2010年-ECB欧洲央行_Basel_III_8页_226kb

Basel III Summary

Core Content

Basel III is a comprehensive regulatory reform package introduced by the Basel Committee on Banking Supervision to strengthen the global banking system's resilience against financial shocks, following the 2007-2009 financial crisis. It focuses on improving the quality, consistency, and transparency of capital and liquidity regulations.

Main Elements of the Basel Committee's Reform Package

New Definition of Capital

• Core Tier 1 (CET1): Will only include common equity and retained earnings, with a minimum requirement of 4.5%.
• Additional Tier 1: Includes some preference shares and portions of minority interests, with a minimum requirement of 1.5%.
• Tier 2: Simplified by removing sub-categories, with no substantial changes. Minimum requirement is 2%.
• Tier 3: Abolished entirely.
• Transparency: Banks must disclose all regulatory capital elements and reconcile them to the balance sheet.

Eligibility of Specific Instruments

• Hybrid Instruments: Those with redemption incentives (e.g., "step-up clauses") are no longer eligible for Tier 1.
• Non-Joint Stock Issues: Cooperative shares may be eligible for CET1 if they meet substance-over-form criteria.
• Preferred Stock: Most preferential features disqualify it from CET1, but some perpetual preferred stock may remain in Additional Tier 1.
• Country-Specific Hybrids: Silent participations may need to be adapted to maintain eligibility.

Counterparty Credit Risk

• Capital Requirements: Calculated using stressed inputs, with additional charges for creditworthiness deterioration.
• Interconnectedness and Transparency: Addressed through higher risk weights, standardisation of instruments, and use of central counterparties.
• Impact on Solvency Ratio: Higher risk weights will affect the denominator of the solvency ratio, ensuring comprehensive risk coverage.

Potential Impact on Business Models

• Universal and Investment Banks: Likely to be most affected due to stricter conditions on minority interests, intangibles, and higher risk weights.
• Hybrid Instruments: Many may be excluded from CET1, impacting banks without direct access to capital markets.
• Emerging Economies: Investments requiring minority stakes may become less attractive due to non-eligibility of portions of minority interest.

Leverage Ratio

• Definition: A non-risk-based measure using Tier 1 capital as numerator and total exposures as denominator.
• Implementation: To be tested during 2013–2017, with potential introduction as a Pillar 1 requirement by 2018.
• Credit Conversion Factors (CCFs): Used to convert off-balance-sheet items into on-balance-sheet items, subject to review.

Counter-Cyclical Buffers

• Objective: To build capital buffers during good times to mitigate stress during periods of excessive credit growth.
• Minimum Buffer: 2.5% of CET1, potentially increased to 5% in stressed conditions.
• Implementation: To be introduced in 2015, with a gradual build-up and release.
• Cross-Border Coordination: Required to identify excesses and ensure timely buffer adjustments.

Liquidity Framework

Liquidity Coverage Ratio (LCR)

• Purpose: Ensure banks have sufficient high-quality liquid assets (HQLA) to withstand a 30-day stress scenario.
• Stress Scenario: Includes credit rating downgrades, deposit runs, and loss of wholesale funding.
• Liquid Assets: Divided into Level 1 and Level 2, with Level 1 comprising 0% risk-weighted assets and Level 2 up to 40% of total HQLA, subject to a 15% haircut.

Net Stable Funding Ratio (NSFR)

• Purpose: Ensure long-term assets are funded by stable liabilities and equity.
• Weighting Factors: Reflect the stability of funding sources, with stable retail deposits receiving a 90% weighting factor.
• Implementation: To be introduced in 2015, with a focus on long-term funding alignment.

Impact on Financial Markets and Monetary Policy

• Market Behavior: Banks may prefer liquid assets, affecting yields and spreads.
• Short-Term Funding: Reduced reliance on short-term unsecured wholesale funding may impact money market activity.
• Central Bank Liquidity: Rules may affect the demand for central bank liquidity, with potential shifts in participation in open market operations.
• Monitoring: Requires close attention to the implications for monetary policy transmission.

Calibration and Phase-In Arrangements

• Capital Requirements: CET1 minimum increases from 2% to 4.5%, with an additional 2.5% conservation buffer.
• Implementation Timeline:
  • CET1 requirements and buffers: Effective from 1 January 2013, fully implemented by 2019.
  • Leverage ratio: Tested from 2013–2017, potential introduction as Pillar 1 by 2018.
  • LCR and NSFR: Introduced in 2015 and 2018 respectively.
• Grandfathering: Existing public sector capital injections are grandfathered until 2018.
• Transition Period: Banks have a ten-year period to replace non-eligible instruments issued before 12 September 2010.

Conclusion

Basel III represents a significant overhaul of global banking regulations, aimed at enhancing resilience and transparency. The reform includes stricter capital definitions, liquidity requirements, and buffer mechanisms. The phased implementation allows for adjustment without causing undue short-term disruption. The long-term benefits include a reduced frequency of financial crises, while the impact on financial markets and monetary policy will be closely monitored. The framework was endorsed by G20 leaders and is expected to be finalized and published by the Basel Committee in December 2010.