Basel Committee on Banking Supervision
Consultative Document
Basel III: The Net Stable
Funding Ratio Issued for comment by 11 April 2014
January 2014
This publication is available on the BIS website (https://www.doczj.com/doc/692055870.html,).
? Bank for International Settlements 2014. All rights reserved. Brief excerpts may be reproduced or translated provided the source is stated.
ISBN 92-9131-370-X (print)
ISBN 92-9197-370-X (online)
Contents
I. Introduction (1)
II. Definition and minimum requirements (2)
A.Definition of available stable funding (3)
B.Definition of required stable funding for assets and off-balance sheet exposures (6)
Annex 1 Key changes from the Net Stable Funding Ratio published in December 2010 (11)
Basel III: The Net Stable Funding Ratio iii
I. Introduction
1. This document presents the Net Stable Funding Ratio (NSFR), one of the Basel Committee’s key reforms to promote a more resilient banking sector. The NSFR will require banks to maintain a stable funding profile in relation to the composition of their assets and off-balance sheet activities. A sustainable funding structure is intended to reduce the likelihood that disruptions to a bank’s regular sources of funding will erode its liquidity position in a way that would increase the risk of its failure and potentially lead to broader systemic stress. The NSFR limits overreliance on short-term wholesale funding, encourages better assessment of funding risk across all on- and off-balance sheet items, and promotes funding stability. This document sets out the proposed NSFR standard and timelines for its implementation.
2. Maturity transformation performed by banks is a crucial part of financial intermediation that contributes to efficient resource allocation and credit creation. However, private incentives to limit excessive reliance on unstable funding of core (often illiquid) assets are weak. Just as banks may have private incentives to increase leverage, incentives arise for banks to expand their balance sheets, often very quickly, relying on relatively cheap and abundant short-term wholesale funding. Rapid balance sheet growth can weaken the ability of individual banks to respond to liquidity (and solvency) shocks when they occur, and can have systemic implications when banks fail to internalise the costs associated with large funding gaps. A highly interconnected financial system tends to exacerbate these spillovers.
3. During the early liquidity phase of the financial crisis starting in 2007, many banks – despite meeting the existing capital requirements – experienced difficulties because they did not prudently manage their liquidity. The crisis drove home the importance of liquidity to the proper functioning of financial markets and the banking sector. Prior to the crisis, asset markets were buoyant and funding was readily and cheaply available. The rapid reversal in market conditions showed how quickly liquidity can dry up and also how long it can take to come back. The banking system came under severe stress, forcing central banks to take action in support of both the functioning of money markets and, in some cases, individual institutions.
4. The difficulties experienced by some banks arose from failures to observe the basic principles of liquidity risk management. In response, the Committee in 2008 published Principles for Sound Liquidity Risk Management and Supervision (“Sound Principles”)as the foundation of its liquidity framework.1 The Sound Principles offer detailed guidance on the risk management and supervision of funding liquidity risk and should help promote better risk management in this critical area, provided that they are fully implemented by banks and supervisors. The Committee will accordingly continue to monitor the implementation of these principles by supervisors to ensure that banks in their jurisdictions adhere to these fundamental principles.
5. The Committee has further strengthened its liquidity framework by developing two minimum standards for funding and liquidity. These standards are designed to achieve two separate but complementary objectives. The first is to promote the short-term resilience of a bank’s liquidity risk profile by ensuring that it has sufficient High Quality Liquid Assets (HQLA) to survive a significant stress scenario lasting for 30 days. To this end, the Committee has developed the Liquidity Coverage Ratio (LCR).2 The second objective is to reduce funding risk over a longer time horizon by requiring 1The Sound Principles are available at https://www.doczj.com/doc/692055870.html,/publ/bcbs144.htm.
2See Basel III: The Liquidity Coverage Ratio and liquidity risk monitoring tools, January 2013, which can be found at https://www.doczj.com/doc/692055870.html,/publ/bcbs238.htm.
Basel III: The Net Stable Funding Ratio 1
banks to fund their activities with sufficiently stable sources of funding in order to mitigate the risk of future funding stress. To meet this second objective, the Committee has developed the NSFR.
6. In 2010, the Committee undertook to review the development of the NSFR over an observation period. The focus of this review was on addressing any unintended consequences for financial market functioning and the economy, and on improving the design with respect to several key issues, notably: (i) the impact on retail business activities; (ii) the treatment of short-term matched funding of assets and liabilities; and (iii) analysis of sub-one year buckets for both assets and liabilities. Based on this review, the Committee is proposing modifications to the NSFR, which are summarised in Annex 1.
7. In line with the timeline specified in the 2010 publication of the liquidity risk framework, it remains the Committee’s intention that the NSFR, including any revisions, will become a minimum standard by 1 January 2018.3
II. Definition and minimum requirements
8. The NSFR is defined as the amount of available stable funding relative to the amount of required stable funding. This ratio should be equal to at least 100% on an on-going basis. “Available stable funding” is defined as the portion of capital and liabilities expected to be reliable over the time horizon considered by the NSFR, which extends to one year. The amount of such stable funding required of a specific institution is a function of the liquidity characteristics and residual maturities of the various assets held by that institution as well as those of its off-balance sheet (OBS) exposures.
Available amount of stable funding
≥ 100%
Required amount of stable funding
9. The NSFR consists primarily of internationally agreed upon definitions and calibrations. Some elements, however, remain subject to national discretion to reflect jurisdiction-specific conditions. In these cases, national discretion should be explicit and clearly outlined in the regulations of each jurisdiction.
10. As a key component of the supervisory approach to funding risk, the NSFR must be supplemented by supervisory assessment work. Supervisors may require an individual bank to adopt more stringent standards to reflect its funding risk profile and the supervisor’s assessment of its compliance with the Sound Principles.
11. The amounts of available and required stable funding specified in the standard are calibrated to reflect the presumed degree of stability of liabilities and liquidity of assets.
12. The calibration reflects the stability of liabilities across two dimensions:
(a) Funding tenor – The NSFR is generally calibrated such that longer-term liabilities are assumed
to be more stable than short-term liabilities.
(b) Funding type and counterparty – The NSFR is calibrated under the assumption that short-term
(maturing in less than one year) deposits provided by retail customers and funding provided
3See Basel III: International framework for liquidity risk measurement, standards and monitoring, December 2010, available at https://www.doczj.com/doc/692055870.html,/publ/bcbs188.pdf.
2Basel III: The Net Stable Funding Ratio
by small business customers is behaviourally more stable than wholesale funding of the same
maturity from other counterparties.
13. In determining the appropriate amounts of required stable funding for various assets, the following criteria were taken into consideration, recognising the potential trade-offs between these criteria:
(a) Resilient credit creation – The NSFR requires stable funding for some proportion of lending to
the real economy in order to ensure the continuity of this type of intermediation.
(b) Bank behaviour – The NSFR is calibrated under the assumption that banks may seek to roll
over a significant proportion of maturing loans to preserve customer relationships.
(c) Asset tenor– The NSFR assumes that some short-dated assets (maturing in less than one
year) require a smaller proportion of stable funding because banks would be able to allow
some proportion of those assets to mature instead of rolling them over.
(d) Asset quality and liquidity value – The NSFR assumes that unencumbered, high-quality assets
that can be securitised or traded, and thus can be readily used as collateral to secure
additional funding or sold in the market, do not need to be wholly financed with stable
funding.
14. Additional stable funding sources are also required to support at least a small portion of the potential calls on liquidity arising from OBS commitments and contingencies.
15. NSFR definitions mirror those outlined in the LCR, unless otherwise specified. As in the LCR, the application of the NSFR follows the existing scope of application set out in Part I (Scope of Application) of the Basel II framework.4
A. Definition of available stable funding
16. The amount of available stable funding (ASF) is measured based on the broad characteristics of the relative stability of an institution’s funding sources, including the contractual maturity of its liabilities and the differences in the propensity of different types of funding providers to withdraw their funding. The amount of ASF is calculated by first assigning the carrying value of an institution’s capital and liabilities to one of five categories as presented below. The amount assigned to each category is then multiplied by an ASF factor, and the total ASF is the sum of the weighted amounts. Carrying value represents the amount at which a liability or equity instrument is recorded before the application of any regulatory deductions, filters or other adjustments.
17. When determining the maturity of an equity or liability instrument, investors are assumed to redeem a call option at the earliest possible date. For funding with options exercisable at the bank’s discretion, banks should assume that they will be exercised at the earliest possible date unless the bank can demonstrate to its supervisor’s satisfaction that the bank would not exercise this option under any circumstances. For long-dated liabilities, only the portion of cash flows falling at or beyond the six-month and one-year time horizons should be treated as having an effective residual maturity of six months or more and one year or more, respectively.
4See BCBS, International Convergence of Capital Measurement and Capital Standards: A Revised Framework – Comprehensive Version,June 2006 (“Basel II Framework”), available at https://www.doczj.com/doc/692055870.html,/publ/bcbs128.htm.
Basel III: The Net Stable Funding Ratio 3
Liabilities and capital receiving a 100% ASF factor
18. Liabilities and capital instruments receiving a 100% ASF factor comprise:
(a) The total amount of regulatory capital, before the application of capital deductions, as
defined in paragraph 49 of the Basel III text,5 excluding the proportion of Tier 2 instruments
with residual maturity of less than one year;
(b) The total amount of any capital instrument not included in (a) that has an effective residual
maturity of one year or more excluding any instruments with explicit or embedded options
that, if exercised, would reduce the expected maturity to less than one year; and
(c) The total amount of secured and unsecured borrowings and liabilities (including term
deposits) with effective residual maturities of one year or more. Cash flows falling below the
one-year horizon but arising from liabilities with a final maturity greater than one year should
not qualify for the 100% ASF factor.
Liabilities receiving a 95% ASF factor
19. Liabilities receiving a 95% ASF factor comprise “stable” (as defined in the LCR in paragraphs 75–78) non-maturity (demand) deposits and/or term deposits with residual maturities of less than one year provided by retail and small- and medium-sized entity (SME) customers.6
Liabilities receiving a 90% ASF factor
20. Liabilities receiving a 90% ASF factor comprise “less stable” (as defined in the LCR in paragraphs 79–81) non-maturity (demand) deposits and/or term deposits with residual maturities of less than one year provided by retail and SME customers.
Liabilities receiving a 50% ASF factor
21. Liabilities receiving a 50% ASF factor comprise:
(a) Funding (secured and unsecured) with a residual maturity of less than one year provided by
non-financial corporate customers;
(b) Operational deposits (as defined in LCR paragraphs 93–104);
(c) Funding with residual maturity of less than one year from sovereigns, public sector entities
(PSEs), and multilateral and national development banks; and
(d) Other funding (secured and unsecured) not included in the categories above with residual
maturity of not less than six months and less than one year, including funding from central
banks and financial institutions.
Liabilities receiving 0% ASF factor
22. Liabilities receiving a 0% ASF factor comprise:
5Capital instruments reported here should meet all requirements outlined in, Basel III: A global regulatory framework for more resilient banks and banking systems, https://www.doczj.com/doc/692055870.html,/publ/bcbs189.pdf, and should only include amounts after transitional arrangements have expired under fully implemented Basel III standards (ie as in 2022).
6Retail deposits are defined in LCR paragraph 73. SMEs are defined in paragraph 273 of the Basel II framework; see BCBS, International Convergence of Capital Measurement and Capital Standards: A Revised Framework – Comprehensive Version June 2006, available at https://www.doczj.com/doc/692055870.html,/publ/bcbs128.htm.
4Basel III: The Net Stable Funding Ratio
(a) All other liabilities and equity categories not included in the above categories, including other
funding with residual maturity of less than six months from central banks and financial institutions;7 and
(b) Other liabilities without a stated maturity. This category may include short positions and open
maturity positions. Two exceptions can be recognised for liabilities without a stated maturity: ?first, deferred tax liabilities, which should be treated according to the nearest possible date on which such liabilities could be realised, and
?second, minority interest, which should be treated according to the term of the instrument, usually in perpetuity.
These liabilities would then be assigned either a 100% ASF factor if the effective maturity is one year or greater, or 50%, if the effective maturity is no less than six months and less than one year; and
(c) Derivatives payable net of derivatives receivable if payables are greater than receivables. A
bank will usually have both net derivatives liabilities (ie payables) and net derivatives assets (ie receivables) on its balance sheet. Banks should deduct any net payable from any net receivable and the outcome is allocated 100% RSF if it is a net receivable or 0% ASF if it is a net payable position. During the consultative period, the Basel Committee will continue to evaluate alternative treatments for derivatives within the NSFR.
23. Table 1 below summarises the components of each of the ASF categories and the associated maximum ASF factor to be applied in calculating an institution’s total amount of available stable funding under the standard.
Summary of Liability Categories and associated ASF factors Table 1 ASF factor Components of ASF category
100% ?Total regulatory capital
?Other capital instruments and liabilities with effective residual maturity of one year or more
95% ?Stable non-maturity (demand) deposits and term deposits with residual maturity of less than one year provided by retail and SME customers
90% ?Less stable non-maturity deposits and term deposits with residual maturity of less than one
year provided by retail and SME customers
50% ?Funding with residual maturity of less than one year provided by non-financial corporate customers
?Operational deposits
?Funding with residual maturity of less than one year from sovereigns, public sector entities (PSEs), and multilateral and national development banks
?Other funding with residual maturity of not less than six months and less than one year not included in the above categories, including funding provided by central banks and financial institutions
0% ?All other liabilities and equity not included in above categories, including liabilities without a stated maturity
?Derivatives payable net of derivatives receivable if payables are greater than receivables
7At the discretion of national supervisors, a possible exception to this treatment is for stable deposits from cooperative banks that are required by law in some jurisdictions to be placed at the central organisation and are legally constrained within the cooperative bank network as minimum deposit requirements.
Basel III: The Net Stable Funding Ratio 5
B. Definition of required stable funding for assets and off-balance sheet
exposures
24. The amount of required stable funding is measured based on the broad characteristics of the liquidity risk profile of an institution’s assets and OBS exposures. The amount of required stable funding is calculated by first assigning the carrying value of an institution’s assets to the categories listed. The amount assigned to each category is then multiplied by its associated required stable funding (RSF) factor and the total RSF is the sum of the weighted amounts added to the amount of OBS activity (or potential liquidity exposure) multiplied by its associated RSF factor. Definitions mirror those outlined in the LCR, unless otherwise specified.8
25. The RSF factors assigned to various types of assets are parameters intended to approximate the amount of a particular asset that would have to be funded, either because it will be rolled over, or because it could not be monetised through sale or used as collateral in a secured borrowing transaction over the course of one year without significant expense. Under the standard, such amounts are expected to be supported by stable funding.
26. Assets should be allocated to the appropriate RSF factor based on their residual maturity or liquidity value. When determining the maturity of an instrument, investors should be assumed to exercise any option to extend maturity. For amortising loans, the portion that comes due within the one-year horizon can be treated in the less than a year residual maturity category.
Encumbered assets
27. Assets on the balance sheet that are encumbered9 for one year or more receive a 100% RSF factor. Assets encumbered for a period of six months or more and less than one year that would, if unencumbered, receive an RSF factor lower than or equal to 50%, receive a 50% RSF factor. Assets encumbered for six months or more and less than one year that would, if unencumbered, receive an RSF factor higher than 50%, retain that higher RSF factor. Where assets have less than six months remaining in the encumbrance period, those assets may receive the same RSF factor as an equivalent asset that is unencumbered. In addition, for the purposes of calculating the NSFR, assets that are encumbered for central bank liquidity operations may also receive the same RSF factor as a similar asset that is unencumbered.
Secured financing transactions
28. For secured funding arrangements, use of balance sheet and accounting treatments should generally result in banks excluding, from their assets, securities which they have borrowed in securities financing transactions (such as reverse repos and collateral swaps) where they do not have beneficial ownership. In contrast, banks should include securities they have lent in securities financing transactions where they retain beneficial ownership. Banks should also not include any securities they have received through collateral swaps if those securities do not appear on their balance sheets. Where banks have encumbered securities in repos or other securities financing transactions, but have 8For the purposes of calculating the NSFR, HQLA are defined as all HQLA without regard to LCR operational requirements and LCR caps on Level 2 and Level 2B assets that may otherwise limit the ability of some HQLA to be included as eligible HQLA in calculation of the LCR. HQLA are defined in LCR paragraphs 24 to 54. Operational requirements are specified in LCR paragraphs 28 to 43.
9Encumbered assets include but are not limited to assets backing securities or covered bonds. Unencumbered means free of legal, regulatory, contractual or other restrictions on the ability of the bank to liquidate, sell, transfer or assign the asset. 6Basel III: The Net Stable Funding Ratio
retained beneficial ownership and those assets remain on the bank’s balance sheet, the bank should allocate such securities to the appropriate RSF category.
Assets assigned a 0% RSF factor
29. Assets assigned a 0% RSF factor comprise:
(a) Coins and banknotes immediately available to meet obligations;
(b) All central bank reserves (including required reserves and excess reserves); and
(c) All unencumbered loans to banks subject to prudential supervision (including interbank
placements) with residual maturities of less than six months.
Assets assigned a 5% RSF factor
30. Assets assigned a 5% RSF factor comprise unencumbered Level 1 assets as defined in LCR paragraph 50, excluding assets receiving a 0% RSF as specified above, and including:
?marketable securities representing claims on or guaranteed by sovereigns, central banks, PSEs, the Bank for International Settlements, the International Monetary Fund, the European
Central Bank and European Community, or multilateral development banks that are assigned
a 0% risk-weight under the Basel II Standardised Approach for credit risk; and
?certain non-0% risk-weighted sovereign or central bank debt securities as specified in the LCR.
Assets assigned a 15% RSF factor
31. Assets assigned a 15% RSF factor comprise unencumbered Level 2A assets as defined in LCR paragraph 52, including:
?Marketable securities representing claims on or guaranteed by sovereigns, central banks, PSEs or multilateral development banks that are assigned a 20% risk weight under the Basel II
Standardised Approach for credit risk; and
?Corporate debt securities (including commercial paper) and covered bonds with a credit rating equal or equivalent to at least AA–.
Assets assigned a 50% RSF factor
32. Assets assigned a 50% RSF factor comprise:
(a) Unencumbered Level 2B assets as defined and subject to the conditions set forth in LCR
paragraph 54, including:
?residential mortgage-backed securities (RMBS) with a rating of at least AA;
?corporate debt securities (including commercial paper) with a credit rating of between A+ and BBB–; and
?exchange-traded common equity shares not issued by financial institutions or their affiliates.
(b) Any HQLA as defined in the LCR that are encumbered for a period of six months or more and
less than one year;
(c) All loans to banks subject to prudential supervision with residual maturity of six months or
more and less than one year; and
(d) Deposits held at other financial institutions for operational purposes, as outlined in LCR
paragraphs 93–104, that are subject to the 50% ASF factor in paragraph 21 (b); and
Basel III: The Net Stable Funding Ratio 7
(e) All other non-HQLA not included in the above categories that have a residual maturity of less
than one year, including loans to non-bank financial institutions, loans to non-financial
corporate clients, loans to retail customers (ie natural persons) and small business customers,
and loans to sovereigns, central banks and PSEs.10
Assets assigned a 65% RSF factor
33. Assets assigned a 65% RSF factor comprise:
(a) Unencumbered residential mortgages with a residual maturity of one year or more that
would qualify for a 35% or lower risk weight under the Basel II Standardised Approach for
credit risk; and
(b) Other unencumbered loans not included in the above categories, excluding loans to financial
institutions, with a residual maturity of one year or more, that would qualify for a 35% or
lower risk weight under the Basel II Standardised Approach for credit risk.
Assets assigned an 85% RSF factor
34. Assets assigned an 85% RSF factor comprise:
(a) Other unencumbered performing loans that do not qualify for the 35% or lower risk weight
under the Basel II Standardised Approach for credit risk and have residual maturities of one
year or more, excluding loans to financial institutions;
(b) Unencumbered securities that are not in default and do not qualify as HQLA according to the
LCR including exchange-traded equities; and
(c) Physical traded commodities, including gold.
Assets assigned a 100% RSF factor
35. Assets assigned a 100% RSF factor comprise:
(a) All assets that are encumbered for a period of one year or more;
(b) Derivatives receivable net of derivatives payable if receivables are greater; and
(c) All other assets not included in the above categories, including non-performing loans, loans
to financial institutions with a residual maturity of one year or more, non-exchange-traded
equities, fixed assets, pension assets, intangibles, deferred tax assets, retained interest, insurance assets, subsidiary interests and defaulted securities.
36. Table 2 summarises the specific types of assets to be assigned to each asset category and their associated RSF factor.
10Loans related to multilateral and national development banks with residual maturities of less than six months that have short-term pass-through obligations receive a 50% RSF factor and are, thus, treated symmetrically on the ASF and RSF side, subject to the condition that both the asset and liability remain on the balance sheet.
8Basel III: The Net Stable Funding Ratio
RSF factor Components of RSF category
0% ?Coins and banknotes
?All central bank reserves
?Unencumbered loans to banks subject to prudential supervision with residual maturities of
less than six months
5% ?Unencumbered Level 1 assets, excluding coins, banknotes and central bank reserves
15% ?Unencumbered Level 2A assets
50% ?Unencumbered Level 2B assets
?HQLA encumbered for a period of six months or more and less than one year
? Loans to banks subject to prudential supervision with residual maturities six months or more and less than one year
?Deposits held at other financial institutions for operational purposes
?All other assets not included in the above categories with residual maturity of less than one
year, including loans to non-bank financial institutions, loans to non-financial corporate
clients, loans to retail and small business customers, and loans to sovereigns, central banks
and PSEs
65% ?Unencumbered residential mortgages with a residual maturity of one year or more and with
a risk weight of less than or equal to 35%
?Other unencumbered loans not included in the above categories, excluding loans to financial institutions, with a residual maturity of one year or more and with a risk weight of less than
or equal to 35% under the Standardised Approach
85% ?Other unencumbered performing loans with risk weights greater than 35% under the
Standardised Approach and residual maturities of one year or more, excluding loans to
financial institutions
?Unencumbered securities that are not in default and do not qualify as HQLA including
exchange-traded equities
?Physical traded commodities, including gold
100% ?All assets that are encumbered for a period of one year or more
?Derivatives receivable net of derivatives payable if receivables are greater than payables
?All other assets not included in the above categories, including non-performing loans, loans
to financial institutions with a residual maturity of one year or more, non-exchange-traded
equities, fixed assets, pension assets, intangibles, deferred tax assets, retained interest,
insurance assets, subsidiary interests, and defaulted securities
Off-balance sheet exposures
37. Many potential OBS liquidity exposures require little direct or immediate funding but can lead to significant liquidity drains over a longer time horizon. The NSFR assigns an RSF factor to various OBS activities in order to ensure institutions hold stable funding for the portion of OBS exposures that may be expected to require funding within a one-year horizon.
38. Consistent with the LCR, the NSFR identifies OBS exposure categories based broadly on whether the commitment is a credit or liquidity facility or some other contingent funding obligation. Table 3 identifies the specific types of OBS exposures to be assigned to each OBS category and their associated RSF factor.
Basel III: The Net Stable Funding Ratio 9
10 Basel III: The Net Stable Funding Ratio
RSF factor RSF category
5% of the currently undrawn portion
Irrevocable and conditionally revocable credit and liquidity facilities to any client
National supervisors can specify the RSF factors based on their national circumstances. Other contingent funding obligations, including products and instruments such as:
? Unconditionally revocable credit and liquidity facilities; ? Trade finance-related obligations (including guarantees and letters of credit); ? Guarantees and letters of credit unrelated to trade finance obligations; and ? Non-contractual obligations such as
?
potential requests for debt repurchases of the bank’s own debt or that of related conduits, securities investment vehicles and other such financing facilities; ? structured products where customers anticipate ready marketability, such as adjustable
rate notes and variable rate demand notes (VRDNs); and
?
managed funds that are marketed with the objective of maintaining a stable value
Annex 1
Key changes from the Net Stable Funding Ratio published in December 2010
Available Stable Funding (ASF)
Recognition of operational deposits
?Operational deposits were not recognised in the 2010 NSFR, and would have received a 0% ASF factor (except for operational deposits from non-financial corporates); all operational deposits have now been included in the
category receiving a 50% ASF factor
Clarification of secured funding treatment
? A distinction is no longer made between secured and unsecured funding for funding maturing in less than one year from non-financial corporate customers; both are given a 50% ASF factor; in the 2010 NSFR, only unsecured funding from non-financial corporates maturing in less than one year received a 50% ASF factor; by implication, secured funding from the same counterparties received a 0% ASF factor
Higher ASF factors for stable non-maturity deposits and term deposits
?“Stable” non-maturity deposits and term deposits now receive a 95% ASF factor compared with a 90% ASF factor in the 2010 NSFR
?“Less-stable” non-maturity and term deposits now receive a 90% ASF factor compared with an 80% ASF factor in the 2010 NSFR
Additional granularity for liabilities with residual maturities of less than one year
?Some funding sources with a residual maturity of not less than six months and less than one year now receive a 50% ASF factor, compared with 0% ASF in the 2010 NSFR
Required Stable Funding (RSF)
Greater consistency with LCR HQLA definitions
?Where applicable, references to Liquidity Coverage Ratio (LCR) definitions of Level 1, Level 2A and Level 2B assets have been added to ensure greater consistency and alignment across the two standards; these assets have now been assigned RSF factors without regard to residual maturity
Lower RSF factors for unencumbered loans to retail and small business customers
?Unencumbered loans with a residual maturity of less than one year to retail and small business customers that do not qualify for a 35% or lower risk weight were lowered to a 50% RSF factor from an 85% RSF factor in the 2010 NSFR
Higher RSF factors for loans to non-bank financial institutions and non-HQLA securities
?Non-renewable loans to non-bank financial institutions and non-HQLA securities with a residual maturity of less than one year did not require any stable funding in the 2010 NSFR, but have now been placed in the category
requiring a 50% RSF factor
Additional granularity and lower RSF factors for certain other non-HQLA
?Certain assets with risk weights greater than 35% under the Basel II Standardised Approach, including unencumbered performing loans with residual maturity of one year or greater, unencumbered non-HQLA
securities not in default, physical traded commodities and exchange-traded equities have been moved to a
category requiring an 85% RSF factor from a category requiring a 100% RSF factor in the 2010 NSFR
Higher RSF for HQLAs encumbered for a period of six months or more and less than one year
?HQLA encumbered for a period of six months or more and less than one year were previously treated as unencumbered in the 2010 NSFR but have now been assigned a 50% RSF factor
Higher RSF factor for interbank lending for a period of six months or more and less than one year
?Interbank lending for a period of six months or more and less than one year is now assigned a 50% RSF factor (compared with 0% in the 2010 NSFR) and is treated symmetrically on the funding side with a 50% ASF factor for interbank borrowing for a period of six months or more and less than one year
Basel III: The Net Stable Funding Ratio 11
巴塞尔协议主要内容意义 ◆1988年：《关于统一国际银行资本衡量和资本标准的协议》（巴I） ◆2004年：《新资本协议》（巴II） 2010年：第三版巴塞尔协议（巴III 巴塞尔资本协议概览 核心内容 1988年《巴塞尔资本协议》—巴I 核心内容是资本分类 ◆发展过程 1988年制定《巴塞尔资本协议》 1996年制定《资本协议市场风险补充规定》 ◆主要内容 资本构成
?监管资本分为核心资本与附属资本 ?核心资本应占总资本的一半以上，即附属资本不能超过核心资本 风险权重计算标准 ?将银行资产按风险程度从小到大依次划分为“无风险”到“完全风险”五个级别，分别赋予0、10%、20%、50%、100%的风险权 重 ?表外业务纳入资本监管 资本充足率不得低于8% ?资本/风险加权资产>=8% 巴I的主要进步与不足 进步 ◆首次在全球建立统一的资本监管标准，促进银行业公平竞争 ◆引导银行审慎发展业务，适当控制杠杆程度 不足 ◆未全面覆盖各类风险，没有对银行面临的操作风险、流动性风险等予以考虑 ◆风险权重仅设为五档，过于简单，难以准确反映银行所面临的风险，未能与银 行的内部风险计量充分挂钩 ◆区分OECD和非OECD成员国规定不同的资产风险权重，影响了资本要求的合 理性 ◆1、容易导致银行过分强调资本充足的倾向，从而相应忽视银行业的盈利性及 其他风险 2004年《巴塞尔新资本协议》—巴II 以指标为核心的数量型监管模式正在逐步向以风险管理为核心的质量监管模式过渡。最主要的特点则是建立了有效资本监管的三大支柱，即“最低资本要求、监管当局的监督检查、市场约束”， 巴II的主要进步与不足
主要流动性风险监测指标 （一）流动性比例 流动性风险指标是指银行一个月内到期的流动性资产和流动性负债的比例。流动性比例要求不低于25%。 流动性比例=一个月内到期流动性资产余额/一个月内到期的流动性负债余额×100% 其中：流动性资产包括：现金、黄金、超额准备金存款、一个月内到期的同业往来轧差后资产方净额、一个月内到期的应收利息及其他应收款、一个月内到期的合格贷款、一个月内到期的债券投资、国内外二级市场上可随时变现的证券投资和其他一个月内到期的可变现资产。 流动性负债包括：活期存款、一个月内到期的定期存款、一个月内到期的应付利息和各项应付款、一个月内到期的中央银行借款和其他一个月内到期负债。 （二）流动性覆盖率 流动性覆盖率是指银行优质流动性资产储备除以未来30日的资金净流出量。流动性覆盖率要求不低于100%。 流动性覆盖率=流动性资产/未来30日内资金净流出×100% 其中：流动性资产=∑各类流动性资产金额×折算率 未来30日内净现金流出=现金流出量-min(现金流入量，现金流出量的75%)。 （三）净稳定资金比例
净稳定资金比例是计算银行一年以内可用的稳定资金与业务所需的稳定资金之比。净稳定资金比例要求不低于100%。 净稳定资金比例=可用的稳定资金/业务所需的稳定资金×100% 其中：可用稳定资金=∑各类权益和负债×相应的稳定资金比例系数 所需的稳定资金=各类资产和表外风险暴露×相应的所需稳定资金系数。 （四）流动性缺口率 流动性缺口率是指银行90天内到期的资产负债间缺口与同期到期的资产余额之比。流动性缺口率要求不低于-10%。 流动性缺口率=90天内到期的期限缺口/90天内到期表内资产和表外收入×100% 其中：90天内到期期限缺口为90天内到期的表内资产和表外收入减去90天内到期的表内负债和表外支出。 （五）核心负债依存度 核心负债依存度是指银行的核心负债与负债总额的比率。核心负债依存度要求不低于60%。 核心负债依存度=核心负债/总负债×100%。 其中：核心负债包括剩余期限在3个月以上的定期存款和发行债券加上过去12个月活期存款的最低值。 （六）存贷款比例
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Group of Governors and Heads of Supervision announces higher global minimum capital standards 12 September 2010 At its 12 September 2010 meeting, the Group of Governors and Heads of Supervision, the oversight body of the Basel Committee on Banking Supervision, announced a substantial strengthening of existing capital requirements and fully endorsed the agreements it reached on 26 July 2010. These capital reforms, together with the introduction of a global liquidity standard, deliver on the core of the global financial reform agenda and will be presented to the Seoul G20 Leaders summit in November. The Committee's package of reforms will increase the minimum common equity requirement from 2% to 4.5%. In addition, banks will be required to hold a capital conservation buffer of 2.5% to withstand future periods of stress bringing the total common equity requirements to 7%. This reinforces the stronger definition of capital agreed by Governors and Heads of Supervision in July and the higher capital requirements for trading, derivative and securitisation activities to be introduced at the end of 2011. Mr Jean-Claude Trichet, President of the European Central Bank and Chairman of the Group of Governors and Heads of Supervision, said that "the agreements reached today are a fundamental strengthening of global capital standards." He added that "their contribution to long term financial stability and growth will be substantial. The transition arrangements will enable banks to meet the new standards while supporting the economic recovery." Mr Nout Wellink, Chairman of the Basel Committee on Banking Supervision and President of the Netherlands Bank, added that "the combination of a much stronger definition of capital, higher minimum requirements and the introduction of new capital buffers will ensure that banks are better able to withstand periods of economic and financial stress, therefore supporting economic growth." Increased capital requirements Under the agreements reached today, the minimum requirement for common equity, the highest form of loss absorbing capital, will be raised from the current 2% level, before the application of regulatory adjustments, to 4.5% after the application of stricter adjustments. This will be phased in by 1 January 2015. The Tier 1 capital requirement, which includes common equity and other qualifying financial instruments based on stricter criteria, will increase from 4% to 6% over the same period. (Annex 1 summarises the new capital requirements.) The Group of Governors and Heads of Supervision also agreed that the capital conservation buffer above the regulatory minimum requirement be calibrated at 2.5% and be met with common equity, after the application of deductions. The
《巴塞尔协议III》的主要内容和启示 2010年9月12日，由包括中国在内的共27个国家银行业监管部门和央行代表组成的巴塞尔银行监管委员会（BCBS）召开了央行行长及监管当局负责人会议，此次会议上通过的全球银行业监管改革方案即《增强银行业抗风险能力》和《流动性风险计量、标准与监测的国际框架》两项文件，按照习惯称其为《巴塞尔协议III》。 一、《巴塞尔协议III》的主要内容 根据公布的细节，《巴塞尔协议III》主要有以下几项内容： （一）最低资本金比率 一级资本金必须主要由普通股和留存收益构成，下限由4%上调至6%，根据协议安排，过渡期限为2013年升至4.5%，2014年为5.5%，到2015年达到6%，对于非股份制银行将建立合理的标准确保其资产质量，不再符合一级资本金要求的金融工具将自2013年始以每年10%的速度退出；仅由普通股构成的核心资本充足率下限水平将自目前的2%提高至4.5%，过渡期限为2013年升至3.5%，2014年为4%，2015年达到4.5%；巴塞尔委员会还首次提出了2.5%的资本留存缓冲（Capital Conservation Buffer）要求，由扣除递延税及其他项目后的普通股权益组成，目的在于确保银行在危机时持有用于“吸收”损失的缓冲资金，资本留存缓冲的规定将于2016年1月起用，到2019年1月完全生效。协议规定银行缓冲资本在危机中可适当减少，但若接近于零，则银行派息、回购股票和发放奖金等行为将受到监管部门的严格限制。以上各项规定将使得各国银行到2019年时最低核心资本金比率达到7%，最低一级资本金比率达到8.5%。 （二）反周期超额资本缓冲（Counter-cyclical Buffer）
篇一:《存贷比、流动性覆盖率、净稳定资金比例,比较分析》 近期，市场上关于存贷比（LD）去留的争论颇多，主要是因为一旦引入巴塞尔协议III中的两个新的流动性指标（流动性覆盖率（LCR）、净稳定资金比例（NSFR）后，LD的去留自然就成为了大家关注的焦点[2]。 本文具体分析这三个指标的内在关联和各自优缺点。针对当前我国商业银行现有资金来源与资金运用的特点，本文提出，为了有效管理和监管银行流动性风险，LD仍然有维持的必要；LD具体计算时，分子分母项可以审慎调整，但任何调整都应该要反复论证，以防范新的监管套利和市场扭曲行为的产生。而LCR和NSFR两个新指标引入以后，还需要相当一个时间不断验证，以确保其能够真正发挥流动性风险管理和监管的作用。 定义与计算公式 存贷款比（LD）是指商业银行各项贷款余额与各项存款余额之间的比率，它用来反映银行总体流动性状况和存贷款的匹配情况。 *LD的计算公式为各项贷款余额/ 各项存款余额
其中各项存款是指填报机构吸收的单位和居民个人的存款，主要包括企业存款、私营及个体存款、居民储蓄存款、保险公司存放等。 各项贷款是指填报机构对借款人融出货币资金形成的资产，主要包括贷款、贸易融资、票据融资等。 LD的监管要求为不高于75%。 流动性覆盖率（LCR）是银行优质流动性资产储备除以未来30 日的资金净流出量，它主要反映短期(未来30天内) 特定压力情景下，银行持有的高流动性资产应对资金流失的能力。 *LCR的计算公式为流动性资产/ 未来30 日内资金净流出， 其中流动性资产=∑各类流动性资产金额* 折算率； 未来30日内的净现金流出=现金流出量—min (现金流入量, 现金流出量的75%)。 LCR的监管要求为不低于100%。 净稳定资金比例（NSFR）是计算银行一年以内可用的稳定资金与业务所需
巴塞尔协议1 巴塞尔协议的出台源于前联邦德国Herstatt银行和美国富兰克林国民银行（Franklin National Bank）的倒闭。这是两家著名的国际性银行。它们的倒闭使监管机构在惊愕之余开始全面审视拥有广泛国际业务的银行监管问题。Herstatt银行和富兰克林银行倒闭的第二年，即1975年9月，第一个巴塞尔协议出台。这个协议极为简单，核心内容就是针对国际性银行监管主体缺位的现实，突出强调了两点：1、任何银行的国外机构都不能逃避监管；2、母国和东道国应共同承担的职责。1983年5月，修改后的《巴塞尔协议》推出。这个协议基本上是前一个协议的具体化和明细化。比如明确了母国和东道国的监管责任和监督权力，分行、子行和合资银行的清偿能力、流动性、外汇活动及其头寸各由哪方负责等，由此体现“监督必须充分”的监管原则。两个巴塞尔协议因此也就没有实质性差异：总体思路都是“股权原则为主，市场原则为辅；母国综合监督为主，东道国个别监督为辅”。但是两者对清偿能力等监管内容都只提出了抽象的监管原则和职责分配，未能提出具体可行的监管标准。各国对国际银行业的监管都是各自为战、自成体系，充分监管的原则也就无从体现。 巴塞尔协议2(in 2004, cover market,credit and operational risk) 新协议由三大支柱组成：一是最低资本要求，二是监管当局对资本充足率的监督检查，三是信息披露。三大支柱的内容概括如下： 银行业是一个高风险的行业。20世纪80年代由于债务危机的影响，信用风险给国际银行业带来了相当大的损失，银行普遍开始注重对信用风险的防范管理。巴塞尔委员会建立了一套国际通用的以加权方式衡量表内与表外风险的资本充足率标准，极大地影响了国际银行监管与风险管理工作的进程。在近十几年中，随着巴塞尔委员会根据形势变化推出相关标准，资本与风险紧密联系的原则已成为具有广泛影响力的国际监管原则之一。正是在这一原则指导下，巴塞尔委员会建立了更加具有风险敏感性的新资本协议。新协议将风险扩大到信用风险、市场风险、操作风险和利率风险，并提出“三个支柱”（最低资本规定、监管当局的监督检查和市场纪律）要求资本监管更为准确的反映银行经营的风险状况，进一步提高金融体系的安全性和稳健性。 1、第一支柱——最低资本规定新协议在第一支柱中考虑了信用风险、市场
巴塞尔协议1、2、3内容总结 巴塞尔协议Ⅰ 1988年巴塞尔协议全称为《统一资本衡量和资本标准的国际协议》，其目的是通过规定银行资本充足率，减少各国规定的资本数量差异，加强对银行资本及风险资产的监管，消除银行间的不公平竞争。1988年巴塞尔协议基本内容由四方面组成： 1、资本的组成。巴塞尔委员会认为银行资本分为两级。第一级是核心资本，要求银行资本中至少有50%是实收资本及从税后利润保留中提取的公开储备所组成。第二级是附属资本，其最高额可等同于核心资本额。附属资本由未公开的储备、重估储备、普通准备金（普通呆账准备金）、带有债务性质的资本工具、长期次级债务和资本扣除部分组成。 2、风险加权制。巴塞尔协议确定了风险加权制，即根据不用资产的风险程度确定相应的风险权重，计算加权风险资产总额：一是确定资产负债表内的资产风险权数，即将不用资产的风险权数确定为五个档次：分别为0、10、20、50、100。二是确定表外项目的风险权数。确定了1、20、50、100四个档次的信用转换系数，以此再与资产负债表内与该项业务对应项目的风险权数相乘，作为表外项目的风险权数。 3、目标标准比率。总资本与加权风险资产之比为8%（其中核心资本部分至少为4%）。 银行资本充足率=总资本/加权风险资产 4、过渡期和实施安排。过渡期从协议发布起至1992年底止，到1992年底，所有从事大额跨境业务的银行资本金要达到8%的要求。 1988年巴塞尔协议主要有三大特点：一是确立了全球统一的银行风险管理标准；二是突出强调了资本充足率标准的意义。通过强调资本充足率，促使全球银行经营从注重规模转向资本、资产质量等因素；三是受70年代发展中国家债务危机的影响，强调国家风险对银行信用风险的重要作用，明确规定不同国家的授信风险权重比例存在差异。 巴塞尔资本协议Ⅱ 三大支柱，即最低资本要求、监管部门的监督检查和市场约束。 ①第一大支柱：最低资本要求。最低资本充足率要求仍然是新资本协议的重点。该部分涉及与信用风险、市场风险以及操作风险有关的最低总资本要求的计算问题。最低资本要求由三个基本要素构成：受规章限制的资本的定义、风险加权资产以及资本对风险加权资产的最小比率。其中有关资本的定义和8％的最低资本比率，没有发生变化。但对风险加权资产的计算问题，新协议在原来只考虑信用风险的基础上，进一步考虑了市场风险和操作风险。总的风险加权资产等于由信用风险计算出来的风险加权资
巴塞尔协议二 银监会通过发布一系列的监管指引，对中国的商业银行进行要求。计划于2010年初步达到合规要求，最晚2013年合规打标。目前第一梯队的银行已经陆续开展合规项目，并大部分达到监管要求。第二梯队的银行业陆续开展相关项目。但如何逐步完善内评体系，建立完善的风险管理体系，如何将风险计量的结果用于日常业务中，目前仍有待长期实践总结经验。中国版巴三与巴塞尔委员会的要严格： 1、资本充足率方面： (1)中国核心一级（普通股）资本充足率最低标准为5%，巴塞尔三规定的是4.5%。 (2)中国系统重要性银行附加资本要求暂定为1%，巴塞尔委员会未规定。 (3)过渡期，中国要求2012年初开始实施，2016年底达标；巴塞尔三要求2013年初开始实施，2018年底达标。 2、杠杆率：中国是4%，巴塞尔三是3%。 巴塞尔协议3的变化 1、提高资本充足率要求：最低的普通股比例从2%上升至4.5%。最低的一级资本比例从4%上升至6%，增加保守性资本缓冲要求2.5%，增加0-2.5%的反周期资本缓冲，对系统重要性银行增加1%的资本要求。 2、引入杠杆率，一级资本/总暴露>=3%。 3、严格资本扣除限制，对于少数股权、商誉、递延税资产、对金融机构普通股的非并表投资、债务工具和其他投资性资产的为实现收益、拨备额与预期亏损之差、固定收益养老金资产和负债等计入资本的要求有所改变。 巴塞尔协定从国际的角度要求国际银行在资本（监管资本）计量和资本标准所要达到的国际标准。从外部上对商业银行进行风险控制，以保证银行的安全性和稳定性原则的实现。 以下是巴塞尔协定的主要几次变革，也是核心内容： 巴塞尔资本协议Basel Capital Accord---1988年7月 Basel Capital Accord 四部分内容 一是确定资本的构成，即核心资本和附属资本两大类，且附属不得超过核心的100% 二是风险档次划分，根据资产信用风险的大小，0 20% 50% 100% 三是设定转换系数，将表外授信业务纳入资本监管 四是规定银行的资本与风险加权总资本之比不得低于8%，核心资本与风险加权总资产之比不得低于4% 巴塞尔新资本协定2004年6月《统一资本计量和资本标准的国际协定：修订框架》 资本监管的三大支柱： 1.最低资本要求：仍采用资本充足率作为银行稳健经营、安全运行的核心指标，增加计算公式中全面反映信用风险、市场风险和操作风险；二是引入计量信用风险的内部评级法 资本充足率CAR =（资本-扣除项）/（风险加权资产+12.5倍的市场风险资产+12.5倍操作风险资产） 2.外部监管：现场检查和非现场监管 3.市场约束：主要途径是银行披露的信息，包括CAR、资本构成、风险敞口及风险管理策略、盈利能力、管理水平及过程等
巴塞尔协议第三版核心词汇 I. 巴三六大目标 一、更严格的资本定义（Increased Quality of Capital）： 1．一级资本金包括： (1) 核心一级资本，(也叫普通股一级资本，common equity tier 1 capital)：只包括普通股（common equity）和留存收益（retained earning），巴三规定，少数股东权益（minority interest）、递延所得税(deferred tax)、对其他金融机构的投资(holdings in other financial institutions) 、商誉（goodwill）等不得计入核心一级资本。 (2) 其他一级资本：永久性优先股（non-cumulative preferred stock）等 二、更高的资本充足要求（Increased Quantity of Capital） 1．核心一级资本充足率(common equity tier 1 capital)：最低4.5%。 2．一级资本充足率：6% 3．资本留存缓冲(capital conservation buffer)：最低2.5%，由普通股（扣除递延税项及其他项目）构成，用于危机期间（periods of stress）吸收损失，但是当该比率接近最低要求将影响奖金和红利发放(earning distributions） 4．全部核心一级资本充足率(核心一级资本+资本留存缓冲)：最低7% 5．总资本充足率（minimum total capital）：8% 6．总资本充足率+资本留存缓冲最低要求：10.5% 7．逆周期资本缓冲（counter-cyclical buffer）0—0.25%：在信贷增速过快(excessive credit growth)，导致系统范围内风险积聚时生效。 *** 巴三新资本要求： 巴塞尔III将巴塞尔II中提出的一级资本、二级资本，并将一级资本重新划分为核心一级资本(主要包括普通股和留存收益)以及其他一级资本两大类。同时，巴塞尔III还提出了留存资本缓冲和逆周期资本要求，强化了各级资本吸收损失的能力。由普通股组成的资本部分将在持续经营的条件下首先吸收损失，最先提供补充的应是在经济周期向好时积累下来的逆周期资本，随后是留存资本缓冲，当缓冲资本无法覆盖损失时便需要使用普通股和留存收益构成的核心一级资本，而其他一级资本和二级资本则排在吸收损失的尾端。 *6%为一级资本充足率，一级资本包括核心一级资本及其他一级资本。
Group of Governors and Heads of Supervision announces higher global minimum capital standards 12 September 2010 At its 12 September 2010 meeting, the Group of Governors and Heads of Supervision, the oversight body of the Basel Committee on Banking Supervision, announced a substantial strengthening of existing capital requirements and fully endorsed the agreements it reached on 26 July 2010. These capital reforms, together with the introduction of a global liquidity standard, deliver on the core of the global financial reform agenda and will be presented to the G20 Leaders summit in November. Increased capital requirements These capital requirements are supplemented by a non-risk-based leverage ratio that will serve as a backstop to the risk-based measures described above. In July, Governors and Heads of Supervision agreed to test a minimum Tier 1 leverage ratio of 3% during the parallel run period. Based on the results of the parallel run period, any final adjustments would be carried out in the first half of 2017 with a view to migrating to a Pillar 1 treatment on 1 January 2018 based on appropriate review and calibration. Transition arrangements The Governors and Heads of Supervision also agreed on transitional arrangements for implementing the new standards. These will help ensure that the banking sector can meet the higher capital standards through reasonable earnings retention and capital raising, while still supporting lending to the economy. The transitional arrangements, which are summarised in Annex 2, include: National implementation by member countries will begin on 1 January 2013. Member countries must translate the rules into national laws and regulations before this date. As of 1 January 2013, banks will be required to meet the following new minimum requirements in relation to risk-weighted assets (RWAs): 4.5% Tier 1 capital/RWAs, and
G25 《流动性覆盖率及净稳定资金比例情况表》填报说明 第一部分：引言 本表根据《商业银行流动性风险管理办法（试行）》（以下简称《办法》）制定。流动性覆盖率反映在银监会规定的流动性压力情景下，填报机构是否具有充足的合格优质流动性资产变现以满足未来至少30天的流动性需求。净稳定资金比例收集填报机构各项权益类和负债类资金来源以及各类资产、表外风险暴露情况，反映银行在未来1年内，在设定的压力情景下，用稳定资金支持表内外资产业务发展的能力。 第二部分：一般说明 1．报表名称：流动性覆盖率及净稳定资金比例情况表 2．报表编码：银监统0027号 3．填报机构（第I部分）：政策性银行、国家开发银行、国有商业银行、股份制商业银行、资产规模在2000亿元以上的城市商业银行、农村商业银行和外资法人银行。其他机构根据相应监管部门具体要求确定。 填报机构（第II部分）：政策性银行、国家开发银行、国有商业银行、股份制商业银行、城市商业银行、农村商业银行、外资法人银行、村镇银行。 4．报送口径、频度及时间： 法人汇总数据（季报）为季后18日、合并报表数据（半年报）为半年后40日。此外，第I部分（流动性覆盖率）每月报送法人口径报表，不晚于月后18天。 5．报送方式：月度报表以电子报表形式手工报送主监管员，暂不纳入非现场监管系统报送；法人（季度）及合并报表以电子报表形式通过非现场监管系统报送银监会。 6．数据单位：万元。 7．四舍五入要求：金额保留两位小数，百分比保留两位小数。 8．填报币种：本表要求以本外币合计人民币填报。银行业金融机构将外币折算为人民币时，应按照报告期末最后一天国家外汇管理局公布的人民币兑美元、欧元、日元和港币的基准汇价进行折算。美元、欧元、日元和港币等四种主要货币以外的其他货币对人民币的折算汇率，以报告期末最后一天美元对人民币的基准汇率与同一天上午9时国际外汇市场其他货币兑美元汇率套算确定。 第三部分：具体说明 本表中金融机构包括政策性银行、商业银行、合作信用社、企业集团财务公司、信托投资公司、金融租赁公司、汽车金融公司、货币经纪公司、邮政储蓄机构等银行业金融机构，
概述 导言 1. 巴塞尔银行监管委员会（以下简称委员会）现公布巴塞尔新资本协议（Basel II, 以下简称巴塞尔II）第三次征求意见稿（CP3，以下简称第三稿）。第三稿的公布是构建新资本充足率框架的一项重大步骤。委员会的目标仍然是在今年第四季度完成新协议，并于2006年底在成员国开始实施。 2. 委员会认为，完善资本充足率框架有两方面的公共政策利好。一是建立不仅包括最低资本而且还包括监管当局的监督检查和市场纪律的资本管理规定。二是大幅度提高最低资本要求的风险敏感度。 3. 完善的资本充足率框架，旨在促进鼓励银行强化风险管理能力，不断提高风险评估水平。委员会认为，实现这一目标的途径是，将资本规定与当今的现代化风险管理作法紧密地结合起来，在监管实践中并通过有关风险和资本的信息披露，确保对风险的重视。 4. 委员会修改资本协议的一项重要内容，就是加强与业内人士和非成员国监管人员之间的对话。通过多次征求意见，委员会认为，包括多项选择方案的新框架不仅适用于十国集团国家，而且也适用于世界各国的银行和银行体系。 5. 委员会另一项同等重要的工作，就是研究参加新协议定量测算影响分析各行提出的反馈意见。这方面研究工作的目的，就是掌握各国银行提供的有关新协议各项建议对各行资产将产生何种影响。特别要指出，委员会注意到，来自40多个国家规模及复杂程度各异的350多家银行参加了近期开展的定量影响分析（以下称简QIS3）。正如另一份文件所指出，QIS3的结果表明，调整后新框架规定的资本要求总体上与委员会的既定目标相一致。 6. 本文由两部分内容组成。第一部分简单介绍新资本充足框架的内容及有关实施方面的问题。在此主要的考虑是，加深读者对新协议银行各项选择方案的认识。第二部分技术性较强，大体描述了在2002年10月公布的QIS3技术指导文件之后对新协议有关规定所做的修改。 第一部分新协议的主要内容 7. 新协议由三大支柱组成：一是最低资本要求，二是监管当局对资本充足率的监督检查，三是信息披露。三大支柱的内容概括如下： 第一支柱：最低资本要求 8. 新协议在几个方面不同于老协议。首先介绍没有变动的内容。老协议基于资本比率的概念，即分子代表银行持有的资本数量，分母代表银行风险的计量指标，统称为风险加权资产。计算出的资本比率不得低于8%。 9. 根据新协议的要求，有关资本比率的分子（即监管资本构成）的各项规定保持不变。同样，8%的最低比率保持不变。因此，修改内容反映在对风险资产的界定方面，即修改反映
国际金融体系和金融监管框架在历次金融危机下，显示出越来越多的不协调和缺陷。特别是最近10多年以来，全球金融危机爆发，在深度、频率和破坏度上日益加剧，促使人们对全球金融体系及其监管机制进行反思。金融监管的空白、重叠、错位、失衡和滞后，成为当前全休金融监管领域最显著的问题。可以说，每一次全球金融危机的发生，实质上也是一次对金融监管规则、监管体系以及全球金融监管协调机制的全面测试和考验。巴塞尔协议正是西方世界在金融领域博弈的最终结果，其中很多思想和宗旨体现了西方国家的意志和战略导向。银行业监管精神：公平竞争、保护投资者、维护全球金融稳定 巴3主要包含以下两个文件：《第三版巴塞尔协议：更具稳健性的银行和银行体系的全球监管框架》以及《第三版巴塞尔协议：流动性风险计量、标准和检测的国际框架》。 巴塞尔协议三的实施意义，可以从微观和宏观两个方面进行论述： 首先，在微观方面，旨在通过提高每个银行本身的经营管理、内部控制和风险预防等，从危机产生的源头和初期来防止单个银行发生危机。 对于微观方面，我想从以下2个方面讨论： 1、资本方面： （1）资本监管指标不断完善： 一直是以资本监管为核心和基础，（从1到3，监管范围越来越广，对监管当局提出的要求越来越高，但基本的监管理念没有变，核心思想就是基于风险的资本监管，金融机构的资本金决定着金融机构的安全。）巴塞尔协议三以提高银行资本水平和质量为目标，在“三大支柱”框架下构建包括逆周期缓冲资本、资本留存缓冲、系统性重要银行附加资本、杠杆率、流动性覆盖率和净稳定资金比例在内的多层次监管框架，进一步加强银行的风险防控能力。（2）风险维度和风险加权资产计量方面： 第一，维度逐渐扩大： 努力寻求提高监管资本的敏感度，从信用风险到市场风险，再到操作风险，以及金融危机后加入系统性风险、交易对手风险等，银行机构面临的风险不断被识别、计量和覆盖。 第二，风险加权资产计量方法增加和完善： 比如，在计量交易对手信用风险方面，最新提出了压力测试、引入信用估值调整CVA，使用VAR模型。 2、银行生存模式方面： （1）调整经营模式： 迫使银行对盈利模式和资产风险结构进行相应调整，寻求低杠杆、低资本损耗的创新型盈利模式成为决定银行生存与否的关键。商行改变高资本占用型的经营模式和过度依赖批发性信贷业务的状况，拓展资本消耗低的非利息业务，大力发展风险权重较低、资本占用较少、综合回报较高的零售业务、中间业务和表外业务。 （2）拓宽融资渠道，积极发展内源融资模式： 将银行未分配利润转化为盈余公积、资本公积和一般风险准备，这构成了商行的一级资本，既节约融资成本，又增强银行经营自主性，免受资本市场制约。 （3）创新金融机构风控方法： 激励金机加入到研究更优化的风险分散方法，计量方法和防范风险方法中 其次，在宏观方面，是对促进各国监管部门等相关机构在信息披露、质量监管等方面做出努力，防止大规模危机的发生。通过要求每个金融机构达到每个监管指标标准、进行必要的市场约束和遵守信息披露制度，从而防范区域性甚至是全球性个金融风险暴露，在市场不断试错的过程中达到监管机制的逐渐完善，金融秩序的稳定有序。
《巴塞尔资本协议III》： 2010年9月12日，巴塞尔银行监管委员会宣布，各方代表就《巴塞尔协议III》的内容达成一致。根据这项协议，商业银行的核心资本充足率将由目前的4%上调到6%，同时计提2.5%的防护缓冲资本和不高于2.5%的反周期准备资本，这样核心资本充足率的要求可达到8.5%-11%。总资本充足率要求仍维持8%不变。此外，还将引入杠杆比率、流动杠杆比率和净稳定资金来源比率的要求，以降低银行系统的流动性风险，加强抵御金融风险的能力。 新协议将普通股权益/风险资产比率的要求由原来的2%提高到 4.5%，核心资本充足率的要求也由4%提高到6%，加上2.5%的防护缓冲资本，核心资本充足率的要求达到8.5%。同时也提出各国可根据情况要求银行提取0%-2.5%的反周期缓冲资本，以便银行可以对抗过度放贷所带来的风险。此外，还提出了3%的最低杠杆比率以及100%的流动杠杆比率和净稳定资金来源比率要求。 为最大程度上降低新协议对银行贷款供给能力以及宏观经济的影响，协议给出了从2013-2019年一个较长的过渡期。全球各商业银行5年内必须将一级资本充足率的下限从现行要求的4%上调至6%，过渡期限为2013年升至4.5%，2014年为5.5%，2015年达6%。同时，协议将普通股最低要求从2%提升至4.5%，过渡期限为2013年升至3.5%，2014年升至4%，2015年升至4.5%。截至2019年1月1日，全球各商业银行必须将资本留存缓冲提高到2.5%。中国监管层目前尚未公布相关计划。 《巴塞尔协议III》将降低银行的杠杆率，这无疑将降低股东的回报水平以及长远可持续的资产增速。根据我们测算，在核心资本充足率8.5%的要求下，中国银行业在资产收益率为0.9%的情况下可获得的净资产收益率为16.8%，可持续的资产增速为10%。 早在2011年5月初，银监会下发了《中国银行业实施新监管标准的指导意见》，正式公布了资本充足率、杠杆率、流动性及贷款损失准备的四大监管工具。其中特别指出，正常条件下系统重要性银行和非系统重要性银行的资本充足率分别不得低于11.5%和10.5%。而《办法》则进一步细化了资本充足率方面的监管标准，同时巴塞尔协议Ⅲ的相关要求也将在国内正式落地。据了解，近期下发的《办法》（征求意见稿）中，将商业银行的风险权重设为10个档次，进一步加强了其抵御、应对风险的能力。 其实，风险权重是衡量商业银行投资组合总体风险大小的一种方法，估算不同种类投资的风险大小，给每种投资一个权重值。而资本充足率是银行总资本对其加权风险比例以百分比表示的量。风险权重和资本充足率是反比关系，如果风险权重越高，银行的资本充足率就越低，抵抗风险的能力就越弱。 同时，新的《办法》将其他商业银行债权的风险权重提高至50%（原规定为20%），其中原始期限三个月以内（含三个月）债权的风险权重为20%（原规定原始期限四个月以下风险权重为0%），并取消“对政府投资的公用企业的债权”优惠风险权重。 虽然银监会强调目前对商业银行资本充足率影响不大，但是不少机构人士预计，如此一来，商业银行的资本充足率可能下降1-2个百分点。同时，交银国际发布的一份报告指出，《办法》中还涉及一些尚未明确的高风险贷款和长期贷款风险权重提高，如果按照该意见稿严格执行，实际影响可能高于测算。 银监会此前发布的数据显示，2011年一季度，商业银行资本充足率为11.8%，比2010年末下降0.4个百分点。 新巴塞尔协议三大支柱 新资本协议的三大支柱，即最低资本要求、监管部门的监督检查和市场约束。 （1）第一大支柱：最低资本要求。最低资本充足率要求仍然是新资本协议的重点。该部分涉及与信用风险、市场风险以及操作风险有关的最低总资本要求的计算问题。最低资本
巴塞尔协议Ⅲ与中国银行业宏观审慎监管巴塞尔协议Ⅲ与中国银行业宏观审慎监管自从20世纪70年代布雷顿森林体系崩溃后以来,世界金融体系先后经历了1987年美国股 市大崩盘,1994年墨西哥金融危机,1997年亚洲金融危机,xx年美国次贷危机演化的全球金融危机。 频繁爆发的危机,带给全球经济金融体系严重伤害,引起各国政府和监管当局的高度重视,纷纷选择凯恩斯主义经济政策进行政府干预,试图挽回不良影响,防止金融体系崩溃,帮助恢复全球经济增长；同时,也引发了对危机起因、经济增长模式、“大而不倒”金融机构监管以及监管体制、机制、标准和跨境协调等方面的反思。 在金融监管领域,美国、英国、欧盟等国家(地区)纷纷出台了各自的金融改革方案,金融稳定理事会、巴塞尔委员会等国际组织新制定或修订加强金融机构监管和监管当局之间相互合作的一系列改革文件,更加强调资本和流动性监管,更加强调对系统性风险的计量、识别和风险化解,尤其是细化系统重要性金融机构监管措施,并提出了强 化宏观审慎监管改革框架,以减少金融危机事件对宏观经济的损失, 维护世界金融体系稳定。 目前,由二十国集团共同推动的国际金融改革在银行资本、流动性监管等方面提出了更为严格的新标准,同时在系统重要性银行监管、逆周期监管、跨境监管合作等方面提出了更高要求。 对于欧美等国家在金融监管和治理领域出现的新问题、采取的新措施,我们需要深入分析研究,总结经验教训,提出适宜国情的改革方
案；对第三版巴塞尔协议及其陆续研究制定的监管制度、思路、方法等内容,需要我们积极主动多层次、实质性参与国际金融监管改革领域,提高我国监管当局国际话语权,促进国际金融秩序稳定。 鉴于此,本文以巴塞尔协议Ⅲ和宏观审慎监管框架为主线,借鉴国际金融监管改革成果,围绕银行机构监管和宏观审慎监管框架设计为主题展开研究。 本文采取理论和实践结合,比较分析法与实证分析结合法的方法,分别分析国际金融监管改革尤其是全球金融危机之后,包括巴塞尔协议Ⅲ在内的国际监管改革成果,以及中国实施巴塞尔协议的做法和有效的监管措施,侧重探讨我国宏观金融审慎监管框架的建立。 紧密结合我国银行业改革发展和监管实际,探讨进一步实施和完善逆周期资本缓冲、动态差别准备金率等审慎监管政策工具的效果,并在增强金融监管机构的协调性等方面提出了应对策略。 本文共分七章,第一章是绪论,介绍选题背景与研究意义以及国内外相关研究综述,说明本文的研究思路与论文结构等。 第二章分析巴塞尔协议Ⅲ及其指标对银行业的影响。 基于银行监管演变进程,通过对巴塞尔资本协议、巴塞尔协议Ⅱ和巴塞尔协议Ⅲ内容的简介,阐述银行监管理念、监管内容和监管工具的过程和创新,重点分析资本充足率指标、杠杆率和流动性等监管指标对银行业的影响,以及对巴塞尔协议Ⅲ的定量测算进行了分析。 第三章探讨巴塞尔协议Ⅲ在各国的实践。