Accenture-Basel-III-Handbook

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1、BaselIIIHandbookTableofContentsFigures4Tables4Abbreviations51Introduction62Definitionofcapitalandcapitalbuffers122.1Newdefinitionofcapital142.2Componentsofcapital162.2.1CommonEquityTier1capital162.2.2AdditionalTier1capital182.2.3Tier2capital192.3Prudentialfiltersanddeductions202.3.1Prudential

2、filters202.3.2DeductionsfromCET1capital212.3.3ExemptionsfromandalternativestodeductionfromCET1items222.3.4DeductionsfromAdditionalTier1capital222.3.5DeductionsfromTier2items232.4Minorityinterests242.4.1MinorityintereststhatqualifyforinclusioninconsolidatedCET1capital242.4.2QualifyingAdditiona

3、lTier1,Tier1,Tier2capitalandqualifyingownfunds242.5Institutionalnetworks242.6Capitalbuffers252.6.1Capitalconservationbuffer252.6.2Countercyclicalcapitalbuffer252.7Enhanceddisclosurerequirements253CounterpartyCreditRisk263.1EffectiveExpectedPositiveExposure283.2Creditvaluationadjustment283.3Wr

4、ongwayrisk293.4Assetvaluecorrelation293.5Centralcounterparties293.6EnhancedCCRmanagementrequirements2924Leverageratio304.1Definitionandcalibration325Globalliquiditystandard345.1LiquidityCoverageRatio375.1.1.Definitionofhighqualityliquidassets385.1.2.Definitionofnetliquidityoutflows405.2NetSta

5、bleFundingRatio425.3Monitoringtools455.4Institutionalnetworks456Enhancedgovernanceandsanctions466.1Enhancedgovernance486.2Sanctions487Othertopics507.1SystemicallyImportantFinancialInstitutions527.2Overrelianceonexternalratings537.3SmallandMedium-SizedEntity537.4BaselIlimit538Conclusion54Bibli

6、ography57Appendix583FiguresFigure1:FromBasel2.5toBaselIII9Figure2:CapitalrequirementsBaselII/Basel2.5vs.BaselIII15Figure3:Phase-inarrangementsBaselIIIcapitalrequirements15Figure4:LeverageRatiowithinBaselIII32Figure5:Liquidityriskmanagement(LRM)framework36Figure6:LiquidityCoverageRatio37Figure

7、7:LCR:Highqualityliquidassets39Figure8:LCR:Netliquidityoutflows40Figure9:LCR:Highqualityliquidassetsandnetliquidityoutflows41Figure10:NetStableFundingRatio43Figure11:NSFR:Availablestablefunding43Figure12:NSFR:Requiredstablefunding44Figure13:A