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1、Basel Committee on Banking Supervision Consultative Document Overview of The New Basel Capital Accord Issued for comment by 31 July 2003 April 2003 Introduction 1.The Basel Committee on Banking Supervision (the Committee) is releasing this overview paper as an accompaniment to its third consultative
2、 paper (CP3) on the New Basel Capital Accord (also known as Basel II). The issuance of CP3 represents an important step in putting the new capital adequacy framework in place. The Committees goal continues to be to finalise the New Accord by the fourth quarter of this year with implementation to tak
3、e effect in member countries by year-end 2006. 2.The Committee believes that important public policy benefits can be obtained by improving the capital adequacy framework along two important dimensions. First, by developing capital regulation that encompasses not only minimum capital requirements, bu
4、t also supervisory review and market discipline. Second, by increasing substantially the risk sensitivity of the minimum capital requirements. 3.An improved capital adequacy framework is intended to foster a strong emphasis on risk management and to encourage ongoing improvements in banks risk asses
5、sment capabilities. The Committee believes this can be accomplished by closely aligning banks capital requirements with prevailing modern risk management practices, and by ensuring that this emphasis on risk makes its way into supervisory practices and into market discipline through enhanced risk- a
6、nd capital-related disclosures. 4.A critical component of the Committees efforts to revise the Basel Accord has been its extensive dialogue with industry participants and with supervisors from outside member countries. As a result of these consultations, the Committee believes the new framework with
7、 its various options will be suitable not only within the G10 but also for banks and for countries around the world to apply to their banking systems. 5.An equally important aspect to the Committees work has been the feedback received from banks participating in its impact studies. The aim of these
8、studies has been to gather information from banks worldwide on the impact of the capital proposals on their existing portfolios. In particular, the Committee recognises the tremendous effort of the more than 350 banks of varying size and levels of complexity from more than 40 countries that particip
9、ated in the most recent quantitative exercise known as QIS 3. As discussed in a separate paper, the QIS 3 results confirmed that the framework as currently calibrated produces capital requirements broadly consistent with the Committees objectives. 6.This overview paper is structured in two parts. Th
10、e first part provides a summary of the new capital adequacy framework and also touches upon implementation considerations. It is targeted to readers that would like to increase their familiarity with the options available to banks in Basel II. The second part is more technical in nature. It outlines
11、 the specific modifications to the New Accord relative to the proposals embodied in the QIS 3 Technical Guidance released in October 2002. Part I: Key Elements of the New Accord 7.The New Accord consists of three pillars: (1) minimum capital requirements, (2) supervisory review of capital adequacy,
12、and (3) public disclosure. The proposals comprising each of the three pillars are summarised below. Pillar 1: Minimum capital requirements 8.While the proposed New Accord differs from the current Accord along a number of dimensions, it is important to begin with a description of elements that have n
13、ot changed. The current Accord is based on the concept of a capital ratio where the numerator represents the amount of capital a bank has available and the denominator is a measure of the risks faced by the bank and is referred to as risk-weighted assets. The resulting capital ratio may be no less t
14、han 8%. 9.Under the proposed New Accord, the regulations that define the numerator of the capital ratio (i.e. the definition of regulatory capital) remain unchanged. Similarly, the minimum required ratio of 8% is not changing. The modifications, therefore, are occurring in the definition of risk-wei
15、ghted assets, that is in the methods used to measure the risks faced by banks. The new approaches for calculating risk-weighted assets are intended to provide improved bank assessments of risk and thus to make the resulting capital ratios more meaningful. 10. The current Accord explicitly covers onl
16、y two types of risks in the definition of risk- weighted assets: (1) credit risk and (2) market risk. Other risks are presumed to be covered implicitly through the treatments of these two major risks. The treatment of market risk arising from trading activities was the subject of the Basel Committees 1996 Amendment to the Capital Accord. The proposed New Accord envisions this treatment remaining unchanged. 11. The pillar one proposals to modify the definition of risk-weighted assets in th
