巴塞尔协议第三版(英文版)

BaselCommitteeonBankingSupervisionBaselIII:AglobalregulatoryframeworkformoreresilientbanksandbankingsystemsDecember2010(revJune2011)Copiesofpublicationsareavailablefrom:BankforInternationalSettlementsCommunicationsCH-4002Basel,SwitzerlandE-mail:[e-mail]:[phone]and+41612808100©BankforInternationalSettlements2010.Allrightsreserved.Briefexcerptsmaybereproducedortranslatedprovidedthesourceisstated.ISBNprint:92-9131-859-0ISBNweb:92-9197-859-0BaselIII:Aglobalregulatoryframeworkformoreresilientbanksandbankingsystems1ContentsContents...................................................................................................................................3Introduction...............................................................................................................................1A.Strengtheningtheglobalcapitalframework....................................................................21.Raisingthequality,consistencyandtransparencyofthecapitalbase..................22.Enhancingriskcoverage........................................................................................33.Supplementingtherisk-basedcapitalrequirementwithaleverageratio...............44.Reducingprocyclicalityandpromotingcountercyclicalbuffers..............................5Cyclicalityoftheminimumrequirement.................................................................5Forwardlookingprovisioning.................................................................................6Capitalconservation...............................................................................................6Excesscreditgrowth..............................................................................................75.Addressingsystemicriskandinterconnectedness................................................7B.Introducingagloballiquiditystandard.............................................................................81.LiquidityCoverageRatio........................................................................................92.NetStableFundingRatio.......................................................................................93.Monitoringtools......................................................................................................9C.Transitionalarrangements.............................................................................................10D.Scopeofapplication......................................................................................................11Part1:Minimumcapitalrequirementsandbuffers.................................................................12I.Definitionofcapital........................................................................................................12A.Componentsofcapital.........................................................................................12Elementsofcapital...............................................................................................12Limitsandminima................................................................................................12B.Detailedproposal.................................................................................................121.CommonEquityTier1................................................................................132.AdditionalTier1capital...............................................................................153.Tier2capital...............................................................................................174.Minorityinterest(ienon-controllinginterest)andothercapitalissuedoutofconsolidatedsubsidiariesthatisheldbythirdparties.................................195.Regulatoryadjustments..............................................................................216.Disclosurerequirements.............................................................................27C.Transitionalarrangements...................................................................................27II.RiskCoverage...............................................................................................................29A.Counterpartycreditrisk........................................................................................291.Revisedmetrictobetteraddresscounterpartycreditrisk,creditvaluationadjustmentsandwrong-wayrisk.................................................................302BaselIII:Aglobalregulatoryframeworkformoreresilientbanksandbankingsystems2.Assetvaluecorrelationmultiplierforlargefinancialinstitutions.................393.Collateralisedcounterpartiesandmarginperiodofrisk.............................404.Centralcounterparties................................................................................465.Enhancedcounterpartycreditriskmanagementrequirements..................46B.Addressingrelianceonexternalcreditratingsandminimisingcliffeffects..........511.Standardisedinferredratingtreatmentforlong-termexposures................512.Incentivetoavo