Name: バーゼル三世 (Basel III)
Uploaded: 2021-01-14T05:48:06.000Z
Duration: 17 min 33 s
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Basel III is a global, voluntary regulatory standard on bank capital adequacy, stress

基礎受動態

testing and market liquidity risk. It was agreed upon by the members of the Basel Committee

on Banking Supervision in 2010–11, and was scheduled to be introduced from 2013 until

2015; however, changes from 1 April 2013 extended implementation until 31 March 2018 and again

extended to 31 March 2019. The third installment of the Basel Accords was developed in response

to the deficiencies in financial regulation revealed by the late-2000s financial crisis.

Basel III was supposed to strengthen bank capital requirements by increasing bank liquidity

General Overview Unlike Basel I and Basel II which are primarily

related to the required level of bank loss reserves that must be held by banks for various

classes of loans and other investments and assets that they have, Basel III is primarily

related to the risks for the banks of a run on the bank by requiring differing levels

of reserves for different forms of bank deposits and other borrowings. Therefore contrary to

what might be expected by the name, Basel III rules do not for the most part supersede

the guidelines known as Basel I and Basel II but work alongside them.

The original Basel III rule from 2010 was supposed to require banks to hold 4.5% of

common equity and 6% of Tier I capital of "risk-weighted assets". Basel III introduced

"additional capital buffers", a "mandatory capital conservation buffer" of 2.5% and a

"discretionary counter-cyclical buffer", which would allow national regulators to require

up to another 2.5% of capital during periods of high credit growth.

Leverage ratio Basel III introduced a minimum "leverage ratio".

The leverage ratio was calculated by dividing Tier 1 capital by the bank's average total

consolidated assets; The banks were expected to maintain a leverage ratio in excess of

3% under Basel III. In July 2013, the US Federal Reserve Bank announced that the minimum Basel

III leverage ratio would be 6% for 8 Systemically important financial institution banks and

5% for their insured bank holding companies. Liquidity requirements

Basel III introduced two required liquidity ratios. The "Liquidity Coverage Ratio" was

supposed to require a bank to hold sufficient high-quality liquid assets to cover its total

net cash outflows over 30 days; the Net Stable Funding Ratio was to require the available

amount of stable funding to exceed the required amount of stable funding over a one-year period

of extended stress. US Version of the Basel Liquidity Coverage

Ratio Requirements On 24 October 2013, the Federal Reserve Board

of Governors approved an interagency proposal for the U.S. version of the Basel Committee

on Banking Supervision's Liquidity Coverage Ratio. The ratio would apply to certain U.S.

banking organizations and other systematically important financial institutions. The comment

period for the proposal is scheduled to close by 31 January 2014.

The U.S. LCR proposal came out significantly tougher than BCBS’s version, especially

for larger bank holding companies. The proposal requires financial institutions and FSOC designated

nonbank financial companies to have an adequate stock of High Quality Liquid Assets that can

be quickly liquidated to meet liquidity needs over a short period of time.

The LCR consists of two parts: the numerator is the value of HQLA, and the denominator

consists of the total net cash outflows over a specified stress period.

The Liquidity Coverage Ratio applies to US banking operations with assets of more than

10 billion. The proposal would require: Large Bank Holding Companies – those with

over $250 billion in consolidated assets, or more in on-balance sheet foreign exposure,

and to systemically important, non-bank financial institutions; to hold enough HQLA to cover

30 days of net cash outflow. That amount would be determined based on the peak cumulative

amount within the 30 day period. Regional firms would be subject to a “modified”

LCR at the level only. The modified LCR requires the regional firms to hold enough HQLA to

cover 21 days of net cash outflow. The net cash outflow parameters are 70% of those applicable

to the larger institutions and do not include the requirement to calculate the peak cumulative

outflows Smaller BHCs, those under $50 billion, would

remain subject to the prevailing qualitative supervisory framework.

The US proposal divides qualifying High Quality Liquid Assets into three specific categories.

Across the categories the combination of Level 2A and 2B assets cannot exceed 40% HQLA with

2B assets limited to a maximum of 15% of HQLA. Level 1 represents assets that are highly

liquid and receive no haircut. Notably, the Fed chose not to include GSE-issued securities

in Level 1, despite industry lobbying, on the basis that they are not guaranteed by

the full faith and credit of the US government. Level 2A assets generally include assets that

would be subject to a 20% risk-weighting under Basel III and includes assets such as GSE-issued

and -guaranteed securities. These assets would be subject to a 15% haircut which is similar

to the treatment of such securities under the BCBS version.

Level 2B assets include corporate debt and equity securities and are subject to a 50%

haircut. The BCBS and US version treats equities in a similar manner, but corporate debt under

the BCBS version is split between 2A and 2B based on public credit ratings, unlike the

US proposal. This treatment of corporate debt securities is the direct impact of DFA’s

Section 939 and further evidences the conservative bias of US regulators’ approach to the LCR.

The proposal requires that the LCR be at least equal to or greater than 1.0 and includes

a multiyear transition period that would require: 80% compliance starting 1 January 2015, 90%

compliance starting 1 January 2016, and 100% compliance starting 1 January 2017.

Lastly, the proposal requires both sets of firms subject to the LCR requirements to submit

remediation plans to U.S. regulators to address what actions would be taken if the LCR falls

below 100% for three consecutive days or longer. Implementation

Summary of originally proposed changes in Basel Committee language

First, the quality, consistency, and transparency of the capital base will be raised.

Tier 1 capital: the predominant form of Tier 1 capital must be common shares and retained

earnings Tier 2 capital: supplementary capital, however,

the instruments will be harmonised Tier 3 capital will be eliminated.

Second, the risk coverage of the capital framework will be strengthened.

Promote more integrated management of market and counterparty credit risk

Add the CVA-risk due to deterioration in counterparty's credit rating

Strengthen the capital requirements for counterparty credit exposures arising from banks' derivatives,

repo and securities financing transactions Raise the capital buffers backing these exposures

Reduce procyclicality and Provide additional incentives to move OTC

derivative contracts to qualifying central counterparties. Currently, the BCBS has stated

derivatives cleared with a QCCP will be risk-weighted at 2%

Provide incentives to strengthen the risk management of counterparty credit exposures

Raise counterparty credit risk management standards by including wrong-way risk

Third, a leverage ratio will be introduced as a supplementary measure to the Basel II

risk-based framework, intended to achieve the following objectives:

Put a floor under the build-up of leverage in the banking sector

Introduce additional safeguards against model risk and measurement error by supplementing

the risk based measure with a simpler measure that is based on gross exposures.

Fourth, a series of measures is introduced to promote the build up of capital buffers

in good times that can be drawn upon in periods of stress.

Measures to address procyclicality: Dampen 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