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Basel III Basel III is a global, voluntary regulatory
standard on bank capital adequacy, stress testing and market liquidity risk. It was
agreed upon by the members of the Basel Committee on Banking Supervision in 2010–11, and was
scheduled to be introduced from 2013 until 2015; however, changes from 1 April 2013 extended
implementation until 31 March 2018. The third installment of the Basel Accords was developed
in response to the deficiencies in financial regulation revealed by the late-2000s financial
crisis. Basel III was supposed to strengthen bank capital requirements by increasing bank
liquidity and decreasing bank leverage. General Overview
Unlike Basel I and Basel II which are primarily related to the required level of bank loss
reserves that must be held by banks for various classes of loans and other investments and
assets that they have, Basel III is primarily related to the risks for the banks of a run
on the bank by requiring differing levels of reserves for different forms of bank deposits
and other borrowings. Therefore contrary to what might be expected by the name, Basel
III rules do not for the most part supersede the guidelines known as Basel I and Basel
II but work alongside them. Key principles
Capital requirements The original Basel III rule from 2010 was
supposed to require banks to hold 4.5% of common equity (up from 2% in Basel II) and
6% of Tier I capital (up from 4% in Basel II) of "risk-weighted assets" (RWA). Basel
III introduced "ad æitional capital buffers", (i) a "mandatory capital conservation buffer"
of 2.5% and (ii) a "discretionary counter-cyclical buffer", which would allow national regulators
to require up to another 2.5% of capital during periods of high credit growth.
Leverage ratio Basel III introduced a minimum "leverage ratio".
The leverage ratio was calculated by dividing Tier 1 capital by the bank's average total
consolidated assets; The banks were expected to maintain a leverage ratio in excess of
3% under Basel III. In July 2013, the US Federal Reserve Bank announced that the minimum Basel
III leverage ratio would be 6% for 8 Systemically important financial institution (SIFI) banks
and 5% for their insured bank holding companies. Liquidity requirements
Basel III introduced two required liquidity ratios. The "Liquidity Coverage Ratio" was
supposed to require a bank to hold sufficient high-quality liquid assets to cover its total
net cash outflows over 30 days; the Net Stable Funding Ratio was to require the available
amount of stable funding to exceed the required amount of stable funding over a one-year period
of extended stress. US Version of the Basel Liquidity Coverage
Ratio Requirements On 24 October 2013, the Federal Reserve Board
of Governors approved an interagency proposal for the U.S. version of the Basel Committee
on Banking Supervision's (BCBS) Liquidity Coverage Ratio (LCR). The ratio would apply
to certain U.S. banking organizations and other systematically important financial institutions.
The comment period for the proposal is scheduled to close by 31 January 2014.
The U.S. LCR proposal came out significantly tougher than BCBS’s version, especially
for larger bank holding companies. The proposal requires financial institutions and FSOC designated
nonbank financial companies to have an adequate stock of High Quality Liquid Assets (HQLA)
that can be quickly liquidated to meet liquidity needs over a short period of time.
The LCR consists of two parts: the numerator is the value of HQLA, and the denominator
consists of the total net cash outflows over a specified stress period (total expected
cash outflows minus total expected cash inflows). The Liquidity Coverage Ratio applies to US
banking operations with assets of more than 10 billion. The proposal would require:
Large Bank Holding Companies (BHC) – those with over $250 billion in consolidated assets,
or more in on-balance sheet foreign exposure, and to systemically important, non-bank financial
institutions; to hold enough HQLA to cover 30 days of net cash outflow. That amount would
be determined based on the peak cumulative amount within the 30 day period.
Regional firms (those with between $50 and $250 billion in assets) would be subject to
a “modified” LCR at the (BHC) level only. The modified LCR requires the regional firms
to hold enough HQLA to cover 21 days of net cash outflow. The net cash outflow parameters
are 70% of those applicable to the larger institutions and do not include the requirement
to calculate the peak cumulative outflows Smaller BHCs, those under $50 billion, would
remain subject to the prevailing qualitative supervisory framework.
The US proposal divides qualifying High Quality Liquid Assets into three specific categories
(Level 1, Level 2A, and Level 2B). Across the categories the combination of Level 2A
and 2B assets cannot exceed 40% HQLA with 2B assets limited to a maximum of 15% of HQLA.
Level 1 represents assets that are highly liquid (generally those risk-weighted at 0%
under the Basel III standardized approach for capital) and receive no haircut. Notably,
the Fed chose not to include GSE-issued securities in Level 1, despite industry lobbying, on
the basis that they are not guaranteed by the full faith and credit of the US government.
Level 2A assets generally include assets that would be subject to a 20% risk-weighting under
Basel III and includes assets such as GSE-issued and -guaranteed securities. These assets would
be subject to a 15% haircut which is similar to the treatment of such securities under
the BCBS version. Level 2B assets include corporate debt and
equity securities and are subject to a 50% haircut. The BCBS and US version treats equities
in a similar manner, but corporate debt under the BCBS version is split between 2A and 2B
based on public credit ratings, unlike the US proposal. This treatment of corporate debt
securities is the direct impact of DFA’s Section 939 (i.e., the removal of references
to credit ratings) and further evidences the conservative bias of US regulators’ approach
to the LCR. The proposal requires that the LCR be at least
equal to or greater than 1.0 and includes a multiyear transition period that would require:
80% compliance starting 1 January 2015, 90% compliance starting 1 January 2016, and 100%
compliance starting 1 January 2017. Lastly, the proposal requires both sets of
firms (large bank holding companies and regional firms) subject to the LCR requirements to
submit remediation plans to U.S. regulators to address what actions would be taken if
the LCR falls below 100% for three consecutive days or longer.
Implementation Summary of originally (2010) proposed changes
in Basel Committee language First, the quality, consistency, and transparency
of the capital base will be raised.
Tier 1 capital: the predominant form of Tier 1 capital must be common shares and retained
earnings Tier 2 capital: supplementary capital, however,
the instruments will be harmonised Tier 3 capital will be eliminated.
Tier 1 capital: the predominant form of Tier 1 capital must be common shares and retained
earnings Tier 2 capital: supplementary capital, however,
the instruments will be harmonised Tier 3 capital will be eliminated.
Second, the risk coverage of the capital framework will be strengthened.
Promote more integrated management of market and counterparty credit risk
Add the CVA (credit valuation adjustment)-risk due to deterioration in counterparty's credit
rating Strengthen the capital requirements for counterparty
credit exposures arising from banks' derivatives, repo and securities financing transactions
Raise the capital buffers backing these exposures Reduce procyclicality and
Provide additional incentives to move OTC derivative contracts to qualifying central
counterparties (probably clearing houses). Currently, the BCBS has stated derivatives
cleared with a QCCP will be risk-weighted at 2% (The rule is still yet to be finalized
in the U.S.) Provide incentives to strengthen the risk
management of counterparty credit exposures Raise counterparty credit risk management
standards by including wrong-way risk Promote more integrated management of market
and counterparty credit risk Add the CVA (credit valuation adjustment)-risk
due to deterioration in counterparty's credit rating
Strengthen the capital requirements for counterparty credit exposures arising from banks' derivatives,
repo and securities financing transactions Raise the capital buffers backing these exposures
Reduce procyclicality and Provide additional incentives to move OTC
derivative contracts to qualifying central counterparties (probably clearing houses).
Currently, the BCBS has stated derivatives cleared with a QCCP will be risk-weighted
at 2% (The rule is still yet to be finalized in the U.S.)
Provide incentives to strengthen the risk management of counterparty credit exposures
Raise counterparty credit risk management standards by including wrong-way risk
Third, a leverage ratio will be introduced as a supplementary measure to the Basel II
risk-based framework,
intended to achieve the following objectives:
Put a floor under the build-up of leverage in the banking sector
Introduce additional safeguards against model risk and measurement error by supplementing
the risk based measure with a simpler measure that is based on gross exposures.
intended to achieve the following objectives:
Put a floor under the build-up of leverage in the banking sector
Introduce additional safeguards against model risk and measurement error by supplementing
the risk based measure with a simpler measure that is based on gross exposures.
Put a floor under the build-up of leverage in the banking sector
Introduce additional safeguards against model risk and measurement error by supplementing
the risk based measure with a simpler measure that is based on gross exposures.
Fourth, a series of measures is introduced to promote the build up of capital buffers
in good times that can be drawn upon in periods of stress ("Reducing procyclicality and promoting
countercyclical buffers").
Measures to address procyclicality:
Dampen excess cyclicality of the minimum capital requirement;
Promote more forward looking provisions; Conserve capital to build buffers at individual
banks and the banking sector that can be used in stress; and
Achieve the broader macroprudential goal of protecting the banking sector from periods
of excess credit growth.
Requirement to use long term data horizons to estimate probabilities of default,
downturn loss-given-default estimates, recommended in Basel II, to become mandatory
Improved calibration of the risk functions, which convert loss estimates into regulatory
capital requirements. Banks must conduct stress tests that include
widening credit spreads in recessionary scenarios.
Promoting stronger provisioning practices (forward looking provisioning):
Advocating a change in the accounting standards towards an expected loss (EL) approach (usually,
EL amount := LGD*PD*EAD). Measures to address procyclicality:
Dampen excess cyclicality of the minimum capital requirement;
Promote more forward looking provisions; Conserve capital to build buffers at individual
banks and the banking sector that can be used in stress; and
Dampen excess cyclicality of the minimum capital requirement;
Promote more forward looking provisions; Conserve capital to build buffers at individual
banks and the banking sector that can be used in stress; and
Achieve the broader macroprudential goal of protecting the banking sector from periods
of excess credit growth.
Requirement to use long term data horizons to estimate probabilities of default,
downturn loss-given-default estimates, recommended in Basel II, to become mandatory
Improved calibration of the risk functions, which convert loss estimates into regulatory
capital requirements. Banks must conduct stress tests that include
widening credit spreads in recessionary scenarios. Requirement to use long term data horizons
to estimate probabilities of default, downturn loss-given-default estimates, recommended
in Basel II, to become mandatory Improved calibration of the risk functions,
which convert loss estimates into regulatory capital requirements.
Banks must conduct stress tests that include widening credit spreads in recessionary scenarios.
Promoting stronger provisioning practices (forward looking provisioning):
Advocating a change in the accounting standards towards an expected loss (EL) approach (usually,
EL amount := LGD*PD*EAD). Advocating a change in the accounting standards
towards an expected loss (EL) approach (usually, EL amount := LGD*PD*EAD).
Fifth,a global minimum liquidity standard for internationally active banks is introduced
that includes a 30-day liquidity coverage ratio requirement underpinned by a longer-term
structural liquidity ratio called the Net Stable Funding Ratio. (In January 2012, the
oversight panel of the Basel Committee on Banking Supervision issued a statement saying
that regulators will allow banks to dip below their required liquidity levels, the liquidity
coverage ratio, during periods of stress.) The Committee also is reviewing the need for
additional capital, liquidity or other supervisory measures to reduce the externalities created
by systemically important institutions. As of September 2010, proposed Basel III norms
asked for ratios as: 7–9.5% (4.5% + 2.5% (conservation buffer) + 0–2.5% (seasonal
buffer)) for common equity and 8.5–11% for Tier 1 capital and 10.5–13% for total capital.
On 15 April, the Basel Committee on Banking Supervision (“BCBS”) released the final
version of its “Supervisory Framework for Measuring and Controlling Large Exposures”
(“SFLE”) that builds upon longstanding BCBS guidance on credit exposure concentrations.
U.S. implementation The U.S. Federal Reserve announced in December
2011 that it would implement substantially all of the Basel III rules. It summarized
them as follows, and made clear they would apply not only to banks but also to all institutions
with more than US$50 billion in assets: "Risk-based capital and leverage requirements"
including first annual capital plans, conduct stress tests, and capital adequacy "including
a tier one common risk-based capital ratio greater than 5 percent, under both expected
and stressed conditions" – see scenario analysis on this. A risk-based capital surcharge
Market liquidity, first based on the US's own "interagency liquidity risk-management
guidance issued in March 2010" that require liquidity stress tests and set internal quantitative
limits, later moving to a full Basel III regime - see below.
The Federal Reserve Board itself would conduct tests annually "using three economic and financial
market scenarios." Institutions would be encouraged to use at least five scenarios reflecting
improbable events, and especially those considered impossible by management, but no standards
apply yet to extreme scenarios. Only a summary of the three official Fed scenarios "including
company-specific information, would be made public" but one or more internal company-run
stress tests must be run each year with summaries published.
Single-counterparty credit limits to cut "credit exposure of a covered financial firm to a
single counterparty as a percentage of the firm's regulatory capital. Credit exposure
between the largest financial companies would be subject to a tighter limit."
"Early remediation requirements" to ensure that "financial weaknesses are addressed at
an early stage". One or more "triggers for remediation—such as capital levels, stress
test results, and risk-management weaknesses—in some cases calibrated to be forward-looking"
would be proposed by the Board in 2012. "Required actions would vary based on the severity of
the situation, but could include restrictions on growth, capital distributions, and executive
compensation, as well as capital raising or asset sales."
As of January 2014, the U.S. has been on track to implement many of the Basel III rules,
however differences remain in ratio requirements and calculations.
Key milestones Liquidity requirements
Analysis on Basel III impact Macroeconomic impact
An OECD study released on 17 February 2011, estimated that the medium-term impact of Basel
III implementation on GDP growth would be in the range of −0.05% to −0.15% per year.
Economic output would be mainly affected by an increase in bank lending spreads, as banks
pass a rise in bank funding costs, due to higher capital requirements, to their customers.
To meet the capital requirements originally effective in 2015 banks were estimated to
increase their lending spreads on average by about 15 basis points. Capital requirements
effective as of 2019 (7% for the common equity ratio, 8.5% for the Tier 1 capital ratio)
could increase bank lending spreads by about 50 basis points. The estimated effects on
GDP growth assume no active response from monetary policy. To the extent that monetary
policy would no longer be constrained by the zero lower bound, the Basel III impact on
economic output could be offset by a reduction (or delayed increase) in monetary policy rates
by about 30 to 80 basis points. Critics
Think-tanks such as the World Pensions Council (WPC) have argued that Basel III merely builds
on and further expands the existing Basel II regulatory base, without questioning fundamentally
its core tenets, notably the ever-growing reliance on standardized assessments of "credit
risk" marketed by two private sector agencies- Moody's and S&P, thus using public policy
to strengthen anti-competitive duopolistic practices.
Basel III has also been criticized by banks, organized in the Institute of International
Finance in Washington D.C. (an international association of global banks) with the argument
that it would hurt them and economic growth. OECD estimated that implementation of Basel
III would decrease annual GDP growth by 0.05–0.15%, blaming regulation as responsible for slow
recovery from the late-2000s financial crisis. Basel III was also criticized as negatively
affecting the stability of the financial system by increasing incentives of banks to game
the regulatory framework. The American Banker's Association, community banks organized in
the Independent Community Bankers of America, and some of the most liberal Democrats in
the U.S. Congress, including the entire Maryland congressional delegation with Democratic Sens.
Cardin and Mikulski and Reps. Van Hollen and Cummings, voiced opposition to Basel III in
their comments submitted to FDIC, saying that the Basel III proposals, if implemented, would
hurt small banks by increasing "their capital holdings dramatically on mortgage and small
business loans." Others have argued that Basel III did not go far enough to regulate banks
as inadequate regulation was a cause of the financial crisis. On 6 January 2013 the global
banking sector won a significant easing of Basel III Rules, when the Basel Committee
on Banking Supervision extended not only the implementation schedule to 2019, but broadened
the definition of liquid assets. Further studies
In addition to articles used for references (see References), this section lists links
to recent high-quality publicly available studies on Basel III. This section may be
updated frequently as Basel III is still under development.
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【國際情勢】巴塞爾協定3 (Basel III)

2686 分類 收藏
Jung Chen 發佈於 2015 年 10 月 22 日
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