Académique Documents
Professionnel Documents
Culture Documents
2
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2.2.1 Connon EquiLy !ier 1 caiLal 48
2.2.2 AddiLional !ier 1 caiLal 4B
2.2.8 !ier 2 caiLal 4C
9=D E%$6&20"+- ;"-0&%' +26 6&6$70"12' 9F
2.8.1 PrudenLial filLers 9F
2.8.2 0educLions fron CE! 1 caiLal 94
2.8.8 ExenLions fron and alLernaLives Lo deducLion fron CE! 1 iLens 99
2.8.4 0educLions fron AddiLional !ier 1 caiLal 99
2.8.6 0educLions fron !ier 2 iLens 9D
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6.1.2. 0efiniLion of neL liquidiLy ouLflows )F
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AbbreviaLions
1
lnLroducLion
7
8asel lll addresses Lhis, wiLh Lhe qoal
of inrovinq Lhe bankinq secLor's
abiliLy Lo absorb shocks arisinq fron
financial and econonic sLress. ln
0ecenber 2010 Lhe 8asel ConniLLee
on 8ankinq Suervision (8C8S}
ublished Lhe 8asel lll docunenLs
"!"#$% '''( ) *%+,"% -$*.%"/+-0
1-"2$3+-4 1+- 2+-$ -$#5%5$6/ ,"64# "67
,"6456* #0#/$2#" (a revised version
was ublished in June 2011} and "!"#$%
'''( '6/$-6"/5+6"% 1-"2$3+-4 1+- %58.575/0
-5#4 2$"#.-$2$6/9 #/"67"-7# "67
2+65/+-56*."
WiLh Lhis reforn ackaqe, Lhe 8C8S
ains Lo inrove risk nanaqenenL
and qovernance as well as sLrenqLhen
banks' Lransarency and disclosure.
8asel lll is also desiqned Lo sLrenqLhen
Lhe resoluLion of sysLenically
siqnificanL cross-border banks.
lL covers rinarily Lhe followinq
asecLs
1
:
:&;"2"0"12 1; 7+<"0+-
lnLroducLion of a new definiLion
of caiLal Lo increase Lhe qualiLy,
consisLency and Lransarency of
Lhe caiLal base. As Lhe recenL crisis
denonsLraLed LhaL crediL losses and
wriLe-downs cone ouL of reLained
earninqs, which is arL of banks'
Lanqible connon equiLy base, under
8asel lll connon equiLy (i.e., connon
shares and reLained earninqs} nusL be
Lhe redoninanL forn of !ier 1 caiLal.
FurLher, Lhe reforn ackaqe renoves
Lhe exisLinq inconsisLency in Lhe
definiLion of caiLal by harnonizinq
deducLions of caiLal and by increasinq
Lransarency Lhrouqh disclosure
requirenenLs.
K2L+27&6 %"'I 71/&%+#&Z
@1$20&%<+%0H @%&6"0 N"'I
!he reforns Lo Lhe 8asel ll franework
by Lhe 8C8S in 2000 and Lhe
anendnenLs nade in Lhe Euroean
CaiLal PequirenenLs 0irecLive
lll (CP0 lll}
2
increased caiLal
requirenenLs for Lhe Lradinq book
and conlex securiLizaLion osiLions
and inLroduced sLressed value-aL-risk
caiLal requirenenLs and hiqher caiLal
requirenenLs for re-securiLizaLions
for boLh in Lhe bankinq and Lradinq
book. 8asel lll now adds Lhe followinq
reforns: calculaLion of Lhe caiLal
requirenenLs for counLerarLy crediL
risk (CCP} based on sLressed inuLs;
inLroducLion of a caiLal charqe for
oLenLial nark-Lo-narkeL losses (i.e.,
crediL valuaLion risk}; sLrenqLheninq
sLandards for collaLeral nanaqenenL
and iniLial narqininq; hiqher caiLal
requirenenLs for 0!C derivaLives
exosures; raisinq CCP nanaqenenL
sLandards.
PecenL financial crises have denonsLraLed nunerous
weaknesses in Lhe qlobal requlaLory franework and
in banks' risk nanaqenenL racLices. ln resonse,
requlaLory auLhoriLies have considered various neasures
Lo increase Lhe sLabiliLy of Lhe financial narkeLs and
revenL fuLure neqaLive inacL on Lhe econony. 0ne
na|or focus is on sLrenqLheninq qlobal caiLal and
liquidiLy rules.
8
!"#$%& 4Y !%1A X+'&- 9=3 01 X+'&- 555
Source: AccenLure
R&/&%+#& %+0"1
lnLroducLion of a leveraqe raLio as
a sulenenLary neasure Lo Lhe
risk-based franework of 8asel ll. !he
ob|ecLive is Lo consLrain Lhe build-u
of leveraqe and avoid desLabilizinq
deleveraqinq rocesses.
N&6$7"2# <%17H7-"7+-"0H +26
<%1A10"2# 71$20&%7H7-"7+- ,$;;&%'
lnLroducLion of neasures Lo nake
banks nore resilienL Lo rocyclical
dynanics and avoid Lhe desLabilizinq
effecLs exerienced in Lhe lasL crisis.
!he nain ob|ecLives of Lhese neasures
are: danen any excess cyclicaliLy
of Lhe nininun caiLal requirenenL;
ronoLe nore forward-lookinq
rovisions; conserve caiLal Lo build
buffers aL individual banks and in
Lhe bankinq secLor LhaL can be used
in eriods of sLress LesLinq; achieve
Lhe broader nacro-rudenLial qoal of
roLecLinq Lhe bankinq secLor fron
eriods of excess crediL qrowLh.
S-1,+- -"M$"6"0H '0+26+%6
A new liquidiLy sLandard is inLroduced
Lo achieve Lwo ob|ecLives. !he firsL
ob|ecLive, ursued by Lhe LiquidiLy
Coveraqe PaLio (LCP}, is Lo ronoLe
shorL-Lern resilience of a bank's
liquidiLy risk rofile by ensurinq LhaL
iL has sufficienL hiqh qualiLy liquid
asseLs Lo survive a sLress scenario
lasLinq one nonLh. !he second
ob|ecLive is Lo ronoLe resilience over
Lhe lonqer Lern by creaLinq addiLional
incenLives for a bank Lo fund iLs
acLiviLies wiLh nore sLable sources
of fundinq. !he heL SLable Fundinq
PaLio (hSFP}, wiLh a Line horizon of
one year, should rovide a susLainable
naLuriLy sLrucLure of asseLs and
liabiliLies. 8asel lll also inLroduces a
connon seL of noniLorinq Lools. !he
new requirenenLs conlenenL Lhe
"Princiles for Sound LiquidiLy Pisk
ManaqenenL and Suervision"
8
which
are included in Lhe CP0 ll.
4
!he CP0
ll requirenenLs, inlenenLed inLo
naLional law by Lhe Eb Menber SLaLes,
becane effecLive 0ecenber 81, 2010.
!his handbook rovides a deLailed
overview of Lhe na|or chanqes of
8asel lll corresondinq Lo Lhe Eb rules.
lL focuses on asecLs relaLed Lo banks.
AnendnenLs reqardinq suervisory
auLhoriLies in Lhe conLexL of enhanced
suervision are noL covered in deLail.
!he sLaLus of Loics currenLly under
discussion is included here, as are
differences beLween Lhe Eb rules
and Lhe 8asel lll docunenLs fron
Lhe 8C8S.
!he enhancenenLs of Lhe caiLal
franework wiLhin "8asel 2.6" (CP0
ll and CP0 lll in Lhe Eb}, which are
already in force or becone alicable
beqinninq in 2012 are noL wiLhin
Lhe scoe of Lhis nanual. hor are
Lhe challenqes banks face wiLh
Lhe inlenenLaLion of Lhe 8asel lll
requirenenLs.
6
bX+'&- 9=3c bX+'&- 555c
R&#+- ,+'"' [K`\ CP0 (2000j111j
EC} ublished in Lhe
0fficial Journal (hov.
2000} (CP0 ll}
CP0 (2010j7j
Eb} ublished in Lhe
0fficial Journal (0ec.
2010} (CP0 lll}
"CP0 lv" (ackaqe of Lwo leqal insLrunenLs: direcLive
and requlaLion}
T0+0$'
K$%1<&+2Z
2+0"12+-
"A<-&A&20+0"12
!ransosed inLo
naLional law
ParLially
Lransosed inLo
naLional law
"8asel lll" ublished by Lhe 8C8S in 0ec. 2010 (rev.
version of caiLal franework June 2011}
0irecLive and PequlaLion ublished by Lhe Euroean
Connission in July 2011; discussed by ParlianenL and
Council in auLunn 2011jbeqinninq of 2012
0irecLive: Lo be LranslaLed inLo naLional law Lill 0ec.
81, 2012; PequlaLion: no naLional LranslaLion required
@1A"2# "201
;1%7&
0ec. 81, 2010 0ec. 81, 2011 Jan. 1, 2018 (wiLh LransiLion eriods Lill 2010}
*1<"7' Larqe exosures
SecuriLizaLion
Rybrid caiLal
insLrunenLs
LiquidiLy risk
nanaqenenL
Cross border
suervision
Pe-securiLizaLion
0isclosure
securiLizaLion risks
!radinq book
PenuneraLion
olicies
N&#$-+0"12
0efiniLion of caiLal
LiquidiLy risk
CounLerarLy crediL risk
Leveraqe raLio
Sinqle rule book
(Lhrouqh PequlaLion}
: " %&70 " / &
CaiLal buffers
Enhanced qovernance
SancLions
Enhanced suervision
0
*H<& 1; G&+'$%& @1A<+0",-& ?"0L T"2#-& N$-&
X11Id
K` G+7%1V<%$6&20"+- G&+'$%&'
E"--+% 4
0oes noL reclude Lhe neasure
beinq secifically LarqeLed Lo cerLain
reqional exosures
Power for Lhe Connission Lo LiqhLen
Lhe requirenenLs Lenorarily across
Lhe board for secific acLiviLies and
exosures. Secial urqency rocedure
is ossible for swifL resonse Lo
nacro-rudenLial develonenLs.
Measure is enbedded in Lhe Sinqle
Pule 8ook. lL unifornly alies Lo all
insLiLuLions across Euroe LhaL have
Lhe Lye of exosure concerned.
>+0"12+- G&+'$%&'
CaiLal requirenenLs for real esLaLe
lendinq
Secial rocedure in Lhe PequlaLion
under which Menber SLaLes can boLh
raise caiLal requirenenLs and LiqhLen
loan-Lo-value liniLs for loans secured
by connercial andjor residenLial
roerLy.
Measure is enbedded in Lhe Sinqle
Pule 8ook. !he requirenenLs seL by
counLry A aly also Lo insLiLuLions in
counLry 8 LhaL do business in A.
CounLercyclical buffer Menber SLaLes can seL an addiLional
buffer requirenenL Lo danen excess
lendinq qrowLh nore qenerally. !his is
Lo roLecL Lhe econonyjbankinq secLor
fron any oLher sLrucLural variables
and fron Lhe exosure of Lhe bankinq
secLor Lo risk facLors relaLed Lo
financial sLabiliLy.
Measure is enbedded in Lhe Sinqle
Pule 8ook. !he requirenenLs seL by
counLry A aly also Lo insLiLuLions in
counLry 8 LhaL do business in A. !his
"recirociLy" is nandaLory only u Lo
2.6%.
E"--+% 9
"Pillar 2" neasures haLional suervisors can inose a
wide ranqe of neasures, includinq
addiLional caiLal requirenenLs, on
individual insLiLuLions or qrous of
insLiLuLions Lo address hiqher-Lhan-
nornal risk.
Measures are included in Lhe 0irecLive.
!hey nusL be |usLified in Lerns of
arLicular risks of a qiven insLiLuLion
or qrou of insLiLuLions, includinq risks
erLaininq Lo a arLicular reqion or
secLor. FurLher converqence of such
neasures will be souqhL over Line.
*+,-& 4Y !-&O","-"0H 1; G&A,&% T0+0&' ?"0L"2 0L& '"2#-& %$-& ,11I
Source: CP0 lv - FrequenLly Asked quesLions (July 2011}, Euroean Connission found aL EbP0PA - Press Peleases - CP0 lv - FrequenLly Asked 0uesLions
8asel ll and Lhe reforn ackaqes of
"8asel 2.6" are inlenenLed Lhrouqh
direcLives in Lhe Eb (CP0, CP0 ll,
CP0 lll}. !haL is, Lhe rules need Lo
be Lransosed inLo naLional law
wiLh several oLions and discreLions
aL Lhe naLional level. 8asel lll is
inLroduced Lhrouqh Lwo differenL
leqal insLrunenLs.
Enhanced qovernance
and sancLions
4
47
48
Anonq oLher deficiencies, Lhe
recenL financial crisis denonsLraLed
shorLconinqs in cororaLe qovernance
arranqenenLs in Lhe financial services
indusLry, conLribuLinq Lo excessive
risk-Lakinq. Accordinq Lo Lhe 8asel
ConniLLee on 8ankinq Suervision
and Lhe Eb Connission in nany
cases risk oversiqhL by boards was
inadequaLe, ofLen due Lo insufficienL
Line conniLnenL, inadequaLe
Lechnical knowledqe or insufficienL
diversiLy in board conosiLion. 8oards
were ofLen noL sufficienLly involved
in Lhe overall risk sLraLeqy or did
noL send sufficienL Line discussinq
risk issues, as risk nanaqenenL was
considered a low rioriLy conared
Lo oLher concerns. ln addiLion, Lhe
risk nanaqenenL funcLion has noL
been qiven aroriaLe weiqhL in Lhe
decision-nakinq rocess.
41
WiLh Lhe roosed 0irecLive,
42
Lhe
non-bindinq naLure of nosL of Lhe
cororaLe qovernance rinciles which
conLribuLed Lo Lhe lack of conliance
wiLh Lhese rinciles should be
Lransforned inLo bindinq requlaLions.
!his should hel avoid excessive risk
Lakinq. !he sLrenqLheninq of Lhe
cororaLe qovernance franework
requires:
lncreasinq Lhe effecLiveness of risk
oversiqhL by boards;
lnrovinq Lhe sLaLus of Lhe risk
nanaqenenL funcLion; and
Ensurinq effecLive noniLorinq by
suervisors of risk qovernance.
!he Lable on aqe 40 rovides a
sunnarized overview of Lhe oLions
on cororaLe qovernance.
WiLh Lhe roosed 0irecLive, Lhe
diverqenL and noL-always-aroriaLe
naLional sancLioninq reqines for
key violaLions of Lhe CP0 would
be harnonized. AL Lhis oinL, in
sone Menber SLaLes Lhe levels of
adninisLraLive ecuniary sancLions are
Loo low and Lhus are an insufficienL
deLerrenL, or Lhe acLual alicaLion of
sancLions differs in Menber SLaLes.
48
WiLh Lhe new rules, effecLive,
roorLionaLe and deLerrenL sancLions
would be inosed Lo ensure
conliance wiLh Lhe CP0 rules. For
Lhe Euroean Connission, Lhe nosL
aroriaLe oLions Lo achieve LhaL
ob|ecLive would be a conbinaLion of
Lhe followinq:
Mininun connon rules on Lhe Lye
of adninisLraLive sancLions available
Lo coneLenL auLhoriLies;
Mininun connon rules on
naxinun level of ecuniary
adninisLraLive sancLions;
LisL of key facLors Lo be Laken
inLo accounL when deLernininq Lhe
adninisLraLive sancLions;
0bliqaLion Lo rovide for Lhe
alicaLion of adninisLraLive sancLions
Lo boLh individuals and crediL
insLiLuLions;
PublicaLion of sancLions as a
qeneral rule.
.1 Enhanced
qovernance
.2 SancLions
40
5A<%1/& 0"A& 71AA"0A&20 1; ,1+%6
A&A,&%'
Pequire crediL insLiLuLions Lo disclose Lhe nunber of nandaLes of board nenbers
Pequire board nenbers Lo send sufficienL Line exercizinq Lheir duLies
LiniL Lhe naxinun nunber of nandaLes a board nenber nay hold aL Lhe sane
Line
5A<%1/& &O<&%0"'& 1; ,1+%6 A&A,&%' Pequire disclosure of Lhe recruiLnenL olicy and Lhe acLual exerLise and skills of
board nenbers
Secify skills and exerLise LhaL board nenbers nusL ossess individually and
collecLively
Pequire LhaL board nenbers receive aroriaLe inducLion and conLinuous
Lraininq
MandaLory noninaLion conniLLee
@1$20&%,+-+27& A+2+#&A&20
61A"2+27&
ProhibiL cunulaLinq nandaLes of chairnan and chief execuLive officer in Lhe
sane crediL insLiLuLion
5A<%1/& 6"/&%'"0H "2 ,1+%6'g
71A<1'"0"12
Pequire disclosure of inLernal olicy on diversiLy
8enchnarkinq differenL racLices aL naLional and Euroean level
Pequire diversiLy as one of Lhe criLeria of boards' conosiLion
Pequire crediL insLiLuLions Lo esLablish a diversiLy olicy
5A<%1/& 1?2&%'L"< ,H ,1+%6' 1; %"'I
'0%+0&#H
Pequire a declaraLion on Lhe adequacy of risk nanaqenenL sysLens
Pequire a risk sLaLenenL sLaLinq crediL insLiLuLion's aroach Lo risk
5A<%1/& <%"1%"0H #"/&2 ,H ,1+%6' 01
%"'I "''$&'
Pequire disclosure of olicy and racLice wiLh reqard Lo discussion and analysis
of risk issues durinq board neeLinqs
Pequire LhaL boards devoLe sufficienL Line Lo risk issues
MandaLory risk conniLLee aL board level
5A<%1/& 0L& "2;1%A+0"12 ;-1? 01
,1+%6' 12 %"'I
Pequire disclosure of olicy and racLice wiLh reqard Lo Lhe infornaLion flow on
risk Lo Lhe board
Pequire boards Lo deLernine Lhe conLenL, fornaL and frequency of risk
infornaLion iL should receive
Pequire LhaL Lhe risk nanaqenenL funcLion reorL direcLly Lo Lhe board
5A<%1/& 0L& '0+26"2# +26 0L&
+$0L1%"0H 1; 0L& %"'I A+2+#&A&20
;$270"12
Pequire disclosure of Lhe sLandinq and auLhoriLy of risk nanaqenenL funcLion
Pequire an indeendenL risk nanaqenenL funcLion
Pequire an indeendenL chief risk officer
Pequire LhaL chief risk officer have aroriaLe sLaLus and auLhoriLy
Pequire LhaL renoval of Lhe chief risk officer is sub|ecL Lo rior aroval by
Lhe board
K2'$%& &;;"7"&20 A12"01%"2# 1; %"'I
#1/&%2+27& ,H '$<&%/"'1%'
Pequire LhaL cororaLe qovernance is arL of suervisory review
Pequire LhaL Lhe suiLabiliLy of board nenbers is sub|ecL Lo secific suervisory
review
Pequire suervisors Lo review aqendas and suorLinq docunenLs for neeLinqs of
Lhe board
*+,-& 8Y U<0"12' 12 71%<1%+0& #1/&%2+27&
Source: ExecuLive Sunnary of Lhe lnacL AssessnenL. Acconanyinq Lhe docunenL 0irecLive of Lhe Euroean ParlianenL
and Lhe Council (July 2011}, Euroean Connission.
7
0Lher Loics
60
61
62
!he LreaLnenL of sysLenically
inorLanL financial insLiLuLions (SlFls}
- sysLenically inorLanL banks (Sl8s}
are a arL of Lhen - is currenLly under
discussion aL Lhe Financial SLabiliLy
8oard (FS8} and Lhe 8asel ConniLLee
on 8ankinq Suervision (8C8S}. !he
ob|ecLive is Lo reduce Lhe robabiliLy
of failure of 6-Sl8s
44
by increasinq
Lheir qoinq-concern loss absorbency
and reducinq Lhe exLenL or inacL of
failure of 6-Sl8s, by inrovinq qlobal
recovery and resoluLion franeworks.
ln July 2011 a consulLaLion aer
was ublished by Lhe 8C8S dealinq
wiLh Lhe assessnenL neLhodoloqy
and addiLional loss absorbency
requirenenLs for such insLiLuLions.
46
For assessinq which banks should be
considered as 6-Sl8, an indicaLor-
based neasurenenL aroach
is roosed where Lhe "selecLed
indicaLors are chosen Lo reflecL
Lhe differenL asecLs of whaL
qeneraLes neqaLive exLernaliLies
and nakes a bank criLical for Lhe
sLabiliLy of Lhe financial sysLen."
4
!he indicaLors reflecL Lhe size, Lhe
inLerconnecLedness, lack of readily
available subsLiLuLes for Lhe service
rovided, qlobal (cross |urisdicLional}
acLiviLy and Lhe conlexiLy of banks
and should be assiqned wiLh an
equal weiqhL of 20% (see Aendix}.
!he assessnenL is conducLed wiLh
consolidaLed qrou daLa.
47
!he indicaLor-based neasurenenL
aroach can be suorLed by
suervisory |udqnenL based on cerLain
rinciles. !he 8C8S also idenLified
several ancillary indicaLors which can
suorL Lhe suervisory |udqnenL
(see Aendix}.
!he 8C8S is of Lhe view LhaL Lhe
naqniLude of Lhe discussed addiLional
loss absorbency deends on Lhe
assessnenL and Lhe buckeL where iL
resides. A caiLal surcharqe beLween
1% and 2.6% - Lo be neL wiLh CE!1
caiLal - is currenLly roosed and iL
should be inlenenLed Lhrouqh an
exLension of Lhe caiLal conservaLion
buffer. lL should be hased in alonq
wiLh Lhe caiLal conservaLion and
counLercyclical buffer, i.e., beLween
201 and year-end 2018, beconinq
fully effecLive on January 1, 2010.
7.1 SysLenically lnorLanL Financial
lnsLiLuLions
68
A furLher ob|ecLive of Lhe roosed
0irecLive is Lo reduce Lhe overreliance
of insLiLuLions and invesLors on
exLernal crediL raLinqs, i.e., on raLinqs
issued by crediL raLinq aqencies. !his
qoal can be reached by:
a} Pequirinq LhaL all banks' invesLnenL
decisions are based noL only on
exLernal raLinqs buL also on Lheir own
inLernal crediL oinion; and
b} !haL banks wiLh a naLerial nunber
of exosures in a qiven orLfolio
develo inLernal raLinqs for LhaL
orLfolio insLead of relyinq on exLernal
raLinqs for Lhe calculaLion of Lheir
caiLal requirenenLs.
48
8asel ll allows a referenLial risk-
weiqhL for SMEs conared Lo oLher
cororaLes. !his beneficial LreaLnenL
will conLinue under 8asel lll.
A nore referenLial LreaLnenL,
i.e., lower risk-weiqhLs for snall
and nediun-sized enLiLies (SMEs}
conared Lo Lhe currenL sLaLus as
suqqesLed fron differenL counLries
wiLh a SME-based econony, would
require a revision Lo Lhe inLernaLional
8asel franework. Accordinq Lo Lhe
roosed Eb PequlaLion, E8A should
analyze and reorL by SeLenber 2012
on Lhe currenL risk-weiqhLs, Lakinq inLo
consideraLion a scenario for a ossible
reducLion by one-Lhird conared Lo
Lhe currenL siLuaLion.
40
WiLh 8asel ll a liniL was inLroduced
requirinq LhaL insLiLuLions have caiLal
no lower Lhan 80% of Lhe caiLal
LhaL would have been required under
8asel l. !his liniL exired aL Lhe end of
2000 buL was reinsLaLed unLil Lhe end
of 2011 by Lhe 0irecLive 2010j7jEC
(CP0 lll}. !he roosed Eb PequlaLion
concerninq 8asel lll reinsLaLes iL unLil
2016.
60
7.2
0verreliance
on exLernal
raLinqs
7.8 Snall
and Mediun-
Sized EnLiLy
7.4 8asel l
liniL
8
Conclusion
64
66
ln resonse Lo Lhe serious naLure of Lhe recenL financial
crisis, several neasures aL Lhe nicro and nacro level
are beinq considered Lo increase Lhe sLabiliLy of Lhe
financial narkeLs. 0ne na|or focus is sLrenqLheninq
qlobal caiLal and liquidiLy rules Lhrouqh 8asel lll. ln
0ecenber 2010, Lhe 8C8S ublished Lhe corresondinq
8asel lll docunenLs (a revised version of Lhe caiLal
franework was ublished in June 2011}.
ln Lhe Eb, 8asel lll will be inlenenLed
nainly Lhrouqh a PequlaLion, i.e.,
Lhe rules are direcLly alicable aL
Lhe naLional level. !he Euroean
Connission ublished Lhe
roosed PequlaLion as well as Lhe
sulenenLary 0irecLive in July 2011.
!hese leqal insLrunenLs are now
beinq discussed wiLhin Lhe Euroean
ParlianenL and Council. !he new rules
would aly as of January 1, 2018,
wiLh varyinq LransiLion eriods.
Key asecLs of 8asel lll are: a sLricLer
definiLion of caiLal Lo increase Lhe
qualiLy, consisLency and Lransarency
of Lhe caiLal base; inLroducLion of
caiLal buffers; increased caiLal
requirenenLs for CCP; inLroducLion
of a leveraqe raLio Lo sulenenL
Lhe risk-based franework of 8asel ll;
and a new qlobal liquidiLy sLandard
inLroducinq Lwo new raLios which
banks need Lo fulfill (LCP and
hSFP}. Also included are increased
requirenenLs for sysLenically
inorLanL financial insLiLuLions and
sLrenqLheninq cororaLe qovernance.
Even Lhouqh sone of Lhe requirenenLs
are sLill under discussion and need Lo
be secified (e.q., Lhe concreLe ASF-
and PSF-facLors wiLhin Lhe hSFP} and
oLhers niqhL be recalibraLed based
on Lhe quanLiLaLive inacL analysis
(e.q., leveraqe raLio}, banks aL Lhis
Line clearly nusL deal wiLh wide-
ranqinq requlaLory chanqes LhaL will
inacL Lheir business nodels and
fundinq sLraLeqies as well as caiLal
and liquidiLy cosLs. AL Lhe sane Line,
ressure conLinues Lo nounL fron a
narkeL execLinq banks Lo fulfill or
even exceed Lhe new requirenenLs
before Lhe requlaLory deadline.
6
8iblioqrahy
67
8asel lll and lLs Consequences.
ConfronLinq a hew PequlaLory
EnvironnenL; (2011}, AccenLure
found aL hLL:jjwww.accenLure.
conjSiLeCollecLion0ocunenLsj
P0FjAccenLure_8asel_lll_and_iLs_
Consequences.df
Princiles for Sound LiquidiLy Pisk
ManaqenenL and Suervision
(SeLenber 2008}, 8asel ConniLLee
on 8ankinq Suervision (hereafLer
8C8S} of Lhe 8ank for lnLernaLional
SeLLlenenLs (hereafLer '8lS'} found aL
hLL:jjwww.bis.orqjubljbcbs144.df
8asel lll: A qlobal requlaLory
franework for nore resilienL banks
and bankinq sysLens (0ecenber 2010;
rev. June 2011}, 8C8S found aL hLL:jj
www.bis.orqjubljbcbs180.df
8asel lnLernaLional franework for
liquidiLy risk neasurenenL, sLandards
and noniLorinq. (0ecenber 2010},
8C8S found aL hLL:jjwww.bis.orqj
ubljbcbs188.df
6lobal sysLenically inorLanL banks:
AssessnenL neLhodoloqy and Lhe
addiLional loss absorbency requirenenL
(July 2011}, 8C8S, ConsulLaLive
0ocunenL found aL hLL:jjwww.bis.
orqjubljbcbs201.df
8asel lll - LeiLfaden zu den neuen
EiqenkaiLal- und LiquidiLLsreqeln fr
8anken (2011}, 0euLsche 8undesbank;
hLL:jjwww.bundesbank.dejdownloadj
bankenaufsichLjdfjbasel8_leiLfaden.
df
hew roosals on caiLal requirenenLs
(July 2010}, Euroean Connission
found aL hLL:jjec.euroa.eujinLernal_
narkeLjbankjreqcaiLaljindex_en.hLn
0irecLive 2010j7jEb of Lhe Euroean
ParlianenL and of Lhe Council of
hovenber 24, 2010 anendinq
0irecLives 200j48jEC and 200j40j
EC as reqards caiLal requirenenLs
for Lhe Lradinq book and for re-
securiLisaLions, and Lhe suervisory
review of renuneraLion olicies
(hovenber 2010}, Euroean ParlianenL
and Council, found aL hLL:jjeur-lex.
euroa.eujLexbriServjLexbriServ.dour
i=0J:L:2010:820:0008:0086:Eh:P0F
0irecLive 2010j7jEb of Lhe Euroean
ParlianenL and of Lhe Council of
SeLenber 1, 2000 anendinq
0irecLives 200j48jEC, 200j40j
EC and 2007j4jEC as reqards banks
affiliaLed Lo cenLral insLiLuLions,
cerLain own funds iLens, larqe
exosures, suervisory arranqenenLs,
and crisis nanaqenenL (SeLenber
2000}, Euroean ParlianenL and
Council found aL hLL:jjeur-lex.euroa.
eujLexbriServjLexbriServ.douri=0J:L:
2000:802:0007:0110:Eh:P0F
Aendix
8asel lll Sunnary !able
*+,-& JY X+'&- 555 T$AA+%H *+,-&
8asel ConniLLee on 8ankinq Suervision reforns - 8asel lll
SLrenqLhens nicro-rudenLial requlaLion and suervision, and adds a nacro-rudenLial overlay LhaL includes caiLal buffers.
!"#$%"& ()"*+,-). /$01$2$%3
4$&&") 5
CaiLal ConLaininq leveraqe Pisk coveraqe Pisk nanaqenenL
and suervision
MarkeL
disciline
6lobal liquidiLy sLandard and
suervisory noniLorinq
4$&&") 6 4$&&") 7
8&& 9":.;
<=(=;
0ualiLy and level of caiLal
6reaLer focus on connon equiLy. !he
nininun will be raised Lo 4.6% of
risk-weiqhLed asseLs, afLer deducLions.
CaiLal conservaLion buffer
Conrisinq connon equiLy of 2.6% of
risk-weiqhLed asseLs, brinqinq Lhe LoLal
connon equiLy sLandard Lo 7%. ConsLrainL
on a bank's discreLionary disLribuLions will
be inosed when banks fall inLo Lhe buffer
ranqe.
CounLercyclical buffer
lnosed wiLhin a ranqe of 0-2.6% conris-
inq connon equiLy, when auLhoriLies |udqe
crediL qrowLh is resulLinq in an unacceL-
able build u of sysLenaLic risk.
SecuriLisaLions
SLrenqLhens Lhe caiLal LreaLnenL for
cerLain conlex securiLisaLions. Pequires
banks Lo conducL nore riqorous crediL
analyses of exLernally raLed securiLisaLion
exosures.
!radinq book
SiqnificanLly hiqher caiLal for Lradinq and
derivaLives acLiviLies, as well as conlex
securiLisaLions held in Lhe Lradinq book.
lnLroducLion of a sLressed value-aL-risk
franework Lo hel niLiqaLe rocyclicaliLy.
CounLerarLy crediL risk
SubsLanLial sLrenqLheninq of Lhe counLer-
arLy crediL risk franework. lncludes: nore
sLrinqenL requirenenLs for neasurinq
exosure; caiLal incenLives for banks Lo
use cenLral counLerarLies for derivaLives;
and hiqher caiLal for inLer-financial secLor
exosures.
Leveraqe raLio
A non-risk-based leveraqe raLio LhaL
includes off-balance sheeL exosures
will serve as a backsLo Lo Lhe
risk-based caiLal requirenenL. Also
hels conLain sysLen wide build u of
leveraqe.
SulenenLal Pillar 2 requirenenLs.
Address firn-wide qovernance and risk
nanaqenenL; caLurinq Lhe risk of
off-balance sheeL exosures and
securiLisaLion acLiviLies; nanaqinq risk
concenLraLions; rovidinq incenLives for
banks Lo beLLer nanaqe risk and reLurns
over Lhe lonq Lern; sound conensaLion
racLices; valuaLion racLices; sLress
LesLinq; accounLinq sLandards for
financial insLrunenLs; cororaLe
qovernance; and suervisory colleqes.
Pevised Pillar 8 disclosures requirenenLs
!he requirenenLs inLroduced relaLe Lo
securiLisaLion exosures and sonsorshi
of off-balance sheeL vehicles. Enhanced
disclosures on Lhe deLail of Lhe
cononenLs of requlaLory caiLal and
Lheir reconciliaLion Lo Lhe reorLed
accounLs will be required, includinq a
conrehensive exlanaLion of how a
bank calculaLes iLs requlaLory caiLal
raLios.
LiquidiLy coveraqe raLio
!he liquidiLy coveraqe raLio (LCP} will
require banks Lo have sufficienL hiqh-
qualiLy liquid asseLs Lo wiLhsLand a
80-day sLressed fundinq scenario LhaL is
secified by suervisors.
heL sLable fundinq raLio
!he neL sLable fundinq raLio (hSFP} is a
lonqer-Lern sLrucLural raLio desiqned Lo
address liquidiLy nisnaLches. lL covers Lhe
enLire balance sheeL and rovides
incenLives for banks Lo use sLable sources
of fundinq.
Princiles for Sound LiquidiLy Pisk
ManaqenenL and Suervision
!he ConniLLee's 2008 quidance enLiLled
Princiles for Sound LiquidiLy Pisk
ManaqenenL and Suervision Lakes
accounL of lessons learned durinq Lhe
crisis and is based on a fundanenLal
review of sound racLices for nanaqinq
liquidiLy risk in bankinq orqanisaLions.
Suervisory noniLorinq
!he liquidiLy franework includes a
connon seL of noniLorinq neLrics Lo
assisL suervisors in idenLifyinq and
analysinq liquidiLy risk Lrends aL boLh Lhe
bank and sysLen-wide level.
ln addiLion Lo neeLinq Lhe 8asel lll requirenenLs, qlobal sysLenically inorLanL financial insLiLuLions (SlFls} nusL have hiqher loss absorbency
caaciLy Lo reflecL Lhe qreaLer risks LhaL Lhey ose Lo Lhe financial sysLen. !he ConniLLee has develoed a neLhodoloqy LhaL includes boLh
quanLiLaLive indicaLors and qualiLaLive elenenLs Lo idenLify qlobal SlFls. !he addiLional loss absorbency requirenenLs are Lo be neL wiLh a
roqressive Connon EquiLy !ier 1 (CE!1} caiLal requirenenL ranqinq fron 1% Lo 2.6%, deendinq on a bank's sysLenic inorLance. A
consulLaLive docunenL was subniLLed Lo Lhe Financial SLabiliLy 8oard, which is coordinaLinq Lhe overall seL of neasures Lo reduce Lhe noral
hazard osed by qlobal SlFls.
Source: 8C8S (2011}: hLL:jjwww.bis.orqjbcbsjbasel8jb8sunnaryLable.df
68
8asel ConniLLee on 8ankinq Suervision reforns - 8asel lll
SLrenqLhens nicro-rudenLial requlaLion and suervision, and adds a nacro-rudenLial overlay LhaL includes caiLal buffers.
!"#$%"& ()"*+,-). /$01$2$%3
4$&&") 5
CaiLal ConLaininq leveraqe Pisk coveraqe Pisk nanaqenenL
and suervision
MarkeL
disciline
6lobal liquidiLy sLandard and
suervisory noniLorinq
4$&&") 6 4$&&") 7
8&& 9":.;
<=(=;
0ualiLy and level of caiLal
6reaLer focus on connon equiLy. !he
nininun will be raised Lo 4.6% of
risk-weiqhLed asseLs, afLer deducLions.
CaiLal conservaLion buffer
Conrisinq connon equiLy of 2.6% of
risk-weiqhLed asseLs, brinqinq Lhe LoLal
connon equiLy sLandard Lo 7%. ConsLrainL
on a bank's discreLionary disLribuLions will
be inosed when banks fall inLo Lhe buffer
ranqe.
CounLercyclical buffer
lnosed wiLhin a ranqe of 0-2.6% conris-
inq connon equiLy, when auLhoriLies |udqe
crediL qrowLh is resulLinq in an unacceL-
able build u of sysLenaLic risk.
SecuriLisaLions
SLrenqLhens Lhe caiLal LreaLnenL for
cerLain conlex securiLisaLions. Pequires
banks Lo conducL nore riqorous crediL
analyses of exLernally raLed securiLisaLion
exosures.
!radinq book
SiqnificanLly hiqher caiLal for Lradinq and
derivaLives acLiviLies, as well as conlex
securiLisaLions held in Lhe Lradinq book.
lnLroducLion of a sLressed value-aL-risk
franework Lo hel niLiqaLe rocyclicaliLy.
CounLerarLy crediL risk
SubsLanLial sLrenqLheninq of Lhe counLer-
arLy crediL risk franework. lncludes: nore
sLrinqenL requirenenLs for neasurinq
exosure; caiLal incenLives for banks Lo
use cenLral counLerarLies for derivaLives;
and hiqher caiLal for inLer-financial secLor
exosures.
Leveraqe raLio
A non-risk-based leveraqe raLio LhaL
includes off-balance sheeL exosures
will serve as a backsLo Lo Lhe
risk-based caiLal requirenenL. Also
hels conLain sysLen wide build u of
leveraqe.
SulenenLal Pillar 2 requirenenLs.
Address firn-wide qovernance and risk
nanaqenenL; caLurinq Lhe risk of
off-balance sheeL exosures and
securiLisaLion acLiviLies; nanaqinq risk
concenLraLions; rovidinq incenLives for
banks Lo beLLer nanaqe risk and reLurns
over Lhe lonq Lern; sound conensaLion
racLices; valuaLion racLices; sLress
LesLinq; accounLinq sLandards for
financial insLrunenLs; cororaLe
qovernance; and suervisory colleqes.
Pevised Pillar 8 disclosures requirenenLs
!he requirenenLs inLroduced relaLe Lo
securiLisaLion exosures and sonsorshi
of off-balance sheeL vehicles. Enhanced
disclosures on Lhe deLail of Lhe
cononenLs of requlaLory caiLal and
Lheir reconciliaLion Lo Lhe reorLed
accounLs will be required, includinq a
conrehensive exlanaLion of how a
bank calculaLes iLs requlaLory caiLal
raLios.
LiquidiLy coveraqe raLio
!he liquidiLy coveraqe raLio (LCP} will
require banks Lo have sufficienL hiqh-
qualiLy liquid asseLs Lo wiLhsLand a
80-day sLressed fundinq scenario LhaL is
secified by suervisors.
heL sLable fundinq raLio
!he neL sLable fundinq raLio (hSFP} is a
lonqer-Lern sLrucLural raLio desiqned Lo
address liquidiLy nisnaLches. lL covers Lhe
enLire balance sheeL and rovides
incenLives for banks Lo use sLable sources
of fundinq.
Princiles for Sound LiquidiLy Pisk
ManaqenenL and Suervision
!he ConniLLee's 2008 quidance enLiLled
Princiles for Sound LiquidiLy Pisk
ManaqenenL and Suervision Lakes
accounL of lessons learned durinq Lhe
crisis and is based on a fundanenLal
review of sound racLices for nanaqinq
liquidiLy risk in bankinq orqanisaLions.
Suervisory noniLorinq
!he liquidiLy franework includes a
connon seL of noniLorinq neLrics Lo
assisL suervisors in idenLifyinq and
analysinq liquidiLy risk Lrends aL boLh Lhe
bank and sysLen-wide level.
ln addiLion Lo neeLinq Lhe 8asel lll requirenenLs, qlobal sysLenically inorLanL financial insLiLuLions (SlFls} nusL have hiqher loss absorbency
caaciLy Lo reflecL Lhe qreaLer risks LhaL Lhey ose Lo Lhe financial sysLen. !he ConniLLee has develoed a neLhodoloqy LhaL includes boLh
quanLiLaLive indicaLors and qualiLaLive elenenLs Lo idenLify qlobal SlFls. !he addiLional loss absorbency requirenenLs are Lo be neL wiLh a
roqressive Connon EquiLy !ier 1 (CE!1} caiLal requirenenL ranqinq fron 1% Lo 2.6%, deendinq on a bank's sysLenic inorLance. A
consulLaLive docunenL was subniLLed Lo Lhe Financial SLabiliLy 8oard, which is coordinaLinq Lhe overall seL of neasures Lo reduce Lhe noral
hazard osed by qlobal SlFls.
60
!"#$%& 4DY .^@Y N"'IVQ&"#L0' ;1% -+%#& ;"2+27"+- "2'0"0$0"12' _ X+'&- 55 /'= X+'&- 555
*+,-& BY .^@Y N"'IVQ&"#L0' ;1% -+%#& ;"2+27"+- "2'0"0$0"12' _ X+'&- 55 /'= X+'&- 555
.''&0 ^+-$& @1%%&-+0"12Y N"'IVQ&"#L0 ;1% -+%#& ;"2+27"+-
"2'0"0$0"12' X+'&- 55 /'= X+'&- 555
Source: AccenLure
Source: AccenLure
!"#$
!%#$
!&#$
'()*+ ---
'()*+ --
!.#$
!##$
"#$
%#$
&#$
.#$
#$
!"#$%&'"()*
#/#0$
#/!$
#/.$
#/0$
#/&$
#/1$
#/%$
#/2$
#/"$
#/3$
!$
!/!$
!/.$
!/0$
!/&$
!/1$
!/%$
!/2$
!/"$
!/3$
.$
./!$
./.$
./0$
./&$
./1$
P0 PW 8asel ll PW 8asel lll lncrease PW
0.08% 16.81% 20.84% 8.00%
0.10% 81.48% 42.47% 86.12%
0.20% 4.68% 2.22% 88.74%
0.80% 67.4% 7.44% 82.0%
0.40% .48% 87.62% 81.4%
0.60% 78.70% 0.62% 80.81%
0.0% 70.08% 104.08% 80.07%
0.70% 86.88% 110.48% 20.41%
0.80% 00.01% 116.04% 28.81%
0.00% 04.16% 120.77% 28.27%
1.00% 07.8% 126.08% 27.77%
1.10% 101.10% 128.82% 27.80%
1.20% 104.28% 182.24% 2.88%
1.80% 107.00% 186.84% 2.48%
1.40% 100.6% 188.1% 2.10%
1.60% 111.08% 140.7% 26.7%
1.0% 114.14% 148.1% 26.48%
1.70% 11.20% 146.80% 26.12%
1.80% 118.16% 147.40% 24.88%
1.00% 110.00% 140.4% 24.66%
2.00% 121.76% 161.82% 24.20%
2.10% 128.42% 168.00% 24.04%
2.20% 126.02% 164.78% 28.81%
2.80% 12.6% 16.40% 28.68%
2.40% 128.06% 167.07% 28.87%
2.60% 120.48% 160.48% 28.1%
0
*+,-& CY 526"7+01%V,+'&6 A&+'$%&A&20 +<<%1+7L SVT5XT
*+,-& 4FY .27"--+%H "26"7+01%' ;1% +''&''A&20 SVT5XT
526"7+01%V,+'&6 A&+'$%&A&20 +<<%1+7L SVT5XT
Source: 6lobal sysLenically inorLanL banks: AssessnenL neLhodoloqy and Lhe addiLional loss absorbency requirenenL (July 2011}, 8C8S, ConsulLaLive 0ocunenL
Source: 6lobal sysLenically inorLanL banks: AssessnenL neLhodoloqy and Lhe addiLional loss absorbency requirenenL (July 2011}, 8C8S, ConsulLaLive 0ocunenL.
1
526"7+01%V,+'&6 G&+'$%&A&20 .<<%1+7L
@+0%H [+26 ?&"#L0"2#\ 526"/"6$+- 526"7+01% 526"7+01% Q&"#L0"2#
Cross-|urisdicLional acLiviLy (20%} Cross-|urisdicLional clains
Cross-|urisdicLional liabiliLies
10%
10%
Size (20%} !oLal exosures as defined for use in Lhe 8asel lll leveraqe
raLio
20%
lnLerconnecLedness (20%} lnLra-financial sysLen asseLs
lnLra-financial sysLen liabiliLies
Wholesale fundinq raLio
.7%
.7%
.7%
SubsLiLuLabiliLy (20%} AsseLs under cusLody
PaynenLs cleared and seLLled Lhrouqh aynenL sysLens
values of underwriLLen LransacLions in debL and equiLy
narkeLs
.7%
.7%
.7%
ConlexiLy (20%} 0!C derivaLives noLional value
Level 8 asseLs
!radinq book value and available for sale value
.7%
.7%
.7%
R"'0 1; T0+26+%6"W&6 .27"--+%H 526"7+01%'
@+0%H 526"/"6$+- 526"7+01%
Cross-|urisdicLional acLiviLy (20%} hon-donesLic revenue as a roorLion of LoLal revenue
Cross-|urisdicLional clains and liabiliLies as a roorLion of LoLal asseLs and
liabiliLies
Size 6ross or neL revenue
EquiLy narkeL caiLalizaLion
SubsLiLuLabiliLy 0eqree of narkeL arLiciaLion:
1. 6ross nark-Lo-narkeL value of reo, reverse reo and securiLies lendinq
LransacLions
2. 6ross nark-Lo-narkeL 0!C derivaLives LransacLions
ConlexiLy hunber of |urisdicLions
FooLnoLes
2
1. 8asel lll: A qlobal requlaLory franework
for nore resilienL banks and bankinq
sysLens (0ecenber 2010; rev. June 2011},
8asel ConniLLee on 8ankinq Suervision
(hereafLer "8C8S"} of Lhe 8ank for
lnLernaLional SeLLlenenLs (hereafLer
"8lS"} found aL hLL:jjwww.bis.orqjbcbsj
basel8jconilaLion.hLn and lnLernaLional
franework for liquidiLy risk neasurenenL,
sLandards and noniLorinq (0ecenber
2010}, 8C8S. !he aendix of Lhis
handbook conLains a 8asel lll sunnary
Lable fron 8C8S.
2. Euroean CaiLal PequirenenLs
0irecLive lll (2010j7jEb}.
8. Princiles for Sound LiquidiLy Pisk
ManaqenenL and Suervision (June 2008},
8C8S.
4. Euroean CaiLal PequirenenLs
0irecLive lll (2000j111jEC}.
6. For 8asel lll inlenenLaLion challenqes
see: 8asel lll and lLs Consequences.
ConfronLinq a hew PequlaLory
EnvironnenL (2011}, AccenLure
found aL hLL:jjwww.accenLure.conj
SiLeCollecLion0ocunenLsjP0FjAccenLure_
8asel_lll_and_iLs_Consequences.df.
. hew roosals on caiLal requirenenLs
(July 2011}, Euroean Connission found aL
hLL:jjec.euroa.eujinLernal_narkeLjbankj
reqcaiLaljindex_en.hLn.
7. hew roosals on caiLal requirenenLs
(July 2011}, Euroean Connission found aL
hLL:jjec.euroa.eujinLernal_narkeLjbankj
reqcaiLaljindex_en.hLn.
8. Euroean Connission (2011}: CP0 lv -
FrequenLly Asked 0uesLions, . 16 (hLL:jj
euroa.eujraidjressPeleasesAcLion.dore
ference=MEM0j11j627&fornaL=R!ML&aq
ed=0&lanquaqe=Eh&quiLanquaqe=en}.
0. For Lhe followinq descriLions see hew
roosals on caiLal requirenenLs (July
2011}, Euroean Connission found aL
;hLL:jjec.euroa.eujinLernal_narkeLjbankj
reqcaiLaljindex_en.hLn
10. ArLicle 2 of Lhe roosed Eb
PequlaLion [Proosal for a PequlaLion
of Lhe Euroean ParlianenL and of Lhe
Council on rudenLial requirenenLs for
crediL insLiLuLions and invesLnenL firns|
(Euroean Connission, July 2011}.
11. Euroean Connission (2011}: CP0 lv -
FrequenLly Asked 0uesLions.
12. Proosed Eb PequlaLion [Proosal for a
PequlaLion of Lhe Euroean ParlianenL and
of Lhe Council on rudenLial requirenenLs
for crediL insLiLuLions and invesLnenL
firns| (Euroean Connission, July 2011}.
18. PelevanL enLiLies accordinq Lo Lhe
Eb roosed PequlaLion are: (a} anoLher
insLiLuLion; (b} a financial insLiLuLion; (c} an
insurance underLakinq; (d} a Lhird counLry
insurance underLakinq; (e} a reinsurance
underLakinq; (f} a Lhird counLry
reinsurance underLakinq; (q} a financial
underLakinq; (h} a nixed acLiviLy insurance
holdinq conany; (i} an underLakinq
excluded fron Lhe scoe of 0irecLive. See
hew roosals on caiLal requirenenLs
(July 2011}, Euroean Connission found aL
hLL:jjec.euroa.eujinLernal_narkeLjbankj
reqcaiLaljindex_en.hLn.
14. See Euroean Connission (2011}: CP0
lv - FrequenLly Asked 0uesLions (hLL:jj
euroa.eujraidjressPeleasesAcLion.dore
ference=MEM0j11j627&fornaL=R!ML&aq
ed=0&lanquaqe=Eh&quiLanquaqe=en}.
16. ArLicle 108(7} of Lhe roosed Eb
PequlaLion [Proosal for a PequlaLion
of Lhe Euroean ParlianenL and of Lhe
Council on rudenLial requirenenLs for
crediL insLiLuLions and invesLnenL firns|
deals wiLh Lhe calculaLion of risk-weiqhLed
exosure anounLs wiLh reqard Lo
counLerarLies wiLh which Lhe insLiLuLion
has enLered inLo an insLiLuLional roLecLion
schene LhaL is a conLracLual or sLaLuLory
liabiliLy arranqenenL which roLecLs Lhose
insLiLuLions and in arLicular ensures Lheir
liquidiLy and solvency Lo avoid bankruLcy
in case iL becones necessary.
1. For Lhe followinq exlanaLions see
hew roosals on caiLal requirenenLs
(July 2011}, Euroean Connission found aL
hLL:jjec.euroa.eujinLernal_narkeLjbankj
reqcaiLaljindex_en.hLn.
17. For nore deLails abouL Lhe calculaLion
see ArLicle 181 of Lhe roosed Eb
0irecLive.
18. See also 8undesbank (May 2011}: 8asel
lll - LeiLfaden zu den neuen EiqenkaiLal-
und LiquidiLiLLsreqeln fr 8anken.
10. Euroean Connission (2011}: Proosal
for a 0irecLive of Lhe Euroean ParlianenL
and of Lhe Council on Lhe access Lo
Lhe acLiviLy of crediL insLiLuLions and
Lhe rudenLial suervision of crediL
insLiLuLions and invesLnenL firns and
anendinq 0irecLive 2002j87jEC of Lhe
Euroean ParlianenL and of Lhe Council
on Lhe sulenenLary suervision of
crediL insLiLuLions, insurance underLakinqs
and invesLnenL firns in a financial
conqloneraLe; . 12.
20. CalibraLed in increnenLs of 0.26
ercenLaqe oinLs, or nulLiles of .26.
21. !he direcLive allows also a buffer
beyond 2.6 if |usLified.
22. 8asel lll: A qlobal requlaLory
franework for nore resilienL banks and
bankinq sysLens (0ecenber 2010; rev.
June 2011}, 8C8S as well as hew roosals
on caiLal requirenenLs (July 2011},
Euroean Connission found aL hLL:jj
ec.euroa.eujinLernal_narkeLjbankj
reqcaiLaljindex_en.hLn.
28. 8asel lll: A qlobal requlaLory
franework for nore resilienL banks and
bankinq sysLens (0ecenber 2010; rev.
June 2011}, 8C8S, . 88.
24. Accordinq Lo Lhe roosed Eb
PequlaLion [Proosal for a PequlaLion
of Lhe Euroean ParlianenL and of Lhe
Council on rudenLial requirenenLs for
crediL insLiLuLions and invesLnenL firns|
unrequlaLed financial enLiLy neans any
oLher enLiLy LhaL is noL a requlaLed enLiLy
buL erforns one or nore of Lhe lisLed
acLiviLies.
26. Euroean Connission (2011}:
Proosal for a 0irecLive of Lhe Euroean
ParlianenL and of Lhe Council on Lhe
access Lo Lhe acLiviLy of crediL insLiLuLions
and Lhe rudenLial suervision of crediL
insLiLuLions and invesLnenL firns and
anendinq 0irecLive 2002j87jEC of Lhe
Euroean ParlianenL and of Lhe Council
on Lhe sulenenLary suervision of
crediL insLiLuLions, insurance underLakinqs
and invesLnenL firns in a financial
conqloneraLe; . 16.
2. For Lhe followinq descriLions see hew
roosals on caiLal requirenenLs (July
2011}, Euroean Connission found aL
hLL:jjec.euroa.eujinLernal_narkeLjbankj
reqcaiLaljindex_en.hLn.
27. 0urinq Lhe eriod fron Jan. 1, 2018
Lo 0ec. 81, 2017 coneLenL auLhoriLies
nay erniL insLiLuLions Lo calculaLe Lhe
end-of-quarLer leveraqe raLio where
Lhey consider LhaL insLiLuLions nay noL
have daLa of sufficienLly qood qualiLy
Lo calculaLe a leveraqe raLio LhaL is an
ariLhneLic nean of Lhe nonLhly leveraqe
raLios over a quarLer.
28. For exliciLly nenLioned off-balance-
sheeL iLens, Lhere are exceLions Lo Lhis
LreaLnenL.
8
20. Princiles for Sound LiquidiLy Pisk
ManaqenenL and Suervision (SeLenber
2008}, 8C8S.
80. For Lhe followinq descriLions see hew
roosals on caiLal requirenenLs (July
2011}, Euroean Connission found aL
hLL:jjec.euroa.eujinLernal_narkeLjbankj
reqcaiLaljindex_en.hLn
81. See ArLicle 7(1} of Lhe roosed
PequlaLion; for cross border insLiLuLions
also ArLicle 7(2}.
82. ArLicle 401 of Lhe roosed PequlaLion.
88. 8onds are issued by a crediL insLiLuLion
which has iLs reqisLered office in a
Menber SLaLe and is sub|ecL by law Lo
secial ublic suervision desiqned Lo
roLecL bond-holders [0irecLive 2000j6j
EC of Lhe Euroean ParlianenL and
Lhe Council, hLL:jjeur-lex.euroa.euj
LexbriServjLexbriServ.douri=0J:L:2000:8
02:0082:000:en:P0F}.
84. Accordinq Lo Lhe roosed Eb
PequlaLion [Proosal for a PequlaLion
of Lhe Euroean ParlianenL and of Lhe
Council on rudenLial requirenenLs for
crediL insLiLuLions and invesLnenL firns|
reLail deosiL neans a liabiliLy Lo a naLural
erson or Lo a snall and nediun sized
enLerrise where Lhe aqqreqaLe liabiliLy Lo
such clienLs or qrou of connecLed clienLs
is less Lhan 1 nillion EbP.
86. See ArLicle 408(2} of Lhe roosed
Eb PequlaLion [Proosal for a PequlaLion
of Lhe Euroean ParlianenL and of Lhe
Council on rudenLial requirenenLs for
crediL insLiLuLions and invesLnenL firns|.
8. ln Lhe 8asel lll docunenL fron Lhe
8asel ConniLLee on 8ankinq Suervision
"> 100%" is roosed.
87. 8asel lll: lnLernaLional franework for
liquidiLy risk neasurenenL, sLandards and
noniLorinq (0ecenber 2010}, 8C8S.
88. 8asel lll: lnLernaLional franework for
liquidiLy risk neasurenenL, sLandards and
noniLorinq (0ecenber 2010}, 8C8S.
80. MeLrics suqqesLed: a} Fundinq
liabiliLies sourced fron each siqnificanL
counLerarLyj Lhe bank's balance sheeL
LoLal; b} Fundinq liabiliLies sourced fron
each siqnificanL roducLjinsLrunenLj
Lhe bank's balance sheeL LoLal; c} LisL of
asseL and liabiliLy anounLs by siqnificanL
currency.
40. hoLe: AnounL of LoLal neL foreiqn
exchanqe cash ouLflows should be neL of
foreiqn exchanqe hedqes.
41. For Lhe followinq descriLions
see Euroean Connission (2011} -
Connission SLaff Workinq Paer:
ExecuLive Sunnary of Lhe lnacL
AssessnenL. Acconanyinq Lhe docunenL
0irecLive of Lhe Euroean ParlianenL and
Lhe Council on Lhe access Lo Lhe acLiviLy
of crediL insLiLuLions and Lhe rudenLial
suervision of crediL insLiLuLions and
invesLnenL firns and anendinq 0irecLive
2002j87jEC of Lhe Euroean ParlianenL
and of Lhe Council on Lhe sulenenLary
suervision of crediL insLiLuLions, insurance
underLakinqs and invesLnenL firns in a
financial conqloneraLe (hLL:jjec.euroa.
eujinLernal_narkeLjbankjdocsjreqcaiLalj
CP04_refornjexecuLive_sunnary_lA_
direcLive_en.df}.
42. See hew roosals on caiLal
requirenenLs (July 2011}, Euroean
Connission found aL hLL:jjec.euroa.
eujinLernal_narkeLjbankjreqcaiLalj
index_en.hLn.
48. For Lhe followinq descriLions
see Euroean Connission (2011} -
Connission SLaff Workinq Paer:
ExecuLive Sunnary of Lhe lnacL
AssessnenL. Acconanyinq Lhe docunenL
0irecLive of Lhe Euroean ParlianenL and
Lhe Council on Lhe access Lo Lhe acLiviLy
of crediL insLiLuLions and Lhe rudenLial
suervision of crediL insLiLuLions and
invesLnenL firns and anendinq 0irecLive
2002j87jEC of Lhe Euroean ParlianenL
and of Lhe Council on Lhe sulenenLary
suervision of crediL insLiLuLions, insurance
underLakinqs and invesLnenL firns in a
financial conqloneraLe (hLL:jjec.euroa.
eujinLernal_narkeLjbankjdocsjreqcaiLalj
CP04_refornjexecuLive_sunnary_lA_
direcLive_en.df}.
44. 6lobal sysLenically inorLanL banks.
46. See hereLo and for Lhe followinq
descriLions 6lobal sysLenically inorLanL
banks: AssessnenL neLhodoloqy and Lhe
addiLional loss absorbency requirenenL
(July 2011}, 8C8S, ConsulLaLive 0ocunenL.
4. 6lobal sysLenically inorLanL
banks: AssessnenL neLhodoloqy and Lhe
addiLional loss absorbency requirenenL
(July 2011}, 8C8S, ConsulLaLive 0ocunenL,
. 8.
47. For nore deLails see 6lobal
sysLenically inorLanL banks: AssessnenL
neLhodoloqy and Lhe addiLional loss
absorbency requirenenL (July 2011}, 8C8S,
ConsulLaLive 0ocunenL.
48. See CP0 lv - FrequenLly Asked
0uesLions (2011}, Euroean Connission.
40. hew roosals on caiLal requirenenLs
(July 2011}, Euroean Connission found aL
hLL:jjec.euroa.eujinLernal_narkeLjbankj
reqcaiLaljindex_en.hLn.
60. See Euroean Connission (July
2011}: hew roosals on caiLal
requirenenLs;hLL:jjec.euroa.eujinLernal_
narkeLjbankjreqcaiLaljindex_en.hLn.
ACC11-2081_lcj11-400
CoyriqhL
2012 AccenLure
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Lheir business and risk caabiliLies.
Ris exLensive exerience in risk
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narkeL, crediL and oeraLional risk, risk
and requlaLory naLLers and oeraLinq
nodels hels execuLives and Lheir
nulLinaLional firns becone hiqh-
erfornance businesses.
S&1%# /12 E;1&'0-
6eorq is senior nanaqer - AccenLure
Pisk ManaqenenL. 8ased in vienna,
6eorq has 8 years of exerience in Lhe
area of risk nanaqenenL wiLh a focus
on crediL and liquidiLy risk, requlaLory
naLLers and Pisk-WeiqhLed AsseLs
oLinizaLion. WiLh his exerience as
a bankinq insecLor aL Lhe AusLrian
haLional 8ank, his raqnaLic
knowledqe fron workinq wiLh reqional
and inLernaLional financial insLiLuLions
across 6ernan-seakinq narkeLs
and his Lechnical skills erLaininq
Lo 8asel ll and 8asel lll requlaLory
requirenenLs, he quides conanies on
Lheir |ourney Lo hiqh erfornance.
ConLacL