[투자론] Basel 3 A global regulatory framework for more resilient banks and banking systems(영문)

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2011.10.13
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[투자론] Basel 3 A global regulatory framework for more resilient banks and banking systems(영문)에 대한 자료입니다.

Ⅰ. Introduction
Ⅱ. Strengthening the global capital framework
1. Raising the quality, consistency and transparency of the capital base
2. Enhancing risk coverage
3. Supplementing the risk-based capital requirement with a leverage ratio
4. Reducing procyclicality and promoting countercyclical buffers
a. Cyclicality of the minimum requirement
b. Forward looking provisioning
c. Capital conservation
d. Excess credit growth
5. Addressing systemic risk and interconnectedness
Ⅲ. Minimum capital requirements and buffers
1. Definition of capital
a. Components of capital
b. Detailed proposal
c. Transitional arrangements
2. Risk Coverage
a. Counterparty credit risk
b. Addressing reliance on external credit ratings and minimizing cliff effects
3. Capital conservation buffer
a. Capital conservation best practice
b. The framework
c. Transitional arrangements
4. Countercyclical buffer
a. Introduction
b. National countercyclical buffer
c. Extension of the capital conservation buffer
d. Frequency of calculation and disclosure
f. Transitional arrangements
5. Leverage ratio
a. Rationale and objective
b. Definition and calculation of the leverage ratio
c. Transitional arrangements

본문내용

The leverage ratio is calculated in a comparable manner across jurisdictions, adjusting for any differences in accounting standards. The Committee has designed the leverage ratio to be a credible supplementary measure to the risk-based requirement with a view to migrating to a Pillar 1 treatment based on appropriate review and calibration.

4. Reducing procyclicality and promoting countercyclical buffers

One of the most destabilising elements of the crisis has been the procyclical amplification of financial shocks throughout the banking system, financial markets and the broader economy. The tendency of market participants to behave in a procyclical manner has been amplified through a variety of channels, including through accounting standards for both mark-to-market assets and held-to-maturity loans, margining practices, and through the build up and release of leverage among financial institutions, firms, and consumers. The Basel Committee is introducing a number of measures to make banks more resilient to such procyclical dynamics. These measures will help ensure that the banking sector serves as a shock absorber, instead of a transmitter of risk to the financial system and broader economy.
In addition to the leverage ratio discussed in the previous section, the Committee is introducing a series of measures to address procyclicality and raise the resilience of the banking sector in good times. These measures have the following key objectives:

 •dampen any 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
 •achieve the broader macroprudential goal of protecting the banking sector from periods of excess credit growth.

a. Cyclicality of the minimum requirement
The Basel II framework increased the risk sensitivity and coverage of the regulatory capital requirement. Indeed, one of the most procyclical dynamics has been the failure of risk management and capital frameworks to capture key exposures – such as complex trading activities, resecuritisations and exposures to off-balance sheet vehicles – in advance of the crisis. However, it is not possible to achieve greater risk sensitivity across institutions at a given point in time without introducing a certain degree of cyclicality in minimum capital requirements over time. The Committee was aware of this trade-off during the design of the Basel II framework and introduced a number of safeguards to address excess cyclicality of the minimum requirement. They include the requirement to use long term data horizons to estimate probabilities of default, the introduction of so called downturn loss-given-default (LGD) estimates and the appropriate calibration of the risk functions, which convert loss estimates into regulatory capital requirements. The Committee also required that banks conduct stress tests that consider the downward migration of their credit portfolios in a recession.
In addition, the Committee has put in place a comprehensive data collection initiative to assess the impact of the Basel II framework on its member countries over the credit cycle. Should the cyclicality of the minimum requirement be greater than supervisors consider appropriate, the Committee will consider additional measures to dampen such cyclicality.
The Committee has reviewed a number of additional measures that supervisors could take to achieve a better balance between risk sensitivity and the stability of capital requirements, should this be viewed as necessary. In particular, the range of possible measures includes an approach by the Committee of European Banking Supervisors (CEBS) to use the Pillar 2 process to adjust for the compression of probability of default (PD) estimates in internal ratings-based (IRB) capital requirements during benign credit conditions by using the PD estimates for a bank’s portfolios in downturn conditions. Addressing the same issue, the UK Financial Services Authority (FSA) has proposed an approach aimed at providing non-cyclical PDs in IRB requirements through the application of a scalar that converts the outputs of a bank’s underlying PD models into through-the-cycle estimates.

b. Forward looking provisioning

23. The Committee is promoting stronger provisioning practices through three related initiatives. First, it is advocating a change in the accounting standards towards an expected loss (EL) approach. The Committee strongly supports the initiative of the IASB to move to an EL approach. The goal is to improve the usefulness and relevance of financial reporting for stakeholders, including prudential regulators. It has issued publicly and made available to the IASB a set of high level guiding principles that should govern the reforms to the replacement of IAS 39.

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