银行审慎资本要求：缓冲和支柱2资本评估
N O T E S&M A N U A L SN O T E S&M A N U A L S Prudential Capital Requirementsfor Banks: Buffers and the Pillar 2Capital Assessment Ebru Sonbul Iskender, Katharine Seal, and Ana Carvalho TECHNICAL NOTES AND MANUALS Prudential Capital Requirementsfor Banks: Buffers and the Pillar 2Capital Assessment Ebru Sonbul Iskender, Katharine Seal, and Ana Carvalho Cataloging-in-Publication DataIMF Library Names: Sonbul Iskender, Ebru, author. | Seal, Katharine, author. | Carvalho, Ana, author. | InternationalMonetary Fund, publisher. Title: Prudential capital requirements for banks : buffers and the pillar 2 capital assessment / Ebru SonbulIskender, Katharine Seal, and Ana Carvalho. Other titles: Buffers and the pillar 2 capital assessment. | Technical notes and manuals. Description: Washington, DC : International Monetary Fund, 2026. | April 2026. | TNM 2026-02. | Includesbibliographical references. 9798229028752(paper)9798229029599(ePub)9798229029087(web PDF) Subjects: LCSH: Bank capital—Management. | Bank capital—Standards. Classification: LCC HG1616.C34 I8 2026 DISCLAIMER: This Technical Note should not be reported as representing the views of the IMF. The viewsexpressed in this paper are those of the authors and do not necessarily represent the views of theIMF, its Executive Board, or IMF management. Recommended citation: Sonbul Iskender, Ebru, Katherine Seal, and Ana Carvalho. “Prudential Capital Requirements forBanks: Buffers and the Pillar 2 Capital Assessment.” IMF Technical Notes and Manuals 2026/02,International Monetary Fund, Washington, DC. Please send orders to:International Monetary Fund, Publication ServicesPO Box 92780Washington, DC 20090, USATel: (202) 623-7430 | Fax: (202) 623-7201publications@IMF.orgeLibrary.IMF.orgbookstore.IMF.org Contents Abbreviations1 I.Introduction2II.Overview of Risk-Based Capital Requirements3 III.Basel III Capital Buffers A. Capital Conservation BufferB. Countercyclical Capital BufferC. Positive Neutral CCyBD. Sectoral CCyBE. Systemic Institutions Risk BuffersF. Other PracticesG. Drawdown or Release of Buffers IV.Capital Assessment under Pillar 2 A. Conceptual Framework and Assessment MethodologyB. Supervisory Implementation Considerations 1923 V.Implementation Issues in Emerging Market and Developing Economies A. Establishing Capital ThresholdsB. Transition to Basel IIIC. Implementation of the CCBD. Implementation of the D-SIB BufferE. Implementation of the CCyBF. Pillar 2 ImplementationG. Institutional and Legal Considerations VI.Conclusions Annex 1. Capital Requirements and the Cost of Equity 37 Annex 2. Proportionate Distribution of Capital Components of Higher-Than-Basel-MinimumCapital Ratios References Abbreviations AT1Additional Tier 1BCBSBasel Committee on Banking SupervisionBCPBasel Core PrinciplesCARcapital adequacy ratioCCBcapital conservation bufferCCyBcountercyclical capital bufferCET1Common Equity Tier 1CPCore PrincipleD-SIBdomestic systemically important bankG-SIBglobal systemically important bankHLAhigher loss absorbencyICAAPInternal Capital Adequacy Assessment ProcessIRBinternal ratings basedIRRBBInterest Rate Risk in the Banking BookRBSrisk-based supervisionRWArisk-weighted assetSRPSupervisory Review ProcessSyRBsystemic risk bufferTLACtotal loss-absorbing capacityTier 1T1Tier 2T2 I. Introduction The global financial crisis exposed significant weaknesses in the capital adequacy frameworks used bybanks and underscored the need for stronger regulatory tools, as well as a fit-for-purpose bank liquidityframework to ensure the resilience of the financial system. The Basel III framework was introduced as a morecomprehensive and risk-sensitive approach to capital and liquidity regulation. Central to the Basel III capitaladequacy framework is a combination of components, notably: increasing the quality and level of requiredcapital; enhancing the scope of supervisory assessments under Pillar 2; and introducing macroprudentialelements in the form of additional capital buffers, a comprehensive treatment of large exposures, and aleverage ratio backstop to the risk-based capital framework. Together, these elements seek to safeguardbank safety and soundness, as well as financial system stability, by better ensuring that banks maintaincapital levels commensurate with their risk exposures and avoid the buildup of systemic vulnerabilities. This note aims to support bank supervisors, resolution authorities, central banks, and finance ministries—particularly in emerging market and developing economies—on the use of Pillar 2 capital add-ons and BaselIII capital buffers, highlighting their respective purposes, complementary roles, and implementation chal-lenges. The Basel framework1permits considerable flexibility and discretion in respect of these variouscapital elements. Consequently, authorities strengthening their capital adequacy regimes face choicesregarding the design and implementation of various aspects of the framework. So, in pra
