巴塞尔新资本协议英文版

BaselCommitteeonBankingSupervisionInternationalConvergenceofCapitalMeasurementandCapitalStandardsARevisedFrameworkJune2004Requestsforcopiesofpublications,orforadditions/changestothemailinglist,shouldbesentto:BankforInternationalSettlementsPress&CommunicationsCH-4002Basel,SwitzerlandE-mail:[e-mail]:[phone]and+41612808100©BankforInternationalSettlements2004.Allrightsreserved.Briefexcerptsmaybereproducedortranslatedprovidedthesourceisstated.ISBNprint:92-9131-669-5ISBNweb:92-9197-669-5TableofContentsAbbreviations..............................................................................................................iIntroduction..............................................................................................................1Part1:ScopeofApplication.........................................................................................7I.Introduction..............................................................................................................7II.Banking,securitiesandotherfinancialsubsidiaries.................................................7III.Significantminorityinvestmentsinbanking,securitiesandotherfinancialentities..8IV.Insuranceentities......................................................................................................8V.Significantinvestmentsincommercialentities.........................................................10VI.Deductionofinvestmentspursuanttothispart.........................................................10Part2:TheFirstPillar─MinimumCapitalRequirements.........................................12I.Calculationofminimumcapitalrequirements...........................................................12A.Regulatorycapital..............................................................................................12B.Risk-weightedassets.........................................................................................12C.Transitionalarrangements.................................................................................13II.CreditRisk─TheStandardisedApproach...............................................................15A.Individualclaims................................................................................................151.Claimsonsovereigns.................................................................................152.Claimsonnon-centralgovernmentpublicsectorentities(PSEs)...............163.Claimsonmultilateraldevelopmentbanks(MDBs)....................................164.Claimsonbanks.........................................................................................175.Claimsonsecuritiesfirms...........................................................................186.Claimsoncorporates..................................................................................187.Claimsincludedintheregulatoryretailportfolios.......................................198.Claimssecuredbyresidentialproperty.......................................................209.Claimssecuredbycommercialrealestate.................................................2010.Pastdueloans............................................................................................2111.Higher-riskcategories.................................................................................2112.Otherassets...............................................................................................2213.Off-balancesheetitems..............................................................................22B.Externalcreditassessments..............................................................................231.Therecognitionprocess..............................................................................232.Eligibilitycriteria..........................................................................................23C.Implementationconsiderations..........................................................................241.Themappingprocess.................................................................................242.Multipleassessments..................................................................................243.Issuerversusissuesassessment...............................................................244.Domesticcurrencyandforeigncurrencyassessments..............................255.Short-term/long-termassessments.............................................................256.Levelofapplicationoftheassessment.......................................................267.Unsolicitedratings......................................................................................26D.Thestandardisedapproach─creditriskmitigation...........................................261.Overarchingissues.....................................................................................26(i)Introduction..........................................................................................26(ii)Generalremarks......................................