巴塞尔新资本协议概述(英文)

Basel Committee on Banking Supervision Consultative Document Overview of The New Basel Capital Accord Issued for comment by 31 July 2003 April 2003 Introduction 1. The Basel Committee on Banking Supervision (the Committee) is releasing this overview paper as an accompaniment to its third consultative paper (CP3) on the New Basel Capital Accord (also known as Basel II). The issuance of CP3 represents an important step in putting the new capital adequacy framework in place. The Committee’s goal continues to be to finalise the New Accord by the fourth quarter of this year with implementation to take effect in member countries by year‑end 2006. 2. The Committee believes that important public policy benefits can be obtained by improving the capital adequacy framework along two important dimensions. First, by developing capital regulation that encompasses not only minimum capital requirements, but also supervisory review and market discipline. Second, by increasing substantially the risk sensitivity of the minimum capital requirements. 3. An improved capital adequacy framework is intended to foster a strong emphasis on risk management and to encourage ongoing improvements in banks’ risk assessment capabilities. The Committee believes this can be accomplished by closely aligning banks’ capital requirements with prevailing modern risk management practices, and by ensuring that this emphasis on risk makes its way into supervisory practices and into market discipline through enhanced risk- and capital-related disclosures. 4. A critical component of the Committee’s efforts to revise the Basel Accord has been its extensive dialogue with industry participants and with supervisors from outside member countries. As a result of these consultations, the Committee believes the new framework with its various options will be suitable not only within the G10 but also for banks and for countries around the world to apply to their banking systems. 5. An equally important aspect to the Committee’s work has been the feedback received from banks participating in its impact studies. The aim of these studies has been to gather information from banks worldwide on the impact of the capital proposals on their existing portfolios. In particular, the Committee recognises the tremendous effort of the more than 350 banks of varying size and levels of complexity from more than 40 countries that participated in the most recent quantitative exercise known as QIS 3. As discussed in a separate paper, the QIS 3 results confirmed that the framework as currently calibrated produces capital requirements broadly consistent with the Committee’s objectives. 6. This overview paper is structured in two parts. The first part provides a summary of the new capital adequacy framework and also touches upon implementation considerations. It is targeted to readers that would like to increase their familiarity with the options available to banks in Basel II. The second part is more technical in nature. It outlines the specific modifications to the New Accord relative to the proposals embodied in the QIS 3 Technical Guidance released in October 2002. Part I: Key Elements of the New Accord 7. The New Accord consists of three pillars: (1) minimum capital requirements, (2) supervisory review of capital adequacy, and (3) public disclosure. The proposals comprising each of the three pillars are summarised below. Pillar 1: Minimum capital requirements 8. While the proposed New Accord differs from the current Accord along a number of dimensions, it is important to begin with a description of elements that have not changed. The current Accord is based on the concept of a capital ratio where the numerator represents the amount of capital a bank has available and the denominator is a measure of the risks faced by the bank and is referred to as risk-weighted assets. The resulting capital ratio may be no less than 8%. 9. Under the proposed New Accord, the regulations that define the numerator of the capital ratio (i.e. the definition of regulatory capital) remain unchanged. Similarly, the minimum required ratio of 8% is not changing. The modifications, therefore, are occurring in the definition of risk-weighted assets, that is in the methods used to measure the risks faced by banks. The new approaches for calculating risk-weighted assets are intended to provide improved bank assessments of risk and thus to make the resulting capital ratios more meaningful. 10. The current Accord explicitly covers only two types of risks in the definition of risk-weighted assets: (1) credit risk and (2) market risk. Other risks are presumed to be covered implicitly through the treatments of these two major risks. The treatment of market risk arising from trading activities was the subject of the Basel Committee’s 1996 Amendment to the Capital Accord. The proposed New Accord envisions this treatment remaining unchanged. 11. The pillar one proposals to modify the definition of risk-weighted assets in the New Accord have two primary elements: (1) substantive changes to the treatment of credit risk relative to the current Accord; and (2) the introduction of an explicit treatment of operational risk that will result in a measure of operational risk being included in the denominator of a bank’s capital ratio. The discussions below will focus on these two elements in turn. 12. In both cases, a major innovation of the proposed New Accord is the introduction of three distinct options for the calculation of credit risk and three others for operational risk. The Committee believes that it is not feasible or desirable to insist upon a one-size-fits-all approach to the measurement of either risk. Instead, for both credit and operational risk, there are three approaches of increasing risk sensitivity to allow banks and supervisors to select the approach or approaches that they believe are most appropriate to the stage of development of banks’ operations and of the financial market infrastructure. The following table identifies the three primary approaches available by risk type. Credit Risk Operational Risk (1) Standardised Approach (1) Basic Indicator Approach (2) Foundation IRB Approach (2) Standardised Approach (3) Advanced IRB Approach (3) Advanced Measurement Approaches (AMA) Standardised approach to credit risk 13. The standardised approach is similar to the current Accord in that banks are required to slot their credit exposures into supervisory categories based on observable characteristics of the exposures (e.g. whether the exposure is a corporate loan or a residential mortgage loan). The standardised approach establishes fixed risk weights corresponding to each supervisory category and makes use of external credit assessments to enhance risk sensitivity compared to the current Accord. The risk weights for sovereign, interbank, and corporate exposures are differentiated based on external credit assessments. For sovereign exposures, these credit assessments may include those developed by OECD export credit agencies, as well as those published by private rating agencies. 14. The standardised approach contains guidance for use by national supervisors in determining whether a particular source of external ratings should be eligible for banks to use. The use of external ratings for the evaluation of corporate exposures, however, is considered to be an optional element of the framework. Where no external rating is applied to an exposure, the standardised approach mandates that in most cases a risk weighting of 100% be used, implying a capital requirement of 8% as in the current Accord. In such instances, supervisors are to ensure that the capital requirement is adequate given the default experience of the exposure type in question. An important innovation of the standardised approach is the requirement that loans considered past-due be risk weighted at 150%, unless a threshold amount of specific provisions has already been set aside by the bank against that loan. 15. Another important development is the expanded range of collateral, guarantees, and credit derivatives that banks using the standardised approach may recognise. Collectively, Basel II refers to these instruments as credit risk mitigants. The standardised approach expands the range of eligible collateral beyond OECD sovereign issues to include most types of financial instruments, while setting out several approaches for assessing the degree of capital reduction based on the market risk of the collateral instrument. Similarly, the standardised approach expands the range of recognised guarantors to include all firms that meet a threshold external credit rating. 16. The standardised approach also includes a specific treatment for retail exposures. The risk weights for residential mortgage exposures are being reduced relative to the current Accord, as are those for other retail exposures, which will now receive a lower risk weight than that for unrated corporate exposures. In addition, some loans to small- and medium-sized enterprises (SMEs) may be included within the retail treatment, subject to meeting various criteria. 17. By design the standardised approach draws a number of distinctions between exposures and transactions in an effort to improve the risk sensitivity of the resulting capital ratios. The same can also be said of the IRB approaches to credit risk and those for assessing the capital requirement for operational risk where capital requirements are more closely linked to risk. In order to assist banks and national supervisors where circumstances may not warrant a broad range of options, the Committee has developed the ‘simplified standardised approach’ outlined in Annex 9 of CP3. The annex collects in one place the simplest options for calculating risk weighted assets. Banks intending to adopt the simplified standardised methods are also expected to comply with the corresponding supervisory review and market discipline requirements of the New Accord. Internal ratings-based (IRB) approaches 18. One of the most innovative aspects of the New Accord is the IRB approach to credit risk, which includes two variants: a foundation version and an advanced version. The IRB approach differs substantially from the standardised approach in that banks’ internal assessments of key risk drivers serve as primary inputs to the capital calculation. Because the approach is based on banks’ internal assessments, the potential for more risk sensitive capital requirements is substantial. However, the IRB approach does not allow banks themselves to determine all of the elements needed to calculate their own capital requirements. Instead, the risk weights and thus capital charges are determined through the combination of quantitative inputs provided by banks and formulas specified by the Committee. 19. The formulas, or risk weight functions, translate a bank’s inputs into a specific capital requirement. They are based on modern risk management techniques that involve a statistical and thus quantitative assessment of risk. Ongoing dialogue with industry participants has confirmed that use of such methods represents an important step forward for developing a meaningful assessment of risk at the largest most complex banking organisations in today’s market. 20. The IRB approaches cover a wide range of portfolios with the mechanics of the capital calculation varying somewhat across exposure types. The remainder of this section highlights the differences between the foundation and advanced IRB approaches by portfolio, where applicable. Corporate, bank and sovereign exposures 21. The IRB calculation of risk-weighted assets for exposures to sovereigns, banks, or corporate entities uses the same basic approach. It relies on four quantitative inputs: (1) Probability of default (PD), which measures the likelihood that the borrower will default over a given time horizon; (2) Loss given default (LGD), which measures the proportion of the exposure that will be lost if a default occurs; (3) Exposure at default (EAD), which for loan commitments measures the amount of the facility that is likely to be drawn if a default occurs; and (4) Maturity (M), which measures the remaining economic maturity of the exposure. 22. Given a value for each of these four inputs, the corporate IRB risk-weight function described in CP3 produces a specific capital requirement for each exposure. In addition, for exposures to SME borrowers defined as those with annual sales of less than 50 million of Euros, banks will be permitted to make use of a firm size adjustment to the corporate IRB risk weight formula. 23. The foundation and advanced IRB approaches differ primarily in terms of the inputs that are provided by the bank based on its own estimates and those that have been specified by the supervisor. The following table summarises these differences. Data Input Foundation IRB Advanced IRB Probability of default (PD) Provided by bank based on own estimates Provided by bank based on own estimates Loss given default (LGD) Supervisory values set by the Committee Provided by bank based on own estimates Exposure at default (EAD) Supervisory values set by the Committee Provided by bank based on own estimates Maturity (M) Supervisory values set by the Committee or At national discretion, provided by bank based on own estimates (with an allowance to exclude certain exposures) Provided by bank based on own estimates (with an allowance to exclude certain exposures) 24. The table makes clear that for corporate, sovereign, and interbank exposures, all IRB banks must provide internal estimates of PD. In addition, advanced IRB banks must provide internal estimates of LGD and EAD, while foundation IRB banks will make use of supervisory values contained in CP3 that depend on the nature of the exposure. Advanced IRB banks will generally provide their own estimates of remaining maturity for these exposures, although there are some exceptions where supervisors can allow fixed maturity assumptions to be used instead. For foundation IRB banks, supervisors can choose on a national basis whether all such banks are to apply fixed maturity assumptions described in CP3 or to provide their own estimates of remaining maturity. 25. Another major element of the IRB framework pertains to the treatment of credit risk mitigants, namely, collateral, guarantees and credit derivatives. The IRB framework itself, particularly the LGD parameter, provides a great deal of flexibility to assess the potential value of credit risk mitigation techniques. For foundation IRB banks, therefore, the different supervisory LGD values provided in CP3 reflect the presence of different types of collateral. Advanced IRB banks have even greater flexibility to assess the value of different types of collateral. With respect to transactions involving financial collateral, the IRB approach seeks to ensure that banks are using a recognised approach to assessing the risk that such collateral could change in value, and thus a specific set of methods is provided, as in the standardised approach. Retail exposures 26. For retail exposures, there is only a single, advanced IRB approach and no foundation IRB alternative. The key inputs to the IRB retail formulas are PD, LGD and EAD, all of which are to be provided by the bank based on its internal estimates. In contrast to the IRB approach for corporate exposures, these values would not be estimated for individual exposures, but instead for pools of similar exposures. 27. In light of the fact that retail exposures address a broad range of products with each exhibiting different historical loss experiences, the framework divides retail exposures into three primary categories: (1) exposures secured by residential mortgages, (2) qualifying revolving retail exposures (QRRE), and (3) other non-mortgage exposures also known as ‘other retail.’ Generally speaking, the QRRE category captures unsecured revolving credits that exhibit appropriate loss characteristics, which would include many credit card relationships. All other non-mortgage consumer lending including exposures to small businesses falls into the ‘other retail’ category. A separate risk-weight formula for each of the three categories is provided in CP3. Specialised lending 28. Basel II distinguishes several sub-categories of wholesale lending from other forms of corporate lending and refers to them as specialised lending. The term specialised lending is associated with the financing of individual projects where the repayment is highly dependent on the performance of the underlying pool or collateral. For all but one of the specialised lending sub-categories, if banks can meet the minimum criteria for the estimation of the relevant data inputs, they can simply use the corporate IRB framework to calculate the risk weights for these exposures. However, in recognition that the hurdles for meeting these criteria for this set of exposures may be more difficult in practice, CP3 also includes an additional option that only requires that a bank be able to classify such exposures into five distinct quality grades. CP3 provides a specific risk weight for each of these grades. 29. For one sub-category of specialised lending, ‘high volatility commercial real estate’ (HVCRE), IRB banks that can estimate the required data inputs will use a separate risk-weight formula that is more conservative than the general corporate risk-weight formula in light of the risk characteristics of this type of lending. Banks that cannot estimate the required inputs will classify their HVCRE exposures into five grades, for which CP3 also provides specific risk weights. Equity exposures 30. IRB banks will be required to separately treat their equity exposures. Two distinct approaches are described in CP3. One approach builds on the PD/LGD approach for corporate exposures and requires banks to provide own PD estimates for the associated equity exposures. This approach, however, mandates the use of a 90% LGD value and also imposes various other limitations, including a minimum risk weight of 100% in many circumstances. The other approach is intended to provide banks with the opportunity to model the potential decrease in the market value of their equity holdings over a quarterly holding period. A simplified version of this approach with fixed risk weights for public and private equities is also included. Implementation of IRB 31. By relying on internally generated inputs to the Basel II risk weight functions, there is bound to be some variation in the way in which the IRB approach is carried out. To ensure significant comparability across banks, the Committee has established minimum qualifying criteria for use of the IRB approaches that cover the comprehensiveness and integrity of banks’ internal credit risk assessment capabilities. While banks using the advanced IRB approach will have greater flexibility relative to those relying on the foundation IRB approach, at the same time they must also satisfy a more stringent set of minimum standards. 32. The Committee believes that banks’ internal rating systems should accurately and consistently differentiate between different degrees of risk. The challenge is for banks to define clearly and objectively the criteria for their rating categories in order to provide meaningful assessments of both individual credit exposures and ultimately an overall risk profile. A strong control environment is another important factor for ensuring that banks’ rating systems perform as intended and the resulting ratings are accurate. An independent ratings process, internal review and transparency are control concepts addressed in the minimum IRB standards. 33. Clearly, an internal rating system is only as good as its inputs. Accordingly, banks usi