ubs bankarstvo 3 2012 kljajic

7/29/2019 UBS Bankarstvo 3 2012 Kljajic

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bankarstvo

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STANDARDI ZA

OBEZBEIVANJE

LIKVIDNOSTI

PREMA

BAZELU III

Rezime

U ovom radu predstavljena su dva nova

standarda za obezbeivanje likvidnosti prema

najnovijem okviru Bazela III: racio pokrivenosti

likvidnosti i racio neto stabilnog nansiranja.

Date su osnove za njihovo izraunavanje,

zajedno sa elementima koji ulaze u obraun,

kao i raspored postepenog uvoenja Bazela

III. Novi standardi u pogledu likvidnostisu, pored stroijeg tumaenja zahteva za

kapitalom, uvoenja kontraciklinog i zatitnog

bafera, najznaajnije novine koje donosi novi

set pravila. U dosadanjim dokumentima

Bazelskog komiteta, likvidnost nije iskazivana

kroz brojane veliine, tako da nije postojao

konkretan okvir za njihovo izraunavanje.

Iako je trenutno gotovo nemogue

kvantikovati koliko e nova pravila zahtevati

dodatnog kapitala i koliki e biti njihov uticajna kretanje bruto domaeg proizvoda, dat je

pregled nekoliko radova iz ove oblasti koji su za

cilj imali da predvide trokove implementacije

i mogui uticaj na BDP. I pored neizbenih

trokova do kojih e doi, primena 2 nova

standarda za obezbeivanje likvidnosti trebala

bi u budunosti da sprei pojavu novih kriza,

odnosno da smanji verovatnou njihovog

nastanka.

Kljune rei: Bazel III, likvidnost, kriza, racio

pokrivenosti likvidnosti, racio neto stabilnog

nansiranja

JEL klasikacija: E42, E50

UDK 336.711.6 ; 657.422 ; 006.44:336.71

mr Borko Kljaji

Moskovska banka ad [email protected]

Rad primljen: 28.12.2011.

Odobren za tampu: 22.03.2012.

pregledni nauni lanak


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Summary

This paper presents two new standards for

maintaining liquidity according to the latest

Basle III Accord: liquidity coverage ratio and

net stable funding ratio. The paper features

the basics for their calculation, together with

the elements of calculation, and the phase-in

arrangements of Basle III. The new standards in

terms of liquidity are, in addition to the stricterinterpretation of capital charges, introduction

of countercyclical and conservation buers,

the most signicant changes to be introduced

by the new set of rules. In the Basle Commiee

documents so far, liquidity has not been

expressed through numerical values, so that

there was no concrete framework for their

calculation.

Although at the moment it is almost

impossible to quantify additional capital thatthe new rules would require, and the impact

they will exert on the movements of gross

domestic product, the papers provides a list of

several papers in this eld aimed at forecasting

the costs of implementation and potential

impact on GDP. Despite the inevitable costs,

however, the implementation of the two

new liquidity standards should prevent the

occurrence of the new crises in the future, i.e.

reduce the possibility of their occurrence.

Key words: Basle III, liquidity, crisis, liquidity

coverage ratio, net stable funding ratio

JEL Classication: E42, E50

BASLE III

LIQUIDITY

STANDARDS

UDC 336.711.6 ; 657.422 ; 006.44:336.71

Borko Kljaji MSc

Moskovska banka ad [email protected]

Paper received: 28.12.2011

Approved for publishing: 22.03.2012

scientic review article


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Likvidnost, problemi vezani za njenu

kontrolu i ekasno upravljanje, kao

i sam rizik likvidnosti su predmet

interesovanja i opservacije Bazelskog komiteta

jo od samog njegovog osnivanja. To nije

sluajno, imajui u vidu ogroman znaaj kojilikvidnost ima u svakodnevnom bankarskom

poslovanju i brojne propasti banaka irom sveta

upravo zbog svoje nelikvidnosti. U poetku

akcenat je bio na razvijanju boljeg razumevanja

naina na koji banke upravljaju likvidnou na

globalnoj, konsolidovanoj osnovi i kako se to

upravljanje moe poboljati.

Bazelski Komitet za superviziju banaka je

nakon izbijanja krize krenuo sa izradom novih

pravila i standarda, ija bi dosledna primena ubudunosti trebala da izbegne pojavu ovakvih

i slinih kriza, odnosno da smanji na minimum

verovatnou da se one ponove. Rezultat rada

Komiteta je objavljivanje skupa pravila i

standarda, poznatih pod nazivom Bazel III. Cilj

reformi je d se pobolj i unapredi pouzdanost

i sposobnost bnkrskog sektor d na

adekvatan nain psorbuje i ublai okove koji

proizilze iz nnsijskih i ekonomskih stresov,

bez obzir n izvor, ime bi se znatno smnjiorizik prelivnj krize iz nnsijskog sektor u

relnu ekonomiju.

Kao kljuni prodori Bazela III mogu se

izdvojiti (Hannoun, 2010):

vaan detalj u vezi sa brojiocem u kapitalnoj

jednaini je fokus na zajedniki akcionarski

kapital, njkvlitetniju komponentu

kpitl bnke, i smim tim, komponentu

s najveom sposobnou da apsorbuje

gubitke, potrebno je iskoreniti nedostatke koji se

javljaju u knjigama trgovanja, odnosno

eliminisati mogunost regulatorne arbitrae

izmeu bankarskih i trgovakih knjiga,

kada se razmatra stroe denisanje

kapitala i poboljanje pokria rizika, to

zahteva sedmostruko poveanje zahteva

za zajedniki akcionarski kapital za

meunarodno aktivne banke,

banke vie nee moi da slede politikealociranja koje su u suprotnosti sa principima

zdravog ouvanja kapitala,

Basel III je okvir koji i dalje ostaje baziran na

riziku ali sada ukljuuje - kroz leverid racio

- pristup zatitne mree koji takoe snima

rizike koji dolaze od ukupnih sredstava.

Baziranost na riziku i racia leverida

pojaavaju jedan drugog,

uvoenje kontraciklinog kapitala

zaduenog za smanjenje ciklinosti zbog

prekomernog rasta kreditiranja, sistemski vanim nansijskim institucijama

je potrebna vea sposobnost da apsorbuju

gubitke, a ta sposobnost je potrebna zbog

veih rizika koji oni predstavljaju za globalni

nansijski sistem. Dodatni sistemski kapital

je najjednostavniji, ali ne i jedini nain da se

to postigne,

kreditna izloenost druge strane u

trgovini derivatima prema centralnim

klirinkim kuama i dalje e imati tretmanpreferencijalnog kapitala, to pokazuje da je

takva izloenost niskorizina i zahteva mali

(ali vei od nule) ponder (od 1% do 3%),

umesto dosadanje situacije u kojoj nije bilo

kapitalnih zahteva,

supervizori treba da izbegavaju preveliko

oslanjanje na interne modele banaka i

njihov nadzor treba da bude vie usmeren

u pravcu kako bi se osiguralo da sistemski

rizik i vanredni dogaaji budu adekvatnoukljueni u risk modele banaka i stres

testove.

Tretman likvidnosti u dosadanjimdokumentima Bazelskog komiteta

Iako je likvidnost (zajedno sa rizikom

likvidnosti) u fokusu istraivanja Bazelskog

Komiteta dui niz godina, tek se u septembru

1992. godine pojavljuje dokument koji odvojenotretira likvidnost, njeno merenje i upravljanje

- A Framework for Measuring and Managing

Liquiduty. U njemu se okvir za merenje i

upravljanje likvidnosti banaka posmatra kroz

tri dimenzije:

merenje i upravljanje zahtevima za neto

nansiranjem,

upravljanje pristupa tritu i

kontingentno planiranje

bez navoenja parametara i brojanih vrednosti.Bazelski komitet za superviziju banaka je u

svom dokumentu Sound Practices for Liquidity

Management in Banking Organisations iz

februara 2000. godine dao 14 kljunih principa

za upravljanje likvidnou, ali ni u jednom od


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Liquidity, the problems related to liquidity

control and ecient management,

alongside the liquidity risk itself, have

been in the focus of interest and observation

by the Basel Commiee since its very

establishment. This is not a mere chance, bearingin mind the huge signicance liquidity has in

everyday banking business, and the numerous

bankruptcies of banks all over the world due to

their illiquidity. At the beginning, the focus was

on the development of a beer understanding

of the ways in which banks manage liquidity

on the global, consolidated basis, and the ways

in which this management could be improved.

After the outbreak of the crisis, the Basle

Commiee for Banking Supervision startedwith the preparation of the new rules and

standards, whose consistent implementation

in the future should help avoid the occurrence

of such and similar crises, i.e. reduce the

possibility of their re-occurrence. The result of

the Commiees work is the publication of a

set of rules and standards, known under the

name of Basle III. The objective of reforms is

to improve and upgrade the reliability and

capability of the banking sector to adequatelyabsorb and mitigate the shocks caused by the

nancial and economic crunches, regardless

of their source, which would considerably

reduce the risk of the crisis spilling over from

the nancial sector into real economy.

As the key breakthroughs of Basle III we

hereby highlight the following (Hannoun,

2010):

The important detail concerning the

numerator in the capital equation is thefocus on common equity, the highest quality

capital component of a bank, and thus the

component with the highest loss-absorption

capability;

It is necessary to eradicate the shortcomings

occuring in the trading books, i.e. to eradicate

the possibility of regulatory arbitrage

between the banking and trading books;

When considering a stricter denition of

capital and improved risk coverage, thisrequires the seven times higher common

equity charges for internationally active

banks;

Banks will no longer be able to follow the

policies of allocation contradicting the

principles of healthy capital conservation;

Basle III is a framework which is still based

on risks, but it now includes - through

leverage ratio - the protective network

approach which also detects the risks arising

from total assets. Being based on risks andleverage ratios are mutually reinforcing;

Introduction of the countercyclical capital

aimed to reduce the cyclicality due to

excessive growth of lending activities;

Systemically important nancial institutions

need a higher loss-absorption ability, which

is needed due to higher risks they entail

for the global nancial system. Additional

systemic capital is the simplest, but not the

only way to achieve this; Credit exposure of the counterparty in

derivatives trading towards the central

clearing houses will still be treated as

preferential capital, which indicates that

such exposure entails low risk and requires a

small (but higher than zero) weight (from 1%

to 3%), instead of the situation so far when

there were no capital charges whatsoever;

Supervisors should avoid excessive

leaning on internal models of banks andtheir supervision should be more directed

towards the insurance of systemic risk

and emergency events being adequately

integrated into the banks risk models and

stress tests.

Liquidity Treatment in the BasleCommiee Documents So Far

Although liquidity (and liquidity risk) hasbeen in the focus of Basel Commiee research

for some years now, it was only in September

1992 that a document was published which

separately treated liquidity, its measurement

and management - A Framework for Measuring

and Managing Liquidity. This document

presented a framework for measuring and

managing liquidity of banks through three

dimensions:

Measuring and managing net fundingrequirements;

Market approach management; and

Contingent planning.

without stating any parameters or numerical

values.


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njih nije konkretno kvantikovao likvidnost,

odnosno propisao odreene standarde i

referentne vrednosti, kojih se banke moraju

pridravati i koje moraju potovati u svom

radu. Takoe, ni u 17 principa objavljenih

u dokumentu iz septembra 2008. godine(nakon poetka svetske ekonomske krize) pod

nazivom Principles for Sound Liquidity Risk

Management and Supervision nema jasnih i

preciznih instrukcija u pogledu minimuma

potrebne likvidnosti, njenog merenja ili

kontrole. U oba dokumenta su date uoptene

preporuke i saveti, a bankama ostavljeno da

same sprovode pravila likvidnosti u skladu sa

nacionalnim zakonodavstvom.

Nakon pojave krize postalo je jasno da selikvidnost mora posmatrati na jedan novi -

drugaiji nain, kao i da se njom mora upravljati

mnogo ekasnije nego to se radilo do tada,

poto se shvatilo da je nelikvidnost (uz ostale

povezane faktore) jedan od glavnih generatora

krize.

Novi standardi u pogledu likvidnosti

Kao svoj odgovor na krizu, Komitet je jovie ojo svoj okvir likvidnosti rzvijajui

dva minimlna stndrda z obezbeivanje

likvidnosti (Basel Commiee on Banking

Supervision, Basel III: International framework

for liquidity risk measurement, standards and

monitoring, 2010). Ovi stndrdi su rzvijeni

d postignu dv razliita, li komplementrna

cilja. Prvi cilj je d se promovie krtkorona

otpornost banke na rizike likvidnosti, tko to

e se osigurti da postoje dovoljno kvlitetna

likvidna sredstv d bi se preiveo znjniji

stres scenrio u trjnju od mesec dn. Odbor je

rzvio racio pokrivenosti likvidnosti (liquiditycoverage ratio) z postiznje ovog cilj.

Drugi cilj je d se promovie otpornost

tokom dueg vremenskog period kroz

stvrnje dodtnih podsticj z bnke d

nnsirju svoje ktivnosti s vie stbilnih

izvora nnsirnj n stlnoj osnovi. Racio

neto stabilnog nansiranja (net stable funding

ratio) ima vremenski horizont od jedne godine

i rzvijen je d obezbedi odrivu strukturu

ronosti ktive i psive.Komitet e insistirati na rigoroznijim

izvetvnjima z prenje stndrd u toku

period posmatranja i nstvie d analizira

implikcije ovih stndrd na nnsijsk

trit, kreditne poslove i ekonomski rst,

beleei neeljene posledice ukoliko se pojave.

Oba racia - i racio pokrivenosti likvidnosti i

racio neto stabilnog nansiranja e biti predmet

posmtrnja i sadrae klauzulu o reviziji kako

bi se ispravile eventualne neeljene posledice.Nkon poetk period posmatranja (1. januar

2011. godine), racio pokrivenosti likvidnosti,

ukljuujui sve revizije, bie uveden 1. jnur

2015. Racio neto stabilnog nansiranja,

ukljuujui sve revizije, postae minimlni

stndrd do 1. jnur 2018. (slika 1).


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Basle Commiee for Banking Supervision,

in its document Sound Practices for Liquidity

Management in Banking Organizations, as

of February 2000, provided 14 key principles

for liquidity management, but none of

them quantied liquidity in concrete terms,or prescribed the dened standards and

benchmark values that the banks have to follow

in their operations. Likewise, the 17 principles

published in the document from September 2008

(after the outbreak of the global economic crisis),

under the title Principles for Sound Liquidity

Risk Management and Supervision, do not

provide clear and precise instructions as to the

minimum required liquidity, its measurement or

control. Both documents provided generalizedrecommendations and suggestions, and the

banks were left to implement the liquidity-

related rules themselves, pursuant to their

national legislation.

After the outbreak of the crisis, however, it

has become clear that liquidity has to be viewed

in a new, dierent manner, and that it has to

be managed in a much more ecient way than

so far, given the conclusion that illiquidity

(alongside other related factors) is one of themain generators of the crisis.

New Liquidity Standards

As a response to the crisis, the Commiee

additionally reinforced its liquidity framework

by developing two minimum standards for

maintaining liquidity (Basel Commiee on

Banking Supervision, Basel III: International

framework for liquidity risk measurement,

standards and monitoring, 2010). These

standards have been developed to achieve

two dierent, but complementary goals. The

rst goal is to promote short-term resilience of

banks to liquidity risks, by ensuring that thereare enough liquid assets of sucient quality for

the purpose of surviving a signicantly severe

liquidity stress scenario lasting for one month.

The Commiee developed liquidity coverage

ratio to achieve this goal.

The second goal is to promote the resilience

over a longer time horizon through the creation

of additional incentives for banks to nance

their activities by means of several stable

sources of funding at the permanent basis. Netstable funding ratio has a one-year time horizon

and has been developed to ensure a sustainable

maturity structure of assets and liabilities.

The Commiee will insist on the more

rigorous reporting for the purpose of standards

monitoring during the observation period and

will continue to analyse the implications of

these standards on nancial markets, lending

operations and economic growth, by recording

the side eects, if any. Both liquidity coverageratio and net stable funding ratio will be subject

to observation and will contain a revision clause

so that potential side eects could be rectied.

After the commencement of the observation

period (1 January 2011), liquidity coverage ratio,

including all revisions, will come into eect as of

1 January 2015. Net stable funding ratio, including

all revisions, will become the minimum standard

as of 1 January 2018 (Figure 1).


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Racio pokrivenosti likvidnosti kao

stndrd im z cilj d obezbedi d bnk

odrv odgovrjui nivo neoptereenih,

visokokvlitetnih sredstava koj se mogu

pretvoriti u gotovinu, kako bi bankazadovoljila svoje potrebe z likvidnou u

vremenskom periodu od 30 dn pod zntno

teim stres scenrijom likvidnosti odreenim

od strne supervizor. Minimalan zahtev je

da raspoloiva visokolikvidna sredstv treb

d omogue bnci d preivi do 30 dn po

stres scenriju, do kd se pretpostvlj d e

odgovrjue korektivne mere biti preduzete

od strne rukovodstv i/ili supervizor.

Racio pokrivenosti likvidnosti = Skupvisokokvalitetnih likvidnih sredstava /

Ukupni neto odlivi gotovine u roku od 30

dana 100%

Sredstva se smtrju likvidnim i

visokokvlitetnim ukoliko se mogu lko i brzo

pretvoriti u gotovinu sa mlo ili bez ikakvog

gubitk vrednosti. Likvidnost sredstv zvisi

od osnovnog stres scenrij, njihovog obima i

vremenskog perioda. Ipk, postoje odreen

sredstv za koje je vie verovtno d egeneristi gotovinu bez velikih gubitaka zbog

hitne prodje, k i u stresnim vremenima.

Termin ukupni neto odlivi gotovine je

denisn ko ukupni oekivni odlivi gotovine

minus ukupni novni prilivi u nvedenom

stres scenriju z nrednih 30 klendrskih

dn. Ukupni oekivani odlivi gotovine se

izrunvju mnoenjem stnj rzliitih

ktegorij ili vrst obvez i vnbilnsnih

obvez s stopama po kojima se od njih oekujed se potroe ili povuku. Ukupni oekivni

prilivi izrunvju se mnoenjem stnj

rzliitih ktegorij ugovornih potrivnj

sa stopama po kojima se od njih oekuje d se

kreu u okviru scenrij do gregtnog nivoa

od 75% od ukupno oekivnih novnih odliva.

Ukupni neto odlivi gotovine u nrednih 30

klendrskih dn = odlivi - Min {prilivi, 75%

odlivi}

Kako bi vie promovisao srednje idugorono nnsirnje sredstv i ktivnosti

bnkrskih orgnizcij, Komitet je rzvio

racio neto stabilnog nansiranja. Ov mera

uspostvlj minimlno prihvtljiv iznos

stbilnog nnsirnja n osnovu karakteristika

likvidnosti sredstava i ktivnosti institucija

tokom vremenskog horizonta od jedne godine.

Ovj stndrd je dizjnirn d deluje ko

mehnizm z dopunu racia pokrivenosti

likvidnosti i jnju drugih npora supervizora,promoviui strukturne promene u prolim

rizik likvidnosti institucij od problematinog

krtkoronog nnsirnj prem stbilnijem,

dugoronom nnsirnju sredstava i poslovnih

ktivnosti.

Slika 1. Raspored postepenog uvoenja Basela III (osenena polja predstavljajuprelazne periode)

Izvor: Basel Commiee on Banking Supervision, Basel III: A global regulatory framework for more resilient banks and

banking sistems


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Liquidity coverage ratio aims to ensure

that a bank maintains an adequate level of

unencumbered, high-quality assets that can

be converted into cash to meet its liquidity

need for a 30 calendar day time horizon undera signicantly severe liquidity stress scenario

specied by supervisors. At a minimum, the

stock of available highly liquid assets should

enable the bank to survive 30 days under the

stress scenario, by which time it is assumed that

appropriate corrective actions can be taken by

management and/or supervisors.

Liquidity coverage ratio = Stock of high-

quality liquid assets / Total net cash outows

over the next 30 calendar days 100%Assets are considered to be high-quality

liquid assets if they can be easily and

immediately converted into cash at lile or no

loss of value. The liquidity of an asset depends

on the underlying stress scenario, its volume

and the relevant timeframe. Nevertheless, there

are certain assets that are more likely to generate

funds without incurring large discounts due to

re-sales, even in times of stress.

The term total net cash outows is denedas the total expected cash outows minus total

expected cash inows in the specied stress

scenario for the subsequent 30 calendar days.

Total expected cash outows are calculated by

multiplying the outstanding balances of various

categories or types of liabilities and o-balance

sheet commitments by the rates at which they

are expected to run o or be drawn down.

Total expected cash inows are calculated by

multiplying the outstanding balances of variouscategories of contractual receivables by the rates

at which they are expected to ow in under the

scenario up to an aggregate cap of 75% of total

expected cash outows.

Total net cash outows over the next 30

calendar days = outows - Min {inows; 75%

outows}

To promote the medium and long-term

funding of the assets and activities of banking

organizations, the Commiee has developed thenet stable funding ratio. This metric established

a minimum acceptable amount of stable

funding based on the liquidity characteristics

of an institutions assets and activities over a

one year horizon. This standard is designed to

act as a minimum enforcement mechanism to

complement the liquidity coverage ratio and

reinforce other supervisory eorts by promoting

structural changes in the liquidity risk proles

of institutions away from short-term fundingmismatches and toward more stable, longer-

term funding of assets and business activities.

In particular, the net stable funding ratio is

structured to ensure that long-term assets are

funded with at least a minimum amount of

Figure 1. Phase-in Basle III Arrangements (shading indicates transition periods)

Source: Basel Commiee on Banking Supervision, Basel III: A global regulatory framework for more resilient banks andbanking systems


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Konkretno, racio neto stabilnog nansiranja

je strukturirn tako d osigur d se dugorona

sredstv nnsirju bar s minimlnim iznosom

stabilnih obvez u odnosu n njihove prole

rizik likvidnosti. Racio im z cilj d se ogrnii

preterno oslnjnje n krtkorono nnsirnjeu vreme dinaminijeg trita likvidnosti i

podstkne bolju procenu rizik likvidnosti na

svim bilansnim i vanbilansnim stvkama.

Racio neto stabilnog nansiranja =

Raspoloivi iznos za stabilno nansiranje

/ Potreban iznos za stabilno nansiranje >

100%

Raspoloivo stbilno nnsirnje se denie

ko ukupn iznos bninog:

kpitl, preferencijlnih akcija s rokom dospe

koji je jednk ili dui od godinu dn,

obveza s efektivnim rokom dospe od

godinu dn ili due,

dela nedospelih depozit i/ili oroenih

depozita s dospeem z mnje od godinu

dn za koje se oekuje d ostnu u instituciji

dui vremenski period i pored stresnih

dogj,

deo sredstv za nansiranje sa dospeemkraim od godinu dn z koje se oekuje d

ostnu u instituciji dui vremenski period i

pored stresnih dogaaja.

Potreban iznos za stbilno nnsirnje

se meri putem pretpostvki supervizora o

krkteristikama prol rizika likvidnosti

sredstava institucije, vnbilnsnih izloenosti

i drugih izbrnih ktivnosti. Ovaj iznos se

run ko zbir vrednosti sredstava koje

institucija dri i nansira, pomnoen odreenimfktorom za stabilno nansiranje koji je dodeljen

svkom pojedinnom tipu sredstava i dodato

iznosu vanbilansne aktivnosti pomnoenim

pripadajuem faktoru. Fktor za stabilno

nansiranje koji e se dodeljivati svakom

sredstvu ili vanbilansnoj izloenosti je deo

te stvke za koju supervizori veruju da treb

d bude podrn stbilnim nnsirnjem. U

datim okolnostima (a u stresnom okruenju),

sredstv koj su likvidnija i vie rspoloivako izvor dodatne likvidnosti imaju manji

faktor (i zhtevju mnje sredstava za stbilno

nnsirnje) od sredstv manje likvidnosti

(koje zhtevju vei iznos za stbilno

nnsirnje).

Nova pravila i standardi koje donosi Bazel

III pojaavaju postojee zahteve za minimalnim

kapitalom (Stub 1 Bazela II), tako da se moe

rei da Stub 1 Bazela III sada obuhvata pojaane

zahteve za minimalnim kapitalom i likvidnou

(umesto samo zahteva za kapitalom, kao to jebilo do sada).

Implikacije uvoenja novihstandarda

Teko je u ovom trenutku i okvirno denisati

i izraunati trokove implementacije novih

standarda Bazela III, tako da se nauna i struna

javnost za sada bave samo predvianjima

koliko bi novi propisi i pravila mogli da utiu nabankarski sektor i realnu ekonomiju, odnosno

koliki e biti trokovi.

Kada se govori o efektima uvoenja novih

standarda, dve stvari su u primarnom fokusu:

obim dodatnog kapitala koji e biti potreban

da bi se standardi ispunili i uticaj standarda na

bruto domai proizvod.

Neke procene (Hrle et al, 2010) govore

d e glvni efekt biti mnjk kapitala od

oko 700 milijrdi eura, odnosno da se Tier 1kapital evropskog bankarskog sistema mora

poveati za 40%. Iko je mnjk u nnsirnju

tee proceniti, veruje se d e evropske bnke

morti d prikupe izmeu 3,5 i 5 biliona eura

dodtnih dugoronih izvora nnsirnj, kao i

d odravaju jo 2 biliona u visoko likvidnim

sredstvim. Novi trokovi z dodtnim

kpitlom i nnsirnjem mogu smanjiti prinos

na kapital u 2012. godini za 5%.

Dejstvo novih standarda na bruto domaiproizvod ogleda se u padu BDP od 0,00%

do 0,33% za svaki procenat poveanja racia

kapitala u vremenskom periodu od 8 godina

(Locarno, 2011). Do mksimlnog pada BDP

moglo bi doi za oko 9 godina od poetka

tranzicionog perioda. Nakon ovog vremenskog

horizonta poveanje racia kapitala ne bi vie

imalo znaajniji uticaj na kretanje BDP.

Neki autori (Cosimano i Sakura, 2011)

smatraju d e velike bnke u proseku trebtid poveju svoj racio kpitl - imovina z

1,3 procentn poen, to se moe odraziti na

poveanje kamatne stope na kredite z 16 bznih

poen, uzrokujui smanjenje rasta kredita od

1,3% n due stze. Odgovori bnk na nove


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stable liabilities in relation to their liquidity risk

proles. The ratio aims to limit over-reliance on

short-term wholesale funding during times of

buoyant market liquidity and encourage beer

assessment of liquidity risk across all on- and

o-balance sheet items.Net stable funding ratio = Available amount

of stable funding/Required amount of stable

funding > 100%

Available stable funding is dened as the

total amount of a banks:

capital;

preferred stock with maturity of equal to or

greater than one year;

liabilities with eective maturities of one

year or greater; that portion of non-maturity deposits and/

or term deposits with maturities of less than

one year that would be expected to stay with

the institution for an extended period in an

idiosyncratic stress event; and

that portion of wholesale funding with

maturities of less than one year that is

expected to stay with the institution for an

extended period in an idiosyncratic stress

event.The amount of stable funding required by

supervisors is to be measured using supervisory

assumptions on the broad characteristics of the

liquidity risk proles of an institutions assets,

o-balance sheet exposures and other selected

activities. The required amount of stable

funding is calculated as the sum of the value of

the assets held and funded by the institution,

multiplied by a specic required stable funding

factor assigned to each particular asset type,added to the amount of o-balance sheet

activity multiplied by its associated RSF factor.

The RSF factor applied to the reported valued

of each asset or o-balance sheet exposure is

the amount of that item that supervisors believe

should be supported with stable funding. Assets

that are more liquid and more readily available

to act as a source of extended liquidity in the

stressed environment identied above receive

lower RSD factors (and require less stablefunding) than assets considered less liquid

in such circumstances and, therefore, require

more stable funding.

The new rules and standards prescribed by

the Basel III reinforce the existing minimum

capital requirements (Pillar 1 of the Basel II), so

that one can say that Pillar 1 of the Basel III now

incorporates the reinforced minimum capital

and liquidity requirements (instead of just

capital requirements, as was the case so far).

Implication of New StandardsIntroduction

At this point it is rather dicult to dene

and even roughly calculate the costs of

implementation of new Basel III standards, so

that the scientic and professional circles are

for now only dealing with forecasts as to how

the new regulations and rules might impact the

banking sector and real economy, i.e. how highthe costs are going to be.

When speaking about the eects of the new

standards introduction, there are two things

to focus on: the volume of additional capital

required for the standards to get implemented,

and the impact of the standards on the gross

domestic product.

According to some assessments (Hrle et al,

2010), the main eect will be a shortage of capital

in the amount of about 700 billion EUR, meaningthat the Tier 1 capital of the European banking

system has to be increased by 40%. Although

the shortage in nancing is more dicult to

assess, it is believed that the European banks will

have to collect between 3.5 and 5 billion EUR

of additional long-term sources of nance, and

to maintain 2 billion EUR more in high-quality,

liquid assets. The new costs of raising additional

capital and nance might reduce the return on

capital in 2012 by 5%.The eect of the new standards on gross

domestic product is reected in the drop of

GDP by 0.00% to 0.33% for each percent of

increase of the capital ratio in the 8-year time

horizon (Locarno, 2011). The maximum drop

of GDP might occur in about 9 years from the

commencement of the transition period. After

this period, the increase of the capital ratio

would have no further considerable impact on

the GDP trends.Some authors (Cosimaro and Sakura, 2011)

claim that big banks will, on average, need

to increase their capital-to-asset ratio by 1.3

percentage points, which might, in turn, cause

the increase of interest rates on loans by 16 basis


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3

2012

propise znaajno e se rzlikovati od jedne

npredne ekonomije do druge (reltivno veliki

uticj e biti na rst kredit u Jpnu i Dnskoj

i reltivno mnji uticj u SAD).

Prema prognozama Instituta za

meunarodne nansije (2010), potpunimplementcij reformi u zemljama Evrope,

SAD i Japana dovela bi do smanjenja proseka

realnog rasta BDP za oko 0,6 procentnih

poen u periodu 2011 - 2015 godina i za oko

0,3 procentnih poena u vremenskom intervalu

2011 - 2020. Uticj je snaniji u prvih pet godin,

jer je ovo period u kojem bi njvei deo reformi

treblo d bude adekvatno sproveden. Procene

Instituta su da e bnke morti d uveaju

kapital za 0,7 trilion dolara i da se zadue 5,4bilion dolr u periodu 2010 - 2015 kko bi

zdovoljile zahteve za kpitlom i likvidnou.

Trokovi pribavljanja vieg kpitl u cilju

ispunjenja zahteva za likvidnou su mli

ako se uporede sa koristima do kojih moe

doi izbegavanjem ovakvih i slinih kriza u

budunosti. Pored toga, dodatnim kapitalom

se osnauje bankarski sistem i ini otpornijim

na mogue sistemske krize u budunosti.

Sigurno je da e banke svoj odgovor n stroijeregultorne zahteve potraiti prebacivanjem

trokova za dodtna sredstv na svoje klijente,

podiznjem kreditne stope, smanjenjem rizinih

plasmana u svom portfoliu i daljim utedama u

operativnom poslovanju.

Zakljuak

Na osnovu dosadanjih iskustava, sigurno je

da e banke svoj odgovor n stroije regultorne

zahteve potraiti prebacivanjem trokova

za dodtnim sredstvim na svoje klijente,podiznjem kreditne stope, smanjenjem

rizinih plasmana u svom portfoliu i daljim

utedama u operativnom poslovanju. Ovo e

voditi opreznijem pristupu i veem poklanjanju

panje pravilnoj segmentaciji klijenata -

postojeih i novih.

Smatra se da e adekvatna i dosledna primena

2 nova standarda za obezbeivanje likvidnosti,

zajedno sa kontraciklinim i zatitnim baferom,

kao i stroijim tumaenjima zahteva zakapitalom, spreiti u budunosti pojavu kriza,

odnosno da e smanjiti verovatnou da do njih

doe. Naravno, praktina primena e pokazati

ima li mesta korekcijama i nadgradnji (i gde ih

treba sprovesti) u cilju postizanja to otpornijeg

i sigurnijeg bankarskog sektora, koji bi bio

spreman da odgovori svim krizama i izazovima

koji se mogu pojaviti.

I pored pojedinih zamerki koje su upuene u

pogledu strogosti donetih pravila i trokovanjihove implementacije, nova pravila se moraju

sprovesti u delo, bez odlaganja i probijanja

denisanih rokova. Kao i do sada, veliku ulogu

e imati i odgovarajui monitoring, u prvom

redu nacionalnih banaka a zatim i ostalih

regulacionih tela.

Literatura / References

1. Basel Commiee on Banking Supervision,

A Framework For Measuring And

Managing Liquiduty, Bank for International

Selements, 1992


Sound Practices for Management Liquidityin Banking Organisatios, Bank for

International Selements, 2000


Principles for Sound Liquidity Risk

Management and Supervision, Bank

for International Selements, Bank for

International Selements, 2008


Basel III: International framework for

liquidity risk measurement, standards

and monitoring, Bank for InternationalSelements, 2010


Basel III: A global regulatory framework for

more resilient banks and banking sistems,

Bank for International Selements, 2010


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3

2012

points, causing the growth of loans to slow down

by 1.3% in the long run. The banks responses

to the new regulations will signicantly dier

from one developed economy to another (the

impact will be relatively huge on the growth

of loans in Japan and Denmark, and relativelysmaller in the USA).

According to the forecasts of the

Institute of International Finance (2010), full

implementation of reforms in Europe, the USA

and Japan would result in the reduction of

the average real growth of GDP by about 0.6

percentage points in the period 2011-2015, and

by about 0.3 percentage points in the period

2011-2020. The impact will be stronger in the

rst ve years, given that this is the period inwhich the largest section of reforms should

get adequately implemented. The Institute

assesses that the banks would have to increase

their capital by 0.7 trillion USD, and borrow 5.4

billion USD in the period 2010-2015 in order to

meet their needs for capital and liquidity.

However, the costs of acquiring more

capital in order to meet the needs for liquidity

are low compared to the benets that might be

achieved by avoiding such and similar crisesin the future. Moreover, the additional capital

reinforces the banking system, making it more

resilient to the potential systemic crises in the

future. The banks will certainly respond to the

stricter regulatory requests by transferring costs

of additional funds to their clients, increasing

the loan rates, reducing the risky placements

in their portfolio and introducing further cost

reductions in their daily operations.

Conclusion

Based on the experiences so far, the banks

will certainly respond to the stricter regulatory

requests by transferring costs of additional

funds to their clients, increasing the loan rates,reducing the risky placements in their portfolio

and introducing further cost reductions in their

daily operations. This will result in a more

prudential approach and greater aention

devoted to the proper segmentation of clients,

both the existing and the future ones.

It is believed that adequate and consistent

implementation of two new standards for

maintaining liquidity, together with the

countercyclical and conservation buers, andstricter interpretations of capital requirements,

will prevent the potential crises in the future,

i.e. lower the possibility of their occurrence. Of

course, the practical implementation will show

if there is room for correction and upgrading

(and where they are to be conducted), in order

to achieve as resilient and safe banking sector

as possible, which would be ready to face all

potential crises and challenges.

Despite certain objections concerning therigidity of the adopted rules and the costs of

their implementation, the new rules have to be

implemented, without delay and within the set

deadlines. Just like before, a huge role will be

played by the appropriate monitoring, rst and

foremost by the national banks, but also by the

other regulatory bodies.

6. Cosimano Thomas, Hakura Dalia, Bank

Behavior in Response to Basel III: A Cross -

Country Analyses, IMF Working Paper No

11/119, May 2011

7. Hannoun, Herv, The Basel III Capital

Framework: a decisive breakthrough, 20108. Hrle Philipp, Heusser Mahias, Pfetsch

Sonja, Poppensieker Thomas, Basel III:

What the draft proposals might mean for

European banking, McKinsey on Corporate

& Investment Banking, 2010

9. Institute of International Finance, Interim

Report on the Cumulative Impact on the

Global Economy of Proposed Changes in the

Banking Regulatory Framework, June 2010

10. Locarno, Alberto, The macroeconomic

impact of Basel III on the Italian economy,Banca dItalia, Occasional Paper No. 88,

Februar 2011