(完整word版)中国版巴塞尔协议Ⅲ

《巴塞尔协议III》的主要内容和启示2010年9月12日，由包括中国在内的共27个国家银行业监管部门和央行代表组成的巴塞尔银行监管委员会（BCBS）召开了央行行长及监管当局负责人会议，此次会议上通过的全球银行业监管改革方案即《增强银行业抗风险能力》和《流动性风险计量、标准与监测的国际框架》两项文件，按照习惯称其为《巴塞尔协议III》。

一、《巴塞尔协议III》的主要内容根据公布的细节，《巴塞尔协议III》主要有以下几项内容：（一）最低资本金比率一级资本金必须主要由普通股和留存收益构成，下限由4%上调至6%，根据协议安排，过渡期限为2013年升至4.5%，2014年为5.5%，到2015年达到6%，对于非股份制银行将建立合理的标准确保其资产质量，不再符合一级资本金要求的金融工具将自2013年始以每年10%的速度退出；仅由普通股构成的核心资本充足率下限水平将自目前的2%提高至4.5%，过渡期限为2013年升至3.5%，2014年为4%，2015年达到4.5%；巴塞尔委员会还首次提出了2.5%的资本留存缓冲（Capital Conservation Buffer）要求，由扣除递延税及其他项目后的普通股权益组成，目的在于确保银行在危机时持有用于“吸收”损失的缓冲资金，资本留存缓冲的规定将于2016年1月起用，到2019年1月完全生效。

协议规定银行缓冲资本在危机中可适当减少，但若接近于零，则银行派息、回购股票和发放奖金等行为将受到监管部门的严格限制。

以上各项规定将使得各国银行到2019年时最低核心资本金比率达到7%，最低一级资本金比率达到8.5%。

（二）反周期超额资本缓冲（Counter-cyclical Buffer）根据协议，监管部门可以对经济周期的判断和对单个银行运营情况的评估来要求商业银行在经济上行期即信贷扩张时期计提超额资本,这样既能防止信贷过度增长又能使银行在经济下行期有较充足的资本金用于缓冲风险、弥补损失，以此保证周期内信贷供给和银行经营的稳定。

巴塞尔协议III日前的面世标志着全球银行业监管迈上一个新的台阶，也恰好为国内正在酝酿的银行监管新规做出及时的注解。

巴塞尔协议III将银行的一级资本充足率由2%提高至7%，但由于中资银行目前已经普遍达标，对其“杀伤力”更大的或是传闻酝酿中的银行系列监管新规(涉及拨备、超额资本提取以及流动性指标、杠杆率等)。

一位股份制银行风险管理部负责人表示，未来监管层可能要求拨备水平和总资产挂钩，对银行放贷的限制将非常直接。

如果配套其他风险管理的措施，那么银行转向中间业务以及资本消耗小的公司业务可能成为趋势。

中国银河证券公司金融业高级研究员叶云燕也表示，如果这些措施陆续实施，各家银行未来利润增长将受到影响，亦在一定程度上倒逼国内银行进行业务结构转型。

中国新规切合巴塞尔Ⅲ精神自去年的天量信贷投放以后，监管部门明显加大了风险管理力度，出台包括提高资本充足率和拨备率、将信贷类理财产品由表外并入表内、解包地方政府融资平台等一系列防范措施。

上周，市场传闻称银监会正在讨论按总贷款规模的2.5%比例计提拨备的新方案，消息灵通人士称，监管部门可能在酝酿包括拨备新规、超额资本提取以及流动性指标、杠杆率等系列风险监控的新增指标。

此前多家财经媒体报道称，银监会拟推行按全部贷款的2.5%计提，这一拨备新规或在未来与拨备覆盖率、拨备充足率一起衡量银行对风险的覆盖水平，该要求将对中资银行产生集体影响。

国泰君安金融业分析师伍永刚表示，今年以来，银监会出台的一系列监管措施政策，旨在提高银行在经济下行时的风险抵御能力。

“从目前的形势来看，银监会是非常重视风险的，在地方融资平台和房贷压力测试，银行的拨备覆盖率已经很高，在这个基础上，需要找到一个新的理由———提高银行抵御风险的能力。

”中央财经大学中国银行业研究中心主任郭田勇表示，当前我国银行业存在系统性的风险，银监会拟议的拨备新规旨在提高一些商业银行放贷门槛，对于商业银行防范风险具有非常重要的意义。

巴塞尔委员会Basel Committeeon Banking Supervision征求意见稿（第三稿）巴塞尔新资本协议The NewBasel Capital Accord 中国银行业监督管理委员会翻译目录概述 (10)导言 (10)第一部分新协议的主要内容 (11)第一支柱：最低资本要求 (11)信用风险标准法 (11)内部评级法（Internal ratings-based (IRB) approaches） (12)公司、银行和主权的风险暴露 (13)零售风险暴露 (14)专业贷款（Specialised lending） (14)股权风险暴露（Equity exposures） (14)IRB法的实施问题 (15)证券化 (15)操作风险 (16)第二支柱和第三支柱：监管当局的监督检查和市场纪律 (17)监管当局的监督检查 (17)市场纪律 (18)新协议的实施 (18)朝新协议过渡 (18)有关前瞻性问题 (19)跨境实施问题 (20)今后的工作 (20)第二部分: 对QIS3技术指导文件的修改 (21)导言 21允许使用准备 (21)合格的循环零售风险暴露（qualifying revolving retail exposures,QRRE)..22住房抵押贷款 (22)专业贷款(specialised lending, SL) (22)高波动性商业房地产（high volatility commercial real estate ，HVCRE).23信用衍生工具 (23)证券化 (23)操作风险 (24)缩写词 (26)第一部分：适用范围 (28)A.导言 (28)B.银行、证券公司和其他附属金融企业 (28)C.对银行、证券公司和其他金融企业的大额少数股权投资 (29)D.保险公司 (29)E.对商业企业的大额投资 (30)F.根据本部分的规定对投资的扣减 (31)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)A.标准法 — 一般规则 (33)1.单笔债权的处理 (34)(i)对主权国家的债权 (34)(ii)对非中央政府公共部门实体(public sector entities)的债权 (35)(iii)对多边开发银行的债权 (35)(iv) 对银行的债权 (36)(v)对证券公司的债权 (37)(vi)对公司的债权 (37)(vii)包括在监管定义的零售资产中的债权 (37)(viii) 对居民房产抵押的债权 (38)(ix)对商业房地产抵押的债权 (38)(x)逾期贷款 (39)(xi)高风险的债权 (39)(xii)其他资产 (40)(xiii) 资产负债表外项目 (40)2.外部评级 (40)(i)认定程序 (40)(ii)资格标准 (40)3.实施中需考虑的问题 (41)(i)对应程序(mapping process) (41)(ii)多方评级结果的处理 (42)(iii)发行人评级和债项评级(issuer versus issues assessment) (42)(iv)本币和外币的评级 (42)(v)短期和长期评级 (43)(vi)评级的适用范围 (43)(vii)被动评级(unsolicited ratings) (43)B. 标准法—信用风险缓释(Credit risk mitigation) (44)1.主要问题 (44)(i)综述 (44)(ii) 一般性论述 (44)(iii)法律确定性 (45)2.信用风险缓释技术的综述 (45)(i)抵押交易 (45)(ii) 表内净扣(On-balance sheet netting) (47)(iii)担保和信用衍生工具 (47)(iv) 期限错配 (47)(v) 其他问题 (48)3.抵押品 (48)(i)合格的金融抵押品 (48)(ii) 综合方法 (49)(iii)简单方法 (56)(iv) 抵押的场外衍生工具交易 (57)4．表内净扣 (57)5．担保和信用衍生工具 (58)(i)操作要求 (58)(ii)合格的担保人/信用保护提供者的范围 (60)(iii)风险权重 (60)(iv)币种错配 (60)(v)主权担保 (61)6.期限错配 (61)7.与信用风险缓释相关的其他问题的处理 (62)(i)对信用风险缓释技术池(pools of CRM techniques)的处理 (62)(ii) 第一违约的信用衍生工具 (62)(iii)第二违约的信用衍生工具 (62)III. 信用风险——IRB法 (62)A.概述 (62)B．IRB法的具体要求 (63)1.风险暴露类别 (63)(i) 公司暴露的定义 (63)(ii) 主权暴露的定义 (65)(iii) 银行暴露的定义 (65)(iv) 零售暴露的定义 (65)(v)合格的循环零售暴露的定义 (66)(vi) 股权暴露的定义 (67)(vii)合格的购入应收账款的定义 (68)2.初级法和高级法 (69)(i)公司、主权和银行暴露 (69)(ii) 零售暴露 (70)(iii) 股权暴露 (70)(iv) 合格的购入应收账款 (70)3. 在不同资产类别中采用IRB法 (70)4.过渡期安排 (71)(i)采用高级法的银行平行计算资本充足率 (71)(ii) 公司、主权、银行和零售暴露 (72)(iii) 股权暴露 (72)C.公司、主权、及银行暴露的规定 (73)1.公司、主权和银行暴露的风险加权资产 (73)(i)风险加权资产的推导公式 (73)(ii) 中小企业的规模调整 (73)(iii) 专业贷款的风险权重 (74)2.风险要素 (75)(i)违约概率 (75)(iii)违约风险暴露 (79)(iv) 有效期限 (80)D.零售暴露规定 (82)1.零售暴露的风险加权资产 (82)(i) 住房抵押贷款 (82)(ii) 合格的循环零售贷款 (82)(iii) 其他零售暴露 (83)2.风险要素 (83)(i)违约概率和违约损失率 (83)(ii) 担保和信贷衍生产品的认定 (83)(iii) 违约风险暴露 (83)E.股权暴露的规则 (84)1.股权暴露的风险加权资产 (84)(i)市场法 (84)(ii) 违约概率/违约损失率方法 (85)(iii) 不采用市场法和违约概率/违约损失率法的情况 (86)2. 风险要素 (87)F. 购入应收账款的规则 (87)1.违约风险的风险加权资产 (87)(i)购入的零售应收账款 (87)(ii) 购入的公司应收账款 (87)2.稀释风险的风险加权资产 (89)(i)购入折扣的处理 (89)(ii) 担保的认定 (89)G. 准备的认定 (89)H.IRB法的最低要求 (90)1.最低要求的内容 (91)2.遵照最低要求 (91)3.评级体系设计 (91)(i)评级维度 (92)(ii) 评级结构 (93)(iv) 评估的时间 (94)(v)模型的使用 (95)(vi) 评级体系设计的记录 (95)4.风险评级体系运作 (96)(i) 评级的涵盖范围 (96)(ii) 评级过程的完整性 (96)(iii) 推翻评级的情况（Overrides） (97)(iv) 数据维护 (97)(v)评估资本充足率的压力测试 (98)5. 公司治理和监督 (98)(i)公司治理（Corporate governance） (98)(ii) 信用风险控制 (99)(iii) 内审和外审 (99)6. 内部评级的使用 (99)7.风险量化 (100)(i)估值的全面要求 (100)(ii) 违约的定义 (101)(iii) 重新确定帐龄（Re-ageing） (102)(iv) 对透支的处理 (102)(v) 所有资产类别损失的的定义 (102)(vi) 估计违约概率的要求 (102)(vii) 自行估计违约损失率的要求 (104)(viii) 自己估计违约风险暴露的要求 (104)(ix) 评估担保和信贷衍生产品成熟性效应的最低要求 (106)(x)估计合格的购入应收账款违约概率和违约损失率的要求 (107)8. 内部评估的验证 (109)9. 监管当局确定的违约损失率和违约风险暴露 (110)(i)商用房地产和居民住房作为抵押品资格的定义 (110)(ii) 合格的商用房地产/居民住房的操作要求 (110)(iii) 认定金融应收账款的要求 (111)10.认定租赁的要求 (113)11.股权暴露资本要求的计算 (114)(i)内部模型法下的市场法 (114)(ii) 资本要求和风险量化 (114)(iv) 验证和形成文件 (116)12.披露要求 (118)IV.信用风险--- 资产证券化框架 (119)A.资产证券化框架下所涉及交易的范围和定义 (119)B. 定义 (120)1. 银行所承担的不同角色 (120)(i)银行作为投资行 (120)(ii) 银行作为发起行 (120)2. 通用词汇 (120)(i) 清收式赎回(clean-up call) (120)(ii) 信用提升(credit enhancement) (120)(iii) 提前摊还(early amortisation) (120)(iv) 超额利差(excess spread) (121)(v)隐性支持(implicit support) (121)(vi) 特别目的机构(Special purpose entity (SPE)) (121)C. 确认风险转移的操作要求 (121)1.传统型资产证券化的操作要求 (121)2.对合成型资产证券化的操作要求 (122)3.清收式赎回的操作要求和处理 (123)D. 对资产证券化风险暴露的处理 (123)1.最低资本要求 (123)(i)扣减 (123)(ii) 隐性支持 (123)2. 使用外部信用评估的操作要求 (124)3. 资产证券化风险暴露的标准化方法 (124)(i) 范围 (124)(ii) 风险权重 (125)(iii) 对于未评级资产证券化风险暴露一般处理方法的例外情况 (125)(iv) 表外风险资产的信用转换系数 (126)(v)信用风险缓释的确认 (127)(vi) 提前摊还规定的资本要求 (128)(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 (130)4.资产证券化的内部评级法 (131)(i)范围 (131)(ii) KIRB定义 (131)(iii) 各种不同的方法 (132)(iv) 所需资本最高限 (133)(v) 以评级为基础的方法 (133)(vi) 监管公式 (135)(vii)流动性便利 (137)(viii) 合格服务人现金透支便利 (138)(ix) 信用风险缓释的确认 (138)(x) 提前摊还的资本要求 (138)V. 操作风险 (139)A. 操作风险的定义 (139)B. 计量方法 (139)1．基本指标法 (139)2．标准法 (140)3．高级计量法(Advanced Measurement Approaches ，AMA) (141)C.资格标准 (142)1．一般标准 (142)2．标准法 (142)3. 高级计量法 (143)D．局部使用 (147)VI.交易账户 (148)A．交易账户的定义 (148)B．审慎评估标准 (149)1．评估系统和控制手段 (149)2．评估方法 (149)3．计值调整（储备） (150)C.交易账户对手信用风险的处理 (151)D．标准法对交易账户特定风险资本要求的处理 (152)1．政府债券的特定风险资本要求 (152)2.对未评级债券特定风险的处理原则 (152)3. 采用信用衍生工具套做保值头寸的专项资本要求 (152)4.信用衍生工具的附加系数 (153)第三部分：监督检查 (155)A.监督检查的重要性 (155)B.监督检查的四项主要原则 (155)C.监督检查的具体问题 (161)D：监管检查的其他问题 (167)第四部分：第三支柱——市场纪律 (169)A.总体考虑 (169)1.披露要求 (169)2.指导原则 (169)3.恰当的披露 (169)4. 与会计披露的相互关系 (169)5.重要性（Materiality） (170)6.频率 (170)B.披露要求 (171)1.总体披露原则 (171)2.适用范围 (171)3.资本 (173)4.风险暴露和评估 (175)(i)定性披露的总体要求 (175)(ii)信用风险 (175)(iii)市场风险 (183)(iv)操作风险 (184)(v)银行账户的利率风险 (184)附录1 创新工具在一级资本中的上线为15% (185)附录2 标准法－实施对应程序 (186)附录3 IRB法风险权重的实例 (190)附录4 监管当局对专业贷款设定的标准 (193)附录5 按照监管公式计算信用风险缓释的影响 (207)附录 6 (211)附录7 损失事件分类详表 (215)附录8 (220)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（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）。

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.。

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

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

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

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

巴塞尔协议Ⅲ的框架、内容和影响中国银监会国际部陈颖甘煜发布时间:2011-03-24巴塞尔协议Ⅲ及主要内容2010年9月13日，巴塞尔委员会网页上悄然出现了一个题为“BaselⅢ”的链接，首次使用BaselⅢ统称本轮银行监管新变化，并明确了其政策界限。

2010年12月16日，巴塞尔委员会网站公布了《巴塞尔第三版协议：更加稳健的银行和银行体系的全球监管框架》和《巴塞尔第三版协议：流动性风险计量、标准和监测的国际框架》等文件。

从目前公布的文件看，BaselⅢ是在新资本协议基础上提出的一揽子改革方案(BaselⅢ包含新资本协议，为便于陈述，下文中第三版资本协议仅指改革方案和建议)。

这些方案的目标是提高银行业抗击冲击的能力，提高风险管理和治理能力，加强银行的透明度，内容涵盖扩大资本覆盖风险的范围、增强监管资本工具的损失吸收能力、引入杠杆率监管指标、引入流动性监管标准、建立逆周期资本和准备金框架、重新确定最低监管资本要求等诸多方面。

第三版资本协议已列入二十国集团领导人首尔峰会成果，必将成为后危机时代影响全球金融秩序的重要监管标准。

资本框架本次改革前，没有人怀疑8%的资本充足率和4%的核心资本充足率要求是否充足，也很少有人质疑风险加权资产计算方法是否反映了风险的大小和本质，在流动性充裕的大环境下资本工具在压力情景下吸收损失的能力也被忽略了。

本次资本监管制度改革，主要反思三大要素的上述问题，并提出了进一步的改进方案。

第一，强调高质量的资本构成。

首先，明确普通股的核心一级资本地位，严格其他计入一级资本的工具需满足的条件，包括清偿等级、损失吸收能力、收益分配限制、本金偿付限制、赎回和担保抵押限制、会计列示和披露要求等。

其次，明确只有一套二级资本的合格标准，取消子类，取消仅用于覆盖市场风险的三级资本。

合格的二级资本工具必须能够吸收损失，因此其受偿顺序须列在存款人、一般债权人之后，不得由发行人及其关联方提供保证，原始期限不得低于5年，若附带回购期权必须在满足特定条件下且发行5年后方可由发行人主动行权，投资者无权要求提前偿付未来应得的收益和本金，发行合同不得包括收益与发行人信用状况相关的条款，银行及其关联方不得故意购买该资本工具等。

各位同学：笔试得怎么样？这是我第四次参加银行笔试，目前还未拿到offer，实在很心焦。

眼看中行笔试就来了，它是我们的下一个机会，能复习多少是多少，重新整理了一遍巴塞尔协议，供大家参考，祝大家都能找到好工作，共勉！巴塞尔协议I《巴塞尔协议》是国际清算银行（BIS）的巴塞尔银行业条例和监督委员会的常设委员会——巴塞尔委员会于1988年7月在瑞士的巴塞尔通过的“关于统一国际银行的资本计算和资本标准的协议”的简称，其目的是通过规定银行资本充足率，减少各国规定的资本数量差异，加强对银行资本及风险资产的监管，消除银行间的不公平竞争。

该协议第一次建立了一套完整的国际通用的、以加权方式衡量表内与表外风险的资本充足率标准，有效地扼制了与债务危机有关的国际风险。

基本内容由四方面组成：1、资本的组成巴塞尔委员会认为银行资本分为两级。

第一级是核心资本，要求银行资本中至少有50%是实收资本及从税后利润保留中提取的公开储备所组成。

第二级是附属资本，其最高额可等同于核心资本额。

附属资本由未公开的储备、重估储备、普通准备金（普通呆账准备金）、带有债务性质的资本工具、长期次级债务和资本扣除部分组成。

2、风险加权制巴塞尔协议确定了风险加权制，即根据不用资产的风险程度确定相应的风险权重，计算加权风险资产总额：一是确定资产负债表内的资产风险权数，即将不用资产的风险权数确定为五个档次：分别为0、10、20、50、100。

二是确定表外项目的风险权数。

确定了1、20、50、100四个档次的信用转换系数，以此再与资产负债表内与该项业务对应项目的风险权数相乘，作为表外项目的风险权数。

3、目标标准比率银行资本充足率=总资本与加权风险资产之比不低于8%，其中核心资本部分至少为4%。

4、过渡期和实施安排过渡期从协议发布起至1992年底止，到1992年底，所有从事大额跨境业务的银行资本金要达到8%的要求。

1988年巴塞尔协议主要有三大特点：一是确立了全球统一的银行风险管理标准；二是突出强调了资本充足率标准的意义。

金融论坛2011 年第8 期（总第188 期）一、引言《巴塞尔协议Ⅱ》提出的三大支柱（充足资本、监督检查和市场纪律）并没有在阻止全球性金融危机中发挥有效作用。

美国次债危机的爆发和迅速蔓延，充分暴露出此前的银行业监管体系中存在一些未解决的问题，包括：（1）如何应对资本协议本身的亲周期效应问题；（2）如何应对系统性风险，加强宏观审慎监管；（3）如何统一协调流动性监管标准，提高跨国银行应对跨境流动性压力的能力。

为此，新出台的《巴塞尔协议Ⅲ》完善了原有协议的资本框架，提高了资本充足率要求，突出了逆周期宏观审慎目标，并引入了防范系统性风险和流动性风险的新指标，其对于推动全球新一轮银行业监管改革具有重大意义。

根据巴塞尔委员会发布的《巴塞尔协议Ⅲ》，在充分借鉴国际经验、紧密结合国内银行业经营和监管实际的基础上，2011 年5 月3 日中国银监会颁布了《中国银行业实施新监管标准指导意见》（以下简称“中国版巴塞尔协议Ⅲ”），确立了中国银行业实施新监管标准的政策框架。

“中国版巴塞尔协议Ⅲ”按照宏观审慎监管与微观审慎监管有机结合、监管标准统一性和分类指导统筹兼顾的总体要求，明确了资本充足率、杠杆率、流动性、贷款损失准备等监管标准，并根据不同机构情况设置差异化的过渡期安排（中国银监会，2011）。

本文在对“中国版巴塞尔协议Ⅲ”与《巴塞尔协议Ⅲ》的监管标准进行比较的基础上，探讨“中国版巴塞尔协议Ⅲ”对中国银行业的影响，提出商业银行应对新监管标准的对策措施。

二、全面提高监管标准的“中国版巴塞尔协议Ⅲ”（一）《巴塞尔协议Ⅲ》关于资本监管改革的内容2010 年9 月12 日，巴塞尔银行监管委员会管理层会议在瑞士巴塞尔举行，会议就旨在加强银行业监管的《巴塞尔协议Ⅲ》达成一致。

新通过的《巴塞尔协议Ⅲ》显然更关注银行的资本质量与抗周期性风险的能力，包括逆周期资本监管指标、杠杆率和流动性指标的规定，明显反映出全球央行对2008 年全球金融危机形成与发展的原因进行的反思。