巴塞尔新资本协议第三版(中文版)

巴塞尔委员会

Basel Committee

on Banking Supervision

征求意见稿（第三稿）

巴塞尔新资本协议

The New

Basel 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