为将按监管公式的资本要求乘以调整后风险暴露与原始风险暴露的比率，如下所示。
第1步：调整后风险暴露(E*) = {0, [E x (1 + He) - C x (1 - Hc - Hfx)]} 式的最大值E* ={0, [100 x (1 + 0) - 80 x (1 - 0 - 0)]} 式的最大值= € 20其中 (根据以上信息):E* = 考虑风险缓释后的风险暴露(€20)E = 当前的风险暴露(€100)He = 适用于风险暴露的折扣系数(由于银行未借出资产证券化的风险暴露以交换抵押品，这个折扣系数无相关性).C = 接受抵押品的当前价值(€80)Hc = 适用于抵押品的折扣系数(0)Hfx= 适用于抵押品和风险暴露错配的折扣系数 (0)第2步：资本要求= E* / E x 监管公式的资本要求其中 (根据以上信息):资本要求= €20 / €100 x €1.6 = €0.32.关于担保的例子—按比例抵补除信用风险缓释工具外，该例子中所有涉及抵押品的假设条件均适用。
假定发起行持有其他银行提供的合格，无抵押品的担保，金额为80€。
因此，货币错配的折扣系数不适用。
资本要求如下所示：∙ 资产证券化的保护部分（80€ ）的风险权重为保护提供者的风险权重。
保护提供者的风险权重与提供给担保银行无担保贷款的风险权重相同，在内部评级法下也是如此。
假定风险权重是10%。
common,equity,tier,1,巴塞尔协议iii
common,equity,tier,1,巴塞尔协议iii篇一：巴塞尔协议第三版核心中英文词汇梳理巴塞尔协议第三版核心词汇I. 巴三六大目标一、更严格的资本定义（Increased Quality of Capital）： 1．一级资本金包括：(1) 核心一级资本，(也叫普通股一级资本，common equity tier 1 capital)：只包括普通股（common equity）和留存收益（retained earning），巴三规定，少数股东权益（minority interest）、递延所得税(deferred tax)、对其他金融机构的投资(holdings in other financial institutions) 、商誉（goodwill）等不得计入核心一级资本。
(2) 其他一级资本：永久性优先股（non-cumulative preferred stock）等二、更高的资本充足要求（Increased Quantity of Capital）1．核心一级资本充足率(common equity tier 1 capital)：最低4.5%。
2．一级资本充足率：6%3．资本留存缓冲(capital conservation buffer)：最低2.5%，由普通股（扣除递延税项及其他项目）构成，用于危机期间（periods of stress）吸收损失，但是当该比率接近最低要求将影响奖金和红利发放(earning distributions）4．全部核心一级资本充足率(核心一级资本+资本留存缓冲)：最低7%5．总资本充足率（minimum total capital）：8%6．总资本充足率+资本留存缓冲最低要求：10.5%7．逆周期资本缓冲（counter-cyclical buffer）0—0.25%：在信贷增速过快(excessive credit growth)，导致系统范围内风险积聚时生效。
巴塞尔资本协议中英文完整版
概述导言1. 巴塞尔银行羁系委员会（以下简称委员会）现宣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）。
第三稿的宣布是构建新资本富足率框架的一项重大步调。
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，完善资本富足率框架有两方面的大众政策利好。
一是创建不但包罗最低资本并且还包罗羁系政府的监视查抄和市场规律的资本治理划定。
二是大幅度提高最低资本要求的风险敏感度。
3. 完善的资本富足率框架，旨在促进勉励银行强化风险治理能力，不停提高风险评估水平。
委员会认为，实现这一目标的途径是，将资本划定与当今的现代化风险治理作法紧密地结合起来，在羁系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，就是增强与业内人士和非成员国羁系人员之间的对话。
通过多次征求意见，委员会认为，包罗多项选择方案的新框架不但适用于十国团体国度，并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事情，就是研究到场新协议定量测算影响阐发各行提出的反馈意见。
这方面研究事情的目的，就是掌握各国银行提供的有关新协议各项发起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多个国度范围及庞大水平各异的350多家银行到场了近期开展的定量影响阐发（以下称简QIS3）。
正如另一份文件所指出，QIS3的结果表明，调解后新框架划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。
第一部分简朴介绍新资本富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。
第二部分技能性较强，大要描述了在2002年10月宣布的QIS3技能指导文件之后对新协议有关划定所做的修改。
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，二是羁系政府对资本富足率的监视查抄，三是信息披露。
巴塞尔资本协议中英文完整版(07第三部分(英文))
Part 3: The Second Pillar – Supervisory Review Process677. This section discusses the key principles of supervisory review, risk management guidance and supervisory transparency and accountability produced by the Committee with respect to banking risks, including that relating to the treatment of interest rate risk in the banking book, operational risk and aspects of credit risk (stress testing, definition of default, residual risk, credit concentration risk and securitisation).A. Importance of Supervisory Review678. The supervisory review process of the New Accord is intended not only to ensure that banks have adequate capital to support all the risks in their business, but also to encourage banks to develop and use better risk management techniques in monitoring and managing their risks.679. The supervisory review process recognises the responsibility of bank management in developing an internal capital assessment process and setting capital targets that are commensurate with the bank‟s risk profile a nd control environment. In the New Accord, bank management continues to bear responsibility for ensuring that the bank has adequate capital to support its risks beyond the core minimum requirements.680. Supervisors are expected to evaluate how well banks are assessing their capital needs relative to their risks and to intervene, where appropriate. This interaction is intended to foster an active dialogue between banks and supervisors such that when deficiencies are identified, prompt and decisive action can be taken to reduce risk or restore capital. Accordingly, supervisors may wish to adopt an approach to focus more intensely on those banks whose risk profile or operational experience warrants such attention.681. The Committee recognises the relationship that exists between the amount of capital held by the bank against its risks and the strength and effectiveness of the bank‟s risk management and internal control processes. However, increased capital should not be viewed as the only option for addressing increased risks confronting the bank. Other means for addressing risk, such as strengthening risk management, applying internal limits, strengthening the level of provisions and reserves, and improving internal controls, must also be considered. Furthermore, capital should not be regarded as a substitute for addressing fundamentally inadequate control or risk management processes.682. There are three main areas that might be particularly suited to treatment under Pillar 2: risks considered under Pillar 1 that are not fully captured by the Pillar 1 process (e.g. credit concentration risk); those factors not taken into account by the Pillar 1 process (e.g. interest rate risk in the banking book, business and strategic risk); and factors external to the bank (e.g. business cycle effects). A further important aspect of Pillar 2 is the assessment of compliance with the minimum standards and disclosure requirements of the more advanced methods in Pillar 1, in particular the IRB framework for credit risk and the Advanced Measurement Approaches (AMA) for operational risk. Supervisors must ensure that these requirements are being met, both as qualifying criteria and on a continuing basis.138B. Four Key Principles of Supervisory Review683. The Committee has identified four key principles of supervisory review, which complement those outlined in the extensive supervisory guidance that has been developed by the Committee, the keystone of which is the Core Principles for Effective Banking Supervision and the Core Principles Methodology100. A list of the specific guidance relating to the management of banking risks is provided at the end of this Part of the paper.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.684. Banks must be able to demonstrate that chosen internal capital targets are well founded and these targets are consistent with their overall risk profile and current operating environment. In assessing capital adequacy, bank management needs to be mindful of the particular stage of the business cycle in which the bank is operating. Rigorous, forward-looking stress testing that identifies possible events or changes in market conditions that could adversely impact the bank should be performed. Bank management clearly bears primary responsibility for ensuring that the bank has adequate capital to support its risks. 685. The five main features of a rigorous process are as follows:∙board and senior management oversight;∙sound capital assessment;∙comprehensive assessment of risks;∙monitoring and reporting; and∙internal control review.Board and senior management oversight101686. A sound risk management process is the foundation for an effective assessment of the adequacy of banks‟ capital positions. Bank management is responsible for understanding the nature and level of risk being taken by the bank and how these risks relate to adequate capital levels. It is also responsible for ensuring that the formality and sophistication of the risk management processes are appropriate in light of the risk profile and business plan. 687. The analysis of banks‟ current and future capital requirements in relation to strategic objectives is a vital element of the strategic planning process. The strategic plan should clearly outline the bank‟s capital needs, anticipated capital expenditures, desirable capital100Core Principles for Effective Banking Supervision, Basel Committee on Banking Supervision (September 1997), and Core Principles Methodology, Basel Committee on Banking Supervision (October 1999).101 This section of the paper refers to a management structure composed of a board of directors and senior management. The Committee is aware that there are significant differences in legislative and regulatory frameworks across countries as regards the functions of the board of directors and senior management. In some countries, the board has the main, if not exclusive, function of supervising the executive body (senior management, general management) so as to ensure that the latter fulfils its tasks. For this reason, in some cases, it is known as a supervisory board. This means that the board has no executive functions. In other countries, by contrast, the board has a broader competence in that it lays down the general framework for the management of the bank. Owing to these differences, the notions of the board of directors and senior management are used in this section not to identify legal constructs but rather to label two decision-making functions within a bank.139level, and external capital sources. Senior management and the board should view capital planning as a crucial element in being able to achieve its desired strategic objectives.688. The bank‟s board of directors has responsibility for setting the bank‟s tolerance for risks. It should also ensure that management establishes a framework for assessing the various ri sks, develops a system to relate risk to the bank‟s capital level, and establishes a method for monitoring compliance with internal policies. It is likewise important that the board of directors adopts and supports strong internal controls and written policies and procedures and ensures that management effectively communicates these throughout the organisation. Sound capital assessment689. Fundamental elements of sound capital assessment include:∙policies and procedures designed to ensure that the bank identifies, measures, and reports all material risks;∙ a process that relates capital to the level of risk;∙ a process that states capital adequacy goals with respect to risk, taking account of the bank‟s strategic focus and business plan; and∙ a process of internal controls, reviews and audit to ensure the integrity of the overall management process.Comprehensive assessment of risks690. All material risks faced by the bank should be addressed in the capital assessment process. While it is recognised that not all risks can be measured precisely, a process should be developed to estimate risks. Therefore, the following risk exposures, which by no means constitute a comprehensive list of all risks, should be considered.691.Credit risk: Banks should have methodologies that enable them to assess the credit risk involved in exposures to individual borrowers or counterparties as well as at the portfolio level. For more sophisticated banks, the credit review assessment of capital adequacy, at a minimum, should cover four areas: risk rating systems, portfolio analysis/aggregation, securitisation/complex credit derivatives, and large exposures and risk concentrations. 692. Internal risk ratings are an important tool in monitoring credit risk. Internal risk ratings should be adequate to support the identification and measurement of risk from all credit exposures, and should be integrated into an institution‟s overall analysis of credit risk and capital adequacy. The ratings system should provide detailed ratings for all assets, not only for criticised or problem assets. Loan loss reserves should be included in the credit risk assessment for capital adequacy.693. The analysis of credit risk should adequately identify any weaknesses at the portfolio level, including any concentrations of risk. It should also adequately take into consideration the risks involved in managing credit concentrations and other portfolio issues through such mechanisms as securitisation programmes and complex credit derivatives. Further, the analysis of counterparty credit risk should include consideration of public evaluation of the supervisor‟s compliance with the Core Principles of Effective Banking Supervision.694. Operational risk: The Committee believes that similar rigour should be applied to the management of operational risk, as is done for the management of other significant 140banking risks. The failure to properly manage operational risk can result in a misstatement of an institution‟s risk/return profile and expose the institution to s ignificant losses.695. Banks should develop a framework for managing operational risk and evaluate the adequacy of capital given this framework. The framework should cover the bank‟s appetite and tolerance for operational risk, as specified through the policies for managing this risk, including the extent of, and manner in which, operational risk is transferred outside the bank. It should also include policies outlining the bank‟s approach to identifying, assessing, monitoring and controlling/mitigating the risk.696. Market risk: This assessment is based largely on the bank‟s own measure of value-at-risk or the standardised approach for market risk (see Amendment to the Capital Accord to incorporate market risks 1996). Emphasis should also be on the institution performing stress testing in evaluating the adequacy of capital to support the trading function.697. Interest rate risk in the banking book: The measurement process should include all material interest rate positions of the bank and consider all relevant repricing and maturity data. Such information will generally include: current balance and contractual rate of interest associated with the instruments and portfolios, principal payments, interest reset dates, maturities, and the rate index used for repricing and contractual interest rate ceilings or floors for adjustable-rate items. The system should also have well-documented assumptions and techniques.698. Regardless of the type and level of complexity of the measurement system used, bank management should ensure the adequacy and completeness of the system. Because the quality and reliability of the measurement system is largely dependent on the quality of the data and various assumptions used in the model, management should give particular attention to these items.699. Liquidity Risk: Liquidity is crucial to the ongoing viability of any banking organisation. Banks‟ capital positions can have an effect on their ability to obtain liquidity, especially in a crisis. Each bank must have adequate systems for measuring, monitoring and controlling liquidity risk. Banks should evaluate the adequacy of capital given their own liquidity profile and the liquidity of the markets in which they operate.700. Other risks: Although the Committee recognises that …other‟ risks, such as reputational and strategic risk, are not easily measurable, it expects industry to further develop techniques for managing all aspects of these risks.Monitoring and reporting701. The bank should establish an adequate system for monitoring and reporting risk exposures and how the bank‟s changing risk profile affects the need for capital. The bank‟s senior management or board of directors should, on a regular basis, receive reports on the bank‟s risk profile and capital needs. These re ports should allow senior management to:∙evaluate the level and trend of material risks and their effect on capital levels;∙evaluate the sensitivity and reasonableness of key assumptions used in the capital assessment measurement system;∙determine that the bank holds sufficient capital against the various risks and that they are in compliance with established capital adequacy goals; and∙assess its future capital requirements based on the bank‟s reported risk profile and make necessary adjustments to the ban k‟s strategic plan accordingly.141Internal control review702. The bank‟s internal control structure is essential to the capital assessment process. Effective control of the capital assessment process includes an independent review and, where appropriate, t he involvement of internal or external audits. The bank‟s board of directors has a responsibility to ensure that management establishes a system for assessing the various risks, develops a system to relate risk to the bank‟s capital level, and establishes a method for monitoring compliance with internal policies. The board should regularly verify whether its system of internal controls is adequate to ensure well-ordered and prudent conduct of business.703. The bank should conduct periodic reviews of its risk management process to ensure its integrity, accuracy, and reasonableness. Areas that should be reviewed include:∙the appropriateness of the bank‟s capital assessment process given the nature, scope and complexity of its activities;∙the identification of large exposures and risk concentrations;∙the accuracy and completeness of data inputs into the bank‟s assessment process;∙the reasonableness and validity of scenarios used in the assessment process; and ∙stress testing and analysis of assumptions and inputs.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.704. The supervisory authorities should regularly review the process by which banks assess their capital adequacy, the risk position of the bank, the resulting capital levels and quality of capital held. Supervisors should also evaluate the degree to which banks have in place a sound internal process to assess capital adequacy. The emphasis of the review should be on the quality of the bank‟s risk management and controls and should not re sult in supervisors functioning as bank management. The periodic review can involve some combination of:∙on-site examinations or inspections;∙off-site review;∙discussions with bank management;∙review of work done by external auditors (provided it is adequately focused on the necessary capital issues); and∙periodic reporting.705. The substantial impact that errors in the methodology or assumptions of formal analyses can have on resulting capital requirements requires a detailed review by supervisors of each bank‟s internal analysis.Review of adequacy of risk assessment706. Supervisors should assess the degree to which internal targets and processes incorporate the full range of material risks faced by the bank. Supervisors should also review the adequacy of risk measures used in assessing internal capital adequacy and the extent to which these risk measures are also used operationally in setting limits, evaluating business 142line performance and evaluating and controlling risks more generally. Supervisors should consider the results of sensitivity analyses and stress tests conducted by the institution and how these results relate to capital plans.Assessment of capital adequacy707. Supervisors should review the bank‟s processes to determine:∙that the target levels of capital chosen are comprehensive and relevant to the current operating environment;∙that these levels are properly monitored and reviewed by senior management; and ∙that the composition of capital is appropriate for the nature and scale of the bank‟s business.708. Supervisors should also consider the extent to which the bank has provided for unexpected events in setting its capital levels. This analysis should cover a wide range of external conditions and scenarios, and the sophistication of techniques and stress tests used should be commensurate with the bank‟s activities.Assessment of the control environment709. Supervisors should consider the quality of the bank‟s management information reporting and systems, the manner in which business risks and activities are aggregated, and management‟s record in responding to emerging or changing risks.710. In all instances, the capital levels at individual banks should be determined according to the bank's risk profile and adequacy of its risk management process and internal controls. External factors such as business cycle effects and the macroeconomic environment should also be considered.Supervisory review of compliance with minimum standards711. In order for certain internal methodologies, CRM techniques and asset securitisations to be recognised for regulatory capital purposes, banks will need to meet a number of requirements, including risk management standards and disclosure.In particular, banks will be required to disclose features of their internal methodologies used in calculating minimum capital requirements. As part of the supervisory review process, supervisors must ensure that these conditions are being met on an ongoing basis.712. The Committee regards this review of minimum standards and qualifying criteria as an integral part of the supervisory review process under Principle 2. In setting the minimum criteria the Committee has considered current industry practice and so anticipates that these minimum standards will provide supervisors with a useful set of benchmarks that are aligned with bank management expectations for effective risk management and capital allocation. 713. There is also an important role for supervisory review of compliance with certain conditions and requirements set for standardised approaches. In this context, there will be a particular need to ensure that use of various instruments that can reduce Pillar 1 capital requirements are utilised and understood as part of a sound, tested, and properly documented risk management process.143Supervisory response714. Having carried out the review process described above, supervisors should take appropriate action if they are not satisfied with the results of the bank‟s own risk assessment and capital allocation. Supervisors should consider a range of actions, such as those set out under Principles 3 and 4 below.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.715. Pillar 1 capital requirements will include a buffer for uncertainties surrounding the Pillar 1 regime that affect the banking population as a whole. Bank-specific uncertainties will be treated under Pillar 2. It is anticipated that such buffers under Pillar 1 will be set to provide reasonable assurance that banks with good internal systems and controls, a well-diversified risk profile and a business profile well covered by the Pillar 1 regime, and who operate with capital equal to Pillar 1 requirements will meet the minimum goals for soundness embodied in Pillar 1. However, supervisors will need to consider whether the particular features of the markets for which they are responsible are adequately covered. Supervisors will typically require (or encourage) banks to operate with a buffer, over and above the Pillar 1 standard. Banks should maintain this buffer for a combination of the following:(a) Pillar 1 minimums are anticipated to be set to achieve a level of bankcreditworthiness in markets that is below the level of creditworthiness sought by many banks for their own reasons. For example, most international banks appear to prefer to be highly rated by internationally recognised rating agencies. Thus, banks are likely to choose to operate above Pillar 1 minimums for competitive reasons. (b) In the normal course of business, the type and volume of activities will change, aswill the different risk requirements, causing fluctuations in the overall capital ratio. (c) It may be costly for banks to raise additional capital, especially if this needs to bedone quickly or at a time when market conditions are unfavourable.(d) For banks to fall below minimum regulatory capital requirements is a serious matter.It may place banks in breach of the relevant law and/or prompt non-discretionary corrective action on the part of supervisors.(e) There may be risks, either specific to individual banks, or more generally to aneconomy at large, that are not taken into account in Pillar 1.716. There are several means available to supervisors for ensuring that individual banks are operating with adequate levels of capital. Among other methods, the supervisor may set trigger and target capital ratios or define categories above minimum ratios (e.g. well capitalised and adequately capitalised) for identifying the capitalisation level of the bank. 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.717. Supervisors should consider a range of options if they become concerned that banks are not meeting the requirements embodied in the supervisory principles outlined above. These actions may include intensifying the monitoring of the bank; restricting the payment of dividends; requiring the bank to prepare and implement a satisfactory capital adequacy restoration plan; and requiring the bank to raise additional capital immediately. 144Supervisors should have the discretion to use the tools best suited to the circumstances of the bank and its operating environment.718. The permanent solution to banks‟ difficulties is not always increased capital. However, some of the required measures (such as improving systems and controls) may take a period of time to implement. Therefore, increased capital might be used as an interim measure while permanent measures to improve the bank‟s position are being put in place. Once these permanent measures have been put in place and have been seen by supervisors to be effective, the interim increase in capital requirements can be removed.C. Specific issues to be addressed under the supervisory reviewprocess719. The Committee has identified a number of important issues that banks and supervisors should particularly focus on when carrying out the supervisory review process. These issues include some key risks which are not directly addressed under Pillar 1 and important assessments that supervisors should make to ensure the proper functioning of certain aspects of Pillar 1.Interest rate risk in the banking book720. The Committee remains convinced that interest rate risk in the banking book is a potentially significant risk which merits support from capital. However, comments received from the industry and additional work conducted by the Committee have made it clear that there is considerable heterogeneity between internationally active banks in terms of the nature of the underlying risk and the processes for monitoring and managing it. In light of this, the Committee has concluded that it is at this time most appropriate to treat interest rate risk in the banking book under the Pillar 2 of the new framework. Nevertheless, supervisors who consider that there is sufficient homogeneity within their banking populations regarding the nature and methods for monitoring and measuring this risk could establish a mandatory minimum capital requirement.721. The revised guidance on interest rate risk recognis es banks‟ internal systems as the principal tool for the measurement of interest rate risk in the banking book and the supervisory response. To facilitate supervisors‟ monitoring of interest rate risk exposures across institutions, banks would have to provide the results of their internal measurement systems, expressed in terms of economic value relative to capital, using a standardised interest rate shock.722. If supervisors determine that banks are not holding capital commensurate with the level of interest rate risk, they must require the bank to reduce its risk, to hold a specific additional amount of capital or some combination of the two. Supervisors should be particularly attentive to the sufficiency of capital of …outlier banks‟ where economic valu e declines by more than 20% of the sum of Tier 1 and Tier 2 capital as a result of a standardised interest rate shock (200 basis points) or its equivalent, as described in the supporting document Principles for the Management and Supervision of Interest Rate Risk. Operational risk723. Gross income, used in the Basic Indicator and Standardised Approaches for operational risk, is only a proxy for the scale of operational risk exposure of a bank and can145in some cases, e.g. for banks with low margins or profitability, underestimate the need of capital for operational risk. With reference to the supporting document Sound Practices for the Management and Supervision of Operational risk, the supervisor should consider whether the capital requirement generated by the Pillar 1 calculation gives a consistent picture of the individual bank‟s operational risk exposure, for example in comparison with other banks of similar size and with similar operations.Credit riskStress tests under the IRB724. A bank should ensure that it has sufficient capital to meet the Pillar 1 requirements and the results (where a deficiency has been indicated) of the credit risk stress test performed as part of the Pillar 1 IRB minimum requirements (paragraphs 396 to 399). Supervisors may wish to review how the stress test has been carried out. The results of the stress test will thus contribute directly to the expectation that a bank will operate above the Pillar 1 minimum regulatory capital ratios. Supervisors will consider whether a bank has sufficient capital for these purposes. To the extent that there is a shortfall, the supervisor will react appropriately. This will usually involve requiring the bank to reduce its risks and/or to hold additional capital/provisions, so that existing capital resources could cover the Pillar 1 requirements plus the result of a recalculated stress test.Definition of default725. Banks must use the reference definition of default for their internal estimations of PD and / or LGD and EAD. However, as detailed in paragraph 416, national supervisors will issue guidance on how the reference definition of default is to be interpreted in their jurisdiction. Supervisors will assess the individual banks‟ application of the reference definition of default and its impact on capital requirements. In particular, supervisors will focus on the impact of deviations from the reference definition according to paragraph 418 (use of external data or historic internal data not fully consistent with the reference definition of default).Residual risk726. The New Accord allows banks to offset credit or counterparty risk with collateral, guarantees or credit derivatives leading to reduced capital charges. While banks use CRM techniques to reduce their credit risk, these techniques give rise to risks that may render the overall risk reduction less effective. Accordingly these risks, such as legal risk, documentation risk or liquidity risk, to which banks are exposed are of supervisory concern. In that case, and irrespective of fulfilling the minimum requirements set out in Pillar 1, the bank could find itself with greater credit risk exposure to the underlying counterparty than it had expected. Examples of these risks include:∙inability to seize, or realise in a timely manner, collateral pledged (on default of the counterparty);∙refusal or delay by a guarantor to pay; and∙ineffectiveness of untested documentation.727. Therefore, supervisors will require banks to have in place appropriate written CRM policies and procedures in order to control these residual risks. A bank may be required to submit these policies and procedures to supervisors and must regularly review their appropriateness, effectiveness and operation.146。
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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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bringing thetotal mon equity requirementsto7%.This reinforcesthe strongerdefinition of capital agreedbyGovernors and Heads of Supervisionin Julyand the higher capital requirements fortrading,derivative andsecuritisation activitiesto be introduced at the end of.Mr Jean-Claude Trichet,President of the EuropeanCentral Bankand Chairman of the Groupof Governors and Heads of Supervision,said that"the agreementsreached todayare afundamental strengtheningof globalcapital standards."He added that"their contributionto longterm financialstability andgrowth will be substantial.The transition arrangements willenable banksto meet the new standards whilesupporting theeconomic recovery."Mr NoutWellink,Chairmanof the Basel Committee onBanking Supervisionand Presidentof the Netherlands Bank,addedthat"the binationof amuch strongerdefinition ofcapital,higher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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minimum requirementsand theintroductionofnew capitalbuffers willensure thatbanks arebetter ableto withstandperiods ofeconomic andfinancial stress,therefore supportingeconomic growth."Increased capital requirements Undertheagreementsreached today,the minimum requirement formon equity,the highestform ofloss absorbing capital,will beraised fromthe current2%level,before theapplicationofregulatory adjustments,to%after theapplication ofstricter adjustments.This will be phased in by1January.The Tier1capital requirement,which includesmon equityand otherqualifying financialinstruments based on strictercriteria,will increasefrom4%to6%over thesame period.(Annex1summarises thenew capitalrequirements.)The GroupofGovernorsand Headsof 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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Supervision also agreed that the capitalconservation bufferabove the regulatory minimumrequirement becalibrated at%and be met withmon equity,after theapplication ofdeductions.The purposeof theconservation bufferis to ensure thatbanks maintain a bufferofcapitalthat canbe usedto absorblosses duringperiodsoffinancial and economicstress.While banksare allowedto drawonthebuffer duringsuch periodsof stress,the closertheir regulatory capital ratiosapproach the minimumrequirement,the greaterthe constraintson earningsdistributions.This frameworkwill reinforcethe objectiveof soundsupervision andbank governanceand addressthe collectiveaction problemthat hasprevented somebanks fromcurtailing distributionssuch asdiscretionary bonusesand highdividends,even in the faceofdeterioratingcapital positions.A countercyclical buffer withina rangeof0%-%of mon equity orother fullyloss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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absorbingcapital will beimplemented aordingto nationalcircumstances.The purposeof the countercyclicalbufferis to achieve thebroader macroprudentialgoal ofprotecting thebanking sectorfrom periodsof excessaggregate credit growth.For anygiven country,this bufferwill onlybeineffect whenthere isexcess creditgrowth thatis resultinginasystem widebuild upofrisk.The countercyclicalbuffer,when ineffect,would beintroduced as an extensionof theconservation bufferrange.These capitalrequirements aresupplemented bya non-risk-based leverage ratio thatwill serveasabackstop to the risk-based measuresdescribed above.In July,Governorsand Headsof Supervision agreedto testa minimumTier1leverage ratioof3%during the parallel run period.Based onthe resultsof theparallel runperiod,any finaladjustments would be carriedout in the firsthalf ofwith aview tomigrating toa Pillar1treatment on1January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。