巴塞尔资本协议中英文完整版

巴塞尔资本协议中英文完整版导言1. 巴塞尔银行监管委员会〔以下简称委员会〕现公布巴塞尔新资本协议〔Basel II, 以下简称巴塞尔II〕第三次征求意见稿〔CP3，以下简称第三稿〕。

第三稿的公布是构建新资本充足率框架的一项重大步骤。

委员会的目标仍旧是在今年第四季度完成新协议，并于2006年底在成员国开始实施。

2. 委员会认为，完善资本充足率框架有两方面的公共政策利好。

一是建立不仅包括最低资本而且还包括监管当局的监督检查和市场纪律的资本治理规定。

二是大幅度提高最低资本要求的风险敏锐度。

3. 完善的资本充足率框架，旨在促进鼓舞银行强化风险治理能力，不断提高风险评估水平。

委员会认为，实现这一目标的途径是，将资本规定与当今的现代化风险治理作法紧密地结合起来，在监管实践中并通过有关风险和资本的信息披露，确保对风险的重视。

4. 委员会修改资本协议的一项重要内容，确实是加强与业内人士和非成员国监管人员之间的对话。

通过多次征求意见，委员会认为，包括多项选择方案的新框架不仅适用于十国集团国家，而且也适用于世界各国的银行和银行体系。

5. 委员会另一项同等重要的工作，确实是研究参加新协议定量测算阻碍分析各行提出的反馈意见。

这方面研究工作的目的，确实是把握各国银行提供的有关新协议各项建议对各行资产将产生何种阻碍。

专门要指出，委员会注意到，来自40多个国家规模及复杂程度各异的350多家银行参加了近期开展的定量阻碍分析〔以下称简QIS3〕。

正如另一份文件所指出，QIS3的结果说明，调整后新框架规定的资本要求总体上与委员会的既定目标相一致。

6. 本文由两部分内容组成。

第一部分简单介绍新资本充足框架的内容及有关实施方面的问题。

在此要紧的考虑是，加深读者对新协议银行各项选择方案的认识。

第二部分技术性较强，大体描述了在2002年10月公布的QIS3技术指导文件之后对新协议有关规定所做的修改。

第一部分新协议的要紧内容7. 新协议由三大支柱组成：一是最低资本要求，二是监管当局对资本充足率的监督检查，三是信息披露。

三大支柱的内容概括如下：第一支柱：最低资本要求8. 新协议在几个方面不同于老协议。

第一介绍没有变动的内容。

老协议基于资本比率的概念，即分子代表银行持有的资本数量，分母代表银行风险的计量指标，统称为风险加权资产。

运算出的资本比率不得低于8%。

9. 依照新协议的要求，有关资本比率的分子〔即监管资本构成〕的各项规定保持不变。

同样，8%的最低比率保持不变。

因此，修改内容反映在对风险资产的界定方面，即修改反映计量银行各类风险的计量方法。

计量风险加权资产的几种新方法，将完善银行对风险的评估，从而使运算出的资本比率更有意义。

10. 老协议明确涵盖的风险加权资产有两大类，一是信用风险，二是市场风险。

在此假定，在处理上述两类风险时，其它各类风险已以隐性的方式已包括在内。

关于交易业务市场风险的处理方法，以巴塞尔委员会1996年公布的资本协议修订案为准。

新协议对这部分内容不做调整。

11. 新协议第一支柱对风险加权资产的修改要紧表现在两个方面：一是大幅度修改了对老协议信用风险的处理方法，二是明确提出将操作风险纳入资本监管的范筹，即操作风险将作为银行资本比率分母的一部分。

下面分别对这两方面内容进行讨论。

12. 在上述两个方面，新协议的要紧创新表现为分别为运算信用风险和操作风险规定了三种方法。

委员会认为，坚持采纳单一化的方法计量信用风险和操作风险，既不可取又不可行。

相反，关于这两种风险，分别采纳三种不同方法有助于提高风险敏锐度，并承诺银行和监管当局选择他们认为最符合其银行业务进展水平及金融市场状况的一种或几种方法。

处理这两种风险的三种要紧方法见下面的表格：信用风险标准法13. 标准法与老协议大致相同。

按要求，银行依照风险暴露〔exposures〕可观看的特点〔即，公司贷款或住房抵押贷款〕，将信用风险暴露划分到监管当局规定的几个类档次上。

按标准法的要求，每一监管当局规定的档次对应一个固定的风险权重，同时采纳外部信用评级提高风险敏锐度〔老协议的敏锐度不高〕。

按照外部信用评级，对主权、银行同业、公司的风险暴露的风险权重各不相同。

关于主权风险暴露，外部信用评级可包括经合组织〔OECD〕的出口信用评级和私人部门评级公司公布的评级。

.14. 标准法规定了各国监管当局决定银行是否采纳某类外部评级所应遵守的原那么。

然而，使用外部评级计量公司贷款仅作为新协议下的一项备选方法。

假设不采纳外部评级，标准法规定在绝大多数情形下，风险权重为100%，确实是相当于在老协议下资本要求为8%。

显现这种情形时，监管当局在考虑特定风险暴露的违约历史后，确保资本要求相当充足。

标准法的一项重大创新是将逾期贷款的风险权重规定为150%，除非针对该类贷款银行差不多计量了达到一定比例的专项预备。

15. 标准法另一个重要内容是扩大了标准法银行可使用的抵押、担保和信用衍生产品的范畴。

总的来说，巴塞尔II将这类工具统称为信用风险缓释工具(credit risk mitigants)。

在经合组织国家债券的基础上，标准法扩大了合格抵押品的范畴，使其包括了绝大多数金融产品，并在考虑抵押工具市场风险的同时，规定了运算资本下调幅度的几种方法。

此外，标准法还扩大了合格担保人的范畴，使其包括符合一定外部评级条件的各类公司。

16. 标准法还包括对零售风险暴露的专门处理方法。

相对老协议而言,住房抵押贷款和其它一些零售业务的风险权重做了下调，其结果是低于未评级公司贷款的风险权重。

此外，在满足一定条件时，中小企业〔SMEs〕贷款也可作为零售贷款处理。

17. 从设计角度上看，标准法对风险暴露和交易做了一些区别，从而提高运算出的资本比率的风险敏锐度。

内部评级法对信用风险和操作风险资本要求的处理也采纳了相同的方法，以便将资本要求与风险更加紧密地联系在一起。

一些国家的银行和监管当局可能无法采纳各项备选方法。

因此，委员会为他们制定了〝简易标准法〞〔 simplified standardised approach〕，详见附件9。

该附件总结了运算风险加权资产的各种最为简化的方法。

期望采纳该法的银行同时还应满足新协议有关监管当局监督检查和市场纪律的规定。

内部评级法〔Internal ratings-based (IRB) approaches〕18. 新协议最要紧创新之一，确实是提出了运算信用风险的IRB法。

该法包括两种形式，一是IRB初级法，二是IRB高级法。

IRB法与标准法的全然不同表现在，银行对重大风险要素〔risk drivers 〕的内部估量值将作为运算资本的要紧参数〔inputs〕。

该法以银行自己的内部评级为基础，有可能大幅度提高资本监管的风险敏锐度。

然而，IRB法并不承诺银行自己决定运算资本要求的全面内容。

相反，风险权重及资本要求的确定要同时考虑银行提供的数量指标和委员会确定的一些公式。

19. 那个地点讲的公式或称风险权重函数，可将银行的指标转化为资本要求。

公式建立在现代风险治理技术之上，涉及了数理统计及对风险的量化分析。

目前，与业内人士的对话差不多说明，采纳该法是在建立反映今天复杂程度极高的大银行风险有效评估体系方面迈出的重大的一步。

20. IRB法包括许多不同的资产组合，各类风险暴露所采纳的资本运算方法也不尽相同。

下面已对各类资产组合采纳的初级IRB法和高级IRB 法之间的区别做了介绍。

公司、银行和主权的风险暴露21. IRB对主权、银行和公司风险暴露采纳相同的风险加权资产运算方法。

该法依靠四方面的数据，一是违约概率〔Probability of default，PD)，即特定时刻段内借款人违约的可能性；二是违约缺失率〔Loss given default，LGD)，即违约发生时风险暴露的缺失程度；三是违约风险暴露〔Exposure at default，EAD〕，即对某项贷款承诺而言，发生违约时可能被提取的贷款额；四是期限 (Maturity，M)，即某一风险暴露的剩余经济到期日。

22. 在同时考虑了四项参数后，公司风险权重函数为每一项风险暴露规定了特定的资本要求。

此外，关于界定为年销售量在5000万欧元以下的中小企业贷款，银行可依照企业的规模对公司IRB风险权重公式进行调整。

23. IRB高级法和初级法要紧的区别反映在数据要求上，前者要求的数据是银行自己的估量值，而后者要求的数据那么是由监管当局确定。

这方面的区别见下面的表格：24. 上面的个表格说明，关于公司、主权和银行同业的风险暴露，所有采纳IRB法的银行都必须提供违约概率的内部估量值。

此外，采纳IRB 高级法的银行必须提供LGD 和EAD的内部估量值, 而采纳IRB初级法的银行将采纳第三稿中监管当局考虑到风险暴露属性后而规定的指标。

总体来看，采纳IRB高级法的银行应提供上述各类风险暴露剩余期限的估量值，然而也不排除在个别情形下，监管当局可承诺采纳固定的期限假设。

关于采纳IRB 初级法的银行，各国监管当局可自己决定是否全国所有的银行都采纳第三稿中规定的固定期限假设，或银行自己提供剩余期限的估量值。

25. IRB法的另一项重要内容确实是对信用风险缓释工具〔即：抵押、担保和信用衍生产品〕的处理。

IRB法本身，专门是LGD参数，为评估信用风险缓释工具技术的潜在价值提供充分的灵活性。

因此，关于采纳IRB初级法的银行，第三稿中监管当局规定的不同LGD值反映了存在不同类别的抵押品。

在评估不同类别抵押品价值时，采纳IRB高级法的银行，具有更大的灵活性。

关于涉及金融抵押品的交易，IRB法力求确保银行使用认可的方法来评估风险，因为抵押品价值会发生变化。

第三稿对此规定了一组明确的标准。

零售风险暴露26. 关于零售风险暴露，只可采纳IRB高级法，不可采纳IRB初级法。

IRB零售风险暴露公式的要紧数据为PD、LGD和EAD，完全是银行提供的估量值。

相对公司风险暴露的IRB 法而言，在此不需运算单笔的风险暴露，但需要运算一揽子同类风险暴露的估量值。

27. 考虑到零售风险暴露包括的各类产品表现了不同的历史缺失情形，在此将零售风险暴露划为三大类。

一是以住房抵押贷款为担保的风险暴露，二是合格的循环零售风险暴露〔qualifying revolving retail exposures，QRRE)，三是其它非住房抵押贷款，又称其它零售风险暴露。

总体来说，QRRE类包括各类无担保且具备特定缺失特点的循环零售风险暴露，其中包括各类信用卡。

所有其它非住房贷款类的消费贷款，其中包括小企业贷款，都列在其它零售风险暴露下。

第三稿对这三类业务规定了不同的风险权重公式。

专业贷款〔Specialised lending〕28. 巴塞尔II将不同于其它公司贷款的批发贷款做了细分，并将他们统称为专业贷款。

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巴塞尔新资本协议第三版(中文版)

巴塞尔资本协议中英文完整版(首封)

概述导言1. 巴塞尔银行监管委员会（以下简称委员会）现公布巴塞尔新资本协议（BaselII,以下简称巴塞尔II）第三次征求意见稿（CP3，以下简称第三稿）。

第三稿的公布是构建新资本充足率框架的一项重大步骤。

委员会的目标仍然是在今年第四季度完成新协议，并于2006年底在成员国开始实施。

2. 委员会认为，完善资本充足率框架有两方面的公共政策利好。

一是建立不仅包括最低资本而且还包括监管当局的监督检查和市场纪律的资本管理规定。

二是大幅度提高最低资本要求的风险敏感度。

3. 完善的资本充足率框架，旨在促进鼓励银行强化风险管理能力，不断提高风险评估水平。

委员会认为，实现这一目标的途径是，将资本规定与当今的现代化风险管理作法紧密地结合起来，在监管实践中并通过有关风险和资本的信息披露，确保对风险的重视。

4. 委员会修改资本协议的一项重要内容，就是加强与业内人士和非成员国监管人员之间的对话。

通过多次征求意见，委员会认为，包括多项选择方案的新框架不仅适用于十国集团国家，而且也适用于世界各国的银行和银行体系。

5. 委员会另一项同等重要的工作，就是研究参加新协议定量测算影响分析各行提出的反馈意见。

这方面研究工作的目的，就是掌握各国银行提供的有关新协议各项建议对各行资产将产生何种影响。

特别要指出，委员会注意到，来自40多个国家规模及复杂程度各异的350多家银行参加了近期开展的定量影响分析（以下称简QIS3）。

正如另一份文件所指出，QIS3的结果表明，调整后新框架规定的资本要求总体上与委员会的既定目标相一致。

6. 本文由两部分内容组成。

第一部分简单介绍新资本充足框架的内容及有关实施方面的问题。

在此主要的考虑是，加深读者对新协议银行各项选择方案的认识。

第二部分技术性较强，大体描述了在2002年10月公布的QIS3技术指导文件之后对新协议有关规定所做的修改。

第一部分新协议的主要内容7. 新协议由三大支柱组成：一是最低资本要求，二是监管当局对资本充足率的监督检查，三是信息披露。

巴塞尔新资本协议第三版(中文版)-232页

巴塞尔委员会Basel Committeeon Banking Supervision征求意见稿（第三稿）巴塞尔新资本协议The NewBasel Capital Accord 中国银行业监督管理委员会翻译目录概述 (10)导言 (10)第一部分新协议的主要内容 (11)第一支柱：最低资本要求 (11)信用风险标准法 (11)内部评级法（Internal ratings-based (IRB) approaches） (12)公司、银行和主权的风险暴露 (13)零售风险暴露 (14)专业贷款（Specialised lending） (14)股权风险暴露（Equity exposures） (14)IRB法的实施问题 (15)证券化 (15)操作风险 (16)第二支柱和第三支柱：监管当局的监督检查和市场纪律 (17)监管当局的监督检查 (17)市场纪律 (18)新协议的实施 (18)朝新协议过渡 (18)有关前瞻性问题 (19)跨境实施问题 (20)今后的工作 (20)第二部分: 对QIS3技术指导文件的修改 (21)导言 21允许使用准备 (21)合格的循环零售风险暴露（qualifying revolving retail exposures,QRRE)..22住房抵押贷款 (22)专业贷款(specialised lending, SL) (22)高波动性商业房地产（high volatility commercial real estate ，HVCRE).23信用衍生工具 (23)证券化 (23)操作风险 (24)缩写词 (26)第一部分：适用范围 (28)A.导言 (28)B.银行、证券公司和其他附属金融企业 (28)C.对银行、证券公司和其他金融企业的大额少数股权投资 (29)D.保险公司 (29)E.对商业企业的大额投资 (30)F.根据本部分的规定对投资的扣减 (31)第二部分：第一支柱－最低资本要求 (33)I. 最低资本要求的计算 (33)II.信用风险－标准法(Standardised Approach) (33)A.标准法 — 一般规则 (33)1.单笔债权的处理 (34)(i)对主权国家的债权 (34)(ii)对非中央政府公共部门实体(public sector entities)的债权 (35)(iii)对多边开发银行的债权 (35)(iv) 对银行的债权 (36)(v)对证券公司的债权 (37)(vi)对公司的债权 (37)(vii)包括在监管定义的零售资产中的债权 (37)(viii) 对居民房产抵押的债权 (38)(ix)对商业房地产抵押的债权 (38)(x)逾期贷款 (39)(xi)高风险的债权 (39)(xii)其他资产 (40)(xiii) 资产负债表外项目 (40)2.外部评级 (40)(i)认定程序 (40)(ii)资格标准 (40)3.实施中需考虑的问题 (41)(i)对应程序(mapping process) (41)(ii)多方评级结果的处理 (42)(iii)发行人评级和债项评级(issuer versus issues assessment) (42)(iv)本币和外币的评级 (42)(v)短期和长期评级 (43)(vi)评级的适用范围 (43)(vii)被动评级(unsolicited ratings) (43)B. 标准法—信用风险缓释(Credit risk mitigation) (44)1.主要问题 (44)(i)综述 (44)(ii) 一般性论述 (44)(iii)法律确定性 (45)2.信用风险缓释技术的综述 (45)(i)抵押交易 (45)(ii) 表内净扣(On-balance sheet netting) (47)(iii)担保和信用衍生工具 (47)(iv) 期限错配 (47)(v) 其他问题 (48)3.抵押品 (48)(i)合格的金融抵押品 (48)(ii) 综合方法 (49)(iii)简单方法 (56)(iv) 抵押的场外衍生工具交易 (57)4．表内净扣 (57)5．担保和信用衍生工具 (58)(i)操作要求 (58)(ii)合格的担保人/信用保护提供者的范围 (60)(iii)风险权重 (60)(iv)币种错配 (60)(v)主权担保 (61)6.期限错配 (61)7.与信用风险缓释相关的其他问题的处理 (62)(i)对信用风险缓释技术池(pools of CRM techniques)的处理 (62)(ii) 第一违约的信用衍生工具 (62)(iii)第二违约的信用衍生工具 (62)III. 信用风险——IRB法 (62)A.概述 (62)B．IRB法的具体要求 (63)1.风险暴露类别 (63)(i) 公司暴露的定义 (63)(ii) 主权暴露的定义 (65)(iii) 银行暴露的定义 (65)(iv) 零售暴露的定义 (65)(v)合格的循环零售暴露的定义 (66)(vi) 股权暴露的定义 (67)(vii)合格的购入应收账款的定义 (68)2.初级法和高级法 (69)(i)公司、主权和银行暴露 (69)(ii) 零售暴露 (70)(iii) 股权暴露 (70)(iv) 合格的购入应收账款 (70)3. 在不同资产类别中采用IRB法 (70)4.过渡期安排 (71)(i)采用高级法的银行平行计算资本充足率 (71)(ii) 公司、主权、银行和零售暴露 (72)(iii) 股权暴露 (72)C.公司、主权、及银行暴露的规定 (73)1.公司、主权和银行暴露的风险加权资产 (73)(i)风险加权资产的推导公式 (73)(ii) 中小企业的规模调整 (73)(iii) 专业贷款的风险权重 (74)2.风险要素 (75)(i)违约概率 (75)(iii)违约风险暴露 (79)(iv) 有效期限 (80)D.零售暴露规定 (82)1.零售暴露的风险加权资产 (82)(i) 住房抵押贷款 (82)(ii) 合格的循环零售贷款 (82)(iii) 其他零售暴露 (83)2.风险要素 (83)(i)违约概率和违约损失率 (83)(ii) 担保和信贷衍生产品的认定 (83)(iii) 违约风险暴露 (83)E.股权暴露的规则 (84)1.股权暴露的风险加权资产 (84)(i)市场法 (84)(ii) 违约概率/违约损失率方法 (85)(iii) 不采用市场法和违约概率/违约损失率法的情况 (86)2. 风险要素 (87)F. 购入应收账款的规则 (87)1.违约风险的风险加权资产 (87)(i)购入的零售应收账款 (87)(ii) 购入的公司应收账款 (87)2.稀释风险的风险加权资产 (89)(i)购入折扣的处理 (89)(ii) 担保的认定 (89)G. 准备的认定 (89)H.IRB法的最低要求 (90)1.最低要求的内容 (91)2.遵照最低要求 (91)3.评级体系设计 (91)(i)评级维度 (92)(ii) 评级结构 (93)(iv) 评估的时间 (94)(v)模型的使用 (95)(vi) 评级体系设计的记录 (95)4.风险评级体系运作 (96)(i) 评级的涵盖范围 (96)(ii) 评级过程的完整性 (96)(iii) 推翻评级的情况（Overrides） (97)(iv) 数据维护 (97)(v)评估资本充足率的压力测试 (98)5. 公司治理和监督 (98)(i)公司治理（Corporate governance） (98)(ii) 信用风险控制 (99)(iii) 内审和外审 (99)6. 内部评级的使用 (99)7.风险量化 (100)(i)估值的全面要求 (100)(ii) 违约的定义 (101)(iii) 重新确定帐龄（Re-ageing） (102)(iv) 对透支的处理 (102)(v) 所有资产类别损失的的定义 (102)(vi) 估计违约概率的要求 (102)(vii) 自行估计违约损失率的要求 (104)(viii) 自己估计违约风险暴露的要求 (104)(ix) 评估担保和信贷衍生产品成熟性效应的最低要求 (106)(x)估计合格的购入应收账款违约概率和违约损失率的要求 (107)8. 内部评估的验证 (109)9. 监管当局确定的违约损失率和违约风险暴露 (110)(i)商用房地产和居民住房作为抵押品资格的定义 (110)(ii) 合格的商用房地产/居民住房的操作要求 (110)(iii) 认定金融应收账款的要求 (111)10.认定租赁的要求 (113)11.股权暴露资本要求的计算 (114)(i)内部模型法下的市场法 (114)(ii) 资本要求和风险量化 (114)(iv) 验证和形成文件 (116)12.披露要求 (118)IV.信用风险--- 资产证券化框架 (119)A.资产证券化框架下所涉及交易的范围和定义 (119)B. 定义 (120)1. 银行所承担的不同角色 (120)(i)银行作为投资行 (120)(ii) 银行作为发起行 (120)2. 通用词汇 (120)(i) 清收式赎回(clean-up call) (120)(ii) 信用提升(credit enhancement) (120)(iii) 提前摊还(early amortisation) (120)(iv) 超额利差(excess spread) (121)(v)隐性支持(implicit support) (121)(vi) 特别目的机构(Special purpose entity (SPE)) (121)C. 确认风险转移的操作要求 (121)1.传统型资产证券化的操作要求 (121)2.对合成型资产证券化的操作要求 (122)3.清收式赎回的操作要求和处理 (123)D. 对资产证券化风险暴露的处理 (123)1.最低资本要求 (123)(i)扣减 (123)(ii) 隐性支持 (123)2. 使用外部信用评估的操作要求 (124)3. 资产证券化风险暴露的标准化方法 (124)(i) 范围 (124)(ii) 风险权重 (125)(iii) 对于未评级资产证券化风险暴露一般处理方法的例外情况 (125)(iv) 表外风险资产的信用转换系数 (126)(v)信用风险缓释的确认 (127)(vi) 提前摊还规定的资本要求 (128)(viii)对于非控制型具有提前摊还特征的风险暴露的信用风险转换系数的确定 (130)4.资产证券化的内部评级法 (131)(i)范围 (131)(ii) KIRB定义 (131)(iii) 各种不同的方法 (132)(iv) 所需资本最高限 (133)(v) 以评级为基础的方法 (133)(vi) 监管公式 (135)(vii)流动性便利 (137)(viii) 合格服务人现金透支便利 (138)(ix) 信用风险缓释的确认 (138)(x) 提前摊还的资本要求 (138)V. 操作风险 (139)A. 操作风险的定义 (139)B. 计量方法 (139)1．基本指标法 (139)2．标准法 (140)3．高级计量法(Advanced Measurement Approaches ，AMA) (141)C.资格标准 (142)1．一般标准 (142)2．标准法 (142)3. 高级计量法 (143)D．局部使用 (147)VI.交易账户 (148)A．交易账户的定义 (148)B．审慎评估标准 (149)1．评估系统和控制手段 (149)2．评估方法 (149)3．计值调整（储备） (150)C.交易账户对手信用风险的处理 (151)D．标准法对交易账户特定风险资本要求的处理 (152)1．政府债券的特定风险资本要求 (152)2.对未评级债券特定风险的处理原则 (152)3. 采用信用衍生工具套做保值头寸的专项资本要求 (152)4.信用衍生工具的附加系数 (153)第三部分：监督检查 (155)A.监督检查的重要性 (155)B.监督检查的四项主要原则 (155)C.监督检查的具体问题 (161)D：监管检查的其他问题 (167)第四部分：第三支柱——市场纪律 (169)A.总体考虑 (169)1.披露要求 (169)2.指导原则 (169)3.恰当的披露 (169)4. 与会计披露的相互关系 (169)5.重要性（Materiality） (170)6.频率 (170)B.披露要求 (171)1.总体披露原则 (171)2.适用范围 (171)3.资本 (173)4.风险暴露和评估 (175)(i)定性披露的总体要求 (175)(ii)信用风险 (175)(iii)市场风险 (183)(iv)操作风险 (184)(v)银行账户的利率风险 (184)附录1 创新工具在一级资本中的上线为15% (185)附录2 标准法－实施对应程序 (186)附录3 IRB法风险权重的实例 (190)附录4 监管当局对专业贷款设定的标准 (193)附录5 按照监管公式计算信用风险缓释的影响 (207)附录 6 (211)附录7 损失事件分类详表 (215)附录8 (220)概述导言1.巴塞尔银行监管委员会（以下简称委员会）现公布巴塞尔新资本协议（Basel II, 以下简称巴塞尔II）第三次征求意见稿（CP3，以下简称第三稿）。

巴塞尔资本协议中英文完整版(12附录4)

贷款人对现金流的控制(例如现金转好账(cash sweep) 和独立第三方账户托管)
一般
差
优合同条款的约束力(关于强制提前付款,递延付款,分期付款和红利限制等方面的强制规定)(mandatory prepayments, payment deferrals, payment cascade, dividend restrictions…) 储备基金(偿债,营运与维修保养, 更新和重置,不可预见事件) 合同条款对此类项目约束力强. 项目不再举借其他债务
担保安排合同和账户权利分配抵押资产的质量,价值和流动性非常全面对起动项目的全部资产,合同,批文和账户拥有手续完备的优先担保权益(First perfected security) 全面对起动项目的全部资产,合同,批文和账户拥有手续完备的优先担保权益较好一般对起动项目的全部资产, 合同,批文和账户拥有一般性的担保权益差对贷款人几乎未提供担保;抵押条款对银行不利
财务比率和垫款比例
152
压力分析
房地产在面临持续的财务压在经济下滑时,房地产收入力(如利率,经济增长)情将减少,降低其资本开支能况下能履行偿债义务.该房力并增加了违约风险地产仅在面临严重经济问题时才可能违约
房地产的财务状况趋紧,除非近期改善否则可能违约
现金流预测 (a)已完工,稳定的房地产项目房地产租与信誉好的客户, 合同租期长且到期日分散. 房地产承租记录显示客户均到期续租.空置率低.费用 (维修,保险,保安和财产税)可预测房地产大部分合同租期长, 承租户信誉各异.合同到期续租情况正常.空置率低. 费用可预测房地产大部分出租合同为中期而非长期,承租户信誉各异.合同到期续租情况一般.空置率一般.费用相对可预测但随收入变动房地产出租合同期限不一, 承租户信誉各异.合同到期原承租户很少续租.空置率高.吸引新租户的场地费用开支很高

巴塞尔资本协议中英文完整版(13附录5)

附录5例子：按照监管公式计算信用风险缓释的影响以下举例说明按监管公式(SF)下，如何认定抵押品和担保的作用。

关于抵押品的例子—按比例抵补假定一发起行购买了€100 的证券化的风险暴露，存在超出K IRB 水平的信用提升，但超出部分无外部的或可推出的评级。

此外，假定对资产证券化部分的风险暴露，按监管公式资本需求为€1.6（乘以12.5，加权资产为€20）。

在进一步假定，该发起行持有€80的现金作为资产证券化的抵押品，计价货币与资产证券化货币相同。

该头寸的资本要求为将按监管公式的资本要求乘以调整后风险暴露与原始风险暴露的比率，如下所示。

第1步：调整后风险暴露(E*) = {0, [E x (1 + He) - C x (1 - Hc - Hfx)]} 式的最大值E* ={0, [100 x (1 + 0) - 80 x (1 - 0 - 0)]} 式的最大值= € 20其中 (根据以上信息):E* = 考虑风险缓释后的风险暴露(€20)E = 当前的风险暴露(€100)He = 适用于风险暴露的折扣系数(由于银行未借出资产证券化的风险暴露以交换抵押品，这个折扣系数无相关性).C = 接受抵押品的当前价值(€80)Hc = 适用于抵押品的折扣系数(0)Hfx= 适用于抵押品和风险暴露错配的折扣系数 (0)第2步：资本要求= E* / E x 监管公式的资本要求其中 (根据以上信息):资本要求= €20 / €100 x €1.6 = €0.32.关于担保的例子—按比例抵补除信用风险缓释工具外，该例子中所有涉及抵押品的假设条件均适用。

假定发起行持有其他银行提供的合格，无抵押品的担保，金额为80€。

因此，货币错配的折扣系数不适用。

资本要求如下所示：∙ 资产证券化的保护部分（80€ ）的风险权重为保护提供者的风险权重。

保护提供者的风险权重与提供给担保银行无担保贷款的风险权重相同，在内部评级法下也是如此。

假定风险权重是10%。

巴塞尔资本协议中英文完整版(04缩写词)

缩写词ABCP Asset-backed commercial paper资产支持型商业票据ADC Acquisition, development and construction收购、开发与建设AMA Advanced measurement approaches高级计量法ASA Alternative standardised approach另外一种标准法CCF Credit conversion factor信用转换系数CDR Cumulative default rate积累违约率CF Commodities finance商品融资CRM Credit risk mitigation信用风险缓释技术EAD Exposure at default违约风险暴露ECA Export credit agency出口信贷机构ECAI External credit assessment institution外部信用评估机构EL Expected loss预期损失FMI Future margin income未来利差收入HVCRE High-volatility commercial real estate高波动性商业房地产IPRE Income-producing real estate 创造收入的房地产IRB approach Internal ratings-based approach内部评级法LGD Loss given default违约损失率M Effective maturity有效到期日MDB Multilateral development bank多边发开银行NIF Note issuance facility票据发行工具OF Object finance物品融资PD Probability of default违约率PF Project finance项目融资PSE Public sector entity共公部门企业RBA Ratings-based approach采用评级的方法RUF Revolving underwriting facility 循环认购工具SF Supervisory formula监管工式SL Specialised lending专业贷款SME Small- and medium-sized enterprise中小企业SPE Special purpose entity特别目的机构UCITS Undertakings for collective investments in transferable securities 集体投资可转让证券UL Unexpected loss非预期损失。

巴塞尔资本协议中英文完整版(10附录2(英文))

Annex 2Standardised Approach - Implementing the Mapping Process1. Because supervisors will be responsible for assigning eligible ECAI’s credit risk assessments to the risk weights available under the standardised approach, they will need to consider a variety of qualitative and quantitative factors to differentiate between the relative degrees of risk expressed by each assessment. Such qualitative factors could include the pool of issuers that each agency covers, the range of ratings that an agency assigns, each rating’s meaning, and each agency’s definition of default, among others.2. Quantifiable parameters may help to promote a more consistent mapping of credit risk assessments into the available risk weights under the standardised approach. This annex summarises the Committee’s proposals to help supervisors with mapping exercises. The parameters presented below are intended to provide guidance to supervisors and are not intended to establish new or complement existing eligibility requirements for ECAIs. Evaluating CDRs: two proposed measures3. To help ensure that a particular risk weight is appropriate for a particular credit risk assessment, the Committee recommends that supervisors evaluate the cumulative default rate (CDR) associated with all issues assigned the same credit risk rating. Supervisors would evaluate two separate measures of CDRs associated with each risk rating contained in the standardised approach, using in both cases the CDR measured over a three-year period.∙To ensure that supervisors have a sense of the long-run default experience over time, supervisors should evaluate the ten-year average of the three-year CDR when this depth of data is available.150 For new rating agencies or for those that have compiled less than ten years of default data, supervisors may wish to ask rating agencies what they believe the 10-year average of the three-year CDR would be for each risk rating and hold them accountable for such an evaluation thereafter for the purpose of risk weighting the claims they rate.∙The other measure that supervisors should consider is the most recent three-year CDR associated with each credit risk assessment of an ECAI4. Both measurements would be compared to aggregate, historical default rates of credit risk assessments compiled by the Committee that are believed to represent an equivalent level of credit risk.5. As three-year CDR data is expected to be available from ECAIs, supervisors should be able to compare the default experience of a particular ECAI’s assessments with t hose issued by other rating agencies, in particular major agencies rating a similar population.150 In 2002, for example, a supervisor would calculate the average of the three-year CDRs for issuers assigned to each rating grade (the “cohort”) for each of the ten years 1990-1999.170Mapping risk ratings to risk weights using CDRs6. To help supervisors determine the appropriate risk weights to which an ECAI’s risk ratings should be mapped, each of the CDR measures mentioned above could be compared to the following reference and benchmark values of CDRs:∙For each step in an ECAI’s rating scale, a ten-year average of the three-year CDR would be compared to a long run “reference” three-year CDR that would represent a sense of the long-run international default experience of risk assessments.∙Likewise, for each step in the ECAI’s rating scale, the two most recent three-year CDR would be compared to “benchmarks” for CDRs. This comparison would be intended to determine whether the ECAI’s most recent record of assessing credit risk remains within the CDR supervisory benchmarks.7. Table 1 below illustrates the overall framework for such comparisons.Table 1Comparisons of CDR Measures1511. Comparing an ECAI’s long-run average three-year CDR to a long-run“reference” CDR8. For each credit risk category used in the standardised approach of the New Accord, the corresponding long-run reference CDR would provide information to supervisors on what its default experience has been internationally. The ten-year average of an eligible ECAI’s particular assessment would not be expected to match exactly the long-run reference CDR. The long run CDRs are meant as guidance for supervisors, and not as “targets” that ECAIs would have to meet. The recommended long-run “reference” three-year CDRs for each of the Committee’s credit risk categories are presented in Table 2 below, based on the Committee’s observations of the default experience reported by major rating agencies internationally.151 It should be noted that each major rating agency would be subject to these comparisons as well, in which its individual experience would be compared to the aggregate international experience.171Table 2Proposed long run "reference" three-year CDRs2. Comparing an ECAI’s most recent three-year CDR to CDR Benchmarks9. Since an ECAI’s own CDRs are not intended to match the reference CDRs exactly, it is important to provide a better sense of what upper bounds of CDRs are acceptable for each assessment, and hence each risk weight, contained in the standardised approach. 10. It is the Committee’s general sense that the upper bounds for CDRs should serve as guidance for supervisors and not necessarily as mandatory requirements. Exceeding the upper bound for a CDR would therefore not necessarily require the supervisor to increase the risk weight associated with a particular assessment in all cases if the supervisor is convinced that the higher CDR results from some temporary cause other than weaker credit risk assessment standards.11. To assist supervisors in interpreting whether a CDR falls within an acceptable range for a risk rating to qualify for a particular risk weight, two benchmarks would be set for each assessment, namely a “monitoring” level benchmark and a “trigger” level benchmark.(a) “Monitoring” level benchmark12. Exceeding the “monitoring” level CDR benchmark implies that a rating agency’s current default experience for a particular credit risk-assessment grade is markedly higher than international default experience. Although such assessments would generally still be considered eligible for the associated risk weights, supervisors would be expected to consult with the relevant rating agency to understand why the default experience appears to be significantly worse. If supervisors determine that the higher default experience is attributable to weaker standards in assessing credit risk, they would be expected to assign a higher risk category to the agency’s credit risk assessment.(b) “Trigger” level13. Exceeding the “trigger” level benchmark implies that a rating agency’s default experience is considerably above the international historical default experience for a p articular assessment grade. Thus there is a presumption that the ECAI’s standards for assessing credit risk are either too weak or are not applied appropriately. If the observed three-year CDR exceeds the trigger level in two consecutive years, supervisors would be expected to move the risk assessment into a less favourable risk category. However, if supervisors determine that the higher observed CDR is not attributable to weaker 172assessment standards, then they may exercise judgement and retain the original risk weight.15214. In all cases where the supervisor decides to leave the risk category unchanged, it may wish to rely on Pillar 2 of the New Accord and encourage banks to hold more capital temporarily or to establish higher reserves.15. When the supervisor has increased the associated risk category, there would be the opportunity for the assessment to again map to the original risk category if the ECAI is able to demonstrate that its three-year CDR falls and remains below the monitoring level for two consecutive years.(c) Calibrating the benchmark CDRs16. After reviewing a variety of methodologies, the Committee decided to use Monte Carlo simulations to calibrate both the monitoring and trigger levels for each credit risk assessment category. In particular, the proposed monitoring levels were derived from the 99.0th percentile confidence interval and the trigger level benchmark from the 99.9th percentile confidence interval. The simulations relied on publicly available historical default data from major international rating agencies. The levels derived for each risk assessment category are presented in Table 3 below, rounded to the first decimal:Table 3Proposed three-year CDR benchmarks152 For example, if supervisors determine that the higher default experience is a temporary phenomenon, perhaps because it reflects a temporary or exogenous shock such as a natural disaster, then the risk weighting proposed in the standardised approach could still apply. Likewise, a breach of the trigger level by several ECAIs simultaneously may indicate a temporary market change or exogenous shock as opposed to a loosening of credit standards. In either scenario, supervisors would be expected to monitor the ECAI’s assessments to ensure that the higher default experience is not the result of a loosening of credit risk assessment standards.173。

巴塞尔资本协议中英文完整版(17附录9(英文))

Annex 9The Simplified Standardised Approach156I. Credit risk - general rules for risk weights1. Exposures should be risk weighted net of specific provisions.(i) Claims on sovereigns and central banks2. Claims on sovereigns and their central banks will be risk weighted on the basis of the consensus country risk scores of export credit agencies (ECA) participating in the “Arrangement on Guidelines for Officially Supported Export Credits”. These scores are available on the OECD’s website.157 The methodology establishes seven risk score categories associated with minimum export insurance premiums. As detailed below, each ECA risk score will correspond to a specific risk weight category.3. At national discretion, a lower risk weight may be applied to banks’ exposures to their sovereign (or central bank) of incorporation denominated in domestic currency and funded158 in that currency.159 Where this discretion is exercised, other national supervisory authorities may also permit their banks to apply the same risk weight to domestic currency exposures to this sovereign (or central bank) funded in that currency.(ii) Claims on other official entities4. Claims on the Bank for International Settlements, the International Monetary Fund, the European Central Bank and the European Community will receive a 0% risk weight.5. The following Multilateral Development Banks (MDBs) will be eligible for a 0% risk weight:∙the World Bank Group, comprised of the International Bank for Reconstruction and Development (IBRD) and the International Finance Corporation (IFC),∙the Asian Development Bank (ADB),∙the African Development Bank (AfDB),156This approach should not be seen as another approach for determining regulatory capital. Rather, it collects in one place the simplest options for calculating risk weighted assets.157The consensus country risk classification is available on the OECD’s website () in the Export Credit Arrangement web-page of the Trade Directorate.158 This is to say that the bank should also have liabilities denominated in the domestic currency.159 This lower risk weight may be extended to the risk weighting of collateral and guarantees.206∙the European Bank for Reconstruction and Development (EBRD),∙the Inter-American Development Bank (IADB),∙the European Investment Bank (EIB),∙the Nordic Investment Bank (NIB),∙the Caribbean Development Bank (CDB),∙the Islamic Development Bank (IDB), and∙the Council of Europe Development Bank (CEDB).6. The standard risk weight for claims on other MDBs will be 100%.7. Claims on domestic public sector entitles (PSEs) will be risk-weighted according to the risk weight framework for claims on banks of that country.160 Subject to national discretion, claims on a domestic PSE may also be treated as claims on the sovereign in whose jurisdiction the PSEs are established. Where this discretion is exercised, other national supervisors may allow their banks to risk weight claims on such PSEs in the same manner.(iii) Claims on banks and securities firms8. Banks will be assigned a risk weight based on the weighting of claims on the country in which they are incorporated (see paragraph 2). The treatment is summarised in the table below:9. When the national supervisor has chosen to apply the preferential treatment for claims on the sovereign as described in paragraph 3, it can also assign a risk weight that is160T he following examples outline how PSEs might be categorised when focusing upon the existence of revenue raising powers. However, there may be other ways of determining the different treatments applicable to different types of PSEs, for instance by focusing on the extent of guarantees provided by the central government:- Regional governments and local authorities could qualify for the same treatment as claims on their sovereign or central government if these governments and local authorities have specific revenue-raising powers and have specific institutional arrangements the effect of which is to reduce their risks of default.- Administrative bodies responsible to central governments, regional governments or to local authorities and other non-commercial undertakings owned by the governments or local authorities may not warrant the same treatment as claims on their sovereign if the entities do not have revenue raising powers or other arrangements as described above. If strict lending rules apply to these entities and a declaration of bankruptcy is not possible because of their special public status, it may be appropriate to treat these claims in the same manner as claims on banks.- Commercial undertakings owned by central governments, regional governments or by local authorities might be treated as normal commercial enterprises. However, if these entities function as a corporate in competitive markets even though the state, a regional authority or a local authority is the major shareholder of these entities, supervisors should decide to consider them as corporates and therefore attach to them the applicable risk weights.207one category less favourable than that assigned to claims on the sovereign, subject to a floor of 20%, to claims on banks of an original maturity of 3 months or less denominated and funded in the domestic currency.10. Claims on securities firms may be treated as claims on banks provided such firms are subject to supervisory and regulatory arrangements comparable to those under the New Accord (including, in particular, risk-based capital requirements).161 Otherwise such claims would follow the rules for claims on corporates.(iv) Claims on corporates11. The standard risk weight for claims on corporates, including claims on insurance companies, will be 100%.(v) Claims included in the regulatory retail portfolios12. Claims that qualify under the criteria listed in paragraph 13 may be considered as retail claims for regulatory capital purposes and included in a regulatory retail portfolio. Exposures included in such a portfolio may be risk-weighted at 75%, except as provided in paragraph 17 for past due retail claims.13. To be included in the regulatory retail portfolio, claims must meet the following four criteria:∙Orientation criterion - The exposure is to an individual person or persons or to a small business;∙Product criterion - The exposure takes the form of any of the following: revolving credits and lines of credit (including credit cards and overdrafts), personal term loans and leases (e.g. instalment loans, auto loans and leases, student and educational loans, personal finance) and small business facilities and commitments.Securities (such as bonds and equities), whether listed or not, are specifically excluded from this category. Mortgage loans are excluded to the extent that they qualify for treatment as claims secured by residential property (see paragraph 14). ∙Granularity criterion - The supervisor must be satisfied that the regulatory retail portfolio is sufficiently diversified to a degree that reduces the risks in the portfolio, warranting the 75% risk weight. One way of achieving this may be to set a numerical limit that no aggregate exposure to one counterpart162 can exceed 0.2% of the overall regulatory retail portfolio.∙Low value of individual exposures. The maximum aggregated retail exposure to one counterpart cannot exceed an absolute threshold of €1 million.161 That is capital requirements that are comparable to those applied to banks in the New Accord. Implicit in the meaning of the word "comparable" is that the securities firm (but not necessarily its parent) is subject to consolidated regulation and supervision with respect to any downstream affiliates.162 Aggregated exposure means gross amount (i.e. not taking any credit risk mitigation into account) of all forms of debt exposures (e.g. loans or commitments) that individually satisfy the three other criteria. In addition, “on one counterpart” means one or several entities tha t may be considered as a single beneficiary (e.g. in the case of a small business that is affiliated to another small business, the limit would apply to the bank's aggregated exposure on both businesses).208(vi) Claims secured by residential property14. Lending fully secured by mortgages on residential property that is or will be occupied by the borrower, or that is rented, will be risk weighted at 35%. In applying the 35% weight, the supervisory authorities should satisfy themselves, according to their national arrangements for the provision of housing finance, that this concessionary weight is applied restrictively for residential purposes and in accordance with strict prudential criteria, such as the existence of substantial margin of additional security over the amount of the loan based on strict valuation rules. Supervisors should increase the standard risk weight where they judge the criteria are not met.15. National supervisory authorities should evaluate whether the preferential risk weights in paragraphs 13 and 14 are appropriate for their circumstances. Supervisors may require banks to increase these preferential risk weights as appropriate.(vii) Claims secured by commercial real estate16. Mortgages on commercial real estate will be risk weighted at 100%.(viii) Treatment of past due loans17. The unsecured portion of any loan (other than a qualifying residential mortgage loan) that is past due for more than 90 days, net of specific provisions, will be risk-weighted as follows:163∙150% risk weight if provisions are less than 20% of the outstanding amount of the loan;∙100% risk weight when specific provisions are no less than 20% of the outstanding amount of the loan; and∙100% risk weight when specific provisions are no less than 50% of the outstanding amount of the loan, but with supervisory discretion to reduce the risk weight to 50%.18. For the purpose of defining the secured portion of the past due loan, eligible collateral and guarantees will be the same as for credit risk mitigation purposes (see section II).164 Past due retail loans are to be excluded from the overall regulatory retail portfolio when assessing the granularity criterion specified in paragraph 13, for risk-weighting purposes. 19. In addition to the circumstances described in paragraph 17, where a past due loan is fully secured by those forms of collateral that are not recognised in paragraph 46, a 100% risk weight may apply when specific provisions reach 15% of the outstanding amount of the loan. These types of collateral are not recognised elsewhere in the Simplified Standardised Approach. Supervisors should set strict operational criteria to ensure the quality of collateral.20. In the case of qualifying residential mortgage loans, when such loans are past due for more than 90 days they will be risk weighted at 100%, net of specific provisions. If such163Subject to national discretion, supervisors may permit banks to treat non-past due loans extended to counterparties subject to a 150% risk weight in the same way as past due loans described in paragraphs 17 to19.164 There will be a transitional period of three years during which a wider range of collateral may be recognised, subject to national discretion.209loans are past due but specific provisions are no less than 50% of their outstanding amount, the risk weight applicable to the remainder of the loan can be reduced to 50% at national discretion.(ix) Higher-risk categories21. National supervisors may decide to apply a 150% or higher risk weight reflecting the higher risks associated with some other assets, such as venture capital and private equity investments.(x) Other assets22. The treatment of securitisation exposures is presented separately in section III. The standard risk weight for all other assets will be 100%.165 Investments in equity or regulatory capital instruments issued by banks or securities firms will be risk weighted at 100%, unless deducted from the capital base according to Part I of the present framework.(xi) Off-balance sheet items23. Off-balance-sheet items under the standardised approach will be converted into credit exposure equivalents through the use of credit conversion factors, as specified in the current Accord, except as specified below. Counterparty risk weightings for OTC derivative transactions will not be subject to any specific ceiling.24. Commitments with an original maturity up to one year and commitments with an original maturity over one year will receive, respectively, a credit conversion factor of 20% and 50%. However, any commitments that are unconditionally cancellable at any time by the bank without prior notice, or that effectively provide for automatic cancellation due to deterioration in a borrower’s creditworthiness, will receive a 0% credit conversion factor.166 25. A credit conversion factor of 100% will be applied to the lending of banks’ securities or the posting of securities as collateral by banks, including instances where these arise out of repo-style transactions (i.e. repurchase/reverse repurchase and securities lending/securities borrowing transactions). See credit risk mitigation (section II) for the calculation of risk weighted assets where the credit converted exposure is secured by eligible collateral.26. For short-term self-liquidating trade letters of credit arising from the movement of goods (e.g. documentary credits collateralised by the underlying shipment), a 20% credit conversion factor will be applied to both issuing and confirming banks.27. Where there is an undertaking to provide a commitment, banks are to apply the lower of the two applicable credit conversion factors.165 However, at national discretion, gold bullion held in own vaults or on an allocated basis to the extent backed by bullion liabilities can be treated as cash and therefore risk-weighted at 0%.166 In certain countries, retail commitments are considered unconditionally cancellable if the terms permit the bank to cancel them to the full extent allowable under consumer protection and related legislation.210II. Credit risk mitigation1. Overarching issues(i) Introduction28. Banks use a number of techniques to mitigate the credit risks to which they are exposed. Exposure may be collateralised in whole or in part with cash or securities, or a loan exposure may be guaranteed by a third party.29. Where these various techniques meet the operational requirements below credit risk mitigation (CRM) may be recognised.(ii) General remarks30. The framework set out in this section is applicable to the banking book exposures under the Simplified Standardised Approach.31. No transaction in which CRM techniques are used should receive a higher capital requirement than an otherwise identical transaction where such techniques are not used.32. The effects of CRM will not be double counted. Therefore, no additional supervisory recognition of CRM for regulatory capital purposes will be granted on claims for which an issue-specific rating is used that already reflects that CRM. Principal-only ratings will also not be allowed within the framework of CRM.33. Although banks use CRM techniques to reduce their credit risk, these techniques give rise to risks (residual risks) which may render the overall risk reduction less effective. Where these risks are not adequately controlled, supervisors may impose additional capital charges or take other supervisory actions as detailed in Pillar 2.34. While the use of CRM techniques reduces or transfers credit risk, it simultaneously may increase other risks to the bank, such as legal, operational, liquidity and market risks. Therefore, it is imperative that banks employ robust procedures and processes to control these risks, including strategy; consideration of the underlying credit; valuation; policies and procedures; systems; control of roll-off risks; and management of concentration risk arising from the bank’s use of CRM techniques and its interaction with the bank’s overall credit risk profile.35. The Pillar 3 requirements must also be observed for banks to obtain capital relief in respect of any CRM techniques.(iii) Legal certainty36. In order for banks to obtain capital relief, all documentation used in collateralised transactions and for documenting guarantees must be binding on all parties and legally well founded in all relevant jurisdictions. Banks must have appropriate legal opinions to verify this, and update them as necessary to ensure continuing enforceability.(iv) Proportional cover37. Where the amount collateralised or guaranteed (or against which credit protection is held) is less than the amount of the exposure, and the secured and unsecured portions are of equal seniority, i.e. the bank and the guarantor share losses on a pro-rata basis, capital relief will be afforded on a proportional basis, i.e. the protected portion of the exposure will211receive the treatment applicable to the collateral or counterparty, with the remainder treated as unsecured.2. Collateralised transactions38. A collateralised transaction is one in which:∙banks have a credit exposure or potential credit exposure to a counterparty;167 and ∙that credit exposure or potential credit exposure is hedged in whole or in part by collateral posted by the counterparty or by a third party on behalf of the counterparty.39. Under the Simplified Standardised Approach, only the simple approach from the Standardised Approach will apply, which, similar to the current Accord, substitutes the risk weighting of the collateral for the risk weighting of the counterparty for the collateralised portion of the exposure (generally subject to a 20% floor). Partial collateralisation is recognised. Mismatches in the maturity or currency of the underlying exposure and the collateral will not be allowed.(i) Minimum conditions40. In addition to the general requirements for legal certainty set out in paragraph 36, the following operational requirements must be met.41. The collateral must be pledged for at least the life of the exposure and it must be marked to market and revalued with a minimum frequency of six months.42. In order for collateral to provide protection, the credit quality of the counterparty and the value of the collateral must not have a material positive correlation. For example, securities issued by the counterparty - or by any related group entity - would provide little protection and so would be ineligible.43. The bank must have clear and robust procedures for the timely liquidation of collateral.44. Where the collateral is held by a custodian, banks must take reasonable steps to ensure that the custodian segregates the collateral from its own assets.45. Where a bank, acting as agent, arranges a repo-style transaction (i.e. repurchase/reverse repurchase and securities lending/borrowing transactions) between a customer and a third party and provides a guarantee to the customer that the third party will perform on its obligations, then the risk to the bank is the same as if the bank had entered into the transaction as principal. In such circumstances, banks will be required to calculate capital requirements as if they were themselves the principal.167 In this section "counterparty" is used to denote a party to whom a bank has an on- or off-balance sheet credit exposure or a potential credit exposure. That exposure may, for example, take the form of a loan of cash or securities (where the counterparty would traditionally be called the borrower), of securities posted as collateral, of a commitment or of exposure under an OTC derivative contract.212(ii) Eligible collateral46. The following collateral instruments are eligible for recognition:∙Cash on deposit with the bank which is incurring the counterparty exposure including certificates of deposit or comparable instruments issued by the lending bank,168, 169∙Gold, and∙Debt securities rated issued by sovereigns rated category 4 or above170 or issued by PSE that are treated as sovereigns by the national supervisor.(iii) Risk weights47. Those portions of claims collateralised by the market value of recognised collateral receive the risk weight applicable to the collateral instrument. The risk weight on the collateralised portion will be subject to a floor of 20%. The remainder of the claim should be assigned to the risk weight appropriate to the counterparty. A capital requirement will be applied to banks on either side of the collateralised transaction: for example, both repos and reverse repos will be subject to capital requirements.48. The 20% floor for the risk weight on a collateralised transaction will not be applied and a 0% risk weight can be provided where the exposure and the collateral are denominated in the same currency, and either:∙the collateral is cash on deposit; or∙the collateral is in the form of sovereign/PSE securities eligible for a 0% risk weight, and its market value has been discounted by 20%.3. Guaranteed transactions49. Where guarantees meet and supervisors are satisfied that banks fulfil the minimum operational conditions set out below, they may allow banks to take account of such credit protection in calculating capital requirements.(i) Minimum conditions50. A guarantee must represent a direct claim on the protection provider and must be explicitly referenced to specific exposures, so that the extent of the cover is clearly defined and incontrovertible. Other than non-payment by a protection purchaser of money due in respect of the credit protection contract it must be irrevocable; there must be no clause in the contract that would increase the effective cost of cover as a result of deteriorating credit quality in the hedged exposure. It must also be unconditional; there should be no clause in168 Where a bank issues credit-linked notes against exposures in the banking book, the exposures will be treated as being collateralised by cash.169 When cash on deposit, certificates of deposit or comparable instruments issued by the lending bank are held as collateral at a third-party bank, if they are openly pledged/assigned to the lending bank and if the pledge/assignment is unconditional and irrevocable, the exposure amount covered by the collateral (after any necessary haircuts for currency risk) will receive the risk weight of the third-party bank.170 The rating category refers to the ECA country risk score as described in paragraph 2.213the protection contract outside the control of the bank that could prevent the protection provider from being obliged to pay out in a timely manner in the event that the original counterparty fails to make the payment(s) due.51. In addition to the legal certainty requirements in paragraph 36 above, the following conditions must be satisfied:(a) On the qualifying default/non-payment of the counterparty, the bank may in a timelymanner pursue the guarantor for monies outstanding under the documentation governing the transaction, rather than having to continue to pursue the counterparty.By making a payment under the guarantee the guarantor must acquire the right to pursue the obligor for monies outstanding under the documentation governing the transaction.(b) The guarantee is an explicitly documented obligation assumed by the guarantor.(c) The guarantor covers all types of payments the underlying obligor is expected tomake under the documentation governing the transaction, for example notional amount, margin payments, etc.(ii) Eligible guarantors52. Credit protection given by the following entities will be recognised: sovereign entities171, PSEs and other entities with a risk weight of 20% or better and a lower risk weight than the counterparty.(iii) Risk weights53. The protected portion is assigned the risk weight of the protection provider. The uncovered portion of the exposure is assigned the risk weight of the underlying counterparty.54. As specified in paragraph 3, a lower risk weight may be applied at national discretion to a bank’s exposure to the sovereign (or central bank) where the bank is incorporated and where the exposure is denominated in domestic currency and funded in that currency. National authorities may extend this treatment to portions of claims guaranteed by the sovereign (or central bank), where the guarantee is denominated in the domestic currency and the exposure is funded in that currency.55. Materiality thresholds on payments below which no payment will be made in the event of loss are equivalent to retained first loss positions and must be deducted in full from the capital of the bank purchasing the credit protection.4. Other items related to the treatment of CRM techniquesTreatment of pools of CRM techniques56. In the case where a bank has multiple CRM covering a single exposure (e.g. a bank has both collateral and guarantee partially covering an exposure), the bank will be required171 This includes the Bank for International Settlements, the International Monetary Fund, the European Central Bank and the European Community.214to subdivide the exposure into portions covered by each type of CRM tool (e.g. portion covered by collateral, portion covered by guarantee) and the risk weighted assets of each portion must be calculated separately. When credit protection provided by a single protection provider has differing maturities, they must be subdivided into separate protection as well. III. Credit risk – Securitisation framework(i) Scope of transactions covered under the securitisation framework57. A traditional securitisation is a structure where the cash flow from an underlying pool of exposures is used to service at least two different stratified risk positions or tranches reflecting different degrees of credit risk. Payments to the investors depend upon the performance of the specified underlying exposures, as opposed to being derived from an obligation of the entity originating those exposures. The stratified/tranched structures that characterise securitisations differ from ordinary senior/subordinated debt instruments in that junior securitisation tranches can absorb losses without interrupting contractual payments to more senior tranches, whereas subordination in a senior/subordinated debt structure is a matter of priority of rights to the proceeds of a liquidation.58. Banks’ exposures to securitisation are referred to as “securitisation exposures”.(ii) Permissible role of banks59. A bank operating under the Simplified Standardised Approach can only assume the role of an investing bank in a traditional securitisation. An investing bank is an institution, other than the originator or the servicer that assumes the economic risk of a securitisation exposure.60. A bank is considered to be an originator if it originates directly or indirectly credit exposures included in the securitisation. A servicer bank is one that manages the underlying credit exposures of a securitisation on a day-to-day basis in terms of collection of principal and interest, which is then forwarded to investors in securitisation exposures. A bank under the Simplified Standardised Approach should not offer credit enhancement, liquidity facilities or other financial support to a securitisation.(iii) Treatment of Securitisation Exposures61. Banks using the Simplified Standardised Approach to credit risk for the type of underlying exposure(s) securitised are permitted to use a simplified version of the standardised approach under the securitisation framework.62. The standard risk weight for securitisation exposures for an investing bank will be 100%. For first loss positions acquired, deduction from capital will be required. The deduction will be taken 50% from Tier 1 and 50% from Tier 2 capital.215。

巴塞尔资本协议中英文完整版(07第三部分(英文))

Part 3: The Second Pillar – Supervisory Review Process677. This section discusses the key principles of supervisory review, risk management guidance and supervisory transparency and accountability produced by the Committee with respect to banking risks, including that relating to the treatment of interest rate risk in the banking book, operational risk and aspects of credit risk (stress testing, definition of default, residual risk, credit concentration risk and securitisation).A. Importance of Supervisory Review678. The supervisory review process of the New Accord is intended not only to ensure that banks have adequate capital to support all the risks in their business, but also to encourage banks to develop and use better risk management techniques in monitoring and managing their risks.679. The supervisory review process recognises the responsibility of bank management in developing an internal capital assessment process and setting capital targets that are commensurate with the bank‟s risk profile a nd control environment. In the New Accord, bank management continues to bear responsibility for ensuring that the bank has adequate capital to support its risks beyond the core minimum requirements.680. Supervisors are expected to evaluate how well banks are assessing their capital needs relative to their risks and to intervene, where appropriate. This interaction is intended to foster an active dialogue between banks and supervisors such that when deficiencies are identified, prompt and decisive action can be taken to reduce risk or restore capital. Accordingly, supervisors may wish to adopt an approach to focus more intensely on those banks whose risk profile or operational experience warrants such attention.681. The Committee recognises the relationship that exists between the amount of capital held by the bank against its risks and the strength and effectiveness of the bank‟s risk management and internal control processes. However, increased capital should not be viewed as the only option for addressing increased risks confronting the bank. Other means for addressing risk, such as strengthening risk management, applying internal limits, strengthening the level of provisions and reserves, and improving internal controls, must also be considered. Furthermore, capital should not be regarded as a substitute for addressing fundamentally inadequate control or risk management processes.682. There are three main areas that might be particularly suited to treatment under Pillar 2: risks considered under Pillar 1 that are not fully captured by the Pillar 1 process (e.g. credit concentration risk); those factors not taken into account by the Pillar 1 process (e.g. interest rate risk in the banking book, business and strategic risk); and factors external to the bank (e.g. business cycle effects). A further important aspect of Pillar 2 is the assessment of compliance with the minimum standards and disclosure requirements of the more advanced methods in Pillar 1, in particular the IRB framework for credit risk and the Advanced Measurement Approaches (AMA) for operational risk. Supervisors must ensure that these requirements are being met, both as qualifying criteria and on a continuing basis.138B. Four Key Principles of Supervisory Review683. The Committee has identified four key principles of supervisory review, which complement those outlined in the extensive supervisory guidance that has been developed by the Committee, the keystone of which is the Core Principles for Effective Banking Supervision and the Core Principles Methodology100. A list of the specific guidance relating to the management of banking risks is provided at the end of this Part of the paper.Principle 1: Banks should have a process for assessing their overall capital adequacy in relation to their risk profile and a strategy for maintaining their capital levels.684. Banks must be able to demonstrate that chosen internal capital targets are well founded and these targets are consistent with their overall risk profile and current operating environment. In assessing capital adequacy, bank management needs to be mindful of the particular stage of the business cycle in which the bank is operating. Rigorous, forward-looking stress testing that identifies possible events or changes in market conditions that could adversely impact the bank should be performed. Bank management clearly bears primary responsibility for ensuring that the bank has adequate capital to support its risks. 685. The five main features of a rigorous process are as follows:∙board and senior management oversight;∙sound capital assessment;∙comprehensive assessment of risks;∙monitoring and reporting; and∙internal control review.Board and senior management oversight101686. A sound risk management process is the foundation for an effective assessment of the adequacy of banks‟ capital positions. Bank management is responsible for understanding the nature and level of risk being taken by the bank and how these risks relate to adequate capital levels. It is also responsible for ensuring that the formality and sophistication of the risk management processes are appropriate in light of the risk profile and business plan. 687. The analysis of banks‟ current and future capital requirements in relation to strategic objectives is a vital element of the strategic planning process. The strategic plan should clearly outline the bank‟s capital needs, anticipated capital expenditures, desirable capital100Core Principles for Effective Banking Supervision, Basel Committee on Banking Supervision (September 1997), and Core Principles Methodology, Basel Committee on Banking Supervision (October 1999).101 This section of the paper refers to a management structure composed of a board of directors and senior management. The Committee is aware that there are significant differences in legislative and regulatory frameworks across countries as regards the functions of the board of directors and senior management. In some countries, the board has the main, if not exclusive, function of supervising the executive body (senior management, general management) so as to ensure that the latter fulfils its tasks. For this reason, in some cases, it is known as a supervisory board. This means that the board has no executive functions. In other countries, by contrast, the board has a broader competence in that it lays down the general framework for the management of the bank. Owing to these differences, the notions of the board of directors and senior management are used in this section not to identify legal constructs but rather to label two decision-making functions within a bank.139level, and external capital sources. Senior management and the board should view capital planning as a crucial element in being able to achieve its desired strategic objectives.688. The bank‟s board of directors has responsibility for setting the bank‟s tolerance for risks. It should also ensure that management establishes a framework for assessing the various ri sks, develops a system to relate risk to the bank‟s capital level, and establishes a method for monitoring compliance with internal policies. It is likewise important that the board of directors adopts and supports strong internal controls and written policies and procedures and ensures that management effectively communicates these throughout the organisation. Sound capital assessment689. Fundamental elements of sound capital assessment include:∙policies and procedures designed to ensure that the bank identifies, measures, and reports all material risks;∙ a process that relates capital to the level of risk;∙ a process that states capital adequacy goals with respect to risk, taking account of the bank‟s strategic focus and business plan; and∙ a process of internal controls, reviews and audit to ensure the integrity of the overall management process.Comprehensive assessment of risks690. All material risks faced by the bank should be addressed in the capital assessment process. While it is recognised that not all risks can be measured precisely, a process should be developed to estimate risks. Therefore, the following risk exposures, which by no means constitute a comprehensive list of all risks, should be considered.691.Credit risk: Banks should have methodologies that enable them to assess the credit risk involved in exposures to individual borrowers or counterparties as well as at the portfolio level. For more sophisticated banks, the credit review assessment of capital adequacy, at a minimum, should cover four areas: risk rating systems, portfolio analysis/aggregation, securitisation/complex credit derivatives, and large exposures and risk concentrations. 692. Internal risk ratings are an important tool in monitoring credit risk. Internal risk ratings should be adequate to support the identification and measurement of risk from all credit exposures, and should be integrated into an institution‟s overall analysis of credit risk and capital adequacy. The ratings system should provide detailed ratings for all assets, not only for criticised or problem assets. Loan loss reserves should be included in the credit risk assessment for capital adequacy.693. The analysis of credit risk should adequately identify any weaknesses at the portfolio level, including any concentrations of risk. It should also adequately take into consideration the risks involved in managing credit concentrations and other portfolio issues through such mechanisms as securitisation programmes and complex credit derivatives. Further, the analysis of counterparty credit risk should include consideration of public evaluation of the supervisor‟s compliance with the Core Principles of Effective Banking Supervision.694. Operational risk: The Committee believes that similar rigour should be applied to the management of operational risk, as is done for the management of other significant 140banking risks. The failure to properly manage operational risk can result in a misstatement of an institution‟s risk/return profile and expose the institution to s ignificant losses.695. Banks should develop a framework for managing operational risk and evaluate the adequacy of capital given this framework. The framework should cover the bank‟s appetite and tolerance for operational risk, as specified through the policies for managing this risk, including the extent of, and manner in which, operational risk is transferred outside the bank. It should also include policies outlining the bank‟s approach to identifying, assessing, monitoring and controlling/mitigating the risk.696. Market risk: This assessment is based largely on the bank‟s own measure of value-at-risk or the standardised approach for market risk (see Amendment to the Capital Accord to incorporate market risks 1996). Emphasis should also be on the institution performing stress testing in evaluating the adequacy of capital to support the trading function.697. Interest rate risk in the banking book: The measurement process should include all material interest rate positions of the bank and consider all relevant repricing and maturity data. Such information will generally include: current balance and contractual rate of interest associated with the instruments and portfolios, principal payments, interest reset dates, maturities, and the rate index used for repricing and contractual interest rate ceilings or floors for adjustable-rate items. The system should also have well-documented assumptions and techniques.698. Regardless of the type and level of complexity of the measurement system used, bank management should ensure the adequacy and completeness of the system. Because the quality and reliability of the measurement system is largely dependent on the quality of the data and various assumptions used in the model, management should give particular attention to these items.699. Liquidity Risk: Liquidity is crucial to the ongoing viability of any banking organisation. Banks‟ capital positions can have an effect on their ability to obtain liquidity, especially in a crisis. Each bank must have adequate systems for measuring, monitoring and controlling liquidity risk. Banks should evaluate the adequacy of capital given their own liquidity profile and the liquidity of the markets in which they operate.700. Other risks: Although the Committee recognises that …other‟ risks, such as reputational and strategic risk, are not easily measurable, it expects industry to further develop techniques for managing all aspects of these risks.Monitoring and reporting701. The bank should establish an adequate system for monitoring and reporting risk exposures and how the bank‟s changing risk profile affects the need for capital. The bank‟s senior management or board of directors should, on a regular basis, receive reports on the bank‟s risk profile and capital needs. These re ports should allow senior management to:∙evaluate the level and trend of material risks and their effect on capital levels;∙evaluate the sensitivity and reasonableness of key assumptions used in the capital assessment measurement system;∙determine that the bank holds sufficient capital against the various risks and that they are in compliance with established capital adequacy goals; and∙assess its future capital requirements based on the bank‟s reported risk profile and make necessary adjustments to the ban k‟s strategic plan accordingly.141Internal control review702. The bank‟s internal control structure is essential to the capital assessment process. Effective control of the capital assessment process includes an independent review and, where appropriate, t he involvement of internal or external audits. The bank‟s board of directors has a responsibility to ensure that management establishes a system for assessing the various risks, develops a system to relate risk to the bank‟s capital level, and establishes a method for monitoring compliance with internal policies. The board should regularly verify whether its system of internal controls is adequate to ensure well-ordered and prudent conduct of business.703. The bank should conduct periodic reviews of its risk management process to ensure its integrity, accuracy, and reasonableness. Areas that should be reviewed include:∙the appropriateness of the bank‟s capital assessment process given the nature, scope and complexity of its activities;∙the identification of large exposures and risk concentrations;∙the accuracy and completeness of data inputs into the bank‟s assessment process;∙the reasonableness and validity of scenarios used in the assessment process; and ∙stress testing and analysis of assumptions and inputs.Principle 2: Supervisors should review and evaluate banks’ internal capital adequacy assessments and strategies, as well as their ability to monitor and ensure their compliance with regulatory capital ratios. Supervisors should take appropriate supervisory action if they are not satisfied with the result of this process.704. The supervisory authorities should regularly review the process by which banks assess their capital adequacy, the risk position of the bank, the resulting capital levels and quality of capital held. Supervisors should also evaluate the degree to which banks have in place a sound internal process to assess capital adequacy. The emphasis of the review should be on the quality of the bank‟s risk management and controls and should not re sult in supervisors functioning as bank management. The periodic review can involve some combination of:∙on-site examinations or inspections;∙off-site review;∙discussions with bank management;∙review of work done by external auditors (provided it is adequately focused on the necessary capital issues); and∙periodic reporting.705. The substantial impact that errors in the methodology or assumptions of formal analyses can have on resulting capital requirements requires a detailed review by supervisors of each bank‟s internal analysis.Review of adequacy of risk assessment706. Supervisors should assess the degree to which internal targets and processes incorporate the full range of material risks faced by the bank. Supervisors should also review the adequacy of risk measures used in assessing internal capital adequacy and the extent to which these risk measures are also used operationally in setting limits, evaluating business 142line performance and evaluating and controlling risks more generally. Supervisors should consider the results of sensitivity analyses and stress tests conducted by the institution and how these results relate to capital plans.Assessment of capital adequacy707. Supervisors should review the bank‟s processes to determine:∙that the target levels of capital chosen are comprehensive and relevant to the current operating environment;∙that these levels are properly monitored and reviewed by senior management; and ∙that the composition of capital is appropriate for the nature and scale of the bank‟s business.708. Supervisors should also consider the extent to which the bank has provided for unexpected events in setting its capital levels. This analysis should cover a wide range of external conditions and scenarios, and the sophistication of techniques and stress tests used should be commensurate with the bank‟s activities.Assessment of the control environment709. Supervisors should consider the quality of the bank‟s management information reporting and systems, the manner in which business risks and activities are aggregated, and management‟s record in responding to emerging or changing risks.710. In all instances, the capital levels at individual banks should be determined according to the bank's risk profile and adequacy of its risk management process and internal controls. External factors such as business cycle effects and the macroeconomic environment should also be considered.Supervisory review of compliance with minimum standards711. In order for certain internal methodologies, CRM techniques and asset securitisations to be recognised for regulatory capital purposes, banks will need to meet a number of requirements, including risk management standards and disclosure.In particular, banks will be required to disclose features of their internal methodologies used in calculating minimum capital requirements. As part of the supervisory review process, supervisors must ensure that these conditions are being met on an ongoing basis.712. The Committee regards this review of minimum standards and qualifying criteria as an integral part of the supervisory review process under Principle 2. In setting the minimum criteria the Committee has considered current industry practice and so anticipates that these minimum standards will provide supervisors with a useful set of benchmarks that are aligned with bank management expectations for effective risk management and capital allocation. 713. There is also an important role for supervisory review of compliance with certain conditions and requirements set for standardised approaches. In this context, there will be a particular need to ensure that use of various instruments that can reduce Pillar 1 capital requirements are utilised and understood as part of a sound, tested, and properly documented risk management process.143Supervisory response714. Having carried out the review process described above, supervisors should take appropriate action if they are not satisfied with the results of the bank‟s own risk assessment and capital allocation. Supervisors should consider a range of actions, such as those set out under Principles 3 and 4 below.Principle 3: Supervisors should expect banks to operate above the minimum regulatory capital ratios and should have the ability to require banks to hold capital in excess of the minimum.715. Pillar 1 capital requirements will include a buffer for uncertainties surrounding the Pillar 1 regime that affect the banking population as a whole. Bank-specific uncertainties will be treated under Pillar 2. It is anticipated that such buffers under Pillar 1 will be set to provide reasonable assurance that banks with good internal systems and controls, a well-diversified risk profile and a business profile well covered by the Pillar 1 regime, and who operate with capital equal to Pillar 1 requirements will meet the minimum goals for soundness embodied in Pillar 1. However, supervisors will need to consider whether the particular features of the markets for which they are responsible are adequately covered. Supervisors will typically require (or encourage) banks to operate with a buffer, over and above the Pillar 1 standard. Banks should maintain this buffer for a combination of the following:(a) Pillar 1 minimums are anticipated to be set to achieve a level of bankcreditworthiness in markets that is below the level of creditworthiness sought by many banks for their own reasons. For example, most international banks appear to prefer to be highly rated by internationally recognised rating agencies. Thus, banks are likely to choose to operate above Pillar 1 minimums for competitive reasons. (b) In the normal course of business, the type and volume of activities will change, aswill the different risk requirements, causing fluctuations in the overall capital ratio. (c) It may be costly for banks to raise additional capital, especially if this needs to bedone quickly or at a time when market conditions are unfavourable.(d) For banks to fall below minimum regulatory capital requirements is a serious matter.It may place banks in breach of the relevant law and/or prompt non-discretionary corrective action on the part of supervisors.(e) There may be risks, either specific to individual banks, or more generally to aneconomy at large, that are not taken into account in Pillar 1.716. There are several means available to supervisors for ensuring that individual banks are operating with adequate levels of capital. Among other methods, the supervisor may set trigger and target capital ratios or define categories above minimum ratios (e.g. well capitalised and adequately capitalised) for identifying the capitalisation level of the bank. Principle 4: Supervisors should seek to intervene at an early stage to prevent capital from falling below the minimum levels required to support the risk characteristics of a particular bank and should require rapid remedial action if capital is not maintained or restored.717. Supervisors should consider a range of options if they become concerned that banks are not meeting the requirements embodied in the supervisory principles outlined above. These actions may include intensifying the monitoring of the bank; restricting the payment of dividends; requiring the bank to prepare and implement a satisfactory capital adequacy restoration plan; and requiring the bank to raise additional capital immediately. 144Supervisors should have the discretion to use the tools best suited to the circumstances of the bank and its operating environment.718. The permanent solution to banks‟ difficulties is not always increased capital. However, some of the required measures (such as improving systems and controls) may take a period of time to implement. Therefore, increased capital might be used as an interim measure while permanent measures to improve the bank‟s position are being put in place. Once these permanent measures have been put in place and have been seen by supervisors to be effective, the interim increase in capital requirements can be removed.C. Specific issues to be addressed under the supervisory reviewprocess719. The Committee has identified a number of important issues that banks and supervisors should particularly focus on when carrying out the supervisory review process. These issues include some key risks which are not directly addressed under Pillar 1 and important assessments that supervisors should make to ensure the proper functioning of certain aspects of Pillar 1.Interest rate risk in the banking book720. The Committee remains convinced that interest rate risk in the banking book is a potentially significant risk which merits support from capital. However, comments received from the industry and additional work conducted by the Committee have made it clear that there is considerable heterogeneity between internationally active banks in terms of the nature of the underlying risk and the processes for monitoring and managing it. In light of this, the Committee has concluded that it is at this time most appropriate to treat interest rate risk in the banking book under the Pillar 2 of the new framework. Nevertheless, supervisors who consider that there is sufficient homogeneity within their banking populations regarding the nature and methods for monitoring and measuring this risk could establish a mandatory minimum capital requirement.721. The revised guidance on interest rate risk recognis es banks‟ internal systems as the principal tool for the measurement of interest rate risk in the banking book and the supervisory response. To facilitate supervisors‟ monitoring of interest rate risk exposures across institutions, banks would have to provide the results of their internal measurement systems, expressed in terms of economic value relative to capital, using a standardised interest rate shock.722. If supervisors determine that banks are not holding capital commensurate with the level of interest rate risk, they must require the bank to reduce its risk, to hold a specific additional amount of capital or some combination of the two. Supervisors should be particularly attentive to the sufficiency of capital of …outlier banks‟ where economic valu e declines by more than 20% of the sum of Tier 1 and Tier 2 capital as a result of a standardised interest rate shock (200 basis points) or its equivalent, as described in the supporting document Principles for the Management and Supervision of Interest Rate Risk. Operational risk723. Gross income, used in the Basic Indicator and Standardised Approaches for operational risk, is only a proxy for the scale of operational risk exposure of a bank and can145in some cases, e.g. for banks with low margins or profitability, underestimate the need of capital for operational risk. With reference to the supporting document Sound Practices for the Management and Supervision of Operational risk, the supervisor should consider whether the capital requirement generated by the Pillar 1 calculation gives a consistent picture of the individual bank‟s operational risk exposure, for example in comparison with other banks of similar size and with similar operations.Credit riskStress tests under the IRB724. A bank should ensure that it has sufficient capital to meet the Pillar 1 requirements and the results (where a deficiency has been indicated) of the credit risk stress test performed as part of the Pillar 1 IRB minimum requirements (paragraphs 396 to 399). Supervisors may wish to review how the stress test has been carried out. The results of the stress test will thus contribute directly to the expectation that a bank will operate above the Pillar 1 minimum regulatory capital ratios. Supervisors will consider whether a bank has sufficient capital for these purposes. To the extent that there is a shortfall, the supervisor will react appropriately. This will usually involve requiring the bank to reduce its risks and/or to hold additional capital/provisions, so that existing capital resources could cover the Pillar 1 requirements plus the result of a recalculated stress test.Definition of default725. Banks must use the reference definition of default for their internal estimations of PD and / or LGD and EAD. However, as detailed in paragraph 416, national supervisors will issue guidance on how the reference definition of default is to be interpreted in their jurisdiction. Supervisors will assess the individual banks‟ application of the reference definition of default and its impact on capital requirements. In particular, supervisors will focus on the impact of deviations from the reference definition according to paragraph 418 (use of external data or historic internal data not fully consistent with the reference definition of default).Residual risk726. The New Accord allows banks to offset credit or counterparty risk with collateral, guarantees or credit derivatives leading to reduced capital charges. While banks use CRM techniques to reduce their credit risk, these techniques give rise to risks that may render the overall risk reduction less effective. Accordingly these risks, such as legal risk, documentation risk or liquidity risk, to which banks are exposed are of supervisory concern. In that case, and irrespective of fulfilling the minimum requirements set out in Pillar 1, the bank could find itself with greater credit risk exposure to the underlying counterparty than it had expected. Examples of these risks include:∙inability to seize, or realise in a timely manner, collateral pledged (on default of the counterparty);∙refusal or delay by a guarantor to pay; and∙ineffectiveness of untested documentation.727. Therefore, supervisors will require banks to have in place appropriate written CRM policies and procedures in order to control these residual risks. A bank may be required to submit these policies and procedures to supervisors and must regularly review their appropriateness, effectiveness and operation.146。

巴塞尔资本协议中英文完整版

巴塞尔资本协议 Basel Capital Accord1. 简介 Introduction巴塞尔资本协议（Basel Capital Accord）是由巴塞尔银行监管委员会（Basel Committee on Banking Supervision）制定的一项国际金融监管准则。

该准则旨在确保银行业机构具备足够的资本金来覆盖其潜在风险，并提高全球金融体系的稳定性。

巴塞尔资本协议于1988年首次发布，目前已经更新到第三版（Basel III）。

巴塞尔资本协议主要通过设立风险权重和资本充足率的指标，要求银行业机构根据其业务风险的不同，以一定比例的资本金抵御其风险敞口。

该协议对银行业机构的监管提出了一系列硬性要求，包括最低资本充足率、风险敞口计算方法等，以确保银行业机构在经济不稳定时期依然能够稳健运营。

2. 资本充足率和风险权重 Capital Adequacy Ratio and Risk Weight在巴塞尔资本协议中，资本充足率（Capital Adequacy Ratio）是一个关键指标，用于衡量银行业机构的偿付能力和承担风险的能力。

资本充足率是指银行业机构的核心资本与其风险加权资产之比。

核心资本包括股本和留存收益，风险加权资产则根据其风险程度分配不同的权重。

巴塞尔资本协议中规定了不同资产类别的风险权重，根据这些权重计算得出的风险加权资产总额将作为分母与核心资本相除，从而得出资本充足率。

不同风险权重反映了不同资产类别的风险程度，风险越高的资产需要投入更多的资本金进行覆盖。

3. 最低资本充足率 Minimum Capital Adequacy Ratio巴塞尔资本协议对银行业机构的最低资本充足率设定了硬性要求。

根据协议规定，银行业机构的资本充足率应不低于8%，其中核心资本至少占资本充足率的4.5%，附加资本占至少2.5%。

这意味着银行业机构至少需要将其风险加权资产的8%作为资本金。

此外，巴塞尔资本协议还规定了系统性重要性银行（Systemically Important Banks）的额外资本充足要求。

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