投影片 1 - Rutgers University
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Transcript 投影片 1 - Rutgers University
Risk Management Challenge for Basel Ⅱ& Ⅲ
Chau-Jung Kuo
Professor, Department of Finance, NSYSU
2011.7.8.
The 19th Annual Conference on PBFEAM
The Significant Differences Between
Basel Ⅲ and Basel Ⅱ
Basel Ⅲ proposes many new capital, leverage and liquidity
standards to strengthen the regulation, supervision and risk
management of the banking sector.
The capital standards and new capital buffers will require banks
to hold more capital and higher quality of capital than under
current Basel Ⅱ rules.
The new leverage and liquidity ratios introduce a non-risk based
measure to supplement the risk-based minimum capital
requirements and measures to ensure that adequate funding is
maintained in case of crisis.
1
Basel Ⅱ
Basel Ⅲ
Pillar I
Pillar Ⅱ
Pillar Ⅲ
Minimum
Capital
Requirements
Enhanced
Minimum
Capital,
Leverage and
Liquidity
Requirement
Supervisory
Review
Process
Enhanced
Supervisory Review
Process for Firmwide Risk
Management and
Capital Planning
Disclosure &
Market
Discipline
Enhanced Risk
Disclosure &
Market
Discipline
2
Some Key Elements for The New Regulations
Regulatory Element
Proposed Requirement
1. Higher Minimum Tier
I Capital Requirement
Tier I Capital Ratio: increases from 4% to 6%.
(The ratio will be set at 4.5% from 1. Jan. 2013, 5.5% from 1.
Jan. 2014 and 6% from 1. Jan 2015.)
Predominance of common equity will be reached 82.35% of
Tier I capital inclusive of capital conservation buffer.
2. New Capital
Conservation Buffer
Banks will be required to hold a capital conservation buffer of
2.5% to withstand future periods of stress bringing the total
common equity requirement to 7%.
(4.5% common equity requirement and the 2.5% capital
conservation buffer)
Banks that do not maintain the capital conservation buffer will
face restrictions on payouts of dividends, share buybacks and
bonuses.
3. Countercyclical
Capital Buffer
A countercyclical buffer within a range of 0% ~ 2.5% of
common equity or other fully loss absorbing capital will be
implemented according to national circumstances.
When in affect, this is an extension to the conservation buffer.
Source: Bank for International Settlements, Basel Committee on Banking Supervision.
3
Some Key Elements for The New Regulations (Cont’)
Regulatory Element
Proposed Requirement
4. Higher Minimum Tier I
Common Equity
Requirement
Tier I Common Equity Requirement increase from 2% to
4.5%
(The Ratio will be set at 3.5% from 1. Jan. 2013, 4% from 1.
Jan. 2014 and 4.5% from 1. Jan. 2015.)
5. Liquidity Standard
Liquidity Coverage Ratio: to ensure that sufficient high
quality liquid resources are available for one month survival
in case of a stress scenario introduced 1. Jan. 2015.
Net Stable Funding Ratio: to promote resiliency over longerterm time horizons by creating additional incentives for banks
to fund their activities with more stable sources of funding on
an ongoing structural basis.
Additional liquidity monitoring metrics focused on maturity
mismatch concentration of funding and available
unencumbered assets.
Source: Bank for International Settlements, Basel Committee on Banking Supervision.
4
Some Key Elements for The New Regulations (Cont’)
Regulatory Element
Proposed Requirement
6. Leverage Ratio
A supplemental 3% non-risk based leverage ratio which
serves as a backstop to the measures outlined above.
(Parallel run between 2013 ~ 2017; migration to Pillar I
from 1. Jan. 2018.)
7. Minimum Total Capital
Ratio
Remains at 8%.
The additional of the capital conservation buffer increases
the total amount of capital a bank must hold to 10.5% of
risk-weighted assets, of which 8.5% must be Tier I capital.
Tier Ⅱ capital instruments will be harmonized, Tier Ⅲ
capital will be phased out.
Source: Bank for International Settlements, Basel Committee on Banking Supervision.
5
Capital Impact of New Definition of Capital
Change in Change in
CET 1
Tier 1
Group 1
Group 2
-41.3%
-24.7%
-30.2%
-14.1%
Change in
Total
Capital
-26.8%
-16.6%
Change in
RWA
+7.3%
+3.2%
Average Capital Ratios Impact from the New Regulations
CET 1
Tier 1
Total
Gross
Net
Current
New
Current
New
Group 1
11.1%
5.7%
10.5%
6.3%
14.0%
8.4%
Group 2
10.7%
7.8%
9.8%
8.1%
12.8%
10.3%
* “Gross CET 1” is the ratio of gross CET 1 (without deductions) relative
to current risk-weighted assets. “Net” columns show net CET 1 (with
deductions) relative to new risk-weighted assets.
Source: BIS, “Results of the Comprehensive Quantitative Impact Study”,
6
Basel Committee on Banking Supervision, Dec. 2010.