附件3：
信用风险内部评级法风险加权资产计量规则
商业银行采用内部评级法的，应当按照以下规则计量主权、金融机构、公司和零售风险暴露的信用风险加权资产。股权风险暴露的信用风险加权资产采用权重法计量。
一、未违约风险暴露的风险加权资产的计量
（一）计算信用风险暴露的相关性（R）
1. 主权、一般公司风险暴露
![](https://wkrtcs.bdimg.com/rtcs/image?w=362&md5sum=afee4ee18d4a6741fe7df7da1ecb7974&sign=2e39125515&rtcs_flag=1&rtcs_ver=3.14&l=webapp&bucketNum=28&ipr={"t":"img","w":"362","h":"97","dataType":"png","c":"word/media/image1_1.png","imgOriW":2635,"imgOriH":740})
2. 金融机构风险暴露
![](https://wkrtcs.bdimg.com/rtcs/image?w=369&md5sum=afee4ee18d4a6741fe7df7da1ecb7974&sign=2e39125515&rtcs_flag=1&rtcs_ver=3.14&l=webapp&bucketNum=28&ipr={"t":"img","w":"369","h":"88","dataType":"png","c":"word/media/image3_1.png","imgOriW":2871,"imgOriH":684})
3. 中小企业风险暴露
![](https://wkrtcs.bdimg.com/rtcs/image?w=463&md5sum=afee4ee18d4a6741fe7df7da1ecb7974&sign=2e39125515&rtcs_flag=1&rtcs_ver=3.14&l=webapp&bucketNum=28&ipr={"t":"img","w":"463","h":"85","dataType":"png","c":"word/media/image5_1.png","imgOriW":3273,"imgOriH":604})
S为中小企业在报告期的年营业收入（单位为千万人民币），低于3千万人民币的按照3千万人民币来处理。
4. 零售风险暴露
个人住房抵押贷款，Rr1=0.15
合格循环零售贷款，Rr2＝0.04
其他零售贷款，
![](https://wkrtcs.bdimg.com/rtcs/image?w=311&md5sum=afee4ee18d4a6741fe7df7da1ecb7974&sign=2e39125515&rtcs_flag=1&rtcs_ver=3.14&l=webapp&bucketNum=28&ipr={"t":"img","w":"311","h":"85","dataType":"png","c":"word/media/image7_1.png","imgOriW":2664,"imgOriH":732})
（二） 计算期限调整因子（b）
![](https://wkrtcs.bdimg.com/rtcs/image?w=220&md5sum=afee4ee18d4a6741fe7df7da1ecb7974&sign=2e39125515&rtcs_flag=1&rtcs_ver=3.14&l=webapp&bucketNum=28&ipr={"t":"img","w":"220","h":"25","dataType":"png","c":"word/media/image9_1.png","imgOriW":3948,"imgOriH":455})
（三）计算信用风险暴露的资本要求（K）
1. 非零售风险暴露
![](https://wkrtcs.bdimg.com/rtcs/image?w=452&md5sum=afee4ee18d4a6741fe7df7da1ecb7974&sign=2e39125515&rtcs_flag=1&rtcs_ver=3.14&l=webapp&bucketNum=28&ipr={"t":"img","w":"452","h":"101","dataType":"png","c":"word/media/image11_1.png","imgOriW":2975,"imgOriH":667})
2. 零售风险暴露
![](https://wkrtcs.bdimg.com/rtcs/image?w=428&md5sum=afee4ee18d4a6741fe7df7da1ecb7974&sign=2e39125515&rtcs_flag=1&rtcs_ver=3.14&l=webapp&bucketNum=28&ipr={"t":"img","w":"428","h":"53","dataType":"png","c":"word/media/image13_1.png","imgOriW":3945,"imgOriH":492})
（四）计算信用风险暴露的风险加权资产（RWA）
RWA = K×12.5×EAD
二、已违约风险暴露的风险加权资产的计量
K＝ Max[0,（LGD－BEEL）]
RWA = K×12.5×EAD
此处，BEEL是指考虑经济环境、法律地位等条件下对已违约风险暴露的预期损失率的最大估计值。
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