Basel-2, Basel-3 - International Finance


Accounting for capital requirements for off-balance sheet instruments is a two-step process. Initially, they are transferred to the credit equivalent for risks through multiplication of the nominal value by the credit transfer ratio. The received result is weighed taking into account the risk of the corresponding category. Off-balance sheet instruments, which are analogues of credit operations (reserve letters of credit), are classified as 100% risk. The conversion factor of 50% is used for transactions with bonds, euronotes (NIF) and renewable credit sources (RUF). The conversion factor of 20% is applied to transactions with short-term liabilities related to trade. The adoption of risk-based capital requirements entailed the following changes:

1) to a certain extent, the bank portfolios have changed. The fact that government securities were given relatively small weights relative to loans (0% and 100%, respectively) opened up new opportunities for banks to invest in these securities, which became a significant part of their balance sheet operations;

2) the price of some off-balance sheet services did not decrease, as expected, but increased;

3) the need to focus in the future on assessing the stability and solvency of the bank, in terms of capital adequacy, rather than the size of total assets, was revealed

4) when measuring and assessing the profitability of a bank, the use of methods based on measuring capital, rather than measuring its assets, or the size of total assets, was recognized as more significant;

5) The imposed restrictions forced the banks to deal more carefully not only with operations, but also with strategy. According to the data, the strategy was followed mainly by large banks, in particular the "Bankers Trust" & quot; and & quot; J. P. Morgan & quot; and etc . Since these banks attached less importance to long-term lending operations, they had the most liquid balance sheet items and had more stable capital positions taking into account the risk. Their total capital ratio, established for risk-adjusted assets, was 12% higher than the norm required in 1992.

This agreement, approved by the Basel Committee on Banking Supervision of the Bank for International Settlements (BIS) in 2004, was named Basel-2. However, the global crisis has revealed many issues related to the need to strengthen the regulation of large banks. Many of them obtained their solution when transforming Basel-2 into Basel-3 (Figure 14.1).

Basics of the requirements of the Basel Committee (requirements for the capital of banks): evolution from Basel-1 to Basel-3

Fig. 14.1. Basic provisions of the requirements of the Basel Committee (requirements for the capital of banks): evolution from Basel-1 to Basel-3

Source: compiled by the author on the basis of the Bank for International Settlements (BIS) data for 2005-2012.


The global financial and economic crisis has revealed many problems and major shortcomings in the activities of banks and non-bank financial institutions; while many analysts considered these organizations as the main culprits of the crisis. Certain experience gained during this crisis, large banks and regulators, including the countries participating in the Basel Committee, tried to take into account. As a result, the so-called Basel-3 appeared. True, many constructive proposals aimed at strengthening the national and supranational character were not included in the new text of the Basel agreement, including the recommendations of international experts of the United Nations, which prepared a fundamental Report under the leadership of the Nobel Prize winner J. Stiglitz (for details, see Chapter 19).

The Basel-3 Agreement is now the most representative international basic document regulating the rights, responsibilities and procedures for the operation of international (transnational) banks, as well as major banking institutions leading international financial transactions. The BIS, together with the Financial Stability Board (SPS), established in accordance with the recommendations of the G-20, should become (in the opinion of the members of the G-20 itself) an effective international controller in the field of international financial resources movement.

Packages of reforms aimed at improving the regulation of banks taking into account the lessons of the crisis - Basel-2 "General regulatory approaches to increasing the stability of banks and the banking sector"; and Basel-3 International Approaches to Valuation, Standards and Monitoring of Liquidity Risk & quot; - were approved by the Group of Governors of Central Banks and Heads of Supervisory Bodies of the Basel Committee member countries, and also supported by the G20 leaders at the Seoul Summit in November 2010.

Basel-3 provides: increased requirements for the quality and sufficiency of bank capital; the introduction of the leverage ratio (the ratio of capital to the volume of assets and off-balance sheet liabilities not weighted by risks), special buffers & quot; capital, allowing to absorb losses during periods of stress, as well as two liquidity standards (indicators of short-term liquidity and net stable funding). In accordance with the plan for the phased implementation of new regulatory approaches published in the documents of the Basel Committee, new regulatory capital requirements and liquidity ratios should be gradually introduced in the Basel Committee member countries during 2012-2018. In accordance with this plan, the following directions and terms for the implementation of Basel-3 are expected:

1) Regarding approaches to regulatory capital:

• new requirements for the structure of equity capital (in terms of requirements for equity capital instruments, 1st and 2nd tier capital and requirements for a phased (within 10 years) write-off of capital instruments that do not meet new criteria) , is expected to be implemented from January 1, 2013;

• New requirements for the adequacy of share capital and Tier 1 capital are planned to be implemented in stages in 2013-2014, new requirements for the adequacy of share capital and total capital taking into account the buffer buffer (conservation buffer) - during 2016-2018

2) with respect to the introduction of the mandatory leverage ratio:

• During 2013-2016 years. Provided & quot; parallel & quot; the banks calculate the leverage ratio with the existing capital adequacy ratio. During this period, the value of the leverage ratio and its components will be monitored, as well as the change in the indicator compared to the existing capital adequacy ratio;

• January 1, 2015, banks are expected to disclose information on the leverage ratio;

• On January 1, 2018, this indicator, the calculation procedure and value of which is planned to be clarified in the first half of 2017, taking into account the results of the "parallel" calculation, it is supposed to be included in the list of mandatory;

3) with respect to the introduction of new liquidity standards:

• Starting from January 1, 2012, banks were scheduled to report on the calculation of the short-term liquidity indicator (PKL) and the net stable funding (PSF) indicator on a regular basis. Reporting by banks should be carried out within the monitoring period for the values ​​of liquidity indicators and their components;

• On January 1, 2015 (PKL) and from January 1, 2018 (PSNF), new liquidity standards are expected to be included in the mandatory list.

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