最新巴塞尔协议三中英对照
巴塞尔新资本协议第三版(中文版)
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。
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。
巴塞尔资本协议中英文完整版(03目录)
目录第一部分：适用范围 (1)A. 导言 (1)B. 银行、证券公司和其他金融企业 (1)C. 对银行、证券公司和其他金融企业的大额少数股权投资 (2)D. 保险公司 (2)E. 对商业企业的大额投资 (3)F. 根据本部分的规定对投资的扣减 (4)第二部分：第一支柱－最低资本要求 (6)I. 最低资本充足率的计算 (6)II. 信用风险－标准法 (6)A. 标准法－一般规则 (6)1. 单笔债权的的处理 (7)(i) 对主权的债权 (7)(ii) 对非中央政府公共部门实体的债权 (7)(iii) 对多边开发银行的债权 (8)(iv) 对银行的债权 (8)(v) 对证券公司的债权 (9)(vi) 对公司的债权 (9)(vii) 包括在监管定义的零售资产中的债权 (10)(viii) 以居民房产抵押的债权 (10)(ix) 以商业房地产抵押的债权 (11)(x) 逾期贷款 (11)(xi) 高风险的债权 (11)(xii) 其他资产 (12)(xiii) 资产负债表外项目 (12)2. 外部评级 (12)(i) 认定程序 (12)(ii) 资格标准 (12)3. 实施中需考虑的问题 (13)(i) 对应程序 (13)(ii) 多方评级结果的处理 (13)(iii) 发行人评级和债项评级 (14)(iv) 本币和外币评级 (14)(v) 短期/长期评级 (14)(vi) 评级的适用范围 (15)(vii) 被动评级 (15)B. 标准法-信用风险缓释 (15)1. 主要问题 (15)(i) 综述 (15)(ii) 一般性论述 (16)(iii) 法律确定性 (16)2. 信用风险缓释技术的综述 (16)(i) 抵押交易 (16)(ii) 表内净扣 (18)(iii) 担保和衍生工具 (18)(iv) 期限错配 (18)(v) 其他问题 (19)3. 抵押 (19)(i) 合格的金融抵押品 (19)(ii) 综合法 (20)(iii) 简单法 (27)(iv) 抵押的场外衍生工具交易 (27)4. 表内净扣 (28)5. 担保和衍生工具 (28)(i) 操作要求 (28)(ii) 合格的担保人/信用保护提供者的范围 (30)(iii) 风险权重 (30)(iv) 币种错配 (30)(v) 国家担保 (31)6. 期限错配 (31)(i) 期限的定义 (31)(ii) 期限错配的风险权重 (31)7. 与信用风险缓释相关的其他问题的处理 (32)(i) 对信用风险缓释技术库的处理 (32)(ii) 第一违约的信用衍生工具 (32)(iii) 第二违约的信用衍生工具 32 III. 信用风险——IRB法 (32)A. 概述 (32)B. IRB法的具体要求 (32)1. 风险暴露类别 (33)(i) 公司暴露的定义 (33)(ii) 主权暴露的定义 (35)(iii) 银行暴露的定义 (35)(iv) 零售暴露的定义 (35)(v) 合格的循环零售风险暴露的定义 (35)(vi) 股权暴露的定义 (36)(vii) 合格的购入应收帐款的定义 (36)2. 初级法和高级法 (37)(i) 公司、主权和银行暴露 (38)(ii) 零售暴露 (38)(iii) 股权暴露 (39)(iv) 合格的购入应收帐款 (39)3. 在不同资产类别中采用IRB法 (39)4. 过渡期安排 (39)(i) 采用高级法的银行平行计算资本充足率 (40)(ii) 公司、主权、银行和零售暴露 (40)(iii) 股权暴露 (40)C. 公司、主权、及银行暴露的规定 (41)1. 公司、主权和银行暴露的风险加权资产 (41)(i) 风险加权资产的推导公式 (41)(ii) 中小企业的规模调整 (41)(iii) 专业贷款的风险权重 (42)2. 风险要素 (42)(i) 违约概率(PD) (43)(ii) 违约损失率 (LGD) (43)(iii) 违约风险暴露(EAD) (43)(iv) 有效期限(M) (47)D. 零售暴露规定 (48)1. 零售暴露的风险加权资产 (49)(i) 住房抵押贷款 (49)(ii) 合格的循环零售贷款 (49)(iii) 其他零售暴露 (49)2. 风险要素 (50)(i) 违约概率(PD) 和违约损失率 (LGD) (50)(ii) 担保和信贷衍生产品的认定 (50)(iii) 违约风险暴露 (EAD) (50)E. 股权暴露的规则 (50)1. 股权暴露的风险加权资产 (51)(i) 市场法 (51)(ii) 违约概率/违约损失率法 (51)(iii) 不采用市场法和违约概率/违约损失率法的情况 (52)2. 风险要素 (52)F. 购入应收帐款的规则 (53)1. 违约风险的风险加权资产 (53)(i) 购入的零售应收帐款 (53)(ii) 购入的公司应收帐款 (53)2. 稀释风险的风险加权资产 (54)(i) 购入折扣的处理 (54)(ii) 担保的认定 (55)G. 准备的认定 (55)H. IRB法的最低要求 (55)1. 最低要求的内容 (56)2. 遵照最低要求 (56)3. 评级体系设计 (57)(i) 评级维度 (57)(ii) 评级结构 (57)(iii) 评级标准 (58)(iv) 评估的时间 (59)(v) 模型的使用 (60)(vi) 评级体系设计的记录 (60)4. 风险评级体系运作 (60)(i) 评级的涵盖范围 (61)(ii) 评级过程的完整性 (61)(iii) 推翻评级的情况 (61)(iv) 数据维护 (61)(v) 评估资本充足率的压力测试 (62)5. 公司治理和监督 (62)(i) 公司治理 (63)(ii) 信用风险控制 (63)(iii) 内审和外审 (63)6. 内部评级的使用 (64)7. 风险量化 (64)(i) 估值的全面要求 (64)(ii) 违约的定义 (65)(iii) 重新确定帐龄 (66)(iv) 对透支的处理 (66)(v) 所有资产类别损失的的定义 (66)(vi) 估计违约概率的要求 (66)(vii) 自行估计违约损失率的要求 (67)(viii) 自己估计违约风险暴露的要求 (68)(ix) 评估担保和信贷衍生产品效应的最低要求 (69)(x) 估计违约概率、违约损失率（或预期损失）的最低要求......................... . 718. 内部评估的验证 (72)9. 监管当局确定的违约损失率和违约风险暴露 (73)(i) 商用房地产和住宅用房地产作为抵押品资格的定义 (73)(ii) 合格的商用房地产/住宅用房地产的操作要求 (73)(iii) 认定金融应收账款的要求 (74)10. 认定租赁的要求 (76)11. 股权暴露资本要求的计算 (76)(i) 内部模型法下的市场法 (76)(ii) 资本要求和风险量化 (76)(iii) 风险管理过程和控制 (78)(iv) 验证和形成文件 (78)12. 披露要求 (80)IV. 信用风险–资产证券化框架 (80)A. 资产证券化框架下所涉及交易的范围和定义 (80)B. 定义 (80)1. 银行所承担的不同角色 (80)(i) 投资行 (80)(ii) 发起行 (81)2. 通用词汇 (81)(i) 清除式召回 (81)(ii) 信用提高 (81)(iii) 提前摊还 (81)(iv) 超额利差 (81)(v) 隐性支持 (82)(vi) 特别目的机构 (SPE) (82)C. 确认风险转移的操作要求 (82)1. 传统型资产证券化的操作要求 (82)2. 合成型资产证券化的操作要求 (83)3. 清除式召回的操作要求和处理 (83)D. 对资产证券化风险暴露的处理 (84)1. 最低资本要求 (84)(i) 扣减 (84)(ii) 隐性支持 (84)2. 使用外部信用评估的操作要求 (84)3. 资产证券化风险暴露的标准化方法 (85)(i) 范围 (85)(ii) 风险权重 (85)(iii) 未评级资产证券化风险暴露一般处理方法的例外情况 (86)(iv) 表外风险资产的信用转换系数 (86)(v) 信用风险缓释的确认 (87)(vi) 提前摊还规定的资本要求 (88)(vii) 具有控制型提前摊还特征的信用转换系数的确定 (89)(viii) 对于非控制型具有提前摊还特征的风险暴露的信用风险转换系数的确定. 904. 资产证券化的内部评级法 (91)(i) 范围 (91)(ii) K IRB的定义 (92)(iii) 各种不同的方法 (92)(iv) 所需资本最高限 (93)(v) 以评级为基础的方法 (RBA) (93)(vi) 监管公式 (SF) (95)(vii) 流动性便利 (97)(viii) 合格服务人现金透支便利 (98)(ix) 信用风险缓释的确认 (98)(x) 提前摊还的资本要求 (98)V. 操作风险 (98)A. 操作风险定义 (98)B. 计量方法 (98)1. 基本指标法 (99)2. 标准法 (99)3. 高级计量法 (AMA) (100)C. 资格标准 (101)1. 一般标准 (101)2. 标准法 (101)3. 高级计量法 (102)(i) 定性标准 (102)(ii) 定量标准 (102)(iii) 风险缓释 (105)D. 局部使用 (106)VI. 交易账户 (106)A. 交易账户定义 (106)B. 审慎评估标准 (107)1. 评估系统和控制手段 (107)2. 评估方法 (107)(i) 按照市场价格计值 (107)(ii) 按照模型计值 (108)(iii) 价格独立验证 (108)3. 计值调整，又称储备 (108)C. 交易账户对手方信用风险的处理 (109)D. 标准法对交易账户特定风险资本要求的处理 (109)1. 政府债券的特定风险资本要求 (110)2. 对未评级债券特定风险的处理原则 (110)3. 采用信用衍生工具套做保值头寸的专项资本要求 (110)4. 信用衍生工具的附加系数 (111)Part 3: 第二支柱——监督检查 (113)A. 监督检查的重要性 (113)B. 监督检查的四项主要原则 (113)C. 监督检查的具体问题 (119)D. 监督检查的其他问题 (124)Part 4: 第三支柱——市场纪律 (126)A. 总体考虑 (126)1. 披露要求 (126)2. 指导原则 (126)3. 恰当的披露 (126)4. 与会计披露的相互关系 (126)5. 重要性 (127)6. 频率 (127)7. 内部和保密信息 (127)B. 披露要求 (128)1. 总体披露原则 (128)2. 使用范围 (128)3. 资本 (129)4. 风险暴露和评估 (130)(i) 定性披露的总体要求 (130)(ii) 信用风险 (131)(iii) 市场风险 (136)(iv) 操作风险 (137)(v) 银行账户的利率风险 (137)附录 1 创新工具在一级资本中的上线为15% (138)附录2 标准法－实施对应程序 (139)附录 3 IRB 法风险权重的实例 (143)附录4 监管当局对专业贷款设定的标准 (145)附录5 例子：按照监管公式计算信用风险缓释的影响 (159)附录6 产品线对应表 (163)附录7 损失事件分类详表 (165)附录8 按照标准法和内部评级法的规定，计算金融抵押品担保交易的资本要求的方法概述 (168)附录9 简化的标准法 (170)。
巴塞尔资本协议中英文完整版(04缩写词(英文))
The New Basel Capital AccordLatest news29 April 2003The Basel Committee on Banking Supervision has issued a third consultative paper on the New Basel Capital Accord.Comments are due by 31 July 2003, and will be helpful to the Committee as it makes the final modifications to its proposal for a new capital adequacy framework. The goal of the Committee continues to be to complete the New Accord by the fourth quarter of this year, with implementation to take effect in member countries by year-end 2006. To that end, work already has begun in a number of countries on draft rules that would integrate Basel capital standards with national capital regimes.An overview paper accompanies the third consultative document. This paper provides a summary of the new capital adequacy framework. It also outlines changes to the proposal since the release in October 2002 of the QIS 3 Technical Guidance, which banks used to assess the impact of the New Accord on their portfolios. The Committee issued the results of the QIS 3 impact study on 5 May 2003.Read the documents from the Third Consultative Paper, April 2003Read the documents from the Second Consultative Paper, January 2001BackgroundIn January 2001 the Basel Committee on Banking Supervision issued a proposal for a New Basel Capital Accord that, once finalised, will replace the current 1988 Capital Accord. The proposal is based on three mutually reinforcing pillars that allow banks and supervisors to evaluate properly the various risks that banks face. The New Basel Capital Accord focuses on:minimum capital requirements, which seek to refine the measurement framework set out in the 1988 Accordsupervisory review of an institution's capital adequacy and internal assessment processmarket discipline through effective disclosure to encourage safe and sound banking practicesThe Basel Committee received more than 250 comments on its January 2001 proposals. In April 2001 the Committee initiated a Quantitative Impact Study (QIS) of banks to gather the data necessary to allow the Committee to gauge the impact of the proposals for capital requirements. A further study, QIS 2.5, was undertaken in November 2001 to gain industry feedback about potential modifications to the Committee's proposals.In December 2001 the Basel Committee announced a revised approach to finalising the New Basel Capital Accord and the establishment of an Accord Implementation Group. Previously, in June2001 the Committee released an update on its progress and highlighted several important ways in which it had agreed to modify some of its earlier proposals based, in part, on industry comments.During its 10 July 2002 meeting, members of the Basel Committee reached agreement on a number of important issues related to the New Basel Capital Accord that the Committee has been exploring since releasing its January 2001 consultative paper.The New Basel Capital AccordPlease note that full translations into French, German, Italian and Spanish will be available soon.Third Consultative Paper29 April 2003The Basel Committee on Banking Supervision has issued a third consultative paper on the New Basel Capital Accord.Comments are due by 31 July 2003, and will be helpful to the Committee as it makes the final modifications to its proposal for a new capital adequacy framework. The goal of the Committee continues to be to complete the New Accord by the fourth quarter of this year, with implementation to take effect in member countries by year-end 2006. To that end, work already has begun in a number of countries on draft rules that would integrate Basel capital standards with national capital regimes.An overview paper accompanies the third consultative document. This paper provides a summary of the new capital adequacy framework. It also outlines changes to the proposal since the release in October 2002 of the QIS 3 Technical Guidance, which banks used to assess the impact of the New Accord on their portfolios. The Committee issued the results of the QIS 3 impact study on 5 May 2003.DocumentsOverview of The New Basel Capital Accord (PDF, 18 pages, 103 kb)The New Basel Capital Accord by section:Scope of Application (PDF, 15 pages, 70 kb)Pillar One (PDF, 132 pages, 732 kb)Pillar Two (PDF, 16 pages, 88 kb)Pillar Three (PDF, 15 pages, 82 kb)Annexes (PDF, 48 pages, 220 kb)Press release (April 2003)The 1988 Capital AccordQuantitative Impact Study (QIS)Basel II ChronologyFull document (PDF, 1176 kb)Print-friendly version© Please see disclaimer and copyright informationBIS Home > Basel Committee > The New Basel Capital Accord > Third Consultative Paper。
巴塞尔协议3全文
最新巴塞尔协议3全文最新巴塞尔协议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国际银行资本监管改革是本轮金融危机以来全球金融监管改革的重要组成部分。
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2010年9月12日的会议上[2]，宣布加强对现有资本金要求的持续监管，并对在2010年7月26日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%。
另外，银行需持有%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2011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%。
这一调整将分阶段实施到2015年1月1日结束。
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[3]。
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%，以满足扣除资本扣减项后的普通股要求。
新巴塞尔资本协议(英文)
Basel Committeeon Banking SupervisionConsultative Document Overview ofThe NewBasel Capital Accord Issued for comment by 31 July 2003April 2003Introduction1. The Basel Committee on Banking Supervision (the Committee) is releasing this overview paper as an accompaniment to its third consultative paper (CP3) on the New Basel Capital Accord (also known as Basel II). The issuance of CP3 represents an important step in putting the new capital adequacy framework in place. The Committee’s goal continues to be to finalise the New Accord by the fourth quarter of this year with implementation to take effect in member countries by year-end 2006.2. The Committee believes that important public policy benefits can be obtained by improving the capital adequacy framework along two important dimensions. First, by developing capital regulation that encompasses not only minimum capital requirements, but also supervisory review and market discipline. Second, by increasing substantially the risk sensitivity of the minimum capital requirements.3. An improved capital adequacy framework is intended to foster a strong emphasis on risk management and to encourage ongoing improvements in banks’ risk assessment capabilities. The Committee believes this can be accomplished by closely aligning banks’ capital requirements with prevailing modern risk management practices, and by ensuring that this emphasis on risk makes its way into supervisory practices and into market discipline through enhanced risk- and capital-related disclosures.4. A critical component of the Committee’s efforts to revise the Basel Accord has been its extensive dialogue with industry participants and with supervisors from outside member countries. As a result of these consultations, the Committee believes the new framework with its various options will be suitable not only within the G10 but also for banks and for countries around the world to apply to their banking systems.5. An equally important aspect to the Committee’s work has been the feedback received from banks participating in its impact studies. The aim of these studies has been to gather information from banks worldwide on the impact of the capital proposals on their existing portfolios. In particular, the Committee recognises the tremendous effort of the more than 350 banks of varying size and levels of complexity from more than 40 countries that participated in the most recent quantitative exercise known as QIS 3. As discussed in a separate paper, the QIS 3 results confirmed that the framework as currently calibrated produces capital requirements broadly consistent with the Committee’s objectives.6. This overview paper is structured in two parts. The first part provides a summary of the new capital adequacy framework and also touches upon implementation considerations. It is targeted to readers that would like to increase their familiarity with the options available to banks in Basel II. The second part is more technical in nature. It outlines the specific modifications to the New Accord relative to the proposals embodied in the QIS 3 Technical Guidance released in October 2002.Part I: Key Elements of the New Accord7. The New Accord consists of three pillars: (1) minimum capital requirements, (2) supervisory review of capital adequacy, and (3) public disclosure. The proposals comprising each of the three pillars are summarised below.Pillar 1: Minimum capital requirements8. While the proposed New Accord differs from the current Accord along a number of dimensions, it is important to begin with a description of elements that have not changed.The current Accord is based on the concept of a capital ratio where the numerator represents the amount of capital a bank has available and the denominator is a measure of the risks faced by the bank and is referred to as risk-weighted assets. The resulting capital ratio may be no less than 8%.9. Under the proposed New Accord, the regulations that define the numerator of the capital ratio (i.e. the definition of regulatory capital) remain unchanged. Similarly, the minimum required ratio of 8% is not changing. The modifications, therefore, are occurring in the definition of risk-weighted assets, that is in the methods used to measure the risks faced by banks. The new approaches for calculating risk-weighted assets are intended to provide improved bank assessments of risk and thus to make the resulting capital ratios more meaningful.10. The current Accord explicitly covers only two types of risks in the definition of risk-weighted assets: (1) credit risk and (2) market risk. Other risks are presumed to be covered implicitly through the treatments of these two major risks. The treatment of market risk arising from trading activities was the subject of the Basel Committee’s 1996 Amendment to the Capital Accord. The proposed New Accord envisions this treatment remaining unchanged.11. The pillar one proposals to modify the definition of risk-weighted assets in the New Accord have two primary elements: (1) substantive changes to the treatment of credit risk relative to the current Accord; and (2) the introduction of an explicit treatment of operational risk that will result in a measure of operational risk being included in the denominator of a bank’s capital ratio. The discussions below will fo cus on these two elements in turn.12. In both cases, a major innovation of the proposed New Accord is the introduction of three distinct options for the calculation of credit risk and three others for operational risk. The Committee believes that it is not feasible or desirable to insist upon a one-size-fits-all approach to the measurement of either risk. Instead, for both credit and operational risk, there are three approaches of increasing risk sensitivity to allow banks and supervisors to select the approach or approaches that they believe are most appropriate to the stage of development of banks’ operations and of the financial market infrastructure. The following table identifies the three primary approaches available by risk type.Standardised approach to credit risk13. The standardised approach is similar to the current Accord in that banks are required to slot their credit exposures into supervisory categories based on observable characteristics of the exposures (e.g. whether the exposure is a corporate loan or a residential mortgage loan). The standardised approach establishes fixed risk weights corresponding to each supervisory category and makes use of external credit assessments to enhance risk sensitivity compared to the current Accord. The risk weights for sovereign, interbank, and corporate exposures are differentiated based on external credit assessments. For sovereign exposures, these credit assessments may include those developed by OECD export credit agencies, as well as those published by private rating agencies.14. The standardised approach contains guidance for use by national supervisors in determining whether a particular source of external ratings should be eligible for banks to use. The use of external ratings for the evaluation of corporate exposures, however, is considered to be an optional element of the framework. Where no external rating is applied to an exposure, the standardised approach mandates that in most cases a risk weighting of 100% be used, implying a capital requirement of 8% as in the current Accord. In such instances, supervisors are to ensure that the capital requirement is adequate given the default experience of the exposure type in question. An important innovation of the standardised approach is the requirement that loans considered past-due be risk weighted at 150%, unless a threshold amount of specific provisions has already been set aside by the bank against that loan.15. Another important development is the expanded range of collateral, guarantees, and credit derivatives that banks using the standardised approach may recognise. Collectively, Basel II refers to these instruments as credit risk mitigants. The standardised approach expands the range of eligible collateral beyond OECD sovereign issues to include most types of financial instruments, while setting out several approaches for assessing the degree of capital reduction based on the market risk of the collateral instrument. Similarly, the standardised approach expands the range of recognised guarantors to include all firms that meet a threshold external credit rating.16. The standardised approach also includes a specific treatment for retail exposures. The risk weights for residential mortgage exposures are being reduced relative to the current Accord, as are those for other retail exposures, which will now receive a lower risk weight than that for unrated corporate exposures. In addition, some loans to small- and medium-sized enterprises (SMEs) may be included within the retail treatment, subject to meeting various criteria.17. By design the standardised approach draws a number of distinctions between exposures and transactions in an effort to improve the risk sensitivity of the resulting capital ratios. The same can also be said of the IRB approaches to credit risk and those for assessing the capital requirement for operational risk where capital requirements are more closely linked to risk. In order to assist banks and national supervisors where circumstances may not warrant a broad range of options, the Committee has developed the ‘simplified standardised approach’ outlined in Annex 9 of CP3. The annex collects in one place the simplest options for calculating risk weighted assets. Banks intending to adopt the simplified standardised methods are also expected to comply with the corresponding supervisory review and market discipline requirements of the New Accord.Internal ratings-based (IRB) approaches18. One of the most innovative aspects of the New Accord is the IRB approach to credit risk, which includes two variants: a foundation version and an advanced version. The IRB approach differs substantially from the standardised approach in that banks’ internal assessments of key risk drivers serve as primary inputs to the capital calculation. Because the approach is based on banks’ internal assess ments, the potential for more risk sensitive capital requirements is substantial. However, the IRB approach does not allow banks themselves to determine all of the elements needed to calculate their own capital requirements. Instead, the risk weights and thus capital charges are determined through the combination of quantitative inputs provided by banks and formulas specified by the Committee.19. The formulas, or risk weight functions, translate a bank’s inputs into a specific capital requirement. They are based on modern risk management techniques that involve a statistical and thus quantitative assessment of risk. Ongoing dialogue with industry participants has confirmed that use of such methods represents an important step forward for developing ameani ngful assessment of risk at the largest most complex banking organisations in today’s market.20. The IRB approaches cover a wide range of portfolios with the mechanics of the capital calculation varying somewhat across exposure types. The remainder of this section highlights the differences between the foundation and advanced IRB approaches by portfolio, where applicable.Corporate, bank and sovereign exposures21. The IRB calculation of risk-weighted assets for exposures to sovereigns, banks, or corporate entities uses the same basic approach. It relies on four quantitative inputs: (1) Probability of default (PD), which measures the likelihood that the borrower will default over a given time horizon; (2) Loss given default (LGD), which measures the proportion of the exposure that will be lost if a default occurs; (3) Exposure at default (EAD), which for loan commitments measures the amount of the facility that is likely to be drawn if a default occurs; and (4) Maturity (M), which measures the remaining economic maturity of the exposure. 22. Given a value for each of these four inputs, the corporate IRB risk-weight function described in CP3 produces a specific capital requirement for each exposure. In addition, for exposures to SME borrowers defined as those with annual sales of less than 50 million of Euros, banks will be permitted to make use of a firm size adjustment to the corporate IRB risk weight formula.23. The foundation and advanced IRB approaches differ primarily in terms of the inputs that are provided by the bank based on its own estimates and those that have been specified by the supervisor. The following table summarises these differences.24. The table makes clear that for corporate, sovereign, and interbank exposures, all IRB banks must provide internal estimates of PD. In addition, advanced IRB banks must provide internal estimates of LGD and EAD, while foundation IRB banks will make use of supervisory values contained in CP3 that depend on the nature of the exposure. Advanced IRB banks will generally provide their own estimates of remaining maturity for these exposures, although there are some exceptions where supervisors can allow fixed maturity assumptions to be used instead. For foundation IRB banks, supervisors can choose on a national basis whetherall such banks are to apply fixed maturity assumptions described in CP3 or to provide their own estimates of remaining maturity.25. Another major element of the IRB framework pertains to the treatment of credit risk mitigants, namely, collateral, guarantees and credit derivatives. The IRB framework itself, particularly the LGD parameter, provides a great deal of flexibility to assess the potential value of credit risk mitigation techniques. For foundation IRB banks, therefore, the different supervisory LGD values provided in CP3 reflect the presence of different types of collateral. Advanced IRB banks have even greater flexibility to assess the value of different types of collateral. With respect to transactions involving financial collateral, the IRB approach seeks to ensure that banks are using a recognised approach to assessing the risk that such collateral could change in value, and thus a specific set of methods is provided, as in the standardised approach.Retail exposures26. For retail exposures, there is only a single, advanced IRB approach and no foundation IRB alternative. The key inputs to the IRB retail formulas are PD, LGD and EAD, all of which are to be provided by the bank based on its internal estimates. In contrast to the IRB approach for corporate exposures, these values would not be estimated for individual exposures, but instead for pools of similar exposures.27. In light of the fact that retail exposures address a broad range of products with each exhibiting different historical loss experiences, the framework divides retail exposures into three primary categories: (1) exposures secured by residential mortgages, (2) qualifying revolving retail exposures (QRRE), and (3) other non-mortgage exposures also known as ‘other retail.’ Generally speaking, the QRRE category captures unsecured revolving credits that exhibit appropriate loss characteristics, which would include many credit card relationships. All other non-mortgage consumer lending including exposures to small businesses falls into the ‘other retail’ category. A separate risk-weight formula for each of the three categories is provided in CP3.Specialised lending28. Basel II distinguishes several sub-categories of wholesale lending from other forms of corporate lending and refers to them as specialised lending. The term specialised lending is associated with the financing of individual projects where the repayment is highly dependent on the performance of the underlying pool or collateral. For all but one of the specialised lending sub-categories, if banks can meet the minimum criteria for the estimation of the relevant data inputs, they can simply use the corporate IRB framework to calculate the risk weights for these exposures. However, in recognition that the hurdles for meeting these criteria for this set of exposures may be more difficult in practice, CP3 also includes an additional option that only requires that a bank be able to classify such exposures into five distinct quality grades. CP3 provides a specific risk weight for each of these grades.29. For one sub-category of specialised lending, ‘high volatility commercial real estate’ (HVCRE), IRB banks that can estimate the required data inputs will use a separate risk-weight formula that is more conservative than the general corporate risk-weight formula in light of the risk characteristics of this type of lending. Banks that cannot estimate the required inputs will classify their HVCRE exposures into five grades, for which CP3 also provides specific risk weights.Equity exposures30. IRB banks will be required to separately treat their equity exposures. Two distinct approaches are described in CP3. One approach builds on the PD/LGD approach for corporate exposures and requires banks to provide own PD estimates for the associatedequity exposures. This approach, however, mandates the use of a 90% LGD value and also imposes various other limitations, including a minimum risk weight of 100% in many circumstances. The other approach is intended to provide banks with the opportunity to model the potential decrease in the market value of their equity holdings over a quarterly holding period. A simplified version of this approach with fixed risk weights for public and private equities is also included.Implementation of IRB31. By relying on internally generated inputs to the Basel II risk weight functions, there is bound to be some variation in the way in which the IRB approach is carried out. To ensure significant comparability across banks, the Committee has established minimum qualifying criteria for use of the IRB approaches that cover the comprehensiveness and integrity of banks’ internal credit risk assessment c apabilities. While banks using the advanced IRB approach will have greater flexibility relative to those relying on the foundation IRB approach, at the same time they must also satisfy a more stringent set of minimum standards.32. The Committee believes that banks’ internal rating systems should accurately and consistently differentiate between different degrees of risk. The challenge is for banks to define clearly and objectively the criteria for their rating categories in order to provide meaningful assessments of both individual credit exposures and ultimately an overall risk profile. A strong control environment is another important factor for ensuring that banks’ rating systems perform as intended and the resulting ratings are accurate. An independent ratings process, internal review and transparency are control concepts addressed in the minimum IRB standards.33. Clearly, an internal rating system is only as good as its inputs. Accordingly, banks using the IRB approach will need to be able to measure the key statistical drivers of credit risk. The minimum Basel II standards provide banks with the flexibility to rely on data derived from their own experience, or from external sources as long as the bank can demonstrate the relevance of such data to its own exposures. In practical terms, banks will be expected to have in place a process that enables them to collect, to store and to utilise loss statistics over time in a reliable manner.Securitisation34. Basel II provides a specific treatment for securitisation, a risk management technique that the current Accord does not fully contemplate. The Committee recognises that securitisation by its very nature relates to the transfer of ownership and/or risks associated with the credit exposures of a bank to other parties. In this respect, securitisation is important in helping to provide better risk diversification and to enhance financial stability.35. The Committee believes that it is essential for the New Accord to include a robust treatment of securitisation. Otherwise the new framework would remain vulnerable to capital arbitrage, as some securitisations have enabled banks under the current Accord to avoid maintaining capital commensurate with the risks to which they are exposed. To address this concern, Basel II requires banks to look to the economic substance of a securitisation transaction when determining the appropriate capital requirement in both the standardised and IRB treatments.36. As elsewhere in the standardised approach to credit risk, banks must assign supervisory risk weights to securitisation exposures based on various criteria. One noteworthy point is the difference in treatment of lower quality and unrated securitisations vis-à-vis comparable corporate exposures. In a securitisation, such positions are generally designed to absorb all losses on the underlying pool of exposures up to a certain level. Accordingly, the Committee believes this concentration of risk warrants higher capital requirements. In particular, forbanks using the standardised approach, unrated securitisation positions must be deducted from capital.37. For IRB banks that originate securitisations, a key element of the framework is the calculation of the amount of capital that the bank would have been required to hold on the underlying pool had it not securitised the exposures. This amount of capital is referred to as K IRB. If an IRB bank retains a position in a securitisation that obligates it to absorb losses up to or less than K IRB before any other holders bear losses (i.e. a first loss position), then the bank must deduct this position from capital. The Committee believes that this requirement is warranted in order to provide strong incentives for originating banks to shed the risk associated with highly subordinated securitisation positions that inherently contain the greatest risks. For IRB banks that invest in highly rated securitisation exposures, a treatment based on the presence of an external rating, the granularity of the underlying pool, and the thickness of an exposure has been developed.38. Because of their importance in ensuring the smooth functioning of commercial paper markets and their importance to corporate banking generally, the Basel II securitisation framework includes an explicit treatment of liquidity facilities provided by banks. In the IRB framework, the capital requirement for a liquidity facility is dependent upon a number of factors including the asset quality of the underlying pool and the degree to which credit enhancements are available to absorb losses prior to use of the facility. Each is a critical input to the supervisory formula designed for use by originating banks to calculate capital requirements for unrated positions, such as liquidity facilities. A treatment of liquidity facilities in the standardised approach is also provided which sets out various criteria for ensuring that more preferential treatment is only provided to those liquidity facilities where the risks are lower.39. Many securitisations of revolving retail exposures contain provisions that call for the securitisation to be wound down if the quality of securitised assets begins to deteriorate. The Basel II proposals include a specific treatment of securitisations with these ‘early amortisation’ features, given that such mechanisms can in effect partly shield investors from fully sharing in the losses of the underlying accounts. The Committee’s approach is based on a measure of the quality of the underlying assets in the pool. When this is high, the approach implies a zero capital requirement associated with the securitised exposures. As the quality deteriorates, however, the bank must increasingly hold capital as if future draws on existing credit card lines would remain on its balance sheet.Operational risk40. The Committee believes that operational risk is an important risk facing banks and that banks need to hold capital to protect against losses from it. Within the Basel II framework, operational risk is defined as the risk of losses resulting from inadequate or failed internal processes, people and systems, or external events. This is another area where the Committee has developed a new regulatory capital approach. As with credit risk, the Committee builds on banks’ rapidly developing internal assessment techniques and seeks to provide incentives for banks to improve upon those techniques, and more broadly, their management of operational risk over time. This is particularly true of the Advanced Measurement Approaches (AMA) to operational risk described below.41. Approaches to operational risk are continuing to evolve rapidly, but are not likely in the near term to attain the precision with which market and credit risk can be quantified. This situation has posed obvious challenges to the incorporation of a measure of operational risk within pillar one of the New Accord. Nevertheless, the Committee believes that such inclusion is essential to ensure that there are strong incentives for banks to continue to develop approaches to operational risk measurement and to ensure that banks are holding sufficient capital buffers for this risk. It is clear that a failure to establish a minimum capital requirementfor operational risk within the New Accord would reduce these incentives and result in a reduction of industry resources devoted to operational risk.42. The Committee is prepared to provide banks with an unprecedented amount of flexibility to develop an approach to calculate operational risk capital that they believe is consistent with their mix of activities and underlying risks. In the AMA, banks may use their own method for assessing their exposure to operational risk, so long as it is sufficiently comprehensive and systematic. The extent of detailed standards and criteria for use of the AMA are limited in order to accommodate the rapid evolution in operational risk management practices that the Committee expects to see over the coming years.43. The Committee intends to review progress in regard to operational risk approaches on an ongoing basis. It has been strongly encouraged by the advances made at those banks that have been developing operational risk frameworks consistent with the spirit of the AMA. Management at these banking organisations has concluded that it is possible to develop a flexible and comprehensive approach to operational risk measurement within their firms. 44. Internationally active banks and banks with significant operational risk exposure (for example, specialised processing banks) are expected to adopt over time the more risk sensitive AMA. Basel II contains two simpler approaches to operational risk: the basic indicator and the standardised approach, which are targeted to banks with less significant operational risk exposures. In general terms, the basic indicator and standardised approaches require banks to hold capital for operational risk equal to a fixed percentage of a specified risk measure.45. In the basic indicator approach, the measure is a bank’s average annual gross income over the previous three years. This average, multiplied by a factor of 0.15 set by the Committee, produces the capital requirement. As a point of entry for the capital calculation, there are no specific criteria for use of the basic indicator approach. Nevertheless banks using this approach are encouraged to comp ly with the Committee’s guidance on sound practices for the management and supervision of operational risk, which was released in February 2003.46. In the standardised approach, gross income again serves as a proxy for the scale of a bank’s business oper ations and thus the likely scale of the related operational risk exposure for a given business line. However, rather than calculate capital at the firm level as under the basic indicator approach, banks must calculate a capital requirement for each business line. This is determined by multiplying gross income by specific supervisory factors determined by the Committee. The total operational risk capital requirement for a banking organisation is the summation of the regulatory capital requirements across all of its business lines. As a condition for use of the standardised approach, it is important for banks to have adequate operational risk systems that comply with the minimum criteria outlined in CP3.47. Banks using the basic indicator or standardised approaches to operational risk are not permitted to recognise the risk mitigating impact of insurance. As discussed in Part II of this overview paper, banks using the AMA are permitted to do so subject to certain conditions. Pillar 2: Supervisory review & Pillar 3: Market disciplineSupervisory review48. The second pillar of the New Accord is based on a series of guiding principles, all of which point to the need for banks to assess their capital adequacy positions relative to their overall risks, and for supervisors to review and take appropriate actions in response to those assessments. These elements are increasingly seen as necessary for effective management of banking organisations and for effective banking supervision, respectively.。
巴塞尔资本协议中英文完整版(02概述(英文))
Basel Committeeon Banking SupervisionConsultative Document Overview ofThe NewBasel Capital Accord Issued for comment by 31 July 2003 April 2003Introduction1. The Basel Committee on Banking Supervision (the Committee) is releasing this overview paper as an accompaniment to its third consultative paper (CP3) on the New Basel Capital Accord (also known as Basel II). The issuance of CP3 represents an important step in putting the new capital adequacy framework in place. The Committee‟s goal continues to be to finalise the New Accord by the fourth quarter of this year with implementation to take effect in member countries by year-end 2006.2. The Committee believes that important public policy benefits can be obtained by improving the capital adequacy framework along two important dimensions. First, by developing capital regulation that encompasses not only minimum capital requirements, but also supervisory review and market discipline. Second, by increasing substantially the risk sensitivity of the minimum capital requirements.3. An improved capital adequacy framework is intended to foster a strong emphasis on risk management and to encourage ongoing improvements in banks‟ risk assessment capabilities. The Committee believes this can be accomplished by closely aligning banks‟ capital requirements with prevailing modern risk management practices, and by ensuring that this emphasis on risk makes its way into supervisory practices and into market discipline through enhanced risk- and capital-related disclosures.4. A critical component of the Committee‟s efforts to revise the Basel Accord has been its extensive dialogue with industry participants and with supervisors from outside member countries. As a result of these consultations, the Committee believes the new framework with its various options will be suitable not only within the G10 but also for banks and for countries around the world to apply to their banking systems.5. An equally important aspect to the Committee‟s work has been the feedback received from banks participating in its impact studies. The aim of these studies has been to gather information from banks worldwide on the impact of the capital proposals on their existing portfolios. In particular, the Committee recognises the tremendous effort of the more than 350 banks of varying size and levels of complexity from more than 40 countries that participated in the most recent quantitative exercise known as QIS 3. As discussed in a separate paper, the QIS 3 results confirmed that the framework as currently calibrated produces capital requirements broadly consistent with the Committee‟s objectives.6. This overview paper is structured in two parts. The first part provides a summary of the new capital adequacy framework and also touches upon implementation considerations. It is targeted to readers that would like to increase their familiarity with the options available to banks in Basel II. The second part is more technical in nature. It outlines the specific modifications to the New Accord relative to the proposals embodied in the QIS 3 Technical Guidance released in October 2002.Part I: Key Elements of the New Accord7. The New Accord consists of three pillars: (1) minimum capital requirements, (2) supervisory review of capital adequacy, and (3) public disclosure. The proposals comprising each of the three pillars are summarised below.Pillar 1: Minimum capital requirements8. While the proposed New Accord differs from the current Accord along a number of dimensions, it is important to begin with a description of elements that have not changed. The current Accord is based on the concept of a capital ratio where the numerator represents the amount of capital a bank has available and the denominator is a measure of the risks faced by the bank and is referred to as risk-weighted assets. The resulting capital ratio may be no less than 8%.9. Under the proposed New Accord, the regulations that define the numerator of the capital ratio (i.e. the definition of regulatory capital) remain unchanged. Similarly, the minimum required ratio of 8% is not changing. The modifications, therefore, are occurring in the definition of risk-weighted assets, that is in the methods used to measure the risks faced by banks. The new approaches for calculating risk-weighted assets are intended to provide improved bank assessments of risk and thus to make the resulting capital ratios more meaningful.10. The current Accord explicitly covers only two types of risks in the definition of risk-weighted assets: (1) credit risk and (2) market risk. Other risks are presumed to be covered implicitly through the treatments of these two major risks. The treatment of market risk arising from trading activities was the subject of the Basel Committee‟s 1996 Amendment to the Capital Accord. The proposed New Accord envisions this treatment remaining unchanged. 11. The pillar one proposals to modify the definition of risk-weighted assets in the New Accord have two primary elements: (1) substantive changes to the treatment of credit risk relative to the current Accord; and (2) the introduction of an explicit treatment of operational risk that will result in a measure of operational risk being included in the denominator of a bank‟s capital ratio. The discussions below will fo cus on these two elements in turn.12. In both cases, a major innovation of the proposed New Accord is the introduction of three distinct options for the calculation of credit risk and three others for operational risk. The Committee believes that it is not feasible or desirable to insist upon a one-size-fits-all approach to the measurement of either risk. Instead, for both credit and operational risk, there are three approaches of increasing risk sensitivity to allow banks and supervisors to select the approach or approaches that they believe are most appropriate to the stage of development of banks‟ operations and of the financial market infrastructure. The following table identifies the three primary approaches available by risk type.Standardised approach to credit risk13. The standardised approach is similar to the current Accord in that banks are required to slot their credit exposures into supervisory categories based on observable characteristics of the exposures (e.g. whether the exposure is a corporate loan or a residential mortgage loan). The standardised approach establishes fixed risk weights corresponding to each supervisory category and makes use of external credit assessments to enhance risk sensitivity compared to the current Accord. The risk weights for sovereign, interbank, and corporate exposures are differentiated based on external credit assessments. For sovereign exposures, these credit assessments may include those developed by OECD export credit agencies, as well as those published by private rating agencies.14. The standardised approach contains guidance for use by national supervisors in determining whether a particular source of external ratings should be eligible for banks to use.The use of external ratings for the evaluation of corporate exposures, however, is consideredto be an optional element of the framework. Where no external rating is applied to anexposure, the standardised approach mandates that in most cases a risk weighting of 100%be used, implying a capital requirement of 8% as in the current Accord. In such instances,supervisors are to ensure that the capital requirement is adequate given the defaultexperience of the exposure type in question. An important innovation of the standardised approach is the requirement that loans considered past-due be risk weighted at 150%,unless a threshold amount of specific provisions has already been set aside by the bankagainst that loan.15. Another important development is the expanded range of collateral, guarantees, andcredit derivatives that banks using the standardised approach may recognise. Collectively,Basel II refers to these instruments as credit risk mitigants. The standardised approachexpands the range of eligible collateral beyond OECD sovereign issues to include most typesof financial instruments, while setting out several approaches for assessing the degree of capital reduction based on the market risk of the collateral instrument. Similarly, thestandardised approach expands the range of recognised guarantors to include all firms thatmeet a threshold external credit rating.16. The standardised approach also includes a specific treatment for retail exposures.The risk weights for residential mortgage exposures are being reduced relative to the currentAccord, as are those for other retail exposures, which will now receive a lower risk weightthan that for unrated corporate exposures. In addition, some loans to small- and medium-sized enterprises (SMEs) may be included within the retail treatment, subject to meetingvarious criteria.17. By design the standardised approach draws a number of distinctions betweenexposures and transactions in an effort to improve the risk sensitivity of the resulting capitalratios. The same can also be said of the IRB approaches to credit risk and those forassessing the capital requirement for operational risk where capital requirements are moreclosely linked to risk. In order to assist banks and national supervisors where circumstancesmay not warrant a broad range of options, the Committee has developed the …simplified st andardised approach‟ outlined in Annex 9 of CP3. The annex collects in one place thesimplest options for calculating risk weighted assets. Banks intending to adopt the simplifiedstandardised methods are also expected to comply with the corresponding supervisoryreview and market discipline requirements of the New Accord.Internal ratings-based (IRB) approaches18. One of the most innovative aspects of the New Accord is the IRB approach to creditrisk, which includes two variants: a foundation version and an advanced version. The IRB approach differs substantially from the standardised approach in that banks‟ internal assessments of key risk drivers serve as primary inputs to the capital calculation. Because the approach is based on banks‟ internal assess ments, the potential for more risk sensitive capital requirements is substantial. However, the IRB approach does not allow banks themselves to determine all of the elements needed to calculate their own capital requirements. Instead, the risk weights and thus capital charges are determined through the combination of quantitative inputs provided by banks and formulas specified by the Committee.19. The formulas, or risk weight functions, translate a bank‟s inputs into a specificcapital requirement. They are based on modern risk management techniques that involve astatistical and thus quantitative assessment of risk. Ongoing dialogue with industryparticipants has confirmed that use of such methods represents an important step forward for developing a meaningful assessment of risk at the largest most complex banking organisations in today‟s market.20. The IRB approaches cover a wide range of portfolios with the mechanics of the capital calculation varying somewhat across exposure types. The remainder of this section highlights the differences between the foundation and advanced IRB approaches by portfolio, where applicable.Corporate, bank and sovereign exposures21. The IRB calculation of risk-weighted assets for exposures to sovereigns, banks, or corporate entities uses the same basic approach. It relies on four quantitative inputs: (1) Probability of default (PD), which measures the likelihood that the borrower will default over a given time horizon; (2) Loss given default (LGD), which measures the proportion of the exposure that will be lost if a default occurs; (3) Exposure at default (EAD), which for loan commitments measures the amount of the facility that is likely to be drawn if a default occurs; and (4) Maturity (M), which measures the remaining economic maturity of the exposure. 22. Given a value for each of these four inputs, the corporate IRB risk-weight function described in CP3 produces a specific capital requirement for each exposure. In addition, for exposures to SME borrowers defined as those with annual sales of less than 50 million of Euros, banks will be permitted to make use of a firm size adjustment to the corporate IRB risk weight formula.23. The foundation and advanced IRB approaches differ primarily in terms of the inputs that are provided by the bank based on its own estimates and those that have been specified by the supervisor. The following table summarises these differences.24. The table makes clear that for corporate, sovereign, and interbank exposures, all IRB banks must provide internal estimates of PD. In addition, advanced IRB banks must provide internal estimates of LGD and EAD, while foundation IRB banks will make use of supervisory values contained in CP3 that depend on the nature of the exposure. Advanced IRB banks will generally provide their own estimates of remaining maturity for theseexposures, although there are some exceptions where supervisors can allow fixed maturity assumptions to be used instead. For foundation IRB banks, supervisors can choose on a national basis whether all such banks are to apply fixed maturity assumptions described in CP3 or to provide their own estimates of remaining maturity.25. Another major element of the IRB framework pertains to the treatment of credit risk mitigants, namely, collateral, guarantees and credit derivatives. The IRB framework itself, particularly the LGD parameter, provides a great deal of flexibility to assess the potential value of credit risk mitigation techniques. For foundation IRB banks, therefore, the different supervisory LGD values provided in CP3 reflect the presence of different types of collateral. Advanced IRB banks have even greater flexibility to assess the value of different types of collateral. With respect to transactions involving financial collateral, the IRB approach seeks to ensure that banks are using a recognised approach to assessing the risk that such collateral could change in value, and thus a specific set of methods is provided, as in the standardised approach.Retail exposures26. For retail exposures, there is only a single, advanced IRB approach and no foundation IRB alternative. The key inputs to the IRB retail formulas are PD, LGD and EAD, all of which are to be provided by the bank based on its internal estimates. In contrast to the IRB approach for corporate exposures, these values would not be estimated for individual exposures, but instead for pools of similar exposures.27. In light of the fact that retail exposures address a broad range of products with each exhibiting different historical loss experiences, the framework divides retail exposures into three primary categories: (1) exposures secured by residential mortgages, (2) qualifying revolving retail exposures (QRRE), and (3) other non-mortgage exposures also known as …other retail.‟ Generally speaking, the QRRE category captures unsecured revolving credits that exhibit appropriate loss characteristics, which would include many credit card relationships. All other non-mortgage consumer lending including exposures to small businesses falls into the …other retail‟ category. A separate risk-weight formula for each of the three categories is provided in CP3.Specialised lending28. Basel II distinguishes several sub-categories of wholesale lending from other forms of corporate lending and refers to them as specialised lending. The term specialised lending is associated with the financing of individual projects where the repayment is highly dependent on the performance of the underlying pool or collateral. For all but one of the specialised lending sub-categories, if banks can meet the minimum criteria for the estimation of the relevant data inputs, they can simply use the corporate IRB framework to calculate the risk weights for these exposures. However, in recognition that the hurdles for meeting these criteria for this set of exposures may be more difficult in practice, CP3 also includes an additional option that only requires that a bank be able to classify such exposures into five distinct quality grades. CP3 provides a specific risk weight for each of these grades.29. For one sub-category of specialised lending, …high volatility commercial real estate‟ (HVCRE), IRB banks that can estimate the required data inputs will use a separate risk-weight formula that is more conservative than the general corporate risk-weight formula in light of the risk characteristics of this type of lending. Banks that cannot estimate the required inputs will classify their HVCRE exposures into five grades, for which CP3 also provides specific risk weights.Equity exposures30. IRB banks will be required to separately treat their equity exposures. Two distinctapproaches are described in CP3. One approach builds on the PD/LGD approach forcorporate exposures and requires banks to provide own PD estimates for the associatedequity exposures. This approach, however, mandates the use of a 90% LGD value and alsoimposes various other limitations, including a minimum risk weight of 100% in manycircumstances. The other approach is intended to provide banks with the opportunity tomodel the potential decrease in the market value of their equity holdings over a quarterly holding period. A simplified version of this approach with fixed risk weights for public andprivate equities is also included.Implementation of IRB31. By relying on internally generated inputs to the Basel II risk weight functions, there isbound to be some variation in the way in which the IRB approach is carried out. To ensuresignificant comparability across banks, the Committee has established minimum qualifyingcriteria for use of the IRB approaches that cover the comprehensiveness and integrity ofbanks‟ internal credit risk assessment c apabilities. While banks using the advanced IRB approach will have greater flexibility relative to those relying on the foundation IRB approach,at the same time they must also satisfy a more stringent set of minimum standards.32. The Committee believes that banks‟ internal rating systems should accurately andconsistently differentiate between different degrees of risk. The challenge is for banks todefine clearly and objectively the criteria for their rating categories in order to providemeaningful assessments of both individual credit exposures and ultimately an overall riskprofile. A strong control environment is another important factor for ensuring that banks‟ rating systems perform as intended and the resulting ratings are accurate. An independent ratings process, internal review and transparency are control concepts addressed in the minimum IRB standards.33. Clearly, an internal rating system is only as good as its inputs. Accordingly, banksusing the IRB approach will need to be able to measure the key statistical drivers of creditrisk. The minimum Basel II standards provide banks with the flexibility to rely on data derivedfrom their own experience, or from external sources as long as the bank can demonstrate therelevance of such data to its own exposures. In practical terms, banks will be expected to have in place a process that enables them to collect, to store and to utilise loss statistics over time in a reliable manner.Securitisation34. Basel II provides a specific treatment for securitisation, a risk management technique that the current Accord does not fully contemplate. The Committee recognises that securitisation by its very nature relates to the transfer of ownership and/or risks associated with the credit exposures of a bank to other parties. In this respect, securitisation is important in helping to provide better risk diversification and to enhance financial stability.35. The Committee believes that it is essential for the New Accord to include a robust treatment of securitisation. Otherwise the new framework would remain vulnerable to capital arbitrage, as some securitisations have enabled banks under the current Accord to avoid maintaining capital commensurate with the risks to which they are exposed. To address this concern, Basel II requires banks to look to the economic substance of a securitisation transaction when determining the appropriate capital requirement in both the standardised and IRB treatments.36. As elsewhere in the standardised approach to credit risk, banks must assign supervisory risk weights to securitisation exposures based on various criteria. Onenoteworthy point is the difference in treatment of lower quality and unrated securitisationsvis-à-vis comparable corporate exposures. In a securitisation, such positions are generallydesigned to absorb all losses on the underlying pool of exposures up to a certain level.Accordingly, the Committee believes this concentration of risk warrants higher capitalrequirements. In particular, for banks using the standardised approach, unrated securitisationpositions must be deducted from capital.37. For IRB banks that originate securitisations, a key element of the framework is thecalculation of the amount of capital that the bank would have been required to hold on theunderlying pool had it not securitised the exposures. This amount of capital is referred to asK IRB. If an IRB bank retains a position in a securitisation that obligates it to absorb losses upto or less than K IRB before any other holders bear losses (i.e. a first loss position), then thebank must deduct this position from capital. The Committee believes that this requirement iswarranted in order to provide strong incentives for originating banks to shed the riskassociated with highly subordinated securitisation positions that inherently contain the greatest risks. For IRB banks that invest in highly rated securitisation exposures, a treatmentbased on the presence of an external rating, the granularity of the underlying pool, and thethickness of an exposure has been developed.38. Because of their importance in ensuring the smooth functioning of commercial papermarkets and their importance to corporate banking generally, the Basel II securitisationframework includes an explicit treatment of liquidity facilities provided by banks. In the IRBframework, the capital requirement for a liquidity facility is dependent upon a number of factors including the asset quality of the underlying pool and the degree to which creditenhancements are available to absorb losses prior to use of the facility. Each is a criticalinput to the supervisory formula designed for use by originating banks to calculate capitalrequirements for unrated positions, such as liquidity facilities. A treatment of liquidity facilitiesin the standardised approach is also provided which sets out various criteria for ensuring thatmore preferential treatment is only provided to those liquidity facilities where the risks arelower.39. Many securitisations of revolving retail exposures contain provisions that call for the securitisation to be wound down if the quality of securitised assets begins to deteriorate. TheBasel II proposals include a specific treatment of securitisations with these …earlyamortisation‟ features, given that suc h mechanisms can in effect partly shield investors fromfully sharing in the losses of the underlying accounts. The Committee‟s approach is based ona measure of the quality of the underlying assets in the pool. When this is high, the approachimplies a zero capital requirement associated with the securitised exposures. As the qualitydeteriorates, however, the bank must increasingly hold capital as if future draws on existing credit card lines would remain on its balance sheet.Operational risk40. The Committee believes that operational risk is an important risk facing banks andthat banks need to hold capital to protect against losses from it. Within the Basel IIframework, operational risk is defined as the risk of losses resulting from inadequate or failedinternal processes, people and systems, or external events. This is another area where theCommittee has developed a new regulatory capital approach. As with credit risk, theCommittee builds on banks‟ rapidly developing internal assessment techniques and seeks to provide incentives for banks to improve upon those techniques, and more broadly, theirmanagement of operational risk over time. This is particularly true of the AdvancedMeasurement Approaches (AMA) to operational risk described below.41. Approaches to operational risk are continuing to evolve rapidly, but are not likely in the near term to attain the precision with which market and credit risk can be quantified. This situation has posed obvious challenges to the incorporation of a measure of operational risk within pillar one of the New Accord. Nevertheless, the Committee believes that such inclusion is essential to ensure that there are strong incentives for banks to continue to develop approaches to operational risk measurement and to ensure that banks are holding sufficient capital buffers for this risk. It is clear that a failure to establish a minimum capital requirement for operational risk within the New Accord would reduce these incentives and result in a reduction of industry resources devoted to operational risk.42. The Committee is prepared to provide banks with an unprecedented amount of flexibility to develop an approach to calculate operational risk capital that they believe is consistent with their mix of activities and underlying risks. In the AMA, banks may use their own method for assessing their exposure to operational risk, so long as it is sufficiently comprehensive and systematic. The extent of detailed standards and criteria for use of the AMA are limited in order to accommodate the rapid evolution in operational risk management practices that the Committee expects to see over the coming years.43. The Committee intends to review progress in regard to operational risk approaches on an ongoing basis. It has been strongly encouraged by the advances made at those banks that have been developing operational risk frameworks consistent with the spirit of the AMA. Management at these banking organisations has concluded that it is possible to develop a flexible and comprehensive approach to operational risk measurement within their firms. 44. Internationally active banks and banks with significant operational risk exposure (for example, specialised processing banks) are expected to adopt over time the more risk sensitive AMA. Basel II contains two simpler approaches to operational risk: the basic indicator and the standardised approach, which are targeted to banks with less significant operational risk exposures. In general terms, the basic indicator and standardised approaches require banks to hold capital for operational risk equal to a fixed percentage of a specified risk measure.45. In the basic indicator approach, the measure is a bank‟s average annual gross income over the previous three years. This average, multiplied by a factor of 0.15 set by the Committee, produces the capital requirement. As a point of entry for the capital calculation, there are no specific criteria for use of the basic indicator approach. Nevertheless banks using this approach are encouraged to comp ly with the Committee‟s guidance on sound practices for the management and supervision of operational risk, which was released in February 2003.46. In the standardised approach, gross income again serves as a proxy for the scale ofa bank‟s business oper ations and thus the likely scale of the related operational risk exposure for a given business line. However, rather than calculate capital at the firm level as under the basic indicator approach, banks must calculate a capital requirement for each business line. This is determined by multiplying gross income by specific supervisory factors determined by the Committee. The total operational risk capital requirement for a banking organisation is the summation of the regulatory capital requirements across all of its business lines. As a condition for use of the standardised approach, it is important for banks to have adequate operational risk systems that comply with the minimum criteria outlined in CP3. 47. Banks using the basic indicator or standardised approaches to operational risk are not permitted to recognise the risk mitigating impact of insurance. As discussed in Part II of this overview paper, banks using the AMA are permitted to do so subject to certain conditions.。
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。
*** 巴三新资本要求：巴塞尔III将巴塞尔II中提出的一级资本、二级资本，并将一级资本重新划分为核心一级资本(主要包括普通股和留存收益)以及其他一级资本两大类。
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(04缩写词(英文))
The New Basel Capital AccordLatest news29 April 2003The Basel Committee on Banking Supervision has issued a third consultative paper on the New Basel Capital Accord.Comments are due by 31 July 2003, and will be helpful to the Committee as it makes the final modifications to its proposal for a new capital adequacy framework. The goal of the Committee continues to be to complete the New Accord by the fourth quarter of this year, with implementation to take effect in member countries by year-end 2006. To that end, work already has begun in a number of countries on draft rules that would integrate Basel capital standards with national capital regimes.An overview paper accompanies the third consultative document. This paper provides a summary of the new capital adequacy framework. It also outlines changes to the proposal since the release in October 2002 of the QIS 3 Technical Guidance, which banks used to assess the impact of the New Accord on their portfolios. The Committee issued the results of the QIS 3 impact study on 5 May 2003.Read the documents from the Third Consultative Paper, April 2003Read the documents from the Second Consultative Paper, January 2001BackgroundIn January 2001 the Basel Committee on Banking Supervision issued a proposal for a New Basel Capital Accord that, once finalised, will replace the current 1988 Capital Accord. The proposal is based on three mutually reinforcing pillars that allow banks and supervisors to evaluate properly the various risks that banks face. The New Basel Capital Accord focuses on:minimum capital requirements, which seek to refine the measurement framework set out in the 1988 Accordsupervisory review of an institution's capital adequacy and internal assessment processmarket discipline through effective disclosure to encourage safe and sound banking practicesThe Basel Committee received more than 250 comments on its January 2001 proposals. In April 2001 the Committee initiated a Quantitative Impact Study (QIS) of banks to gather the data necessary to allow the Committee to gauge the impact of the proposals for capital requirements. A further study, QIS 2.5, was undertaken in November 2001 to gain industry feedback about potential modifications to the Committee's proposals.In December 2001 the Basel Committee announced a revised approach to finalising the New Basel Capital Accord and the establishment of an Accord Implementation Group. Previously, in June2001 the Committee released an update on its progress and highlighted several important ways in which it had agreed to modify some of its earlier proposals based, in part, on industry comments.During its 10 July 2002 meeting, members of the Basel Committee reached agreement on a number of important issues related to the New Basel Capital Accord that the Committee has been exploring since releasing its January 2001 consultative paper.The New Basel Capital AccordPlease note that full translations into French, German, Italian and Spanish will be available soon.Third Consultative Paper29 April 2003The Basel Committee on Banking Supervision has issued a third consultative paper on the New Basel Capital Accord.Comments are due by 31 July 2003, and will be helpful to the Committee as it makes the final modifications to its proposal for a new capital adequacy framework. The goal of the Committee continues to be to complete the New Accord by the fourth quarter of this year, with implementation to take effect in member countries by year-end 2006. To that end, work already has begun in a number of countries on draft rules that would integrate Basel capital standards with national capital regimes.An overview paper accompanies the third consultative document. This paper provides a summary of the new capital adequacy framework. It also outlines changes to the proposal since the release in October 2002 of the QIS 3 Technical Guidance, which banks used to assess the impact of the New Accord on their portfolios. The Committee issued the results of the QIS 3 impact study on 5 May 2003.DocumentsOverview of The New Basel Capital Accord (PDF, 18 pages, 103 kb)The New Basel Capital Accord by section:Scope of Application (PDF, 15 pages, 70 kb)Pillar One (PDF, 132 pages, 732 kb)Pillar Two (PDF, 16 pages, 88 kb)Pillar Three (PDF, 15 pages, 82 kb)Annexes (PDF, 48 pages, 220 kb)Press release (April 2003)The 1988 Capital AccordQuantitative Impact Study (QIS)Basel II ChronologyFull document (PDF, 1176 kb)Print-friendly version© Please see disclaimer and copyright informationBIS Home > Basel Committee > The New Basel Capital Accord > Third Consultative Paper仅供个人用于学习、研究；不得用于商业用途。
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Group of Governors and Heads of Supervision announces higherglobal 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 G20 Leaders summit in November.Increased capital requirementsThese 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 adjustments would 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.Transition arrangementsThe 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):4.5% Tier 1 capital/RWAs, and8.0% total capital/RWAs.Only those instruments issued before the date of this press release should qualify for the above transition arrangements.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.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)--------------------------------------------------------------------------------最新巴塞尔协议3全文央行行长和监管当局负责人集团宣布较高的全球最低资本标准国际银行资本监管改革是本轮金融危机以来全球金融监管改革的重要组成部分。
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。