巴塞尔协议三中英对照
巴塞尔协议第三版、银行和经济
Basel III, the Banks, and theEconomy|Brookings巴塞尔协议第三版、银行和经济作者：Douglas J. Elliott研究员布鲁金斯学会发表时间：2010年7月26日译者：Andy Cheng（@adianch2010）到11月份，银行的监管者们将有可能完成一个国际协议来决定银行必须的健康程度。
巴塞尔银行监管委员会（巴塞尔委员会）将讨论更严格的关于资本和流动性的规则。
该协议被称为“巴塞尔协议第三版”（Basel III），因为它将是这些规则的第三个版本。
这个协议将对世界金融体制和经济产生重大的影响。
从积极的一面来说，新的收紧的资本和流动性要求会令国家的金融体制以及全球金融体制变得更为安全。
不幸的是，安全性的增加需要付出成本，因为银行要持有更多的资本和变得更具流动性，其代价相当高昂。
毫无疑问，贷款以及银行的其他服务都将会变得更为昂贵、更难得到。
存在争论的只是影响的程度，方向上没有异议。
银行业争辩说，巴塞尔协议第三版将会严重损害经济。
例如，国际金融研究所（IIF）的测算认为，如果采用巴塞尔协议第三版，美国和欧洲的经济将会在5年后比不采用该协议的情况萎缩3％。
我自己的分析，以及其他中立的各方通常都认为这个成本小得多，相当大的程度上会被更大安全性带来的效益所抵消。
近期的危机清楚证明，严重的金融危机会对世界经济造成永久性的损害，给成千上万的人们——如果不是数十亿的话——带来经济上的损失和情感上的伤痛。
为了避免此类重大冲击，如我的研究所表明的那样，每年牺牲一点儿经济的增长是值得的。
另一方面，如果银行业是对的，增加的安全性可能与所需的成本不相匹配，那么一个更为温和的监管版本会受到欢迎。
本文探讨了以下与巴塞尔协议第三版相关的问题：∙什么是巴塞尔协议第三版？谁制定的政策？∙巴塞尔协议第三版的时间表是怎样的？∙资本和流动性是什么？∙现行的规则是怎样的？∙建议对现有规则作哪些更改？∙哪些东西保留不变？∙有哪些重要领域存在争议？∙原来建议的变化和时间表是否会作出修改？∙巴塞尔协议第三版的可能的影响是什么？什么是巴塞尔协议第三版？谁制定的政策？巴塞尔协议第三版是一套关于银行监管的资本和流动性要求以及其他相关领域国际规则的修改建议。
巴塞尔新资本协议第三版(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
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局部.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.这些资本监管改革举措一旦付诸实施将对全球银行业未来开展产生重大的影响.一、会议的根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2021年9月12日的会议上［2］,宣布增强对现有资本金要求的持续监管, 并对在2021年7月26日达成的协议进行充分认可.这些银行资本改革举措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.此次资本改革稳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2021年底前提升对市场交易、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增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奉献.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%严风格整到％.这一调整将分阶段实施到2021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到达％,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保证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［4］.反周期超额资本,比率范围在0%%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到达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举措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2021年上半年被执行,并通过适当的方法和计算带入2021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水平,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,增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水平.央行行长和监管机构负责人赞同增强非普通一级资本和二级资本工具的损失弥补水平.三、过渡时期安排自危机开始,银行为提升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2021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,大局部已经满足了更高的资本要求.央行行长和监管当局负责人还就执行新的资本标准做出了过渡性的安排.这将有助于保证银行通过合理的收益留存和提升资本金以满足更好资本金治理要求的同时,仍能通过信贷投放支持经济的开展.过渡时期的安排在附件二中有概括,包括：〔一〕2021年到达的最低资本要求.在巴塞尔委员会各成员国国内执行新的资本监管要求将从2021年1月1日开始,各成员国必须在执行之前将关于资本新的要求以法律法规的形式予以确立.自2021年1月1日起,银行应符合以下新的相对于风险加权资产〔RWAs〕的最低资本要求：%,普通股/风险加权资产；%,一级资本/风险加权资产；%,总资本/风险加权资产.〔二〕普通股和一级资本过渡期要求.最低普通股和一级资本要求将在2021 年1月至2021年1月逐步实施.到2021年1月1日,最低普通股要求将由2%提升到％,一级资本将由4%提升到％.到2021年1月1日,银行将必须达到普通股4%和一级资本％的最低要求.到2021年1月1日,银行将必须到达普通股％和一级资本6%的最低要求.总资本一直要求保持8%的水平,因此不需要分阶段实施.8%的总资本要求和一级资本要求之间的区别在于二级资本和更高形式的资本.〔二〕扣减项比例过渡期安排.监管的调整〔即扣减项和审慎过滤器〕,包括金融机构超过资本总额15%的投资、抵押效劳权、所得税时间上有差异的递延资产,从2021年1月1日起,将完全从普通股中扣除.特别是,监管调整将从2021年1月1日从普通股中减去扣减项的20%,到2021年1月1日的40%, 到2021年1月1日的60%, 2021年1月1日的80%,最后到2021年的1月1 日100%.在这段过渡时期,其余未从普通股中扣除的资本将继续视同为资本.〔三〕资本留存超额资本过渡期安排.将在2021年1月到2021年1月间分阶段实施,并从2021年正式生效.在2021年,计提风险加权资产的％,随后每年增加个百分点,直到到达2021年的风险加权资产的％.经历过信贷过度增长的国家应尽快考虑建立资本留存超额资本和反周期超额资本.国家有关部门应根据实际情况酌情缩短这一过渡期.那些在过渡阶段已经满足最低比例要求,但是普通股〔最低资本加上资本留存超额资本〕仍低于7%的银行,应该实行审慎地实行收益留存政策以使资本留存超额资本到达合理的范围.〔四〕资本中需要取消的工程过渡期安排.现有的政府部门的资本注入将到2021年1月1日后被取消.从2021年1月1日起,不再作为核心资本或者附属资本的非普通权益的资本工具将通过10年逐步取消.从2021年1月1日起,在确定这类资本工具的名义价金融工具的增值局部的计算将在其到期后逐步取消.不符合核心资本条件的资本工具将自2021年1月1日起从核心资本中扣除.然而,同时满足下面三个条件的金融工具会不包括在上述扣除对象之中：一是由非关联股份公司发行；二是作为资本符合现行的会计标准；三是在现在银行法律下,被成认可以作为核心资本.仅有那些在本文发表之前的金融工具符合上述过渡时期的安排.〔五〕监督检测期安排.央行行长和监管当局负责人集团于2021年7月26 日发表了对资本充足率比例的阶段性安排.监督性监测期间开始于2021年1月1日,并行运行期从2021年1月1日一直持续到2021年1月1日.披露资本充足率和资本构成将于2021年1月1日开始.基于并行运行期的结果,任何最终调整都将在2021年上半年执行,并在采取适当的方法和计算的情况下,作为2021年1月1日正式执行时的最低资本要求.〔六〕对LCR和NSFR的时间安排.在2021年观察一段时间后,流动资金覆盖率〔LCR〕将于2021年1月1日被引入.修订后的净稳定资金比率〔NSFR〕将变动到2021年1月1日执行的最低标准.巴塞尔委员会将实施严格的报告程序,以监测在过渡时期的资本充足率比例,并会继续检验这些标准对金融市场、信贷扩张和经济增长以及解决意外事件的意义.附件一资本划分框架附件二：阶段性实施安排附件一资本划分框架资本要求和超额资本〔所有数字用百分比表示〕普通股权益〔扣减后〕一级资本总资本最低标准资本留存超额资本最低标准加资本留存超额资本反周期超额资本范围*0 -*普通股或其他完全损失弥补资本附件二阶段性实施安排〔阴影局部表示过渡期〕〔所有数据都从1月1日起〕2021 年2021 年2021 年2021 年2021 年2021 年2021 年2021 年2021 年 1 月1日以后杠杆比例监督性检测平行运行期2021年1月1 0-2021年1月1日2021年1月1日开始信息披露迁徙至第一支柱最低普通股比率％%%%%%%资本留存超额资本％%%%最低普通股加上资本留存超额资本％%%%%%%分阶段从核心一级资本扣除的工程〔包括超过递延所得税资产、抵押效劳权和财务额度的金额〕20%40%60%80%100%100%最低一级资本％%%%%%%最低资本总额％%%%%%%最低资本总额加资本留存超额资本％%%%%%%不符合核心一级资本或二级资本条件的资本工具从2021年开始逐步取消流动资金覆盖率观察期开始实施最低标准净稳定资金比率观察期开始实施最低标准原文来自于：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.该委员会的秘书处设在瑞士巴塞尔国际清算银行.［2］巴塞尔银行监督委员会提供了有关银行监管合作问题的定期论坛.它旨在促进和增强全球银行监管和风险治理.［3］本文将the capital conservation buffer 译为资本留存超额资本.［4］本文将A countercyclical buffer 译为反周期超额资本。
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.。
巴塞尔协议一二三通用课件
02
巴塞尔协议II
背景与意 义
起源与推动
巴塞尔协议II起源于1974年巴塞 尔银行监管委员会，旨在强化全 球银行体系的监管标准。
意义与重要性
它为银行提供了明确的风险管理 框架，加强了资本充足率和风险 管理能力，保障了银行体系的稳 定性和抗风险能力。
核心内容概述
风险管理框架
巴塞尔协议II提出了全面风险 管理框架，包括风险识别、评 估、监控和缓释等环节。
杠杆率限制
流动性监管
流动性监管要求金融机构保持足够的 流动性，确保在压力情况下具备及时 偿付能力。
为避免金融机构过度杠杆化，监管机 构对杠杆率进行限制，确保金融机构 的资产扩张速度在可控范围内。
金融机构实施情况
资本管理
金融机构根据自身业务特点和风 险状况，制定资本管理计划，确
保满足监管要求。
风险管理
基于国际金融危机的案例分析
总结词
国际金融危机期间，某国家中央银行根据巴塞尔协议，采取了有效的风险管理措施，成功维护了国内 金融稳定。
详细描述
该中央银行根据巴塞尔协议，对国内金融机构进行了严格的监管和审查，并采取了多项风险管理措施。 其中包括：加强对金融机构的资本充足率监管、加强对风险集中度的限制、加强对流动性风险的监控 等。这些措施有效地降低了该国金融机构的风险敞口，避免了潜在的金融冲击。
巴塞尔协议一二三通用课件
CONTENCT
录
• 巴塞尔协议I • 巴塞尔协议III
01
巴塞尔协议I
背景与意 义
20世纪70年代，国际银行间面临着巨大的信用风险， 许多大银行纷纷倒闭。
为维护金融稳定，巴塞尔委员会于1988年发布了第 一份巴塞尔协议，规定了银行资本充足率的标准。
common,equity,tier,1,巴塞尔协议iii
common,equity,tier,1,巴塞尔协议iii篇一：巴塞尔协议第三版核心中英文词汇梳理巴塞尔协议第三版核心词汇I. 巴三六大目标一、更严格的资本定义（Increased Quality of Capital）： 1．一级资本金包括：(1) 核心一级资本，(也叫普通股一级资本，common equity tier 1 capital)：只包括普通股（common equity）和留存收益（retained earning），巴三规定，少数股东权益（minority interest）、递延所得税(deferred tax)、对其他金融机构的投资(holdings in other financial institutions) 、商誉（goodwill）等不得计入核心一级资本。
(2) 其他一级资本：永久性优先股（non-cumulative preferred stock）等二、更高的资本充足要求（Increased Quantity of Capital）1．核心一级资本充足率(common equity tier 1 capital)：最低4.5%。
2．一级资本充足率：6%3．资本留存缓冲(capital conservation buffer)：最低2.5%，由普通股（扣除递延税项及其他项目）构成，用于危机期间（periods of stress）吸收损失，但是当该比率接近最低要求将影响奖金和红利发放(earning distributions）4．全部核心一级资本充足率(核心一级资本+资本留存缓冲)：最低7%5．总资本充足率（minimum total capital）：8%6．总资本充足率+资本留存缓冲最低要求：10.5%7．逆周期资本缓冲（counter-cyclical buffer）0—0.25%：在信贷增速过快(excessive credit growth)，导致系统范围内风险积聚时生效。
Basel+III 巴塞尔协议3英文版
2. 3. 4. 5. B. 1. 2. 3. 4. 5. III. A. B. C. IV. A. B. C. D. E. F. V. A. B.
Asset value correlation multiplier for large financial institutions ................. 39 Collateralised counterparties and margin period of risk ............................. 40 Central counterparties................................................................................ 46 Enhanced counterparty credit risk management requirements.................. 46 Standardised inferred rating treatment for long-term exposures................ 51 Incentive to avoid getting exposures rated................................................. 52 Incorporation of IOSCO’s Code of Conduct Fundamentals for Credit Rating Agencies .................................................................................................... 52 “Cliff effects” arising from guarantees and credit derivatives - Credit risk mitigation (CRM) ........................................................................................ 53 Unsolicited ratings and recognition of ECAIs ............................................. 54
巴塞尔资本协议中英文完整版
概述导言1. 巴塞尔银行羁系委员会（以下简称委员会）现宣布巴塞尔新资本协议（Basel II, 以下简称巴塞尔II）第三次征求意见稿（CP3，以下简称第三稿）。
第三稿的宣布是构建新资本富足率框架的一项重大步调。
委员会的目标仍然是在今年第四季度完成新协议，并于2006年底在成员国开始实施。
2. 委员会认为，完善资本富足率框架有两方面的大众政策利好。
一是创建不但包罗最低资本并且还包罗羁系政府的监视查抄和市场规律的资本治理划定。
二是大幅度提高最低资本要求的风险敏感度。
3. 完善的资本富足率框架，旨在促进勉励银行强化风险治理能力，不停提高风险评估水平。
委员会认为，实现这一目标的途径是，将资本划定与当今的现代化风险治理作法紧密地结合起来，在羁系实践中并通过有关风险和资本的信息披露，确保对风险的重视。
4. 委员会修改资本协议的一项重要内容，就是增强与业内人士和非成员国羁系人员之间的对话。
通过多次征求意见，委员会认为，包罗多项选择方案的新框架不但适用于十国团体国度，并且也适用于世界各国的银行和银行体系。
5. 委员会另一项同等重要的事情，就是研究到场新协议定量测算影响阐发各行提出的反馈意见。
这方面研究事情的目的，就是掌握各国银行提供的有关新协议各项发起对各行资产将产生何种影响。
特别要指出，委员会注意到，来自40多个国度范围及庞大水平各异的350多家银行到场了近期开展的定量影响阐发（以下称简QIS3）。
正如另一份文件所指出，QIS3的结果表明，调解后新框架划定的资本要求总体上与委员会的既定目标相一致。
6. 本文由两部分内容组成。
第一部分简朴介绍新资本富足框架的内容及有关实施方面的问题。
在此主要的考虑是，加深读者对新协议银行各项选择方案的认识。
第二部分技能性较强，大要描述了在2002年10月宣布的QIS3技能指导文件之后对新协议有关划定所做的修改。
第一部分新协议的主要内容7. 新协议由三大支柱组成：一是最低资本要求，二是羁系政府对资本富足率的监视查抄，三是信息披露。
最新巴塞尔协议三中英对照
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。
巴塞尔资本协议精品文档88页
风险权重体系
资本充足率
委员会根据资产负债表上各类资产以及表外项目按其相对风险程度进 行加权，以计算资本充足率。 此法有如下优点：1.为结构不同的银行体系之间进行国际比较提
供公平基础 2.便于计算资产负债表表外项目的风险 3.不妨碍银行持有风险较低的流动和其他资产
风险分类
把不同资本的风险分为5级，使用0％、10％、20％、50％和100％5 个权数，资产风险越小，使用权数越小。
协议出台之目的
1
将银行的监管 从外围修补转 移到内部调控 。
2
通过制定银行 的资本与其资 产间的比例， 订出计算方法 和标准，加强 国际银行体系 的健全性和稳
定性。
3
逐步消除目前
国际银行业不 公平竞争的基 础，统一各国 银行监管的标 准，建立公正 的国际性银行 管理体制。
（二）巴塞尔协议Ⅰ的内容
1975年和1983年——《对银行国外机构监管的原则》
内容简介
该协定制定于1975年，被成为神圣条约，是第一个巴塞尔协定。这份 协定最终于1983年5月经修改后确定下来，对海外银行监管责任进行 了明确的分工。
任何银行的国外机构都不能逃避监管 东道国与母国监管当局对于银行的外国分支机构、子公司
和合资机构分担监管责任
导火索－－三大国际性商业银行的倒闭
德国赫斯德特银行 纽约富兰克林国民银行 英国-以色列银行
它们的倒闭使监管机构在惊愕之余开始全面 审视拥有广泛国际业务的银行监管问题 。
20世纪70年代起，国际商业银行的发展表现 出：
（1）越来越脱离国内的银行管制，同时国际银行监管十分薄弱； （2）金融操作与金融工具的创新，使银行经营的资产超过银行资本几 十倍，使风险增大； （3）国际债务危机影响银行经营的稳定性。 例如：1982年发展中国家 爆发债务危机 （4）国际银行业中的不平等竞争使得对国际银行的监管不能只靠各国 各自为政、孤单作战，必须要在金融监管上进行国际协调。
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)。
金融风险管理第12章-巴塞尔协议III
12.6 巴塞尔协议III对大额风险暴露的监管
银行因为风险敞口集中 于单一交易对手而倒闭
➢ 1984年英国的马修银行案 ➢ 1990年代末的韩国银行危机
由于个别交易对手方 的突然违约
➢ 1982年的拉美债务危机 ➢ 1984年英国的庄信万丰银行
破产 ➢ 20世纪90年代初的瑞士银行
杠杆率=（一级资本–资本扣减项）/表内外风险暴露总额
© 2019-2025
12.6 巴塞尔协议III对大额风险暴露的监管
大额风险暴露的监管的历史沿革
➢ 1991：《大额信用风险暴露的测度与 控制》
➢ 1999：《从亚洲危机中汲取的监管教 训》
➢ 2013年3月：《大额风险暴露的测度 与控制监管框架》（征求意见稿）
金融体系内的资产 金融体系内的负债 银行发行证券余额
托管资产 支付活动
在债券和股权市场上的承销交易
复杂性 （20%）
托管资产 支付活动 在债券和股权市场上的承销交易
© 2019-2025
权重 10% 10%
20% 6.67% 6.67% 6.67% 6.67% 6.67%
6.67% 6.67% 6.67% 6.67%
12.7 巴塞尔协议III对系统重要性金融机构的监管
全球系统重要性银行监管
政策措施
如果某家银行超过了巴塞尔委员会设施的系统重要性银行的最
低分数基点（130基点），则该银行将被列为全球系统重要性银行 ，从而对其有更高的损失吸收要求，即附加的资本要求。
表12-10 系统重要性分组及对应的附加资本要求
式衡量银行的表 内外风险的资本 充足率的标准 ➢ 资本及资本金/风 险资产比率
巴塞尔协议II
巴塞尔协议123的区别表格
巴塞尔协议123的区别表格
巴塞尔协议是关于跨境货物运输的国际公约，目的是对危险废物的控制和管理。
巴塞尔协议分为三个阶段，分别是巴塞尔协议I、巴塞尔协议II和巴塞尔协议III。
以下是这三个协议的主要区别的简要比较表格：
巴塞尔协议I 巴塞尔协议II 巴塞尔协议III
签订
时间
1989年1995年1999年
目标控制跨境运输的危险废
物
加强控制和管理跨境转
移的危险废物
进一步限制危险废物的
转移
适用
范围
跨境运输的危险废物跨境转移的危险废物跨境转移的危险废物
主要措施签订国需要通报、审批
和控制危险废物的转移
强化和加强监督控制措
施
强调转移的最佳实践和
环境友好选择
禁止转移禁止无害废物转移到非
法定出口国
禁止非法定出口国接收
某些类型的危险废物
禁止非法定进口国接收
某些类型的危险废物
技术援助提供技术援助和能力建
设支持
增加技术援助和能力建
设支持
加强技术援助和能力建
设支持
管理
机构
巴塞尔公约常设秘书处巴塞尔公约常设秘书处巴塞尔公约常设秘书处
成员国义务
承担国内立法责任和国
际合作义务
承担更严格的控制和合
作义务
承担更严格的控制和合
作义务
需要注意的是，巴塞尔协议是一个动态的国际法律框架，随着时
间的推移和需要的调整，各个协议的细节和要求可能会有所调整和更新。
以上表格只是简要比较，具体内容应以相关法律文件和国际公约的最新版本为准。
巴塞尔协议Ⅰ II和III的对比 ppt课件
巴塞尔协议Ⅰ II和III的对比
➢ 1997年7月全面爆发的 东南亚金融风暴 更是引发了巴塞尔委 员 会对金融风险的全面而深入的思考。从巴林银行、大和银行的倒 闭到东南亚的金融危机，人们看到，金融业存在的问题不仅仅是信用风险或市场风险等单一风险的问题，而是由信用风险、市场 风险外加操作风险互相交织、共同作用造成的。
巴塞尔协议 ⅠⅡ Ⅲ 的 对比
巴塞尔协议Ⅰ II和III的对比
巴塞尔协议Ⅰ II和III的对比
• 巴塞尔协议全称是《关于统一国际银行的资 本计算和资本标 准的建议》。
• １９８７年１２月１０日,国际清算银行在瑞 士巴塞尔召开 了包括美国、英国、法国、联 邦德国、意大利、日本、荷兰、比 利时、加 拿大和瑞典（“十国集团”）以及卢森堡和 瑞士在内的１２ 个国家中央银行行长会议。 会上通过了巴塞尔协议，该协议对银 行的资 本结构、风险加权资产和资本比率等方面作 了统一规定。
❖ 巴塞尔协议规定，到１９９２年底，所有签 约国从事国际业务的银行其资本与风险加权 资产的比率应达到８％，其中核心资本至少 为４％。
❖ 巴塞尔协议规定，从１９８７年底到１９９ ２年底为实施过渡期， １９９２年底必须达 到８％的资本对风险加权资产的比率目标。
巴塞尔协议Ⅰ II和III的对比
只考虑了信用风险,而事实上银行要承担 许多非信用风险性质的风险,包括市场 风险,操作风险等
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。
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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。