巴塞尔资本协议中英文完整版(05第一部分(英文)).doc

BASELCOMMITTEEONBANKINGSUPERVISIONCONSULTATIVEDOCUMENTTHENEWBASELCAPITALACCORDISSUEDFORCOMMENTBY31JULY2003APRIL2003TABLEOFCONTENTSPART1SCOPEOFAPPLICATION1AINTRODUCTION1BBANKING,SECURITIESANDOTHERFINANCIALSUBSIDIARIES1CSIGNIFICANTMINORITYINVESTMENTSINBANKING,SECURITIESANDOTHERFINANCIALENTITIES2DINSURANCEENTITIES2ESIGNIFICANTINVESTMENTSINCOMMERCIALENTITIES4FDEDUCTIONOFINVESTMENTSPURSUANTTOTHISPART4PART2THEFIRSTPILLARMINIMUMCAPITALREQUIREMENTS6ICALCULATIONOFMINIMUMCAPITALREQUIREMENTS6IICREDITRISKTHESTANDARDISEDAPPROACH6ATHESTANDARDISEDAPPROACHGENERALRULES61INDIVIDUALCLAIMS7ICLAIMSONSOVEREIGNS7IICLAIMSONNONCENTRALGOVERNMENTPUBLICSECTORENTITIESPSES8IIICLAIMSONMULTILATERALDEVELOPMENTBANKSMDBS8IVCLAIMSONBANKS9VCLAIMSONSECURITIESFIRMS10VICLAIMSONCORPORATES10VIICLAIMSINCLUDEDINTHEREGULATORYRETAILPORTFOLIOS11VIIICLAIMSSECUREDBYRESIDENTIALPROPERTY11IXCLAIMSSECUREDBYCOMMERCIALREALESTATE12XPASTDUELOANS12XIHIGHERRISKCATEGORIES13XIIOTHERASSETS13XIIIOFFBALANCESHEETITEMS132EXTERNALCREDITASSESSMENTS14ITHERECOGNITIONPROCESS14IIELIGIBILITYCRITERIA143IMPLEMENTATIONCONSIDERATIONS15ITHEMAPPINGPROCESS15IIMULTIPLEASSESSMENTS15IIIISSUERVERSUSISSUESASSESSMENT15IVDOMESTICCURRENCYANDFOREIGNCURRENCYASSESSMENTS16VSHORTTERM/LONGTERMASSESSMENTS16VILEVELOFAPPLICATIONOFTHEASSESSMENT17VIIUNSOLICITEDRATINGS17BTHESTANDARDISEDAPPROACHCREDITRISKMITIGATION171OVERARCHINGISSUES17IINTRODUCTION17IIGENERALREMARKS18IIILEGALCERTAINTY182OVERVIEWOFCREDITRISKMITIGATIONTECHNIQUES19ICOLLATERALISEDTRANSACTIONS19IIONBALANCESHEETNETTING21IIIGUARANTEESANDCREDITDERIVATIVES21IVMATURITYMISMATCH21VMISCELLANEOUS223COLLATERAL22IELIGIBLEFINANCIALCOLLATERAL22IITHECOMPREHENSIVEAPPROACH23IIITHESIMPLEAPPROACH31IVCOLLATERALISEDOTCDERIVATIVESTRANSACTIONS324ONBALANCESHEETNETTING325GUARANTEESANDCREDITDERIVATIVES33IOPERATIONALREQUIREMENTS33IIRANGEOFELIGIBLEGUARANTORS/PROTECTIONPROVIDERS35IIIRISKWEIGHTS35IVCURRENCYMISMATCHES36VSOVEREIGNGUARANTEES366MATURITYMISMATCHES37IDEFINITIONOFMATURITY37IIRISKWEIGHTSATURITYMISMATCHES377OTHERITEMSRELATEDTOTHETREATMENTOFCRMTECHNIQUES37ITREATMENTOFPOOLSOFCRMTECHNIQUES37IIFIRSTTODEFAULTCREDITDERIVATIVES38IIISECONDTODEFAULTCREDITDERIVATIVES38IIICREDITRISKTHEINTERNALRATINGSBASEDAPPROACH38AOVERVIEW38BMECHANICSOFTHEIRBAPPROACH391CATEGORISATIONOFEXPOSURES39IDEFINITIONOFCORPORATEEXPOSURES39IIDEFINITIONOFSOVEREIGNEXPOSURES41IIIDEFINITIONOFBANKEXPOSURES41IVDEFINITIONOFRETAILEXPOSURES41VDEFINITIONOFQUALIFYINGREVOLVINGRETAILEXPOSURES42VIDEFINITIONOFEQUITYEXPOSURES43VIIDEFINITIONOFELIGIBLEPURCHASEDRECEIVABLES452FOUNDATIONANDADVANCEDAPPROACHES46ICORPORATE,SOVEREIGN,ANDBANKEXPOSURES46IIRETAILEXPOSURES47IIIEQUITYEXPOSURES47IVELIGIBLEPURCHASEDRECEIVABLES473ADOPTIONOFTHEIRBAPPROACHACROSSASSETCLASSES474TRANSITIONARRANGEMENTS48IPARALLELCALCULATIONFORBANKSADOPTINGTHEADVANCEDAPPROACH48IICORPORATE,SOVEREIGN,BANK,ANDRETAILEXPOSURES48IIIEQUITYEXPOSURES49CRULESFORCORPORATE,SOVEREIGN,ANDBANKEXPOSURES491RISKWEIGHTEDASSETSFORCORPORATE,SOVEREIGN,ANDBANKEXPOSURES50IULAFORDERIVATIONOFRISKWEIGHTS50IIFIRMSIZE