Bank capital management procedures (trial implementation)
(June 7, 2012, Chinese Banking Regulatory Commission [2012] released 1th come into force on January 1, 2013) directory 第一章 总则……………………………………………………………………
4 Chapter II capital adequacy calculation and regulatory requirements............................................. ...
5 First quarter capital adequacy calculation.........................................................
5 Section II capital adequacy calculation formula.........................................................
8 Capital adequacy ratio requirements in section III...................................................... ...
8 Third chapter capital defined........................................................................
10 First section capital composition........................................................................
10 Capital deduction in section II.....................................................................
11 Section III treatment of minority shareholders capital...................................................... ...
14 Fourth section special provides........................................................................
15 Fourth chapter credit-risk-weighted assets................................................... ...
16 First section General provides........................................................................
16 第二节 权重法…………………………………………………………………
17 Section III of the IRB.....................................................................
23 Fifth chapter market risk weighted assets measure................................................... ...
27 First section General provides........................................................................
27 第二节 标准法…………………………………………………………………
29 Section III internal models method.................................................................. ...
29 Sixth chapter measuring operational risk-weighted assets................................................... ...
30 First section General provides........................................................................
30 Basic indicator approach section II.................................................................. ...
31 第三节 标准法…………………………………………………………………
32 Fourth advanced metrology law.....................................................................
33 The seventh chapter the internal capital adequacy assessment process..........................................
33 First section General provides........................................................................
33 Second section governance structure........................................................................
35 Third section risk assessment........................................................................
38 Fourth section capital planning........................................................................
40 The fifth section monitored and reported.....................................................................
41 Eighth chapter supervision check........................................................................
43 Supervision and examination content section............................................................... ...
43 Section II inspection procedure............................................................... ...
45 Section III of the second pillar capital requirements............................................................
47 Fourth section regulatory measures........................................................................
48 Nineth chapter information disclosure........................................................................
51 第十章 附则……………………………………………………………………
53
Chapter I General provisions
First to strengthen bank capital regulation, maintain sound operation of the banking system, protect depositors ' interests, according to the People's Republic of China Banking Regulatory Act, the People's Republic of China on commercial banks and the People's Republic of China foreign bank regulations and other laws and regulations, these measures are formulated.
Second article this regulation is applicable in the People's Republic of China established within the Bank.
Third capital against the risks it faces, including individual risk and systemic risk.
Fourth commercial bank shall comply with the regulatory requirement of the capital adequacy ratio as provided herein.
Fifth capital adequacy ratios mentioned in these measures refers to held by the commercial banks in accordance with the provisions of capital and risk-weighted assets ratio of.
Tier one capital adequacy ratio, is held by the commercial banks in accordance with the rules of tier-one capital ratio of risk-weighted assets.
Core tier one capital ratio, is held by the commercial banks in accordance with the provisions of core tier one capital to risk-weighted assets ratio of.
The sixth commercial bank should be calculated in accordance with the regulations and tables and not consolidated capital adequacy ratio.
Seventh commercial bank capital adequacy calculation should be based on the full provision for impairment of loan loss provisions, such as the Foundation.
Eighth commercial banks should, according to this approach the establishment of a comprehensive risk management framework and internal capital adequacy assessment process.
The Nineth China Banking Regulatory Commission (hereinafter referred to as the CBRC) in accordance with this approach of commercial banks ' capital adequacy ratios, capital management supervision and inspection of the situation, and take the appropriate measures.
Tenth commercial banks should disclosure of capital adequacy ratio information in accordance with this approach.
Chapter II capital adequacy calculation and regulatory requirements
First quarter capital adequacy calculation 11th commercial banks are not consolidated capital adequacy calculation should include all branches inside and outside banks. Consolidated capital adequacy calculation should include commercial banks and in accordance with the provisions of its direct or indirect investments in financial institutions.
Commercial banks and financial institutions constitute the banking group.
12th calculating consolidated capital adequacy ratio of commercial banks, should be the following domestic and foreign investment financial institutions into the scope and table:
(A) commercial bank owned 50% directly or indirectly invested financial institutions more than the right to vote.
(B) commercial bank with 50% (including) voting is investment in financial institutions, but with investment financial institutions to have one of the following conditions, should be included and the table range:
1. by agreement with other investors, has more than 50% the financial institutions of the right to vote.
2. According to the regulations or agreements, the right to determine the financial and operating policies of financial institutions.
3. the right to appointment and removal of the members of the boards of financial institutions or a similar authority in most.
4. investment boards of financial institutions or a similar authority in the majority of voting rights.
Determine when to invest in financial institutions the right to vote, should consider both direct and indirect ownership of financial institutions by investment period in convertible bonds, can be performed in the current period of warrants and other potential voting rights, can realize the potential of the right to vote in the current period, shall be included in the portfolio of financial institutions the right to vote.
(C) other evidence that actual control of commercial banks investing in financial institutions.
Control is a company to determine the financial and operating policies of another company, as well as benefit from other business activities of the company.
13th commercial bank has invested financial institution most voting rights or the right to control, with one of the following conditions, shall be incorporated into the consolidated capital adequacy ratio calculation range:
(A) multiple financial institutions with business homogeneity, although individual financial institutions assets accounted for a smaller proportion of the overall assets of the banking group, but the overall risk to financial institutions to the Bank Group's financial position and significant impact on risk levels.
(B) arising out of financial institutions by investment compliance risk, reputational risk caused by damage and loss, sufficient to make a significant impact on the Group's reputation.
14th article in accordance with the article 12th, 13th article of insurance companies not included in the scope and table.
Commercial banks should correspond to levels of capital deduction for capital investments of the insurance company, if the insurer's capital shortfall, there shall be deducted the capital gap.
15th commercial banks have invested financial institution by more than 50% right to vote or to invest in financial institutions of control, but were investments of financial institutions in one of the following States, not included in the scope and table:
(A) is closed or has declared bankruptcy.
(B) termination of the liquidation proceedings.
(C) under the influence of host country of foreign exchange controls and other emergency funds scheduling restrictions on foreign investment in financial institutions.
Commercial banks to invest in financial institutions of the circumstances prescribed in the preceding paragraph capital investment approach in accordance with the provisions of the second paragraph of this article 14th. 16th calculating consolidated capital adequacy ratio of commercial banks, should be deducted from the corresponding levels of capital on the conformity to the way the 12th and 13th article of all capital investments in financial institutions.
If these financial institutions capital shortfall, there shall be deducted the capital gap. 17th commercial banks should, in accordance with the measures to develop and table and not consolidated capital adequacy ratio calculated within the system.
Adjustment of commercial banks, and table and are not consolidated capital adequacy calculation, should be justified, and promptly reported the CBRC for the record.
18th under the CBRC commercial bank and its subsidiary bodies, ownership structure changes, business category and the risk profile determined and adjusted its consolidated capital adequacy ratio calculation.
Section II capital adequacy calculation formula
19th shall, in accordance with the following formula to calculate the capital adequacy ratio of commercial banks:
Total capital-capital reduction
Capital adequacy ratio = ______________________x100%
Risk-weighted assets corresponds to tier-one capital deduction
Tier one capital adequacy ratio = ________________________x100%
Core tier one capital – the corresponding capital reduction of risk-weighted assets
Core tier one capital ratio = ____________________________x100%
Risk-weighted assets 20th total capital of commercial bank core tier-one capital, the other tier one and tier two capital.
Commercial banks should be calculated in accordance with the provisions of chapter III of this approach at all levels of capital and deductions. 21st commercial banks risk-weighted assets, including credit risk-weighted assets, market risk weighted assets and risk-weighted assets.
Commercial banks shall, according to the fourth chapter of this approach, the fifth and sixth chapters provides credit risk-weighted assets, market risk weighted assets and risk-weighted assets.
Section III capital adequacy regulatory requirements
22nd commercial bank capital adequacy regulatory requirements including minimum capital requirements, reserve capital and counter-cyclical capital requirements, systemically important banks additional capital requirements and the second pillars capital requirement.
23rd commercial bank capital adequacy ratios at all levels shall not be less than the following minimum requirements:
(A) the core tier one capital adequacy ratio shall not be less than 5%.
(B) tier one capital adequacy ratio shall not be less than 6%.
(C) capital adequacy ratio shall not be less than 8%. The 24th on the basis of minimum capital requirements for commercial banks should set aside reserves of capital.
Reserve capital to risk-weighted assets of 2.5%, met by the core tier-one capital. Under certain circumstances, commercial banks should be minimum capital requirements and reserves set aside counter-cyclical capital requirements of capital.
Counter-cyclical capital requirements for risk-weighted assets of 0-2.5%, met by the core tier-one capital.
Accrual and use of counter-cyclical capital rules stipulated separately.
23rd and 24th 25th in addition to these measures the minimum capital requirements, reserve and counter-cyclical capital requirements, systemically important banks and provision should be made for additional capital. Additional capital requirements for systemically important banks in China 1% of risk-weighted assets, satisfied by the core tier-one capital.
Domestic standard of systemically important banks separately.
If domestic banks were found to be global systemically important banks, apply the additional capital requirement shall not be less than the uniform provisions of the Basel Committee.
26th article this article 23rd, 24th and 25th capital requirement provided for in article, the CBRC has the right to put forward under the framework of the second pillar is more prudent capital requirements to ensure that capital sufficient coverage of risk, including:
(A) based on the risk judgment, for some of my portfolio for specific capital requirements;
(B) under the supervision and inspection results, for a single specific capital requirements for banks.
27th article in addition to the regulatory capital adequacy ratio requirements, Bank leverage ratio requirements should also be met.
Leverage calculation rules and regulatory requirements stipulated separately.
Chapter III capital defined
First capital composition
Article 28th issue of capital instruments should be consistent with the eligibility criteria as set out in annex 1 herein.
29th core tier-one capital includes:
(A) the paid-up capital or common stock.
(Ii) capital reserve.
(C) the surplus reserves.
(D) the General risk.
(E) the undistributed profits.
(F) the minority shareholders capital in addition to the part.
30th other tier-one capital includes:
(A) the other tier-one capital and premium.
(B) minority shareholders capital in addition to the part.
31st secondary capital include:
(A) a secondary capital and premium.
(B) the excess of provisions for loan losses.
1. weight measurement of credit risk-weighted assets of commercial banks, excess loan loss reserves included in Tier II capital, but shall not exceed 1.25% of credit risk-weighted assets. Excess loan loss provisions in the preceding paragraph refers to the actual provision of commercial bank's provisions for loan losses exceeded the minimum requirements section.
Provisions for loan losses minimum 100% provisioning coverage ratio corresponds to the provisions for loan losses and provision for loan losses to be special preparation, whichever is greater.
2. commercial banks using the IRB credit risk-weighted assets, excess loan loss reserves included in Tier II capital, but shall not exceed 0.6% of credit risk-weighted assets.
Excess loan loss provisions in the preceding paragraph refers to the actual provision of commercial bank's provisions for loan losses over the expected loss of parts.
(C) minority shareholders capital in addition to the part.
Capital deduction in section II
The 32nd when calculating the capital adequacy ratio, banks should be deducted in full from the core tier one capital of the following items:
(A) goodwill.
(Ii) other intangible assets (except for land).
(C) caused by operating losses net deferred tax assets.
(D) the provisions for loan losses gap.
1. weight measurement of commercial bank credit risk-weighted assets, provisions for loan losses gap refers to the actual provision of commercial bank loan loss reserves below the minimum requirements of provisions for loan losses.
2. commercial banks using the IRB credit risk-weighted assets, provisions for loan losses gap refers to the actual provision of commercial bank loan loss reserves part of lower-than-expected loss.
(E) the securitization of asset sales gains.
(F) determine the net pension assets class.
(G) direct or indirect stake in the Bank's stock.
(H) items that are not measured at fair value on the balance sheet hedging cash flow for the formation of reserves, if positive, should be deducted if negative, should be added back.
(I) commercial banks ' credit risk changes result in unrealized gains or losses from changes in the fair value of its liabilities.
33rd levels held by commercial banks through an agreement between each other capital instruments, or CBRC found to inflate capital capital investment at all levels, should be deducted from regulatory capital.
Direct or indirect stake in the Commercial Bank Bank of other tier-one capital and secondary capital instruments, from the appropriate regulatory capital corresponds to the deduction. Deduction is deducted from their appropriate levels of capital from commercial banks.
Some level of net capital is less than the applicable amount of commercial bank, gap part should be a high level of capital is deducted from the net.
34th commercial bank to small minority capital investment that are not financial institutions and table, totals exceed the net value of the Bank's core tier one capital of 10% part of the deduction should correspond to levels of regulatory capital.
Small minority capital investment refers to the commercial banks for financial institutions at all levels of capital investment (including direct and indirect investment) per cent of the paid-up capital by investment financial institutions (premium on common stock and common stock) 10% (not included), and does not comply with the measures stipulated in the 12th and 13th of capital investment.
Article 35th on the table not and of high minority capital investment in financial institutions, total core tier-one capital investment than Bank core tier-one capital net 10% part from the Bank deducted from core tier one capital; the other tier-one capital investment and secondary capital investment should be deducted in full in the appropriate levels of capital.
High minority capital investment refers to the commercial banks for financial institutions at all levels of capital investment (including direct and indirect investment) per cent of the paid-up capital by investment financial institutions (premium on common stock and common stock) 10% (inclusive), which does not comply with the measures stipulated in the 12th and 13th of capital investment.
Article 36th article 32nd deferred tax assets in the third paragraph, others depend on the banks ' future profitability of net deferred tax assets, exceed the net value of the Bank's core tier one capital of 10% parts should be deducted from core tier-one capital.
37th according to the provisions of article 35th, 36th, and not deducted in the commercial bank core tier-one capital to financial institutions of large minority capital investment and the corresponding net deferred tax assets total net amount must not exceed the Bank's core tier one capital of 15%.
Section III treatment of minority shareholders capital
Article 38th affiliated company applicable to the capital adequacy ratio of commercial banks, subsidiaries directly issue and minority shareholders capital held by third parties can be partly included in regulatory capital.
39th subsidiaries minority shareholders capital in core tier one capital to meet minimum core tier one capital requirements and part of reserve capital requirement can be accounted for in the consolidated core tier-one capital.
Minimum capital requirements and reserve requirements for the lesser of the following two:
(A) the subsidiary capital plus reserves required the minimum core tier one capital requirements.
(B) the parent company consolidated core tier one capital requirements and part of reserve capital requirements attributable to subsidiary companies.
40th tier one capital to minority shareholders of subsidiaries meet the tier-one capital minimum requirements and part of reserve capital requirements, deductions have been accounted for in the consolidated core tier one capital of the section, the remainder can be accounted for in the table and other tier-one capital.
Minimum capital requirements and reserve requirements for the lesser of the following two:
(A) the subsidiary company level minimum capital, reserve capital requirements being proposed.
(B) the parent company consolidated level minimum capital requirements and part of reserve capital requirements attributable to subsidiary companies.
41st total capital for minority shareholders in the capital of subsidiary companies to meet minimum capital requirements and part of reserve capital requirements, deductions are taken into account and form part of the tier-one capital after, the remainder may be included in and form the secondary capital.
Minimum capital requirements and reserve requirements for the lesser of the following two:
(A) subsidiary companies minimum capital, reserve capital requirements being proposed.
(B) the parent company consolidated minimum capital requirements and part of reserve capital requirements attributable to subsidiary companies.
Fourth special provisions of section
42nd tier two capital instruments issued in commercial banks determine the due date and the secondary capital in the last five years from the due date, can be factored into the amount of Tier II capital, 100%, 80%, 60%, 40% and 20% share of writedowns.
Article 43rd of unqualified secondary capital instruments issued before September 12, 2010, before January 1, 2013, into regulatory capital, effective January 1, 2013 annual decline 10%, January 1, 2022 shall not be included in regulatory capital.
Unqualified secondary capital instruments referred to in the preceding paragraph in the diminishing number of calculation for January 1, 2013, as the base.
With a jump in interest rates mechanism or other incentive tier II capital redemption tools, if strike dates after January 1, 2013, and at the right day not earlier redeemed, and meet all other eligibility criteria set out in annex 1 of these measures may continue to be included in regulatory capital.
44th among commercial banks from September 12, 2010 to January 1, 2013 tier two capital instruments issued in, if they do not contain write-down or conversion terms, but meet the other eligibility criteria as set out in annex 1 herein, before January 1, 2013, into regulatory capital, effective January 1, 2013 annual decline 10%, January 1, 2022 shall not be included in regulatory capital.
Unqualified secondary capital instruments referred to in the preceding paragraph in the diminishing number of calculation for January 1, 2013, as the base.
Not eligible capital instruments issued in the 45th after January 1, 2013 is no longer counted as regulatory capital.
Fourth chapter of credit risk weighted assets
Section I General provisions 46th commercial banks can use weights or the IRB credit risk-weighted assets. Commercial banks using the IRB credit risk-weighted assets, should be in accordance with the regulations, and approved by the China Banking Regulatory Commission.
Not covered by the IRB exposure weighted credit risk-weighted assets should be used.
Without approval of the China Banking Regulatory Commission, commercial banks credit risk weighted assets measure shall not be changed.
The 47th to apply to adopt the internal ratings-based approach of commercial banks credit risk-weighted assets, assets when filing an internal rating method coverage should not be less than 50%, and 80% within three years.
Referred to in the preceding paragraph the IRB assets coverage is determined according to the following formula:
IRB asset coverage =/IRB measurement of risk-weighted assets (measured at the IRB's risk-weighted assets + the weighted metering not covered by the internal ratings-based approach of credit risk exposure of risk-weighted assets) x100%
The 48th commercial bank by the IRB, shall, in accordance with the methods set out in annex 3 of the credit risk-weighted assets, in accordance with the provisions of annex 4 to this approach to classify credit risk exposure of bank accounts, established in accordance with the approach set out in annex 5 of the internal rating system.
Commercial banks use internal ratings-based approach, in accordance with the provisions of annex 6 to this approach carefully consider credit risk risk mitigation tool offset function.
Commercial banks use internal ratings-based approach, in accordance with the provisions of annex 7 to this approach by regulatory mapping measurement professional credit risk-weighted assets.
49th measurement shall be in accordance with the provisions of Annex 8 to this approach of commercial banks bank accounts and trading accounts of counterparty credit risk-weighted assets.
50th commercial banks should be measured in accordance with Annex 9 to this approach of asset securitization risk exposures credit risk-weighted assets.
Section II weights
51st weighted credit-risk-weighted assets for the bank account under balance sheet assets credit risk weighted assets and credit risk weighted assets and off-balance sheet items.
52nd measuring various types of balance sheet assets of commercial banks ' risk-weighted assets should be first deducted from the book value of the assets for impairment, and then multiplied by the risk weighting.
53rd measuring various types of off-balance sheet items, risk-weighted assets of commercial banks, off-balance sheet items should be nominal amount multiplied by the credit conversion factor to get the equivalent of balance sheet assets and treatment measurement of the risk-weighted assets of the balance sheet assets.
54th risk weighting of 0% cash and cash equivalents.
55th commercial bank to a foreign sovereign and financial institutions credit risk weights to external credit rating of the country or region where the results as a benchmark.
(A) on other national or area Government and Central Bank claims, the national or area of rating for AA-(containing) above of, risk weight for 0%;AA-following, A-(containing) above of, risk weight for 20%;A-following, BBB-(containing) above of, risk weight for 50%;BBB-following, B-(containing) above of, risk weight for 100%;B-following of, risk weight for 150%; not rating of, risk weight for 100%.
(B) the risk weighting of claims on public sector entities and the national or regional register of commercial bank credit risk weight the same.
(C) claims on foreign commercial banks, registered in your country or region's rating to AA-(or more), risk weight for the 25%;AA-, A-(inclusive) or more, the risk weights for 50%;A-the following, B-(inclusive) or more, the risk weights for 100%;B-the following risk weights for 150%; not rated, the risk weighting of 100%.
(D) the risk weight for claims on other financial institutions outside 100%.
Article 56th on the multilateral development banks, the Bank for international settlements and International Monetary Fund debt risk weights for 0%.
Multilateral development banks including the World Bank, Asian Development Bank, the African Development Bank, the European Bank for reconstruction and development, the Inter-American Development Bank, the European Investment Bank, the European Investment Fund, the Nordic Investment Bank, the Caribbean Development Bank, the Islamic Development Bank and the Council of Europe Development Bank.
57th commercial bank claims on the Central Government and the people's Bank of China risk weights for 0%. Article 58th of commercial banks ' claims on public sector entities risk weighting of 20%.
Our public sector entities, including:
(A) apart from the Ministry of finance and the people's Bank of China, other income mainly comes from the Central Government budget in the public sector.
(B) provincial (district, autonomous region), and cities with municipal people's Government.
Commercial banks for investments in public sector entities mentioned in the preceding paragraph claims business 20% risk weighting is not applicable.
59th commercial banks of China's policy banks the risk-weighting of claims for 0%.
The subprime debt of commercial banks of China's policy banks (not deducted) risk weight is 100%.
60th commercial banks holding of Central Government investment in China financial asset management company for the acquisition of State-owned banks ' bad loans and the introduction of risk-weighting of 0%.
Commercial banks of China's Central Government claims other financial assets management of investment risk weight is 100%.
61st commercial banks risk weighting of 25% to other creditors of commercial banks in China, with original maturity within three months (inclusive) the risk-weighting of claims for 20%.
The risk weight for claims 0% of financial assets as collateral, which covers part of the risk weight for 0%.
Subprime debt of commercial banks in China Commercial Bank (not deducted) risk weight is 100%.
62nd commercial bank claims on other financial institutions risk weights for 100%. 63rd commercial bank claims on general business risk weights for 100%.
64th commercial banks to comply with the following conditions of micro-and small enterprise credit risk weighting of 75%:
(A) compliant with the relevant departments of the State prescribed standards for micro-and small enterprises.
(B) commercial bank to a single enterprise (or group) risk exposure of less than 5 million Yuan.
(C) commercial bank to a single enterprise (or group) of total credit risk exposure of the Bank's risk exposure ratio not higher than 0.5%.
65th commercial bank claims on personal risk-weighting.
(A) the risk of personal housing mortgage loan a weighting of 50%.
(B) to have a mortgage, in front of the buyers that not all loans, commercial banks to reassess the net of additional loans for mortgage, additional parts of the risk weight is 150%.
(C) the risk weight for claims on the other 75%.
66th lease residual value of the leased asset risk weights for 100%.
67th following asset for 250% risk weight:
(A) equity investment in financial institutions (not deducted).
(B) depend on the banks ' future earnings of net deferred tax assets (not deducted).
68th commercial bank on equity investment of business enterprise risk-weighting.
(A) commercial banks to industrial and commercial enterprises owned by passive investment risk weight of the term of punishment provided by the law for 400%.
(B) commercial policy reasons and to industrial and commercial enterprises approved by the State Council special equity investment risk weight is 400%.
(C) to industrial and commercial enterprises of other equity investments in commercial banks risk weight is 1250%.
Article 69th non-private real estate risk weights for 1250%.
Commercial banks for non-personal use property held for exercising their mortgages during the term of punishment prescribed by law the risk weights for 100%.
70th other assets of commercial banks risk-weighting of 100%.
71st commercial bank credit conversion factors of various types of off-balance sheet items:
(A) equal to the loan's credit business credit conversion factor of 100%.
(B) the original term not exceeding 1 year and 1 year of loan commitments credit conversion factors are 20% and 50% may at any time unconditional irrevocable loan commitments credit conversion factor of 0%.
(C) the unused credit card credit credit conversion factor is 50%, but subject to the following conditions of unused credit card credit credit conversion factor of 20%:
1. credit for natural persons, credit means for unsecured revolving credit.
2. the cardholder's credit line no more than 1 million Yuan.
3. the commercial bank should at least once a year to assess the creditworthiness of the cardholder, quarterly monitoring credit use; if the cardholder credit deterioration, commercial banks have the right to reduce or even abolish the credit.
(D) Note issuance facilities and revolving credit conversion factor to buy convenience to 50%.
(E) Bank lending or securities as collateral in securities, including repurchase transactions in securities lending, credit conversion factor of 100%.
(F) short-term or project directly related to trade, credit conversion factor of 20%.
(G) transaction-related contingencies, credit conversion factor of 50%.
(H) credit risks in the Bank's asset sale and purchase agreement, credit conversion factor of 100%.
(I) forward asset purchases, long-term time deposits, part payments of the stocks and securities, credit conversion factor of 100%.
(J) the other off-balance sheet items the credit conversion factors are the 100%.
72nd commercial banks should, in accordance with the methods set out in annex 2 of the securities, commodities, foreign exchange settlement risk exposure of the formation of credit risk-weighted assets.
73rd when using weight measurement of commercial bank credit risk-weighted assets, in accordance with the approach set out in annex 2 to consider qualified high quality material charge or a qualified guarantee provides assurance of risk mitigation. Qualified pledge of the pledged property claims (including claims formed securities financing transactions), access to and quality of the same risk weight, or confront the issuer or acceptor direct credit risk weights.
Part of the pledged claim (including claims formed securities financing transactions) that the pledge protection section for lower risk weight. Compliance assurance provides full guarantees for loans made directly to the guarantor credit risk weights.
Partial guarantee of loans, guarantee section for the appropriate lower risk weight.
74th weights of commercial banks, pledge or guarantee the guarantee period is shorter than the term of secured claims, no risk mitigation role.
Section III of the IRB
75th classify credit risk exposure of commercial banks dealing with bank accounts and at least into the following six categories:
(A) sovereign risk exposure.
(B) the risk exposure of financial institutions, including the banking financial institutions risk exposure and exposure of non-bank financial institutions.
(C) the company's risk exposure, including SME risk exposure, loan and general corporate risk exposures.
(D) retail exposures, including individual housing mortgage loans, qualifying revolving retail exposures and other retail exposures.
(E) equity exposures.
(Vi) other risk exposures, including the purchase of receivables and asset securitization risk exposures.
Sovereign risk exposure, financial institutions risk exposure and risk exposures of the company are collectively referred to as non retail exposures.
76th commercial banks should measure not breach and default risk exposure of risk-weighted assets:
(A) the non-default non-retail risk measurement based on single exposure of risk-weighted assets credit risk exposure of default probabilities and loss given default, default risk exposure, relevance and validity period.
Non-default retail exposure measurement is based on a single asset pool of risk-weighted assets risk exposure of default probability, loss given default, default risk exposure and relevance.
(B) default risk exposure measurement based on risk-weighted assets loss given default, expected loss rate and default risk exposure.
77th Bank shall, in accordance with the following methods to determine the probability of default:
(A) the probability of default of sovereign risk exposure to internal estimates of 1-year probability of default.
(B) companies, financial institutions and retail exposure estimates of the probability of default for commercial banks 1-year probability of default and 0.03% of large value.
(C) to provide qualified guarantees or credit derivatives exposure, commercial banks can use the default probability of substitution of the guarantor of the debtor's default probability.
78th commercial banks should determine the loss given default rates as follows: (A) the primary internal ratings-based approach of commercial banks, non retail exposures did not qualify against collateral in senior debt and subordinated debt loss given default rates were 45% and 75%.
Arrived in collateral to provide qualified senior claims from repo transactions belonging to the master netting agreement, commercial banks can adjust the LGD risk mitigation effect.
(B) using advanced internal ratings-based approach of commercial banks should be single non retail exposures using internal estimates of LGD.
(C) commercial banks should use internally estimated LGD of retail asset pool.
79th commercial banks should, in accordance with the following method to determine the default risk exposure: Default risk exposure should not consider the effect of special preparation and partial write-off. Default risk exposure of balance sheet assets and shall be not less than two of the following: (1) exposure to default risk after it has been completely written off, decline of bank regulatory capital amount (2) the amount of the special-purpose reserve and write-off of part. If commercial banks estimate default risk exposures exceed the sum of the above two, the portion can be seen as a discount.
Risk-weighted assets of the measurement is not affected by the impact of the discount, but more expected losses, and qualified at the reserve, the discount can be counted in the reserve.
(A) the primary internal ratings-based approach of commercial banks should be nominal amount of balance sheet assets by risk exposure default risk exposure, but may consider qualified risk mitigation effect of netting.
(B) the primary internal ratings-based approach of commercial banks, loan commitments, note issuance facilities, cycle puts facilitating off-balance sheet items, such as a credit conversion factor of 75%; may at any time unconditional irrevocable loan commitments credit conversion factor of 0%; the credit conversion factors of other types of off-balance sheet items in accordance with the provisions of the present article 71st. (C) the advanced internal ratings-based approach of commercial banks should be non-retail uses an internal estimate default risk exposure.
Under the credit conversion factor specified in this article 71st 100% off-balance sheet items, you should use the 100% of the credit conversion factor estimate default risk exposure. (D) commercial banks should use an internal estimate of the retail default risk exposure.
For outside retail exposure, according to internal estimates of commercial bank credit conversion factor measuring default risk exposure.
80th commercial banks effective period shall be determined according to the following method: (A) the primary internal ratings-based approach of commercial banks, non retail exposures valid for 2.5 years.
Valid for 0.5 years of repo transactions. (B) commercial banks using the advanced internal ratings-based approach, effective for a period of 1 year and within estimated term of validity of the larger value between the two, but maximum of 5 years.
Expiry date for SME exposures can be used for 2.5 years.
(C) for the following short-term exposures, valid for estimation of internal validity and larger values in 1 day: 1. mortgage in full within 1 year of the original term OTC derivative transactions, margin loans, repurchase transactions and securities lending transactions.
Transaction documents must be included in the daily revaluation and adjust the deposit and counterparty defaults or failed to make up the margin can be closed or disposed of in a timely manner the provision of collateral.
2. the original term within 1 year of self satisfaction of trade finance, including open and confirmed letter of credit.
3. other short-term exposures within the original period of 3 months, including: over-the-counter derivatives trading, margin lending, securities lending, repurchase transactions, short-term loans and deposits, securities and foreign exchange settlement risk arising from exposures to cash wire transfer settlement risk exposure.
Fifth chapter market risk weighted assets
Section I General provisions
81st market risk in these measures refers to market prices (interest rates, exchange rates, stock prices and commodity prices) adverse changes in commercial banks and off-balance sheet business risk of loss.
82nd market risk capital measures should cover commercial transactions in the accounts of interest rate risk and equity risk, as well as all the currency risk and commodity risk.
Structural exposure to foreign exchange risk in commercial banks could not make the market risk capital.
83rd trading account in these measures, including for trading or hedging risks of account, other projects and holdings of financial instruments and commodity positions. Held as trading positions in the preceding paragraph refers to the holding of destination within a short period in order to sell or profit from actual or expected short-term price fluctuations, or locked out arbitrage positions, including proprietary trading, market operations and to implement customer business delegate valet service and held positions.
Trading account in the financial instruments and commodities positions in principle should meet the following conditions:
(A) in transactions not subject to any restriction, you can always flat.
(B) to fully hedge to hedge their risk.
(C) accurate valuations.
(D) to active management.
84th commercial bank should develop clear criteria of bank accounts and trading accounts, explicitly included financial instruments and commodities trading account position and conditions of transfer between bank accounts and trading accounts to ensure consistency of implementation. 85th commercial banks can use standard method or the internal model method of measuring market risk capital requirements.
Without approval of the China Banking Regulatory Commission, commercial banks are not allowed to change the market risk capital measures.
86th commercial banks using the internal model method, if it does not cover all the market risks, upon approval of the CBRC, can be combined with the internal model method and standard method of measuring market risk capital requirements, banks within the same institution shall not be of the same species used different methods for measuring market risk capital requirements for market risk.
87th commercial banks use internal model approach, coverage of internal model approach should not be less than 50%.
Internal model approach referred to in the preceding paragraph coverage is determined according to the following formula:
Internal model approach coverage = internal model calculation of capital requirements/(+ according to internal model calculation of capital requirements according to the standard method of measurement of capital requirements) x100%
88th commercial bank market risk weighted assets of 12.5 times times the market risk capital requirements, namely: = capital requirements for market risk market risk-weighted assets x12.5.
Section II standard
89th commercial adoption of the model law should be in accordance with the provisions of annex 10 to this approach to measure the interest rate risk, currency risk and equity risk, commodities risk capital requirement, and a separate measure to various types of risks on the basis of option risk capital requirements.
90th market risk capital requirements for interest rate risk, foreign exchange risk, equity risk, commodity risk and option risk capital requirements of and.
Capital requirements for interest rate risk and equity risk capital requirements for market risk capital requirements and specific risk capital requirement and.
Section III of the internal model method
91st commercial banks use internal model approach, should be consistent with the provisions of annex 11 to this approach, and upon approval of the CBRC.
92nd commercial banks use internal model approach, the General market risk capital requirement for the General risk value and pressure value at risk, and namely:
K = Max(VaRt-1,mc×VaRavg)+Max(sVaRt-1,mS×sVaRavg)
Of which:
(A) VaR to value-at-risk in General, for the greater of the following two values:
1. based on internal models measure the previous day's value-at-risk (VaRt-1). 2. the last 60 trading days average value at risk (VaRavg) multiplied by the mC.
MC smallest is 3, according to the returns of some testing times can add additional factors.
(B) the sVaR pressure value at risk, for the greater of the following two values:
1. According to the previous internal models measuring pressure value at risk (sVaRt-1). 2. the pressure of the last 60 trading days average value at risk (sVaRavg) multiplied by the Ms.
Ms minimum is 3.
93rd commercial banks using the internal model method of measuring specific risk capital requirement, shall, in accordance with the methods set out in annex 11 of the measurement using the internal model new risk capital requirements.
Internal model does not meet the eligibility criteria for specific market risk requirements of measurement, or internal risk models not covered by the new, specific market risk capital requirements should be according to the standard method of measurement.
Sixth chapter operations risk-weighted assets
Section I General provisions
94th operational risks in these measures refers to incomplete or faulty internal procedures, staff and information technology systems, as well as the risk of loss in case of external events, including legal risk, but excludes strategic risk and reputational risk.
95th commercial banks may use the basic indicator approach, standard or advanced measurement method measurement of operational risk capital requirements.
Commercial banks standardized approach or advanced measurement method for measuring operational risk capital requirements should be consistent with the provisions of annex 12 to this approach, and upon approval of the CBRC.
Without approval of the CBRC commercial bank operational risk capital measurement methods shall not be changed.
96th commercial bank operational risk capital requirements for operational risk-weighted assets of 12.5 times times, namely: = operational risk capital requirements for operational risk-weighted assets x12.5.
Section II basic indicator approach 97th commercial banks using basic indicator approach, should be based on income measurement of operational risk capital requirements.
Bank shall, in accordance with the provisions of annex 12 to this approach recognizes revenue.
Gross income and net interest income and net non-interest income.
98th commercial banks using basic indicator approach, operational risk capital requirements of measurement shall be in accordance with the following formula:
(This formula see manuscript)
Of which:
KBIA-basic indicators measurement of operational risk capital requirements.
GI for total revenue for each of the past three years.
N for revenues over the past three years for a number of years.
Α is 15%.
Section III standard
99th commercial adoption of the model law, should be based on the revenues of each business line measurement of operational risk capital requirements.
100th commercial adoption of the model law, shall, in accordance with the provisions of annex 12 to this approach all business can be divided into corporate finance, trading and sales, retail banking, commercial banking, payment and settlement, agency services, asset management, retail brokerage and other business 9 business lines.
101th commercial adoption of the model law, operational risk capital requirements of measurement shall be in accordance with the following formula:
(This formula see manuscript)
Of which:
KTSA-according to the standard method of measurement of operational risk capital requirements.
(This formula see manuscript) refers to the year of the operational risk capital requirements.
GIi total revenue for each business line.
Β I for each business line's operation venture capital factor.
The 102th each business line's operation venture capital coefficient (β) is as follows:
(A) retail banking, asset management and retail brokerage business line operational risk capital is 12%.
(B) commercial banks and services business line's operation venture capital is 15%.
(C) financial, payment and liquidation of companies, trading and sales as well as other business line operational risk capital is 18%.
Fourth advanced metrology
103th commercial banks using the advanced measurement method, according to the nature, scale and complexity level operational risk measurement and risk management models. 104th commercial bank advanced measurement method should be based on the internal loss data, external loss data, scenario analysis, business environment and internal control factors to establish operational risk measurement model.
Building models using internal loss data should fully reflect the actual situation of the Bank operational risk.
The seventh chapter the internal capital adequacy assessment process
Section I General provisions
105th commercial banks should establish a sound risk management framework and strong internal capital adequacy assessment process, a clear risk governance structure, careful assessment of risks, capital adequacy and quality of capital, capital and capital adequacy management plan, ensure bank capital adequate to withstand risks it faces, and meet business needs.
106th commercial banks ' internal capital adequacy assessment process should be to achieve the following objectives:
(A) ensure that major risks are identified, measured, or assessment, monitoring and reporting.
(B) to ensure that capital levels commensurate with the level of risk appetite and risk management.
(C) to ensure that capital plan and bank management, risk trends and long-term development strategies to match. 107th commercial banks should stress test as an important component of the internal capital adequacy assessment process, combined with the results of the stress tests determine the internal capital adequacy ratio targets.
Stress testing should cover the risk of each business line, fully taking into account impact on capital adequacy in the economic cycle.
108th internal capital adequacy assessment process as commercial banks should be internal management and decision-making components of the internal capital adequacy assessment results used in capital budgeting and allocation, credit decision making and strategic planning.
109th commercial banks should develop a reasonable pay policies, ensure pay levels, structures and time arrangement consistent with the risk and duration risk, reflected long-term risk-adjusted returns, to prevent excessive risk-taking, and maintain financial stability.
110th commercial banks should, at least once a year the implementation of the internal capital adequacy assessment process in the banking operations, risks and external environment when a significant change occurs should be adjusted and updated.
Section II governance structure
111th Commercial Bank Board of Directors to assume primary responsibility for the Bank's capital management, shall perform the following duties:
(A) setting and development strategies for adapting to the external environment and the appetite for risk and capital adequacy targets, approving banks ' internal capital adequacy assessment process, to ensure capital adequately covers the main risks.
(B) approving capital management regime, to ensure capital management policy and control measures have been effective.
(C) supervision of the internal capital adequacy assessment process comprehensive, forward-looking and effective.
(D) approve and oversee the implementation of capital planning, meet the capital needs of continuous operation and emergency.
(E) approving capital adequacy management plan at least once a year, review capital adequacy management reporting and internal capital adequacy assessment reports and heard on capital adequacy management and audit report for the implementation of the internal capital adequacy assessment process.
(F) approval of policies, procedures and content of information disclosure of capital adequacy ratio, and to ensure that the disclosure of information is true, accurate and complete.
(G) ensure that banks have sufficient resources to be independent, effective capital management.
112th senior capital measurement method of commercial banks, the Board of Directors is also responsible for approving capital advanced methods of management system implementation planning and major management policy, supervising senior management develop and implement capital advanced methods of management policies and procedures to ensure commercial banks had sufficient resources to support the capital of advanced methods of management system to run. 113th banks ' senior management responsible for business strategy and risk capital management organization, to ensure capital commensurate with the business development, the level of risk and implement control measures.
Performs the following functions:
(A) to formulate and organize the implementation of regulatory capital management.
(B) develop and implement the internal capital adequacy assessment process, clear division of responsibilities of related departments, establish and improve the assessment framework, processes and management systems, ensure that the commercial bank's comprehensive risk management, capital and distribution line.
(C) develop and implement capital planning and capital management plans.
(D) regular and periodic assessment of capital adequacy, reporting to the Board of Directors of capital adequacy standards, capital adequacy and internal capital adequacy assessment.
(E) the Organization conducted stress tests involved in the stress test objectives, programmes and the determination of major assumptions, promoting the results of the stress tests used in risk assessment and capital planning, ensuring the effectiveness of capital emergency response mechanism.
(F) the Organization's internal capital adequacy assessment information management system development and maintenance, ensuring that information management systems to provide timely, accurate information required for evaluation.
114th commercial bank capital advanced methods, senior management should periodically assess the reasonableness and effectiveness of methods and tools, receive reports capital advanced methods to verify on a regular basis, perform advanced methods of measurement system of capital construction, validation, and optimization functions.
115th commercial bank supervisory board Board of Directors and senior management should be in capital management and capital advanced methods to supervise the implementation of their duties in the management of the evaluation, and at least once a year to report to the general meeting of shareholders the Board of Directors and senior management duties.
116th commercial bank capital management should specify the relevant departments to carry out the following duties:
(A) the total capital, structure and quality management plans, develop and implement capital planning and capital adequacy management plan, reporting to the senior management of capital planning and capital adequacy management the implementation of the plan.
(B) continuous monitoring and regular measure capital adequacy level, capital adequacy stress testing.
(C) establish internal capital, configuration and evaluation management system of risk-adjusted return on capital.
(D) organize the implementation of internal capital adequacy assessment process.
(E) establishment of emergency mechanism of capital, raise capital participation in or organization.
(Vi) prepare or participate in the preparation of the capital adequacy disclosure.
117th commercial bank capital advanced methods, relevant departments shall have the following duties:
(A) the design, implementation, monitoring, and maintenance of capital advanced methods.
(B) sound capital advanced methods of management.
(C) report to the senior management of capital advanced method of measurement results.
(D) Organization of various risk stress tests. 118th commercial bank capital advanced methods of measurement, certification authorities should be established (team), responsible for higher capital measurement method of validation.
Certification authorities (team) should be independent of the capital advanced methods of development and operation of departments (team). 119th commercial banks should clarify responsibilities of the internal audit department in the management of capital.
The internal audit department shall perform the following duties:
(A) assess capital management governance structure and sector-related duties, as well as the professional skills of relevant personnel and resource adequacy.
(B) at least once a year check the internal capital adequacy assessment process policy and implementation.
(C) at least once a year to assess the capital plan implementation.
(D) at least once a year to assess capital adequacy management plan implementation.
(E) check capital management information systems and data management for compliance and effectiveness.
(Vi) submitted to the Board of Directors of capital adequacy ratio management audit reports, internal capital adequacy assessment process audit of the implementation report, capital senior management audit report.
120th commercial bank capital advanced method is used, the internal audit department shall assess the suitability and effectiveness of capital advanced methods, check the reliability and accuracy of the measurement results, check capital advanced methods of authentication policies and procedures, the independence of evaluation and verification and validation.
Section III risk assessment
121th commercial banks should, according to the CBRC requirements and the provisions of annex 13 to this approach, the establishment of the main risk identification and assessment criteria, and ensure that major risks are identified in a timely manner, careful evaluation and monitoring. Key risks include single risk may result in significant losses, and single risk level is not high, but interact with other risk risk may result in significant losses.
Risk assessment should cover at least the following types of risk:
(A) of the fourth chapter of this approach, the fifth and sixth chapters and covers the risks involved, including credit risk, market risk and operational risk.
(B) the fourth chapter of this approach, the fifth and sixth but did not fully cover the risks involved in the chapter, including operational risk, concentration risk, residual.
(C) the fourth chapter of this approach, the fifth chapter and not the risks involved in the sixth chapter, including banking book interest rate risk, liquidity risk, reputation risk, strategic risk and other risks have a substantive impact on commercial banks.
(D) the risk caused by changes in the external business environment.
122th commercial banks should effective assessment and management of risks.
(A) to be able to quantify the risks, a commercial bank should develop and improve the risk measurement techniques to ensure consistency, objectivity and accuracy of risk measurement, based on strengthening of slow release, control and management of related risks.
(B) is difficult to quantify the risk of commercial banks should establish a risk identification, assessment, control and reporting mechanisms to ensure effective management of risk. 123th commercial bank total risk policies and procedures should be established to ensure timely recognition with different levels of risk.
Total commercial bank can take many risks, but it should at least take the simple sum method and judged risk aggregation results are reasonable and prudent. 124th total commercial bank risk and should take fully into account concentration risk and the risk of contagion. Taking into account diversification effects, should be based on long-term data and data observation period covering at least one complete economic cycle. Otherwise, banks should carefully adjust the total risk methodology and assumptions.
Fourth quarter capital planning 125th commercial bank capital plan should consider the results of risk assessment, future capital requirements, regulatory capital requirements and capital availability, to ensure capital levels continue to meet regulatory requirements.
Capital plan should at least set the capital adequacy ratio three-year target.
126th commercial bank capital plan should ensure that the target level of capital and business development strategies, risk appetite, risk management and external changes in business environment, taking into account the short-and long-term capital needs, taking into account the long-term sustainability of the various sources of capital.
127th commercial bank capital planning, care should be taken to estimate asset quality, profit growth and the volatility of capital markets, taking full account of factors that could have a significant negative impact on the level of bank capital, including contingent risk exposure, severe and prolonged downturn, and break through the risk tolerance of the other events.
128th commercial banks should give priority to supplement the core tier-one capital, increasing internal capital accumulation capacity and improve capital structure, improve the quality of capital.
129th commercial bank should strictly and forward-looking stress testing, calculating capital requirements under different pressure conditions and the availability of capital, and to develop capital contingency plans to meet the capital needs of plan to ensure banks have sufficient capital to deal with adverse market conditions change. For moderate to severe stress tests, a commercial bank should clearly in the emergency capital replenishment policy arrangements and measures, fully taking into account changes in liquidity in the financial market, designing capital replenishment channel.
Commercial bank capital contingency plans should include analysis of emergency financing cost and feasibility analysis, limiting capital occupies a high degree of business development, the use of risk mitigation measures.
Commercial banks ' senior management should fully understand the pressures faced by the commercial banks under the risk of and interactions among risk and capital to absorb losses and the ability to support business continuity operations, and determine capital management objectives, capital policy and response is reasonable.
The fifth section monitored and reported 130th commercial banks should set up internal capital adequacy assessment process reporting system, regularly monitor and report on main influence factors of bank capital levels and trends.
Reports should include at least the following:
(A) assess the status of key risks and trends, strategic objectives and the impact of external environment on the level of capital.
(B) assess whether the actual holdings of capital enough to withstand risks.
(C) ensure capital to fully covering the main risks of proposed recommendations.
According to importance and reports for different purposes, a commercial bank should clearly report the scope, content and level of detail of the report is sent, ensuring that information and submit the report frequency to meet the needs of bank capital management. The 131th commercial banks should set up risk capital measurement and management and information management systems.
Information management system of the commercial banks shall have the following functions:
(A) clear, to the Board of Directors and senior management in a timely manner to provide overall risk information.
(B) accurate and timely and total business line risk exposure and risk measurement.
(Iii) dynamically support a concentration risk and identification of potential risks.
(D) the identification, measurement and management of risk mitigation tools of risk and risk mitigation.
(E) provide support for risk assessment measurement uncertainty, risk analysis of potential effects of assumptions change.
(F) to support forward-looking scenario analysis, assessing the impact of changes in the market situation and pressure on banks ' capital.
(G) the implementation of the monitoring, reporting, risk limits.
The 132th commercial banks should systematically collect, organize, track, and analyze all types of risk related data, creating risk of data warehouses, data marts and data management systems, to acquire, to clean, transform, and store data, and data quality control policies and procedures to ensure data integrity, completeness, accuracy and consistency to meet capital and internal capital adequacy assessment needs.
133th data management system should meet the capital adequacy ratio of commercial banks non-spot supervision reports and information disclosure of capital adequacy requirements. 134th commercial banks should establish a complete document management platform, for the internal audit department and the CBRC's assessment of capital management to provide support.
Document shall include at least:
(A) the Board of Directors, senior management and Department responsibility, independence, as well as duties.
(Ii) on capital management, risk management, policy processes, such as the system files.
(C) capital planning, capital adequacy management plans, the internal capital adequacy assessment, risk measurement models, validation report, stress test reports, audit reports, and the reports and other important documentation.
(D) the minutes of meetings and important decisions about capital management.
The eighth chapter, supervision and inspection
Supervision and inspection of the first section
135th capital adequacy is supervised and inspected the regulator will be critically important part of the risk management system.
136th CBRC according to macro-economy, industrial policy and credit risk, identifies significant systemic banking risks, related assets specific capital requirements. 137th CBRC commercial bank capital adequacy supervision and inspection to ensure that capital to fully cover the various risks facing.
Capital adequacy supervision and inspection, including but not limited to, the following:
(A) evaluation of commercial bank's comprehensive risk management framework.
(B) review of commercial banks for the determination of eligible capital instruments, and a variety of measurement methods and results of the risk-weighted assets, assess the reasonableness and accuracy of capital adequacy calculation results.
(C) check the internal capital adequacy assessment process evaluating corporate governance, capital planning, internal control and auditing.
(D) on the Bank's credit risk, market risk, operational risk, bank account interest rate risk, liquidity risk, reputation risk and strategic risk assessment and other types of risk, and check the pressure test.
138th commercial bank capital advanced methods, shall be governed by the provisions of annex 14 to this approach applied to the CBRC.
139th CBRC stipulated in annex 14 to this approach to assess the commercial banks, according to the assessment results to decide whether to approve the commercial bank capital advanced methods of measurement; and the capital the use of advanced methods of measurement and verification of ongoing supervision and inspection. 140th commercial banks could not continue to meet the capital the use of advanced methods of measurement as provided herein requested, the CBRC has the right to request its rectification.
Commercial Bank is not within the prescribed standards, the regulators will have the right to cancel the capital measurement method of high qualification.
Section II inspection procedures
141th the CBRC to establish supervision mechanism of capital, shall perform the following duties:
(A) assessment of major systemic risks facing the banking, proposed second pillar capital requirements, for a specific portfolio recommendations.
(B) the development of commercial bank's capital abundance rate overall supervision and inspection planning, coordination and supervision of implementation of the supervision and inspection of commercial banks ' capital adequacy ratio.
(C) to consider and decide on the regulatory capital requirements for commercial banks.
(D) the supervision and inspection of commercial banks ' capital adequacy ratio, submitted by defence to ensure supervision and inspection processes and to evaluate the results of the fair and accurate.
142th article CBRC by off-site and on-site inspection to supervise and inspect commercial banks ' capital adequacy ratio.
In addition to the capital adequacy ratio of regular supervision and inspection, CBRC according to the internal or external environment changes the provisional implementation of the capital adequacy rate of supervision and inspection.
143th commercial banks shall, within four months after the end of the year the CBRC to the internal capital adequacy assessment report.
144th capital adequacy supervision and inspection of the CBRC should follow the following procedure:
(A) review the internal capital adequacy assessment reports, developed capital adequacy programme.
(B) according to the provisions of annex 13 to this approach risk assessment standards, capital adequacy ratio of on-site inspection.
(C) according to the inspection results to determine regulatory capital requirements for commercial banks.
(D) and senior management on capital adequacy ratio of commercial banks to check communication and send commercial bank Board of Directors will evaluate the results in writing.
(E) supervision of commercial banks continued to meet regulatory capital requirements. 145th article can receive a capital adequacy ratio of commercial bank supervision and inspection findings within 60 days, in writing to the representations of the CBRC.
Within 60 days after receiving the evaluation results without argument in writing, will be deemed to have accepted the evaluation results.
Commercial Bank of written pleadings, shall be submitted to the Board of Directors resolution on the defence and provide detailed information on defence, and can prove that the sufficiency of the defence-related information submitted.
146th Banking Regulatory Commission receives and examines written pleadings submitted by the commercial banks, focused on verification of the relevant issues, as appropriate.
Accepting the written pleadings of the CBRC agree within 60 days after the written reply of the Bank to plead, and explain the reasons.
147th Banking Regulatory Commission during the review of written pleadings of commercial banks, commercial banks ' capital adequacy supervision and inspection should be performed to determine regulatory capital requirements, and implement regulatory measures taken by the CBRC. 148th commercial banks should not and CBRC report tables and tables after the capital adequacy ratio.
Consolidated capital adequacy ratio after submitting once every six months, has not submitted a quarterly consolidated capital adequacy ratio.
In case of special major matters of capital adequacy, banks shall promptly report to the CBRC.
Section III of the second pillar capital requirements
149th Bank has established internal capital adequacy assessment process and assessment procedures meet the requirements of these procedures, the CBRC according to its internal capital assessment to determine regulatory capital requirements; commercial banks do not establish internal capital adequacy assessment process, methods or assessment procedure did not meet the requirements, the regulator of commercial banks based on risk assessments, to determine regulatory capital requirements for commercial banks.
CBRC 150th article entitled under a single commercial bank's operating risk management and operational risk events, increased regulatory capital requirements for operational risk.
151th regulator will have the right to adjust the risk weight, correlation coefficient, term of validity, methods of raising capital for a specific portfolio requirements, including, but not limited to, the following:
(A) according to the cash flow risk coverage ratio, regional differences, identify local-government financing platforms of loan concentration risk capital requirements.
(B) by period adjustment factor to determine capital requirements for medium-and long-term loans.
(C) loans to industry concentration risk, determine the loan concentration risk capital requirements for some industries.
(D) according to personal housing mortgage loans for the purchase of non-living with risk, increase capital requirements of personal housing mortgage loan.
The fourth section measures
152th CBRC right did not meet regulatory requirements on capital adequacy ratio of commercial banks to take regulatory measures, urge it to improve its capital adequacy levels.
153th articles according to the capital adequacy, the CBRC divide banks into four categories:
(A) the first such banks: capital adequacy ratio and tier one capital adequacy ratio and core tier one capital ratio reached the levels of capital required as provided herein.
(B) the second category of commercial banks: capital adequacy ratio and tier one capital adequacy ratio and core tier one capital ratio did not reach the second pillar capital requirements, but shall not be lower than that of other capital requirements at all levels.
(C) the third category of commercial banks: capital adequacy ratio and tier one capital adequacy ratio and core tier one capital ratio of not less than the minimum capital requirements, but has failed to meet the capital requirements at other levels.
(D) the fourth commercial bank capital adequacy ratio and tier one capital adequacy ratio and core tier one capital adequacy ratio of any item does not meet the minimum capital requirement. 154th on the first such banks, the CBRC to support its robust business development.
In order to prevent their capital adequacy levels falling rapidly, the CBRC may take the following warning measures:
(A) requiring commercial banks to strengthen capital adequacy level of analysis and forecasting.
(B) the capital adequacy rate of requiring commercial banks to develop practical management plan.
(C) requiring commercial banks to improve risk control.
155th of second-class banks, except as provided in this article 154th regulatory measures, the CBRC may take the following measures:
(A) the prudential with the commercial banks ' boards of Directors, senior management meeting.
(B) issue a regulatory submission and regulatory submissions include: capital management issues, views of the corrective measures to be taken and deadline compliance.
(C) requiring commercial banks to develop workable capital plan and deadline compliance program.
(D) increasing the supervision and inspection of commercial bank's capital abundance rate.
(E) requiring commercial banks to impose risk mitigation measures on specific areas of risk.
156th on the third category of commercial banks, in addition to the provisions of article 154th, 155th regulatory measures, the CBRC may take the following measures:
(A) restrictions on commercial distribution of dividends and other income.
(B) limited to directors and senior management personnel of commercial banks to implement any form of incentive.
(C) restrict equity investment or commercial bank to buy back capital instruments.
(D) limiting commercial bank important capital expenditure.
(E) requiring commercial banks to control risk asset growth.
157th on the fourth commercial bank, in addition to these measures the 154th, 155th and 156th supervisory measures provided for in article, the CBRC also can take the following measures:
(A) requires commercial banks to significantly reduce the size of risk assets.
(B) ordered closed all the high risk of commercial bank assets.
(C) restrict or prohibit the creation of new agencies, the introduction of new business of commercial banks.
(D) forced commercial banks to Tier II capital writedowns or converted to common shares.
(V) ordered commercial banks to adjust the directors, senior management or restriction of their rights.
(Vi) it over or promote restructuring of commercial banks according to law, and until revoked.
When handling that kind of commercial banks, the CBRC will also consider the external factors, and take other necessary measures.
158th commercial bank capital adequacy is not required under this approach provided a report or reports, was not required to disclose or provide false information or concealing important facts reports and statistical reports of, the CBRC according to the People's Republic of China Banking Regulatory Act regulations impose administrative penalties.
159th in addition to the above regulatory measures, the CBRC may be based on the People's Republic of China Banking Regulatory Act and the provisions of relevant laws, administrative regulations and Department rules and other regulatory measures.
Nineth part information disclosure
The 160th commercial banks should publicly, disclosure of relevant information to investors and the public, and ensure that the concentration of information disclosure, accessibility and openness.
161th capital adequacy disclosures should include at least the following:
(A) risk management: credit risk, market risk, operational risk, liquidity risk and other important risk-management objectives, policies, processes, and organizational structure and functions of the Department.
(B) the capital adequacy calculation.
(C) the quantity, composition and levels of capital adequacy ratio capital.
(D) credit risk, market risk and operational risk measurement methods, risk measurement system of major changes and corresponding changes in capital requirements.
(E) credit risk, market risk, operational risk and other important risk exposure and evaluation of the qualitative and quantitative information.
(F) the internal capital adequacy assessment methods and other related factors that influence capital adequacy ratio.
(VII) relevant quantitative and qualitative information on the pay of information.
Bank shall, in accordance with Annex 15 to this approach requires full disclosure of capital adequacy ratio related information.
The 162th commercial banks should guarantee the authenticity, accuracy and completeness of the disclosure.
163th disclosure as provided herein is the minimum requirements for information disclosure of capital adequacy, banks should follow the principle of full disclosure and regulatory changes adjusted disclosure in a timely manner.
164th commercial bank capital advanced methods, parallel at least disclose this measure shall, within the period of qualitative information and quantitative information on capital bottom line.
165th commercial banks not to disclose proprietary or confidential information of specific content, but shall make a general disclosure, and explain why. 166th frequency of information disclosure of commercial banks into temporary, quarter, half year and annual disclosures, of which interim information should be disclosed in a timely manner, quarterly, half-yearly information disclosure within 30 days after the time for the final annual information disclosure within four months after the end of the fiscal year.
Due to special reasons cannot be disclosed in a timely manner, you should apply at least 15 working days in advance to the CBRC late disclosure.
167th disclose relevant information of commercial banks should, in accordance with the following frequency:
(A) the paid-up capital or ordinary shares and other capital instruments of change should be disclosed in a timely manner.
(B) NET core tier one capital, tier one capital NET, net capital, minimum capital requirements, reserves and counter-cyclical capital requirements, additional capital requirements, core tier one capital adequacy ratio and tier-one capital ratios and capital adequacy, and other important information should be disclosed quarterly.
(Three) capital sufficient rate calculation range, and credit risk exposed total, and late and the bad loan total, and loan loss prepared, and credit risk assets combination sustained release Hou risk exposed balance, and assets securities of risk exposed balance, and market risk capital requirements, and market risk final risk value and the average risk value, and operation risk situation, and equity investment and profit and loss, and bank account interest rate risk situation, related important information should each half disclosure once.
168th agreed by the CBRC, in meeting the overall requirements of information disclosure on the basis of, and subject to the following conditions can be appropriate to simplify information disclosure of commercial banks:
(A) deposits of less than 200 billion yuan.
(B) is not listed.
(C) not trans-regional operation.
The tenth chapter supplementary articles 169th rural cooperative banks, rural banks, rural credit cooperatives and rural mutual cooperatives, finance companies, finance companies, consumer finance companies, financial leasing companies, auto finance companies in accordance with the measures implemented.
Branches of foreign banks in China with reference to these measures risk-weighted measure of risk-weighted assets of RMB. 170th capital advanced in these measures include credit risk internal rating method of internal model approach, market risk and operational risk advanced measurement methods.
Commercial bank capital advanced methods of measurement shall be established in accordance with Annex 16 to this approach to capital advanced verification system. 171th CBRC capital advanced approach to allowed commercial banks to set up parallel and senior departure from approved capital measurement method when the end of the beginning for at least three years.
Parallel period, commercial banks should be in accordance with this Regulation capital of advanced methods and other parallel measures the capital adequacy ratio, and comply with the provisions of annex 14 to this approach the capital line.
And departure of the first year, second year and third-year baseline adjustments of capital respectively, and 95% and 80%.
Parallel period, commercial banks actually set aside for loan losses than expected losses, excess loan loss provisioning coverage ratio below 150% ready to take into account the number of Tier II capital should not exceed 0.6% of credit risk weighted assets above 150% set aside excess loan loss reserves all coverage included in Tier II capital.
172th commercial banks should be reached before the end of 2018 the capital adequacy ratio requirements as provided herein, will encourage qualified commercial banks ahead of target. 173th standard transition period, capital adequacy ratio of commercial banks should develop and implement a practical step by step compliance planning, and approval of the CBRC.
According to the CBRC commercial bank capital adequacy standards implementation planning, appropriate regulatory measures can be taken.
174th standard transition period, commercial banks should be in accordance with the commercial banks ' capital adequacy ratio regulations and these rules, measurement and disclosure of consolidated and non-consolidated capital adequacy ratio.
175th standard transition period, you can simplify information disclosure of commercial banks, but should at least disclose the capital adequacy calculation, deductions, capital and capital adequacy ratios at all levels levels, credit-risk-weighted assets, market risk weighted assets, risk-weighted assets and pay important information, as well as enjoy transitional preferential policy adjustment of capital instruments and regulatory projects.
176th calculation of consolidated capital adequacy ratio in commercial banks because the old measurement rule differences lead to drop in the number of minority shareholders can be factored into the capital, some reduction in five years from the date of implementation of this approach in implementing back to 80% for the first year, second year back to 60%, back to 40% for the third year, fourth year back to 20%, last year no longer back.
177th standard and poor's rating symbols used in this way, but not requirements for commercial banks to select external credit rating companies; using an external rating agency ratings of commercial banks should be consistent with the approach set out in annex 17, and continuity.
178th annex 1, annex 2, annex 3, annex 4, annex 5, annex 6, annex 7, annex 8 and annex 9, annex 10, annex to annex to annexes 11, 12, 13, 14, annex to annex 15, 16, 17 are part of this approach.
(A) Annex 1: capital instruments qualifying standards.
(B) Annex 2: credit risk-weighted balance sheet assets by risk weight, off-balance sheet items the credit conversion factors and acceptable credit risk mitigation instruments.
(C) Annex 3: IRB risk-weighted assets for credit risk measurement rule.
(D) Annex 4: classification criteria for IRB credit risk exposures.
(V) Annex 5: credit risk internal rating system of regulatory requirements.
(Vi) Annex 6: IRB risk mitigation of credit risk regulatory requirements.
(G) Annex 7: professional charging rules for credit risk-weighted assets.
(H) Annex 8: counterparty credit risk-weighted assets measurement rules.
(IX) Annex 9: charging rules for asset securitization risk-weighted assets.
(J) Annex 10: standard market risk measurement rules.
(11) Annex 11: internal market risk model for regulatory requirements.
(12) Annex 12: measurement of operational risk capital regulatory requirements.
(13) Annex 13: risk evaluation criteria.
(14) annex 14: capital advanced methods of supervision and inspection.
(15) Annex 15: disclosure requirements.
(16) Annex 16: capital advanced methods of authentication requirements.
(17) in annex 17: external ratings use norms.
179th explain these measures by the CBRC. 180th these measures come into force on January 1, 2013. The management measures of commercial banks ' capital adequacy ratio (2004 2nd order of China Banking Regulatory Commission issued, on December 28, 2006, Chairman of the Banking Committee's 55th meeting of the decision on the modification of the amendment), the guidelines on the classification of commercial bank credit risk exposure, the commercial bank credit risk internal rating system of supervision and guidance, the major commercial banks loans of regulatory capital guidelines, the Commercial banks credit risk sustained release regulatory capital measurement guidelines, and commercial banks operation risk regulatory capital measurement guidelines (Silver prison sent [2008]69,), commercial banks capital sufficient rate information disclosure guidelines (Silver prison sent [2009]97,), commercial banks capital measurement senior method validation guidelines (Silver prison sent [2009]104,), commercial banks capital sufficient rate supervision check guidelines (Silver prison sent [2009]109,), Asset securitization of commercial banks guidelines on the measurement of exposure to regulatory capital (Banking Regulatory Commission [2009]), 116th), the commercial bank market risk capital measurement method of internal model supervisory guidance (the banking regulator [2010]13), commercial bank capital advanced methods to implement application and approval guidelines (the banking regulator [2010]114) repealed simultaneously.
This approach issued before the implementation of the relevant regulations and regulatory documents such as inconsistent with these measures, in accordance with these rules.
Annex 1: capital instruments qualifying standards
First, the core tier one capital of the eligibility criteria
(A) issued and paid directly.
(B) in accordance with the relevant accounting standards, the paid-up capital amount is listed as interests and shown separately on the balance sheet and disclosure.
(C) the issuing bank or its affiliates may not offer mortgages or guarantees, or through other arrangements for their legal or financial has the priority right to be repaid.
(D) no expiry date, and upon its release should not result in the tool being repurchase, redemption or cancellation of the expected, legal and contractual provisions should not contain such expected requirements. (V) while in the liquidation procedure, order to be repaid at the end.
After all other claims paid, the remaining assets according to the proportion of issued share capital to pay off.
(F) that part of capital first and proportionally absorb most of the losses, in continuous operation conditions, all capital instruments of the highest quality should be proportional to absorb losses in the same sequence. (VII) income distribution should come from the allocation of items.
Distribution solely by the Bank's discretion, does not in any way linked to the issued amount, and no cap should be set, but shall not exceed the amount may be allocated to the project.
(H) in any case, the income distribution is not an obligation, and not allocated shall not be regarded as default.
(I) do not enjoy any priority rights to income distribution, all the tools of the highest quality capital distribution rights are equal.
(J) the Bank shall not, directly or indirectly, provide financing for the purchase of the tool.
(11) the general meeting of shareholders of the Bank of issue must be the issue, or the Board of directors or other persons authorized by the general meeting of shareholders for approval.
Second, the other tier one eligibility criteria
(A) issued and paid up.
(B) in accordance with the relevant accounting standards, were classified as liabilities if the tool, you must have the principal's ability to absorb losses.
(C) the payment order after the depositors and ordinary creditors and subordinated debt.
(D) the Bank or its affiliates may not offer mortgages or guarantees, or through other distribution arrangements make it relative to the creditors of the Bank in legal or economic priority right to be repaid.
(E) no expiry date, and must not contain and other interest rate jumped to redeem incentives.
(F) from the date of issue, at least 5 years can be redeemed by the issuing bank, but issuing banks shall not form a foreclosure is to be expected, and exercise the right of redemption should receive prior approval from the CBRC.
(G) level of the issuing bank to redeem other capital instruments, shall conform to the following requirements:
1. use by redemptions of capital instruments of equal or better quality replacement tool, and only earning capacity under the condition of sustainable capital tool to replace.
2. or exercise the right of redemption after capital levels remain significantly higher regulatory capital requirements prescribed by the CBRC.
(H) repayment of principal must receive prior approval from the CBRC, and issuing banks shall not assume or form the principal payments approved by the CBRC's market expectations. (I) the issuing bank under any circumstances has the right to cancel the capital dividend or dividend, and does not constitute events of default. Issuing bank can be cancelled free of income used to pay other debts.
Cancel dividend or dividend in addition to constitute a restriction on the distribution of common stock earnings, shall constitute a restriction on the other issuing banks. (X) must have written down or swap terms, when a triggering event occurs, the tool can immediately write down of capital, or be converted to common stock.
(11) the dividend or dividends must come from the allocation of items and dividends and to dividends shall not be linked to the issuing bank's own rating or adjust depending on rating.
(12) must not contain provisions impeding the issuing banks to replenish capital.
(13) the issuing bank and its controlled or associated party shall not have a significant impact that the means of, and the issuing bank shall not, directly or indirectly, provide financing for the purchase of the capital instruments.
(14) certain capital instruments not issued by business entities or holding company, raised by the release must be unconditional and immediate transfer of funds to the operating entity or holding company and transfer others the way you must meet at least the first level capital instruments qualifying standards.
San、erji capital instruments qualifying standards
(A) issued and paid up.
(B) the payment order after the depositors and ordinary creditors.
(C) not by the issuing bank or its affiliates to provide security or guarantee, or through other arrangements make it relative to the issuing bank's depositors and creditors in General has the priority right to be repaid in legal or economic.
(D) the original period is not less than 5 years, and must not contain and other interest rate jumped to redeem incentives.
(E) from the date of issue, at least 5 years can be redeemed by the issuing bank, but issuing banks shall not form a foreclosure is to be expected, and exercise the right of redemption must receive prior approval from the CBRC.
(Vi) the secondary capital of commercial banks, should meet the following requirements:
1. use by redemptions of capital instruments of equal or better quality replacement tool, and only earning capacity under the condition of sustainable capital tool to replace.
2. Alternatively, exercise the right of redemption after the capital levels remain significantly higher regulatory capital requirements prescribed by the CBRC. (VII) must contain a write-down or conversion terms, when a triggering event occurs, the tool can be written down immediately or be converted to common stock.
Trigger event refers to the earlier of the following two:
1. the CBRC found without writedowns for the Bank will be unable to survive.
2. the regulator finds that without public sector funding or providing equally support the Bank will not be able to survive.
(H) unless the banks liquidated, investors have no claim to speed up debt payments coming due (principal and interest).
(I) dividends or dividend distributable project must come from, and dividends and to dividends shall not be linked to the issuing bank's own rating or adjust depending on rating.
(J) the issuing bank and its controlled or associated party shall not have a significant impact that the means of, and the issuing bank shall not, directly or indirectly, provide financing for the purchase of the tool.
(11) certain capital instruments not issued by business entities or holding company, raised by the release must be unconditional and immediate transfer of funds to the operating entity or holding company, and transferred must meet at least the preceding two capital instruments qualifying standards.
Annex 2: risk weights, balance sheet assets off-balance sheet items the credit conversion factors and acceptable credit risk mitigation tools
Weights, balance sheet assets risk
Table 1 asset risk weights table
┌─────────────────────────────────┬───┐
│ 项目 │ 权重 │
├─────────────────────────────────┼───┤
│1.现金类资产 │ │
├─────────────────────────────────┼───┤
│1.1现金 │0％ │
├─────────────────────────────────┼───┤
│1.2黄金 │0％ │
├─────────────────────────────────┼───┤
│ 1.3 for the rules of sum │ 0% │
├─────────────────────────────────┼───┤
│ 2. claims on central Governments and central banks │ │
├─────────────────────────────────┼───┤
│ 2.1 claims on Central Government │ 0% │
├─────────────────────────────────┼───┤
¦ 2.2 claims on the people's Bank of China 0% │
├─────────────────────────────────┼───┤
│ 2.3 rated AA-(including AA-) above the State or central Governments and central banks in the region claim │ 0% │
├─────────────────────────────────┼───┤
│ 2.4 rating below AA-, A-(including A-) above the central Governments and central banks of the countries or regions │ 20% │
│债权 │ │
├─────────────────────────────────┼───┤
│ 2.5 rating below a-, BBB-(BBB-) or more countries or regions, the Central Government and the Central Bank │ 50% │
│行的债权 │ │
├─────────────────────────────────┼───┤
│ 2.6 rating below BBB-, B-(including B-) above the central Governments and central banks of the countries or regions │ 100% │
│的债权 │ │
├─────────────────────────────────┼───┤
│ 2.7 rating B-the following countries or regions of the Central Government and Central Bank bonds │ 150% │
├─────────────────────────────────┼───┤
│ 2.8 of countries or regions that are not rated by the Central Government and Central Bank bonds │ 100% │
├─────────────────────────────────┼───┤
│ 3. claims on public sector entities in China 20% │ │
├─────────────────────────────────┼───┤
│4.对我国金融机构的债权 │ │
├─────────────────────────────────┼───┤
│ 4.1 claims on China's policy Bank (excluding subordinated claims) │ 0% │
├─────────────────────────────────┼───┤
│ 4.2 claims against the Central Government investment of financial assets management companies in China by │ │
├─────────────────────────────────┼───┤
│ 4.2.1 Central Government investment in China's financial asset management company for the acquisition of State-owned banks ' bad loans │ 0% │
│而定向发行的债券 │ │
├─────────────────────────────────┼───┤
│ 4.2.2 on the investment of the Central Government claims other financial asset management │ 100% │
├─────────────────────────────────┼───┤
│ 4.3 claims on other commercial banks in the country (not including subprime debt) │ │
├─────────────────────────────────┼───┤
│ 4.3.1 original duration 3 months │ 20% │
├─────────────────────────────────┼───┤
│ 4.3.2 original duration 3 months │ 25% │
├─────────────────────────────────┼───┤
│ 4.4 on subprime debt of commercial banks (not deducted) │ 100% │
├─────────────────────────────────┼───┤
│ 4.5 claims on other financial institutions │ 100% │
├─────────────────────────────────┼───┤
│ 5. registration in other countries or regions financial institutions and public sector debt │ │
├─────────────────────────────────┼───┤
│ 5.1 rating AA-(AA-) or more commercial and public-sector entities of the national or regional registration │ 25% │
│债权 │ │
├─────────────────────────────────┼───┤
│ 5.2 rated AA-, A-(including A-) over commercial banks and the public sector of the national or regional registration │ 50% │
│实体的债权 │ │
├─────────────────────────────────┼───┤
│ 5.3 rating below a-, b-(B-) more than commercial banks and the public sector of the national or regional registration │ 100% │
│实体的债权 │ │
├─────────────────────────────────┼───┤
│ 5.4 rating B-the following countries or areas of registered commercial banks and public sector entities claim │ 150% │
├─────────────────────────────────┼───┤
│ 5.5 to countries or regions that are not rated claims registered commercial banks and public sector entities │ 100% │
├─────────────────────────────────┼───┤
│ 5.6 on the multilateral development banks, the Bank for international settlements and the International Monetary Fund claim │ 0% │
├─────────────────────────────────┼───┤
│ 5.7 claims on other financial institutions │ 100% │
├─────────────────────────────────┼───┤
│6.对一般企业的债权 │100％ │
├─────────────────────────────────┼───┤
│ 7. to conform to the standards of micro-and small enterprises claim │ 75% │
├─────────────────────────────────┼───┤
│8.对个人的债权 │ │
├─────────────────────────────────┼───┤
│8.1个人住房抵押贷款 │50％ │
├─────────────────────────────────┼───┤
│ 8.2 on a mortgage, in front of the buyers that not all loans, commercial banks to reassess after the │ 150% │
│ Net additional loans for mortgage, additional parts of │ │
├─────────────────────────────────┼───┤
│8.3对个人其他债权 │75％ │
├─────────────────────────────────┼───┤
│9.租赁资产余值 │100％ │
├─────────────────────────────────┼───┤
│10.股权 │ │
├─────────────────────────────────┼───┤
│ 10.1 equity for financial institutions (not deducted) │ 250% │
├─────────────────────────────────┼───┤
│ 10.2 on businesses owned by passive investment │ 400% │
├─────────────────────────────────┼───┤
│ 10.3 and special approval by the State Council for policy reasons of equity investment in business enterprises │ 400% │
├─────────────────────────────────┼───┤
│ 10.4 other equity investment to industrial and commercial enterprises │ 1250% │
├─────────────────────────────────┼───┤
│11.非自用不动产 │ │
├─────────────────────────────────┼───┤
│ 11.1 held for exercising their mortgages and term of punishment provided by the law of the non-private real estate │ 100% │
├─────────────────────────────────┼───┤
│ 11.2 non-self │ 1250% │
├─────────────────────────────────┼───┤
│12.其他 │ │
├─────────────────────────────────┼───┤
│ 12.1 depend on the banks ' future earnings of net deferred tax assets (not deducted) │ 250% │
├─────────────────────────────────┼───┤
│12.2其他表内资产 │100％ │
└─────────────────────────────────┴───┘
Second, off-balance sheet items the credit conversion factor
Table 2 off-balance sheet items the credit conversion factor table
┌──────────────────────────┬────────┐
│ 项目 │ 信用转换系数 │
├──────────────────────────┼────────┤
│ 1. equivalent to the loan credit │ 100% │
├──────────────────────────┼────────┤
│2.贷款承诺 │ │
├──────────────────────────┼────────┤
│ 2.1 original loan commitment period not exceeding 1 year │ 20% │
├──────────────────────────┼────────┤
│ 2.2 more than 1 year of the original term loan commitment │ 50% │
├──────────────────────────┼────────┤
│ 2.3 at any time unconditional irrevocable loan commitments │ 0% │
├──────────────────────────┼────────┤
│3.未使用的信用卡授信额度 │ │
├──────────────────────────┼────────┤
│3.1 一般未使用额度 │50％ │
├──────────────────────────┼────────┤
│ 3.2 standard of unused credits │ 20% │
├──────────────────────────┼────────┤
│4.票据发行便利 │50％ │
├──────────────────────────┼────────┤
│5.循环认购便利 │50％ │
├──────────────────────────┼────────┤
│ 6. banks loaned securities or securities as collateral │ 100% │
├──────────────────────────┼────────┤
│ 7. short-term or project directly related to trade │ 20% │
├──────────────────────────┼────────┤
│ 8. and transaction-related contingencies │ 50% │
├──────────────────────────┼────────┤
│ 9. credit risks in the Bank's asset sale and purchase agreement │ 100% │
├──────────────────────────┼────────┤
│ 10. forward asset purchases, long-term time deposits, part payments of the stocks and securities │ 100% │
├──────────────────────────┼────────┤
│11.其他表外项目 │100％ │
└──────────────────────────┴────────┘
(A) equal to the loan's credit business, including General guarantees of indebtedness, acceptance, acceptance of endorsement and financing guarantees.
(B) short-term or project directly related to trade, mainly refers to the right of priority claims against the security of shipments of documentary credit.
(C) transaction-related contingencies, including guarantee, performance guarantee, guarantee, reserve in advance payment guarantees.
(D) the credit risks in the Bank's asset sale and purchase agreement, including asset repurchase agreements and asset sales with recourse.
Three, formed in the process of liquidation of securities, commodities, foreign exchange trading exposures
(A) mode of payment against credit risk weighted assets
1. payment against the model refers to the settlement date, securities and money, money and money in real time synchronized, final, irrevocable delivery.
2. mode of payment against credit risk-weighted assets under
RWA=E×R×12.5
Of which:
(1) the RWA for credit-risk-weighted assets under the mode of payment against;
(2) e-payment deal with modes, arising from the contract price and the current market price difference of exposure;
(3) r capital accrual ratio associated with expanded trading hours, shown in table 3.
Table 3 of the payment counterparty credit risk capital provision dealing with mode
┌────────────────────┬──────────────┐
│ Delay for the trading days since the day contract │ capital │
├────────────────────┼──────────────┤
│4（含）个交易日以内 │0％ │
├────────────────────┼──────────────┤
│5至15（含）个交易日之间 │8％ │
├────────────────────┼──────────────┤
│ 16-30 (inclusive) between the day │ 50% │
├────────────────────┼──────────────┤
│ 31 to 45 (inclusive) between the day │ 75% │
├────────────────────┼──────────────┤
│46（含）个交易日以上 │100％ │
└────────────────────┴──────────────┘
(B) non-payment against the mode of credit risk weighted assets
Non-payment against mode Xia, for commercial banks has implementation paid, and trading opponents not in agreed date paid and produced of risk exposed: since commercial banks implementation paid of day up, trading opponents not paid part depending on with on the trading opponents of claims for processing; since trading opponents should perform paid obligations of day up, 5 a day Hou, trading opponents still not paid part of risk weight for 1250%.
Four, qualifying credit risk mitigation instruments
Table 4 eligible type of credit risk mitigation instruments
┌────────┬─────────────────────────────────┐
│信用风险缓释工具│ 种类 │
├────────┼─────────────────────────────────┤ │ │ Quality (a) sealed with a special household, gold or margin after specific cash │
│ │（二）黄金； │
│ │（三）银行存单； │
│ │（四）我国财政部发行的国债； │
│ │（五）中国人民银行发行的票据； │
│ │ (Vi) of China's policy banks, commercial banks, public sector entities to issue bonds, notes, and d/│
│ │的汇票； │
│ │ (VII) financial asset management companies to buy bonds issued by State-owned banks directed; │
│ │ (H) rating of BBB-(BBB-) more than national or regional government and the Central Bank-issued bonds; │
│ │ (IX) rating of the country or territory in which the registered in the A-(including A-) above the foreign commercial banks and public │
│ │ Total sector entities to issue bonds, notes or accepted draft; │ │ │ (J) the multilateral development banks, the Bank for international settlements and the International Monetary Fund bond issue.
│
├────────┼─────────────────────────────────┤
│ Guarantee │ (a) China's Central Government, the people's Bank of China, policy banks, public sector entities and business AG │
│ │行； │
│ │ (B) rating of BBB-(BBB-) more than national or regional government and the Central Bank │
│ │ (C) rating of the country or territory in which the registered in the A-(including A-) above the foreign commercial banks and public │
│ │共部门实体； │ │ │ (D) multilateral development banks, the Bank for international settlements and the International Monetary Fund.
│
└────────┴─────────────────────────────────┘
Annex 3: IRB risk-weighted assets for credit risk measurement rules Commercial banks using the IRB, sovereignty of measurement shall be in accordance with the following rules, financial institutions, corporate and retail exposures credit risk-weighted assets.
Equity risk exposure of credit risk-weighted assets by weight measurement.
, Is not exposed to risk of default risk-weighted assets measurement
(A) the relevance of the calculation of credit risk exposure (r)
1. sovereign risk exposure, General company (formulas, see manuscript)
2. financial institutions risk exposure (formulas, see manuscript)
3. SME exposures (formulas, see manuscript)
S for small and medium enterprises in the reporting period annual revenue (in millions of Yuan), less than 30 million yuan in a 30 million Yuan to deal with.
4. retail exposures
Personal housing mortgage loans, Rr1=0.15
Qualifying revolving retail loans, Rr2=0.04
Other retail loans, (formula see manuscript)
(B) the calculation period adjustment factor (b)
b=[0.11852-0.05478×1n(pD)]2
(C) the calculation of capital requirements for credit risk exposures (k)
1. retail exposures (formulas, see manuscript)
2. retail exposures (formulas, see manuscript)
(D) the calculation of credit risk exposure of risk-weighted assets (RWA)
RWA = K×12.5×EAD
Second, the measurement of the exposure to risk of default risk-weighted assets
K=Max[0,(LGD-BEEL)]
RWA = K×12.5×EAD
Here, the BEEL means considering economic conditions, legal status and other conditions of default risk exposure the maximum expected loss rate estimates.
Annex 4: classification criteria for IRB credit risk exposure
, Bank accounts, credit risk exposure classification policies and procedures
(A) the classification of commercial bank credit risk exposure should be developed policies, clear division of risk exposure and adjust procedures and internal controls, improve relevant reporting and information systems management. (B) commercial banks in conjunction with the Bank's management structure, capital structure and classification of risk determine risk exposure standards and processes.
Classification criteria are inconsistent with this approach of commercial banks, shall report to the CBRC for the record.
(C) the commercial departments are responsible for the total risk exposure categories should be specified, and consist of two independent positions or departments responsible for the Division of risk exposures and identified. (D) when the commercial banks ' risk exposure categories should be divided according to different categories of exposure standards, asset into the appropriate exposure category.
Does not meet the sovereign risk exposure, risk exposure of financial institutions, retail exposures, equity risk exposure, exposure to other risk criteria and credit risk assets, should be included in the firm's risk exposure. (V) characteristics of commercial banks according to the risk exposure changes, adjusting the exposure category.
In the event of exposure categories within six months after the adjustment feature, the commercial banks should complete adjustments of exposure categories.
(Vi) commercial bank credit risk exposure categories should be established and regulatory reporting system, reports regularly to the Board of Directors and senior management classification and risk conditions.
(VII) in commercial banks related information system risk exposure categories are identified for each business.
(H) commercial banks should establish a classification of credit risk exposure of the bank account of internal audit systems, implementation of bank accounts risk exposure categories carried out audits on a regular basis.
Second, the sovereign risk exposure
Sovereign risk exposure refers to a sovereign State or regional economic entities and their central banks, public sector entities, as well as multilateral development banks, the Bank for international settlements and International Monetary Fund and other creditors.
Scope of multilateral development banks, see the article 56th.
Third, financial institutions risk exposure (A) financial institutions risk exposure refers to the commercial bank claims on financial institutions.
Depending on the financial institution property, commercial banks should be financial institutions risk exposure into bank financial institutions risk exposure and exposure of non-bank financial institutions.
(B) banks financial institutions included in the People's Republic of China set up commercial banks and rural cooperative banks, rural credit cooperatives and other financial institutions that take deposits from the public, as well as in the People's Republic of China registered abroad and by the host country or area approved by the financial supervision authority of deposit financial institutions.
(C) the non-bank financial institutions, including the approved establishment of securities firms, insurance companies, trust companies, finance companies, financial leasing companies, auto finance companies, money brokers, asset managers, fund companies, and other institutions governed by the financial supervision authority.
Four, companies risk exposure
(A) the company exposure refers to the commercial banks to companies, partnerships and sole proprietorships and other non-natural persons ' claims, but does not include the sovereign, financial institution and into the business of retail exposures credit.
(B) according to the type of debtor and risk characteristics, exposures of the company is divided into the SME risk exposure, loan and general corporate risk exposures.
(C) SME risk exposure of commercial banks on revenue (nearly 3 years of revenues the arithmetic mean) claims not exceeding 300 million yuan in business.
(D) professional refers to the risk exposure of loans and claims with the following characteristics:
1. the debtor is usually a specially designed for physical asset finance or operate physical assets and the establishment of special purpose entities.
2. the debtor had no other substantial assets or operations, in addition to the income from financing assets, but no independent ability to repay debt.
3. contractual arrangements to the lending banks on the formation of financial assets and income to a considerable degree of control.
(E) professional classified loans project finance, finance, commodities finance and income-producing real estate loans.
(F) the loan of project financing in addition to specialty features, should also have the following characteristics:
1. the financing purpose is often used in the construction of one or a group of large production equipment or infrastructure projects, including the refinancing of projects under construction.
2. the debtor is usually for the construction and operation of the projects or specially formed corporate finance for the project.
3. sources of repayment relies mainly on the project will generate revenue, income or other income, generally do not have any other source of repayment.
(G) financing in addition to professional loan characteristics, should also have the following characteristics:
1. obtain financing for the purchase of specific physical assets of the debtor, such as ships, aircraft, rail transportation tools. 2. the source of repayment for financing, mainly depending on the mortgage or to the lending bank's special asset to create cash flow.
These cash flow through one or several rental or leasing contracts signed with third parties to achieve.
(H) the commodity financing in addition to the professional characteristics of the loan, but should also have the following characteristics:
1. for goods that can be traded on an Exchange (such as crude oil, metals and grains) of reserves, structural short-term financing to inventory or receivables.
2. the debtor has no other substantial assets, mainly depends on the sale of goods revenue as a source of repayment.
3. credit rating mainly reflects the self discharge of the loan and lender organizations the ability to deal, and does not reflect the level of creditworthiness of the debtor.
(IX) income-producing real estate loans except conform to the professional characteristics of the loan, should also have the following characteristics:
1. the debtor is a specialized development finance project companies in General, but also engaged in the real estate construction or possession of real estate operating companies.
2. financing purpose is real estate (as for the rental of office buildings, retail space, multifamily residential, industrial and warehouse facilities and hotel) the development, sale, or rental, as well as land consolidation, development and storage.
3. repayment depends primarily on loans real estate rental and sales revenue or land revenue.
(J) the general corporate risk exposure refers to the SME risk exposure and professional companies other than loan exposures.
Five, retail exposures
(A) retail exposure should also have the following characteristics:
1. the debtor is one or more natural persons.
2. too many small single amount.
3. According to combinations of management. (B) the retail exposures are divided into individual housing mortgage loans, qualifying revolving retail exposures, other retail exposures three categories.
Commercial banks according to their own business and management practice, broken down further on this basis.
(C) refers to personal housing mortgage loan in order to purchase individual housing purposes and to purchase real estate as collateral on the loan. (D) qualifying revolving retail exposure refers to the various unsecured personal loan.
Qualifying revolving retail exposures on a single customer credit balances less than 1 million Yuan.
(E) other retail exposures is that in addition to personal housing mortgage loans and qualifying revolving retail exposure claims for other than natural persons.
(F) comply with the provisions of article 64th on micro and small enterprise's risk exposure, can be incorporated into other retail exposures.
Six, the equity exposure
(A) equity exposures refers to commercial banks directly or indirectly held by shareholders ' equity.
(B) financial instruments into equity risk exposure should meet the following conditions:
1. hold the financial instruments the main source of revenue is future capital gains, rather than of the proceeds over time.
2. the financial instrument is not redeemed, not belonging to the issuer's debt.
3. issuer assets or income are residual rights.
(C) in line with one of the following conditions of financial instruments should be classified as equity exposures:
1. commercial banks with capital tool has the same structure.
2. issuers of debt financial instruments that meet one of the following conditions:
(1) issuers may be indefinitely postponed debt settlement.
(2) debt to be issued by the issuer through a fixed number of shares to repay, or allowing the issuers intend to issue a fixed number of stocks to liquidate.
(3) shall be determined by the issuer of debt through the issuance of an indefinite number of stocks to liquidate, or allowing the issuers through an indefinite number of shares have been issued to pay off, and indefinite quantity stock value highly correlated with changes in the value of the debt.
(4) a party is entitled to require stock liquidation, except in the following cases: trading tools, commercial banks can prove and the CBRC approved the tool deals with issuers of debt characteristics; tools of the trade, commercial banks can prove and the CBRC acknowledged that the tool should be treated as a debt.
Seven, other exposures (A) purchased a receivable refers to the sale of its now or in the future based on the concluded with a buyer of goods, products or services receivables arising out of the contract of sale, under contract to have recourse or transfers without recourse to commercial banks by the formation of assets.
Purchase accounts receivable can be classified as qualified purchased corporate receivables and eligible purchased retail receivables. (B) eligible purchased retail receivables include retail exposures. Qualifying purchase accounts receivable of the company, in principle, be included in the company's risk exposure, commercial banks will also be eligible to purchase accounts receivable of the company as a separate category of risk exposure.
Qualified company purchased receivables shall meet the following conditions:
1. the sales contract made between seller and buyer, fair and legitimate, effective, and sellers can provide complete proof of the accounts receivable.
2. no relationship between sales and commercial bank, the receivable is not directly or indirectly initiated by commercial banks.
3. enterprises and associated enterprises within the Group receivables between, not part of the eligible accounts receivable.
4. Commercial Bank all receivables of proceeds or proceeds pro rata with claims. (C) asset securitization risk exposures is a commercial bank engaged in asset securitization and the formation of tables inside and outside exposure.
Asset securitization risk exposures include, but are not limited to asset-backed securities, residential mortgage securities, credit enhancements, liquidity, interest rate or currency swaps, credit derivatives and grades covered. Reserve account as the originator of the assets, should be treated the same as in asset securitization risk exposures.
Reserve accounts include, but are not limited to the cash collateral account and margin accounts.
Annex 5: credit risk internal rating system of regulatory requirements
A, General requirements
(A) commercial banks using the IRB credit risk capital requirements, internal rating system should be established in accordance with this approach.
Internal rating systems include exposure to sovereign risk, financial institutions and companies (hereinafter referred to as non retail exposures) of internal rating systems and risk pool system for retail exposures. (B) commercial bank's internal rating system should be able to identify credit risks effectively, robust ability to distinguish and sort the risk and accurately quantify risk.
Internal rating system includes the following basic elements:
1. the governance structure of the internal rating system, ensure the objectivity and reliability of internal rating.
2. non retail exposures of internal rating and retail exposure risk pool of technical standards to ensure non retail exposures each debtor and debt into the appropriate risk level, ensure that each retail exposure into the corresponding asset pools.
3. the internal rating process to ensure the independence and impartiality of the internal rating.
4. the quantification of risk, risk characteristics of debtors and debts into a probability of default, loss given default, default risk parameters such as exposure and duration.
5.IT and data management systems, information about the collection and processing of internal rating, provides support for quantitative risk assessment and risk parameters.
Second, the governance structure of the internal rating system
Commercial banks should be based on this approach the seventh chapter requirements improve the governance structure and established the governance structure of the internal rating system according to the following:
(A) commercial banks should be expressly authorized by the Board of Directors and special committees, Board of supervisors and senior management and the Department's role in the governance structure of the internal rating system, as well as the internal rating system of reporting requirements.
(B) the Board of Directors bear ultimate responsibility for the management of the internal rating system of commercial banks, and shall perform the following duties:
1. approving major policies of the internal rating system, internal rating system design parameters, process, risk quantification, information systems and data management, validation and internal rating to meet regulatory requirements.
2. Approves the internal rating system implementation planning, and fully understand the policies and procedures of the internal rating system to ensure commercial banks had sufficient resources to the development and construction of the internal rating system.
3. oversight and ensure that senior management in the development and implementation of the necessary internal rating policies and procedures.
4. at least once a year to check the effectiveness of the internal rating system.
5. approve or authorize the approval of other significant matters involving the internal rating system. (C) the commercial bank's senior management is responsible for the development and operation of the internal rating system, clear parameters of internal rating and risk quantification techniques, performance monitoring measures and related requirements, design, operation, improvement, development of internal rating system reporting and rating policy, ensure the continued and effective functioning of internal rating system.
Senior management should perform the following duties:
1. under the internal rating system implementation plan approved by the Board of Directors, resourcing and development, promotion, operation and maintenance of the Bank's internal rating system. 2. supporting policies and processes of the internal rating system, clearly the responsibility of related departments or to develop and implement an effective system of accountability.
If necessary, the senior management of existing credit risk management policies, procedures and monitoring system be modified to ensure effective integration of internal rating system of daily credit risk management.
3. monitoring of performance and the ability to predict the risk of the internal rating system, periodically check the credit risk Department monitor the implementation of the measures, received regular credit risk Department about the rating system and improved reporting.
4. reports to the Board of Directors internal rating significant policy changes or special effects.
5. organize training to enhance staff understanding of the internal rating system of the Bank. (D) should be set based on internal ratings of credit risk of commercial bank internal reporting system, ensure that the Board of Directors, senior management, credit risk authority to monitor changes of portfolio credit risk and helps to verify and audit departments to assess the effectiveness of internal rating system. According to the importance of information, classes, and different reporting lines, commercial banks should clear within the frequency and content of reports.
Reports should include the following information:
1. in accordance with the rating of credit risk at the aggregate level.
2. migration between different levels, the pool.
3. the risks associated with each level, the pool parameter estimation and comparison with actual values.
4. the validation of internal rating system of results.
5. regulatory capital changes and reasons for the changes.
6. stress test conditions and results.
7. the internal audit of the. (E) shall specify the credit risk of commercial bank internal rating system of the competent authorities responsible for the design, implementation and monitoring. Credit risk Department launched should be independent of the loan and the issuing Department, Director should report directly to senior management, and report to the Board of ...
Credit risk Department's responsibilities shall include:
1. Design and implementation of the internal ratings systems, responsible for or participated in the rating model development, selection and promotion, monitoring liability for the models used in the rating process, and the ultimate responsibility for the daily check and continuous optimization.
2. check rating standards, check the ratings implementation assessment rating for risk prediction capability, submitted to senior management on a regular basis special report on the performance of the internal rating system to ensure that senior management internal rating system of effective oversight of daily operations.
3. check and record the rating process and the reasons for the changes, analyze and record ratings to overthrow and the reasons for exceptions.
4. the Organization conducted stress tests involved in the validation of internal rating systems.
5. preparation of internal rating system of reporting, including breach of contract and breach of a previous year's rating, rating migration analysis and trend monitoring key classification standards, and so on, at least twice a year to report to senior management. (F) the internal audit department is responsible for the internal rating system and parameter estimation of the risk of auditing work.
Audit responsibilities shall include:
1. in assessing the suitability and effectiveness of internal rating system, the reliability of the test results.
2. the credit risk Department's scope of work and audit quality, assess the adequacy of related personnel's professional skills and resources.
3. check the maturity level of the information system's structure and data maintenance.
4. check the econometric models the data entry process.
5. the assessment meets the requirements of this approach.
6. discussions with the senior management issues identified in the audit process, and to make appropriate recommendations.
7. at least once a year to report to the Board of Directors audit of the internal rating system. (G) the commercial bank's internal rating system of governance should be establishment of a complete document, prove that it can continue to meet regulatory requirements for the China Banking Regulatory Commission will assess the effectiveness of their internal rating systems to provide support.
Document shall include at least:
1. the responsibilities and duties of the Board.
2. senior management responsibilities and duties.
3. duties of the credit risk Department, independent and perform their duties.
4. based on internal ratings of credit risk reports and the implementation of the system.
5. the internal audit system and the implementation of the internal rating system.
6. the external audit of the internal rating system.
7. related information such as minutes of meetings, inspections and audit reports.
Three, non retail exposures of the internal rating system design
(A) basic requirements
1. commercial banks should adopt internal rating determined for each non-retail exposure to debtors and debt risk ratings.
Commercial banks can lower risk business or can not meet the rating criteria exposure to adopt a flexible approach, but policy should detail practice, and report to the CBRC for the record. 2. commercial bank rating should cover all the debt of the debtor and the guarantor.
The same counterparty, either as a debtor or a surety, commercial banks can have only one rating.
3. every debt of commercial banks ' credit risk corresponds to all debtors and guarantors rating, respectively.
4. commercial non-retail exposures of the debtor's debt rating. 5. commercial banks can use quantitative model, expert judgement methods or a combination of two methods of rating.
Commercial banks of different non retail exposures you can choose different methods, but it should prove to the CBRC selected methods that accurately reflects the rating the risk characteristics of the object.
6. retail exposures of internal rating technical requirements including ratings, dimensions, rating structure and time span, ratings, rating methodology standards, model, and document management, and so on.
(B) the rating dimensions
1. non-retail internal rating of risks exposure including rating and debt rating two mutually independent dimensions. 2. a debtor of the debtor's rating used to assess the risk of default, reflect only the obligor risk characteristics, generally do not consider debt risk characteristics.
Default of the debtor's default probability is 100%; banks can set up 1 level of a defaulting debtor or according to the needs set by the expected loss of the Bank management multiple levels of defaulting debtors.
3. the same different rating of the debtor of the debt by the debtor should be consistent.
4. the level should be sorted according to the size of the probability of default by the debtor of the debtor if levels of defaulting debtors more than 1, default of the debtor should be sorted by expected loss levels. 5. the primary internal ratings-based approach of commercial banks, debt ratings could be based on expected losses, losses also reflect the risk of default of the debtor and the debt level may also be based on LGD, reflecting the debt risk of loss.
Debt rating should be the extent of the losses according to the debt sorted. 6. using advanced internal ratings-based approach of commercial banks should be through independent debt rating assessment of the risk of loss and debt levels in accordance with the loss given default sorted by size. Commercial banks should consider all important factors influencing the loss given default, arrived in collateral including product, loan purpose and features. Sure prediction ability of the debtor to the loss given default rate characteristics can also include debt ratings.
Commercial banks may have to consider different assets with different risk factors in order to improve the relevance and accuracy of risk assessment.
(C) the rating structure 1. commercial banks should set the adequate level of debtor and debt levels, ensuring that credit risk can be distinguished.
Debtor of the credit risk exposure in different levels and distribution between the debt levels cannot be too concentrated. 2. commercial bank debtor's rating should have at least 7 non-default levels, level one breach and ensure a higher level of risk than a lower level of risk.
According to the characteristics of the portfolio and risk management, commercial banks can set up more than the level of the debtor as provided herein, but sort of coherence between risk levels and stability.
3. If an individual debtor levels exposure more than 30% of total risk exposure at all levels, should have the empirical data to the regulator of commercial banks show that the level of default probability interval reasonable and relatively narrow. 4. Commercial Bank should be avoided at different exposures of the same debt level loss given default gap is too large.
Debt rating criteria should be based on empirical analysis, if exposure to high levels of concentration in particular a debt, domestic commercial banks should ensure the same level of loss severity of same.
(D) the debtor's rating methodology and time span
1. commercial banks could take a point rating method, TRANS-cycle rating between rating estimation of the probability of default of a debtor. 2. the debtor's rating should be taking into account influence of commercial bank non-systematic risk of default by the debtor and systemic factors.
To the CBRC commercial bank should explain how the rating method considering the effect of systemic risk factors, and to justify.
Non-systematic factors refer to the specific risk factors associated with individual debtors; systemic factors refer to the common risk factor associated with all debtors, such as macroeconomic, business cycles, and so on.
3. the commercial bank should at least estimate the probability of default of debtor the next year. 4. the debtor of commercial banks rated both current risk characteristics of the debtor, but also consider the adverse changes in the economic downturn, industry of debtors repayment ability and willingness to pay impact and stress test reflects the risk sensitivity of the debtor.
If the data is limited or difficult to predict the impact of future events on the debtor's financial situation, commercial banks should be a conservative estimate.
(E) classification standards 1. the Bank shall be in writing and rating definitions, procedures, and standards set.
Rating definitions and criteria should be reasonable and intuitive, and the risk of significant areas. Risk ratings should include all levels of description and the distinction between the various levels of risk criteria.
Classification standards and commercial banks ' credit, bad loan disposal policy consistency. 2. commercial bank rating criteria should be taken into account with the debtor and debt rating of all important information.
Commercial banks have less information on the debtor and debt rating should be more conservative. 3. Description of the commercial banks should ensure that rating definition detailed, actionable, so the rating team the debtor or debts were divided.
Different business lines, sectors and regions of the rating criteria should be consistent if there are differences, should monitor the comparability of ratings, and perfect.
4. commercial ratings are based on expert judgment, should ensure that the rating criteria of clarity, transparency, so that the CBRC and the internal audit department and other third parties to acquire rating methodology, repeated, assess the level of appropriateness of the rating process.
5. the commercial bank's internal rating can refer to external ratings, but you cannot rely only on external ratings, and should meet the following conditions:
(1) for external risk factors considered in rating and rating standards to ensure that external rating structure consistent with the IRB.
(2) ability to analyze external ratings the predictive capability of the tool.
(3) assess the impact of using an external rating tool for internal rating.
(F) model 1. credit risk measurement models in the evaluation of default characteristics play an important role in the loss and features. Credit risk measurement models use only partial information, commercial banks should adopt the necessary expert judgement to ensure internal ratings take into account all relevant information. Expert judgement should take into account relevant information not covered by the model.
Commercial banks should be about how to combine expert judgment and written guidance on model results.
2. representatives of commercial banks should be able to prove that data used for modelling portfolio size and characteristics, establish a regular assessment of modeling data accuracy, completeness and appropriateness of the procedures to ensure effective application risk parameters based on modelling data in credit portfolio management. 3. the business of commercial banks based on complexity level a variety of rating systems and risk management.
Commercial banks respond to the verification of the accuracy and consistency of the rating system. 4. commercial banking model validation should be provided, including models of differentiated capability, predictive capability, accuracy, and stability control, relationship between model review and back testing of the model predictions and the actual results.
Commercial banks should be able to assess the limitations of the model, checking and error control model, and continuous improvement models. 5. the fundamental assumption of commercial banks should be fully informed of the rating model to assess consistency between assumptions and real economic environment.
In the changed economic environment, commercial banks should ensure that existing models that can be used to change the economic environment rating differences within the controllable range; if the results do not meet the above requirements, commercial banks ' conservative adjustment model results.
(G) document management
1. commercial banks non-retail exposures shall record in writing the internal rating of design, established in accordance with the way the requested document.
2. the Bank shall record in writing the important process of internal rating, including at least:
(1) the rating targets.
(2) classification of portfolio.
(3) applicability and risk exposure rating system based on.
(4) the effect of internal ratings of credit risk management and capital management.
3. banks shall record in writing standards and defined at all levels, including at least:
(1) methods and data.
(2) the debtor and debt ratings level basis for the determination of the structure and its implications, including the number of debtors and debt levels, debtors and debts between the different levels of distribution.
(3) the debtor relationship between levels based on risk, according to the level of probability of default by the debtor to determine risk at all levels.
(4) risk-based relationship between the debt levels, according to the expected loss severity, determine levels of risk.
(5) select the basis of classification standards and procedures to ensure that internal rating distinction between risk analysis; if using a variety of methods, shall be recorded for each choice of rating methodologies and procedures.
(6) the breach of contract and loss of definition.
4. commercial bank rating methodology, scope of application of the model of establishment of a complete document, the document shall include at least:
(1) the detailed description of each level, the model used by a single debtor, debts methodology, assumptions, mathematical and empirical basis, model data sources.
(2) Modeling data representative to check the condition of the credit portfolio.
(3) the use of statistical methods for model validation, including time and sample validation.
(4) the model validity limit situations, as well as solutions.
5. external models also should meet the documentation requirements as provided herein.
Four risk exposure risk pooling systems, retail design
(A) basic requirements
1. commercial banks should establish a risk pool system for retail exposures, establish written policies, ensure that each retail exposures are accurate, reliable and distinction, and assigned to the corresponding asset pool.
Commercial Bank's risk pool policy should detail the approach to specific retail exposure, including no longer promotional but still survives, no risk pooling methods and standards for new products and so on.
2. commercial banks to deal with default and non-default retail risk exposure separately; for retail exposures from different countries, should be the Division of risks, such as commercial banks were able to show that retail has the same risk of exposure of different countries, upon approval of the CBRC, not separate pools. 3. commercial banks should select reliable risk factors risk pools, these factors should be used for retail credit risk management.
Commercial bank selected risk factors, statistical models, expert judgement or a combination can be used in two ways. 4. retail exposures should also reflect the risk pool of debtors and debt main risk characteristics.
Retail level of risk exposure in the same pool should be consistent, risk characteristics include, but are not limited to the following:
(1) the risk characteristics of the debtor, including the debtor categories and demographic characteristics, such as income, age, occupation, credit score, and so on.
(2) debt risk characteristics, including products and against collateral risk characteristics, such as arriving in pledge, against pledge, pledge, priority, age, etc.
(3) if information.
5. the commercial banks should ensure that each asset pool enough pool of homogeneous risk exposure, accurate and consistent estimates of the pool and can be used for probability of default, loss given default and default risk exposure. 6. on the premise of ensuring effective risk, commercial banks the flexibility to select the risk pool.
Risk pooling methods should guarantee the stability and consistency of the pool, if there is adjustment of retail exposures in the pool between, the commercial banks should review the risk pool. 7. commercial banks should ensure that retail between exposures in the pool to maintain a reasonable distribution, avoiding concentration of retail exposures in a single pool.
If the individual exposure to risk in the asset pool exceeds the retail 30% of the total exposure, commercial banks should prove to the CBRC exposure to risk in the asset pool has a risk of homogeneity, and does not affect the estimated risk of the pool parameter.
8. risk of personal housing mortgage and qualifying revolving retail exposure, redefined at least once a year the stock pool of customers according to classified to the retail exposure standards for small businesses, at least annually to determine a list of small businesses classified as retail exposures.
9. retail exposure risk pool of technical requirements, including risk-pooling method, standard risk pools, and document management.
(B) risk-pooling method
1. the method should be based on the data selection pool of commercial banks, according to the individual risk exposure scoring, risk factors such as aging pool, can also be based on a single exposure of the probability of default, loss given default and default risk parameters such as exposure to the pool. 2. retail exposures of missing data, commercial banks should make full use of existing data, and through risk-pooling system designed to make up for lack of data.
The extent of missing data should be a factor in the risk pool.
3. commercial banks use credit scoring model or other credit risk measurement models, estimates the retail risk exposure parameters, correlation models should be used in this approach.
(C) the risk pool criteria
1. commercial banks should establish a written pool definitions and risk pooling process, methods and standards, the rules should be clear, direct, detailed, ensure that you have the same Division of retail credit risk exposures to the same pool of assets. Commercial banks risk pool of standards should be consistent with retail business management policy.
Results should be aligned with long-term experience in the risk pool.
2. Commercial Bank should ensure that the different business lines, sectors and regions pool of retail exposure standard, if there are differences in comparability of results of monitoring, dealing with risk, and improve.
3. commercial banks should ensure that the pool criteria of transparency, easy to the CBRC, the internal audit department and other third parties to acquire risk-pooling method, repeat the Division process, assessing the adequacy of risk-pooling.
4. risk pools should take into account all relevant information as provided herein. Debtor-default feature, should include the debtor in an adverse economic situation or when unexpected events occur, their repayment ability and willingness to pay. Commercial Bank is difficult to predict future events and event on the impact on the financial situation of the debtor should be cautious forecasts.
If relevant data are limited, commercial banks should keep to analyze. 5. the Bank longer than the one-year time span of the data should be used, and try to use recent data to ensure accuracy and stability of the risk pool.
Commercial banks have less information, risk pools should be more careful.
(D) document management
1. commercial banks shall record in writing the retail exposure risk pool design, established in accordance with the way the requested document.
2. the Bank shall record in writing the pool pool methods and standards, including at least:
(1) methods, data and use the pool principles.
(2) the basis for the determination of the asset pool and its meaning, including the number of pools of assets, risk exposure between different pools of distribution and risk factors of selection methods, models, and selected risk characteristics. (3) the asset pool risks homogeneity analysis, concentrated analysis of rationality and consistency, as well as risk and so on.
Commercial banks should record migrations between the exposures in the pool, as well as the asset pool and risk pools for the amendment of the basis and conditions.
(4) definition of defaults and losses. 3. use econometric models in the risk pool, model methodology, should be used to establish a complete document.
Document shall include at least:
(1) detailed description model used by the risk pool methodology, assumptions, mathematical and empirical basis, model data sources.
(2) Modeling data representation on the retail exposure test.
(3) the use of statistical methods for model validation, including time and sample validation.
(4) the marking model validity limit situations, as well as commercial solutions.
4. external models also should meet the documentation requirements as provided herein.
Five, the internal rating process
(A) basic requirements
1. commercial banks should establish a sound internal rating processes, ensure risk exposure, not for retail internal rating and retail exposure risk pools process of independence.
2. Commercial Bank's internal rating process including rating identification, rating, rating the overthrow and ratings updated and reflected in the Bank's credit policy and credit management program. Retail exposure risk pools are often not allowed to overturn.
If commercial banks allowed to overthrow, should establish written policies and procedures, and prove to the CBRC is necessary and prudent.
3. reliable operation of commercial bank's internal rating process should be established to ensure that management information systems, a detailed record of rating process, non-retail exposures to ensure that the debtor's debt rating and rating risk exposure risk pool, retail operations process and effective implementation. 4. commercial banks should establish a complete document, in order to ensure standardization of the internal rating processes and continuous improvement, and internal rating systems operations meet the requirements of these procedures.
Document includes at least:
(1) the rating process design principles.
(2) rating systems functioning organizational framework, positions and responsibilities.
(3) identification, rating rating, rating overthrow and ratings updated policies and procedures.
(4) rating management, including management of ratings oversight responsibilities in the audit sector.
(5) rating exception policy.
(6) internal ratings based on econometric model of guidance and monitoring.
(7) rating system.
(8) other content, including rating system operation procedure the major changes and the main changes since the last inspection of the CBRC.
(B) rating
1. rating refers to the rated personnel on customer and a new debt ratings.
2. commercial bank rating policies should be developed, including ratings, jobs, ratings of debtors with debts range, time and frequency, operating procedures, and so on.
3. commercial banks should provide the Bank with different agencies of the same debtor or the associated authorization process initiated debt rating.
4. rating personnel should follow the principle of due diligence, fully and accurately collects rating data needed to review the authenticity of the data, data entry is complete, correct credit rating system.
5. the rating should be guided by principles of objectivity, independence and discretion, on the basis of thorough credit analysis, compliance with established standards and procedures and ensure the quality of credit ratings.
(C) the rating found
1. rating considered ratings identify personnel to rating rating recommendations for final examination and determination process.
2. commercial banks should set the rating found jobs or departments, audit rating recommendations, finds the final credit rating.
Rating finds jobs shall meet the independence requirements, ratings identify personnel cannot directly benefit from the loan should not be under the influence of related departments, not initiated by the rating officer concurrently.
(D) rating to overthrow
1. ratings ratings measurement model of overthrow, including rating personnel overturned and finds rating personnel ratings proposal rejected.
2. the policies and procedures governing commercial banks should establish a clear rating to overturn, including ratings, to overthrow the basis and conditions, Division of power, amplitude, result processing and documents, and so on.
3. the internal rating system based on econometric models, commercial banks should monitor expert judgement to overturn model ratings, excluding variable and parameter adjustment, and to develop the appropriate guidelines.
4. the internal rating system based on expert judgement, overthrow the ratings of commercial bank should clearly rated personnel, including overthrowing who reverse, reverse the procedure, extent.
5. the commercial banks should establish a perfect rating to overthrow documents, detailed record of rating in the rating system to overturn reasons, results and track performance rating to overthrow.
(V) rating updates
1. commercial banks should establish a written policy on rating updates, including the rating conditions, frequency of updates, programs, and validity of ratings.
2. Commercial Bank of non retail exposures debtor and guarantor's rating should be updated at least once a year.
For debtors with higher risk, commercial banks should increase the rated frequency of updates.
3. can be determined according to the needs of internal risk management of commercial bank debt rating frequency of updates, updated at least once a year.
The riskier debt, banks should increase the rating update frequency. 4. commercial banks should establish access to and update the debtor's financial situation and debt characteristics of effective programs for important information. If access to information subject to rating update conditions, commercial banks should be completed within a three-month rating updates.
Rating rating needs to be updated within the validity period, rated frequency is not subject to an annual limit, ratings from the rating updated date is recalculated.
5. the commercial banks should continue to monitor each retail exposure risk characteristics of the changes of retail exposures in a timely manner and according to the latest information transfer to the corresponding asset pool.
6. commercial banks according to the product and risk characteristics, risk estimates a time span, as well as retail business risk management requirements, determine the frequency of update checks, but checks at least once a year the pool loss characteristics and delinquency status, at least quarterly sampling of individual debtors and loans in the pool of assets.
Six, risk quantification
(A) basic requirements
1. risk quantification refers to the commercial banks estimate the IRB credit risk parameters of the process. For non-retail exposure, implementing the primary internal ratings-based approach of commercial banks to estimate probability of default; implementation of the advanced internal ratings-based approach of commercial banks to estimate probability of default, loss given default, default risk exposure and duration.
For retail exposures, banks estimate probability of default, loss given default and default risk exposure.
2. under this approach calls for the establishment of commercial bank risk quantitative policies, processes, and key definitions, and to ensure uniform application within the Bank.
3. the commercial bank should be based on all available data, information and methodologies estimate probability of default, loss given default and default risk exposure. 4. the default probability and loss given default rate and default risk exposure estimates should be based on historical experience and empirical research, should not only rely on expert judgement. Commercial banks ' risk parameters quantization process involves expert judgement and adjusted analyses, ensuring not to underestimate risk. Adjusted, basis and calculation method should be documented so that internal monitoring and continuous improvement to ensure that can track the entire process of supervision and inspection.
Commercial banks should take the sensitivity analysis, assessing the impact of adjusting the parameters of risk, regulatory capital requirements. 5. the commercial bank risk quantitative update policy should be developed to ensure that technological progress, data information and valuation methods that change could be fully reflected in the risk parameters.
Commercial banks should be reviewed at least once a year within the estimates of risk parameters and update of quantitative methods and processes based on business need. 6. the default probability and loss given default rate and default risk valuation of exposure should be guided by the precautionary principle.
Commercial banks should be conservatively estimated risk parameters of the error, the greater error, should be more conservative.
7. for retail exposures, if banks can prove the loss given default characteristics between different asset pools there are substantive differences, these pools can use the same risk parameter estimates.
8. risk quantification process and major adjustments of estimates of risk parameters shall promptly report the CBRC for the record.
9. quantitative risk parameters of the commercial banks should establish a perfect document, to continuous improvement quantitative process of risk parameters, and provide support to the CBRC supervision and inspection.
(B) the risk parameters to quantify the processes 1. commercial banks should develop a written risk quantization process to ensure prudent risk parameter estimates.
Risk quantification process should include data, parameter estimation, mapping and parameter of four stages. 2. Commercial Bank should select qualified in the historical data, build a sample data set.
Data selection should meet the relevant requirements of these measures. 3. data sources of data can include internal data, external data and internal and external collection of data, ensure that the valuation is based on all relevant and important data.
When using external data, commercial banks should ensure that external data and internal comparability, relevance and consistency of the data. 4. commercial banks should ensure consistency of data definitions.
In the data used to estimate the risk factor, number of exposures, credit to use when generating data standards, and other relevant characteristics should be consistent with the Bank's risk exposure and credit standards at least comparable. 5. the selected sample should be representative of commercial banks, can reflect the characteristics of credit risk exposures, the bank credit policy as well as the current and future state of the economy.
Selection of samples number and select a time period, should be able to ensure the accuracy of estimates of risk parameters. 6. risk parameters to quantify the data period of observation should cover a full economic cycle. Used to estimate the probability of default by the debtor risk exposure data, not for retail observation period shall not be less than 5 years; for non retail exposures estimated loss given default, default risk exposure data observation period shall be not less than 7 years; data for estimated retail exposure risk parameters observation period shall not be less than 5 years. If commercial banks have access to historical data for longer periods, longer historical observation period should be used.
Observation period is shorter, the valuation of commercial banks should be more conservative.
7. historical data should be of equal importance in different stages, if commercial banks: an empirical experience shows that historical data at some stage to be able to better reflect the impact of the economic cycle, helps to accurately estimate the parameters approved by the China Banking Regulatory Commission, commercial banks can be used to do special handling for specific data.
8. commercial banks can use internal data, external data, a collection of internal and external data or a combination of 3 types of data sources, but the historical observation period of at least 1 type of data source no less than requirements related to this approach.
9. prior to implementing the internal ratings-based approach of commercial banks standards of data collection can have a certain degree of flexibility, but it must be used with appropriate adjustments, and adjusted for CBRC proved the data with other data there is no substantive difference. 10. the commercial banks shall be carried out at least once a year a sample data set, a comprehensive analysis and checks to ensure correlation between sample data in combination with existing, assess the quality of sample data and sample data and the consistency between the definition of default.
If the sample data set or combination of exposure data available there are significant defects or lacks important information, commercial banks should develop a written process and method. 11. the commercial bank should be based on risk characterization and performance estimation of the risk parameters of the sample data.
Parameter estimates should meet the requirements related to these measures. 12. commercial banks should use statistical tools to analyze the sample data sets with different risk characteristics, estimation of risk parameters, respectively. Commercial banks have access to one or more statistical methods estimate the risk parameters. When a variety of valuation results, commercial banks based on risk parameters estimation of external and internal data values, and the use of different models of integration risk parameter estimates.
Commercial banks should establish a clear and consistent policies to integrate different data, different econometric model estimates of the results and check the different sensitivity of integration on the valuation results. 13. the use of internal data, external or internal and external collection data, must prove that the parameter estimate represents the long experience of commercial banks.
Parameter estimates should reflect the observation period commercial loan policy and changes in the recycling process. 14. the estimated value will always be a certain level of probability of default the debtor or a retail asset pools one-year long-term averages of actual default rates.
Loss given default and default risk of exposure should be long term, default weighted average.
15. commercial banks considering eligible guarantors and credit derivatives risk mitigation role, rating or retail asset pools as against the debtor, default loss adjustment.
16. If the sample data interval does not include a recession, you should adjust the parameter estimates, and compensate for the impact of data loss. 17. commercial banks in the sample data and mapping relationship between the combination of actual exposure.
Maps meet the requirements related to these measures.
18. commercial banks respond to each data set and each estimated model mapping process mapping should reflect each sample data sets and models used in risk characteristics. 19. in order to ensure the effectiveness of mapping, sample rating and classification of the data standards should be consistent with the actual risk exposure.
If the classification criteria for commercial banks ' risk exposure changes, commercial banks in the sample data set and rebuild the mapping relationship between existing classification standards and prove the correctness of mappings.
20. the maps should be based on actual exposure combinations between data sets and sample the risk characteristics of the most common and the most meaningful.
21. If commercial banks use internal default experience and statistical models of default probability of default for a long time, various methods should be established and the actual exposure of mapping relations.
22. commercial banks risk parameter estimates based on sample data sets should be applied to the actual portfolio.
(C) the default probability estimation and requirements
1. the debtor occurs if either of the following circumstances shall be considered as default: (1) the debtor Group's substantive debt of credit overdue for more than 90 days.
If the debtor's breach of the regulations of the overdraft limit or re-authorized overdraft limit is less than the current balance of the overdraft will be considered overdue. (2) commercial banks found that unless recourse cash against collateral such as measures were taken, the debtor might not be able to pay their debts to the banking group.
Any one of the following conditions, commercial banks ' debtors should be identified as "may not be able to pay their debt to commercial banks":
First, any loan to the debtor of commercial banks to stop interest or accrued interest into off-balance sheet accounts;
Second, after the credit relationship, due to the deterioration of the financial situation of the debtor, banks write off loans or had set aside a certain percentage of provisions for loan losses;
Third, commercial banks to sell loans and assume a certain percentage of losses;
Finally, due to the deterioration of the financial situation of the debtor, the commercial banks agreed with the reorganization of the negative, to the non-commercial clause in the loan contract made adjustments, including but not limited to, the following: a contract terms change results in reducing debt; the second is because the debtors unable to repay new and old; the third is caused by the debtor's inability to pay extension;
Finally, commercial debtors as bankruptcy or a similar condition;
VI, the debtor files for bankruptcy, or have gone bankrupt, or is similarly protected, will not perform or delay to perform pay Bank debts;
Seven commercial banks found other debtors ' inability to pay their debts. 2. Commercial Bank should be developed under the foregoing breach detail the default definition of the Bank's internal unity, clear breach identified process and ensure consistent enforcement.
Internal default of credit debt should be defined carefully to determine the substantive standards, triggering default provisioning for loan losses, loan sales losses and negative restructuring leading to falling debt ratio.
Banks should define default criteria intrinsic to information system, detailing the reason for defaults in the system accumulated data breach. 3. for non-retail exposure, if a debtor is found to breach, the commercial banks associated to the debtor of the debtor's rating should be checked to assess its ability to repay debt. Identify the associated debtors cross-default, depending on the associated degree of economic interdependence and integration of the debtor.
Commercial Bank's internal rating policy should make clear the Group rating methods, and to ensure consistency in implementation.
(1) if the internal rating based on the entire group, and credit rating according to enterprise groups, any debtor default in a group should be regarded as within the Group of all debtors default trigger condition.
(2) if the internal rating based on individual enterprises rather than groups, within the Group of any default does not necessarily lead to other debtor default, the commercial banks shall promptly review the enterprise of debtor's rating, and thus to decide whether to change its rating. 4. commercial banks should set to redefine aging policy and ensure uniform application. On the basis of commercial banks based on the redefinition of aging (including roll over loans, deferred) calculates the days overdue debts.
Redefining aging policy shall at least include:
(1) redefine aging approval and reporting requirements.
(2) to redefine aging debts before the minimum age.
(3) to determine the age of overdue debts.
(4) every debt you can determine the maximum number of aging.
(5) on the solvency of the debtor to reassess.
5. the commercial bank on the following specific risk exposure using the redefine aging, subject to the following conditions:
(1) overdraft, overdrawn balance must be reduced to the limit.
(2) on non-retail cycle part must be paid overdue exposure.
(3) for the period on payment of the outstanding amount carried forward to the following period cycle retail loans, most recent minimum payment shall be repaid in full.
(4) for installment credit, the long-overdue loans (including principal, interest, and penalties, etc) should be repaid.
6. commercial banks according to the default definitions, records of assets actual violations of, and to estimate the probability of default. 7. for non-retail exposure levels identified by the debtor default, all debts have the same probability of default for the same debtor; for retail exposures should be defined levels found in a debt default, the probability of default of debts of the same debtor can be different.
8. the data should reflect the economic cycle as a whole, including the recession of obligor default risk changes, such as data does not include the recession, commercial banks should adjust the default probability estimation method or the valuation results.
9. If the sample data and default definitions differ, commercial banks should adjust the sample data. 10. when commercial banks estimate the average probability of default for each level, you should use the appropriate information, and due consideration to the long-term default experience. Commercial banks should use estimation techniques consistent with the data, make sure they accurately reflect probabilities of default. Commercial banks can use internal default experience, map the external data and statistical techniques such as default model estimates the average probability of default. Commercial banks can choose between an important technology, combined with other technologies, and make possible adjustments.
Limitation for information and technology, commercial banks can be adjusted using expert judgement on the valuation results. (1) the internal default experience. Commercial banks can use the internal default experience to estimate probability of default. Commercial banks should prove the estimated probability of default reflects the history data corresponding to periods of credit standards and rating systems and their current differences. Limited data or credit standards, the rating system changed circumstances, commercial banks should set aside conservative, a bigger room for adjustment.
Commercial banks collection of the data can be used, but should show that exposures in the pool of other commercial bank's internal rating system and standard to comparison with the banks. (2) mapping the external data. Commercial Bank's internal rating may be mapped to an external credit rating agency or similar body rating, default probability of the external rating as probability of default rating. Rating maps should be based on internal rating criteria standards comparable with external agencies, and against the same debtor within the ratings and external ratings on a comparable basis. Commercial banks should avoid bias and inconsistency or that the underlying data mapping method, the use of external ratings quantify risk data against the risk of default by the debtor, and does not reflect the characteristics of the debt. Commercial banks should compare the internal and external rating default definition.
Commercial banks should establish internal and external rating mapping document. (3) statistical models of default.
For any level of debtors, commercial banks can use the prediction model of default probability are each a simple average of the probability of default by the debtor as to the level of probability of default, default probability model of commercial banks should meet the requirements of this approach involving the use of models. 11. the debtor of the commercial banks for non retail exposures can be used mapping methods and rating method of mapping. Mapping maps each obligor risk characteristics of the debtor to a sample data set.
Rating map is in the same grade the risk characteristics of the debtor, or each level builds a typical or representative of the debtor, then the representative sample of the debtor and the map data. 12. calculation of probability of default time span is generally 1 year.
To estimate the risk level of long-term loans, commercial banks for 3 years, 5 years in different period to determine the cumulative probability of default of the debtor. 13. for retail exposures, if commercial banks with specialized data based risk exposure can be divided into different pools, as a basis for estimating loss characteristics of internal data sources. If commercial banks could prove exposure to pool between the process and external data sources, as well as internal risk exposure and there is a close relationship between external data, allowing it to use external data to quantify the risk.
In any case, commercial banks should use all the important data, so that the results of internal and external comparison.
14. the commercial bank based on econometric model estimates retail exposure when the probability of default by the debtor, the input variables of the model should be established taking into account the debtor's risk characteristics, loan term, macroeconomic and industry-specific variables and other factors.
15. If the Bank finds that aging is a retail exposure important risk factors, and the probability of default has matured effects, default probability estimation values should reflect the risk exposure in a long period of maturation effect, can raise the probability of default, as appropriate, to ensure that capital is sufficient to protect against potential credit losses.
16. in the following cases, even retail exposures with maturity effects, regardless of the maturity of commercial bank effect:
(1) if the commercial banks within a 90-day plan and sell the assets or securities.
(2) the risk exposure to the issue through the special finds.
(3) commercial banks can keep track of market and asset-backed securities market, counterparty risk is measured and sold under different market conditions and the risk of exposure or securitization. 17. exposure pool and estimating models of default default is not considered an important factor, and regional factors, such as industry, commercial banks should be fully considered in the maps and make the appropriate adjustments.
The adjustment process should be transparent, and to integrate these factors into pools, and default value models.
(D) loss given default estimates and requirements
1. the default loss means a debt default led to a total loss of proportion of total debt exposure of default, loss as a percentage of total risk exposure. 2. loss given default estimates should be based on economic losses.
Caused large economic losses due to the debtor for breach of the direct and indirect loss or cost recovery amount of debts as well as the default time value and commercial banks ' disposal and recovery capacity impact on loan recovery.
(1) direct losses or costs that can be attributed to the specific debts of loss or costs, including principal and interest losses and collateral collection costs or litigation expenses. (2) indirect loss or cost refers to the commercial bank management or clearing default debt but does not belong to a particular loss or cost of the debt.
Commercial banks should adopt reasonable indirect loss or cost-sharing. (3) commercial banks should be discounted default debt recovery amounts to breach of point, to truly reflect the economic loss. Commercial banks using the discount rate should reflect the collection during the default cost of the debt.
When determining a discount rate, banks should consider the following factors: First, if the recoverable amount is uncertain and cannot distribute risk, calculation of net present value should reflect the amount of recovery time value as well as risk premium commensurate with the risk.
Risk premiums should reflect the economic downturn.
Second, if the recoverable amount is determined, the net present value calculation simply reflects the time value of recoverable amount, you can choose to risk-free discount rate. 3. the estimated economic losses of commercial banks should take into account all relevant factors.
Commercial banks, according to its disposal and recovery capacity adjusted LGD should be guided by the precautionary principle and empirical data to prove that disposal and clearing effect on LGD.
4. weighted long-term average LGD shall be not less than the default loss rates. Default weighted long-term average loss rate is in a mixed economy, within 1 year of default by the debtor-default risk exposure to economic loss. Mixed economic conditions should include the situation of economic recession.
Long-term average loss rate is based on similar loans average economic losses of all defaults in the data source. 5. the loss given default rates should reflect the severity of defaulted debt losses during the recession, guarantee the loss given default estimates of commercial banks in all foreseeable economic conditions remain stable and reliable. Commercial banks should develop policies to identify recession, analyzing the impact of economic recession on the extent of the loss, and a reasonable estimate of loss given default rates.
These policies should include, but are not limited to the following: criteria for identification of products and economic recession, data requirements and identify the economic downturn affect the loss of its loss given default metering method. 6. the estimated loss given default rate data should include only the defaulting debtor risk exposures.
Commercial banks should be collected to distinguish between exposure of default key factors, calculated default risk exposure to economic loss, including but not limited to:
(1) important factors include non-retail exposure to loss given default against pledge, guarantee and industry factors, such as the economic environment, the debtor.
(2) important factors affecting retail exposure to loss given default, including credit scores, product, area, did not guarantee credit, residential mortgage loans mortgages rates, exposure category, customer relationships, economic situation of the debtor, etc. (3) commercial banks use different data required for the estimation of economic loss.
Commercial banks can use default risk exposure or to write off the market value of the assets, calculating recovery rates; or by exposure to default risk (including principal and outstanding interest and fees), against collateral disposition losses, direct collection indirect collection of cost-sharing costs, recovery time and recovery amount, the discount rate and other factors, actual economic losses. 7. loss given default estimates should take into account the actual quantity and cost recovery.
Such as commercial banks on the debtor's recovery has not yet been finalized, commercial banks should define a collection complete point in time, the choice of time points should be a sufficient basis and recorded in the document.
8. Commercial Bank estimated loss given default severity of exposure to loss should be considered when changes periodically. 9. commercial banks should consider the risks and against collateral of the debtor risk correlation between or against collateral providers risk. When the correlation is high, should be a conservative estimate.
If debt and currency mismatches against collateral exists, commercial banks should also be a conservative estimate. 10. the loss given default estimates should be based on the historical recovery rate, not only against collateral based on estimates of the market value. Loss given default estimates should take into account the commercial banks may not be able to control and liquidation of collateral.
If the LGD estimates take into account against collateral factors, against collateral standards identified in these measures should be. 11. commercial banks should take into account the actual losses could be systematically exceeded expectations, LGD should reflect the possibility of additional unexpected losses during the settlement rises. Of default loans, commercial banks should be based on current economic conditions and legal status of loans, carefully estimate the expected loss of each loan. Default part of expected loss estimates of loss rates than commercial banks, capital requirements for this type of loan. If defaulting loans estimated value is less than the expected losses for loan losses and on this part of the loan write-off and the two commercial banks should ensure that it makes sense.
When the loss was significantly higher than the average level of debt, commercial banks can consider defaulting on a debt higher than long-term weighted average loss rate. 12. If the estimated loss given default rate involves some actual portfolio debt data mapping between the data with an external rating agencies, commercial banks should compare the sample data and commercial portfolios.
Commercial mapping policy should describe the scope and methods of sample data, avoid mapping method or inconsistent data errors.
13. from a single exposure to total debt level of loss given default estimates, should be a clear summary of management policy of commercial banks. 14. for retail exposures, the long-term average LGD and default weighted average LGD estimates may be based on long term expected loss rates. Commercial Bank's estimate of the probability of default can be used to infer long-term weight loss given default values, or use weighted average loss given default infer the probability of default for a long time.
In all cases, banks should ensure for measuring the regulatory capital requirement of not less than long-term default weighted average LGD LGD. 15. commercial bank on its own estimated loss given default rates of certain types of risk exposure, exposure to such risks should be fully estimated loss given default rates on their own. If a sample-based estimates of loss given default rate is less than 0, loss of commercial banks should be tested to confirm procedures guarantee covering all economic losses.
Loss given default samples in accordance with less than 0 0.
(E) default risks exposure estimate and request
1. exposure to default risk refers to the debtor defaults expected table and off-balance sheet items total risk exposure.
Default risk of exposure should include the use of credit balances, are not receivable interest receivable, unused credit lines expected to extract as well as expenses that may occur. 2. estimation of default risk exposure data should only contain the default of the debtor's risk exposure.
These data should be included to distinguish default debtor risk exposure factors. 3. using advanced internal ratings-based approach of commercial banks, should estimate every table inside and outside the project's default risk exposure. To similar off-balance sheet item in the table, estimate default risk exposure should be the default weighted long-term average, commercial banks should keep to determine an estimate of error.
Due to different off-balance sheet items the default risk exposure estimation methods, commercial banks should clearly describe the category of off-balance sheet items. 4. the primary internal ratings-based approach of commercial banks, consider project effects of netting inside a table.
Netting shall achieve these measures standard. 5. the commercial banks should carefully consider the correlation of default probabilities and default risk exposure.
If the whole economic cycle of default risk exposure estimates instability, economic downturns more conservative than the long-term average of default risk exposure, the commercial banks should use the default risk exposure during the economic downturn. 6. commercial banks using econometric models estimate default risk exposure should be estimated through model-driven cycles feature default risk exposure.
Such as lack of sufficient internal data to check the impact of economic downturns in the past, commercial banks should be judicious use of external data. 7. commercial banks estimate default risk exposure criteria should be reasonable and standard should be selected based on the internal reliability analysis. Commercial drivers to be decomposing default risk exposure. Estimated exposure to default risk, the commercial banks should use all the relevant information.
Commercial banks for a variety of forms, both inside and outside the project's default risk exposure shall be checked at least once a year, if there is a new and important information, commercial banks should be checked in a timely manner. 8. the estimate of the commercial banks ' exposure to default risk should reflect the events of default occur or when the likelihood of debtors continued after the withdrawal.
Commercial banks should set policy, establish banks for breach of contract or technical default on the debtor to continue drawing the control measures and establish an effective monitoring procedure, the monitoring tables both inside and outside each borrower and the level of commitment limits, current balance and balance changes. 9. retail exposures for future extraction in full before parity lost an estimated value, commercial banks should take into account the history of the situation and expected the extraction conditions.
Likelihood of future withdrawals or risk exposure estimates considered in default, or considered in the loss given default estimates.
10. If the amount extracted retail exposure has been securitized, commercial banks through the credit conversion factor estimates credit limits is not extracted part of the default risk exposure.
(F) the duration estimates and requirements
1. the primary internal ratings-based approach of commercial banks, with the exception of repo transactions outside the validity period is 0.5, and other non-retail exposure duration is 2.5 years. 2. using advanced internal ratings-based approach of commercial banks, term of validity should be regarded as an independent risk factor.
In case of other conditions are the same, the shorter the term of validity of the debt, credit risk is smaller. 3. in addition to boilerplate to determine cases, valid for 1 year and the internal estimates of length defined below in a larger value, but not exceeding 5 years.
Expiry date for SME exposures can be used for 2.5 years.
(1) the arrangements for determining cash flow financial instrument, valid for:
(Formulas, see manuscript)
CFt-t need to pay within the time period in the future cash flow of minimum value. (2) commercial banks cannot be calculated when the term of validity of the debt should be conservatively estimated duration.
Period shall be equal to the debtor in accordance with the loan agreement all contractual obligations (principal, interest and fees) the maximum time remaining.
(3) master netting agreement under derivative term adjustment, commercial banks should be used in accordance with the notional amount weighted average maturity for each transaction.
4. for some short-term trading, valid for estimation of internal validity and 1 day of great value, including: (1) mortgage in full within 1 year of the original term OTC derivative transactions, margin loans, repurchase transactions and securities lending.
Transaction documents must be included in the daily revaluation and adjust the deposit and counterparty defaults or failed to make up the margin can be closed or disposed of in a timely manner the provision of collateral.
(2) the original term within 1 year of self satisfaction of trade financing, including open and confirmed letter of credit.
(3) original maturity within 3 months of short-term exposures, including: not in conformity with this subsection (1), standard OTC derivatives trading, margin loans, repurchase transactions and securities lending; risk exposure arising from the securities transaction settlement; cash settlements with telegraphic exposure of foreign exchange settlement risk arising from exposure; short-term loans and deposits, and so on.
(VII) pressure test 1. commercial banks should conduct stress tests on a regular basis.
Stress testing by setting the stress scenarios, investigated effects of certain parameters for risk and capital adequacy, prompting commercial banks in all stages of the economic cycle to hold sufficient capital against risk.
2. commercial bank stress tests should include major retail exposure combinations and retail exposure combination. 3. commercial banks should establish a reasonable flow of stress test. Stress scenarios should include possible events or future changes in economic conditions, these could be of commercial bank's credit risk exposure and adversely affect the ability to resist changes in risk.
Stress testing techniques and methods used should be consistent with the operations of commercial banks. 4. commercial banks according to their own situation, based on historical experience in a targeted manner, select the time period or determining scenarios, build pressure structure. Stress scenarios the time span selected by the commercial banks should conform to the actual situation and theoretical assumptions.
Scenarios should contain a specific assumption of risks under stress scenarios, to reflect recent changes in the market risk of the. 5. commercial bank stress tests should be carried out taking into account the main risk factors are characterized by a probability of default increased counterparty risk, as well as the deterioration of credit spreads.
Commercial banks should grasp the main factors of affecting the debtor's repayment ability, such as economic recession, significant market impact or industry and factors such as liquidity crunch. 6. stress testing include at least a mild recession scenario analysis, ensure that the stress tests are reasonable and conservative.
Among the stress scenarios as provided herein, and commercial banks can choose stress scenarios to assess the specific impact on capital requirements for credit risk.
7. the commercial bank should be calculated under stress scenarios probability of default, loss given default, default key risk parameters such as exposure, and according to these parameters calculation of risk-weighted assets, capital requirements and capital adequacy ratios and other data. 8. internal management needs or regulatory requirements of commercial banks, combined with the macro factors, for a particular portfolio, such as real estate loans, structural stress test.
Stress scenarios, risk factors, assumptions, and overall stress test is different, but needs to explain reasons for adjustments. 9. commercial banks should use the static or dynamic tests, measure the impact of stress scenarios.
Whichever method is used, the commercial banks should consider the following sources of information:
(1) internal data should be able to estimate the rating migration of debtors and debts.
(2) commercial banks should assess the rating of external ratings migration situations, including mapping between external and internal rating rating.
Seven, information systems and data management
(A) information systems 1. commercial banks should set up appropriate information systems, document work processes, collects and stores data that supports the internal rating system of running parameters and risk quantification.
Commercial banks should ensure the reliability, security, and stability of the system.
2. the information system of the commercial bank's internal rating system of governance, development, security, operational and business continuity should be guided by the guidelines on risk management of banking institutions of the relevant provisions of.
(B) data management
1. data of commercial bank's internal rating used should meet the accuracy, completeness and suitability requirements. 2. commercial banks should establish a data warehouse to obtain, cleaning, transformation and storage meet IRB requirements of internal and external data.
Data warehouse is the main internal rating system of data sources and returns the results to the storage system. 3. risk of commercial banks should be established on the basis of data warehouse data mart, internal rating system of model development, optimization, calibration and validation data marts should be based on risk.
Risk data marts are designed to meet the information needs of internal rating definitions and design the data collection should include detailed data on a single customer, debt, as well as industry, region, product portfolio and macro-level data, and so on.
4. commercial banks should ensure the availability of relevant data, data that you use for authentication, and the reproducibility of the output of the rating system, ensure that complete data archiving and maintaining for double counting.
5. the commercial bank should be on data warehouses, data marts, and expansion of the database system to allocate sufficient resources to meet the requirements of internal rating system, ensure that the database extension without the risk of information loss. 6. commercial banks should set up a data management system collects and stores historical data to support the operation of the internal rating system.
Data management system should include the following features:
(1) tracking, maintenance and analysis of retail exposures throughout the life cycle of debtors and debts of key data, including information on past ratings.
(2) for all rating data of non retail exposures, including debtors and debt ratings of important qualitative and quantitative factors.
(3) for retail exposures within a specific time period and the debtor characteristics, historical performance.
(4) for all retail loan data system to develop risk-pool and pool.
(5) the development and improvement of internal rating systems, risk measurement models and the corresponding processes.
(6) measuring regulatory capital requirements.
(7) the formation of internal and public reporting. 7. the commercial bank's internal rating system should be established for data quality control policies and procedures, establish data quality reports, error data mechanism grading reports on data quality issues.
After processing of the raw data, should be able to meet a single point logic test-time continuity and consistency should be able to meet statistical tests, operational test, logic test.
8. commercial banks should be fully recorded into the database data transfer, save and update processes, and detailed documentation.
Eight, internal rating application
(A) basic requirements 1. commercial banks should ensure that internal rating and risk parameters to quantify the results for credit risk management practices.
Commercial Bank's internal rating results and estimates of risk parameters in the risk management policy, credit, capital allocation and governance aspects play an important role.
2. commercial banks should prove to the China Banking Regulatory Commission, internal rating system used, the resulting information, and is used to measure the regulatory capital requirements, information used should be in accordance with credit risk management, including using the same source of information, the same risk factors, consistent ranking structure, consistent risk parameters. If they are inconsistent, the commercial banks should record, disclosure and to account for the differences and rationality of the CBRC, ensure that the difference between the two results in reducing capital requirements.
This is approval of the Banking Regulatory Commission one of the prerequisites for implementation of the internal ratings-based approach.
3. commercial banks should make full use of information produced and used by the internal rating system, internal rating system of continuous improvement.
4. the commercial bank's internal rating and risk parameters of quantitative risk management culture should be an integral part of internal operational and management personnel of commercial banks are widely recognized. 5. before allowed the use of internal ratings-based approach of commercial banks, using the internal rating system shall be not less than 3 years.
This period allows the improvement of the internal rating system in commercial banks.
6. commercial banks using a variety of parameters of internal rating and risk quantification methods, all methods should meet the application requirements of this regulation. 7. the Bank's senior managers, relevant departments should be aware of the internal rating system, rating models and actual application of the ratings.
Among them, involves credit initiation, approval, issue and risk management executives and staff need a thorough understanding of the IRB's application scope and extent. 8. practical commercial bank's internal rating system should be established. Document shall include at least: IRB results quantitative estimates of risk parameters and specific application areas and corresponding supporting files, used to calculate the regulatory capital requirement of internal rating systems and risk management within the difference between the recording, checking and independent audit reports.
Commercial banks should assign special departments responsible for tracking the actual situation, facilitate the supervision and inspection of the CBRC. 9. the internal rating system to the application requirements as provided herein is the approval of the CBRC commercial banks to implement IRB approach one of the prerequisites.
Internal rating system in the following situation shall be deemed not to meet the application requirements:
(1) the internal rating system or try risk quantification model is still in the running.
(2) internal ratings or risk parameter estimates as credit decision or only reference information.
(3) internal ratings and estimates of risk parameters are used only for calculation of credit risk regulatory capital requirements.
10. implement primary internal ratings-based approach of commercial banks, non-retail exposure ratings and estimates of the probability of default by the debtor, retail businesses-risk pools and risk parameter estimates should play an important role in the core application, and reflected in advanced applications.
11. the implementation of the advanced internal ratings-based approach of commercial banks, should prove to the CBRC internal ratings and estimates of risk parameters in the core application and the senior has played an important role in all aspects of the application.
(B) the core application areas
1. the debtor or debt ratings are an important basis for credit approval, the credit policies of commercial banks should be clearly defined debtors or debt ratings are one of the main conditions of credit decisions.
2. Commercial Bank should be directed to the different ratings of debtors or debt using different controls and frequency.
3. commercial banks according to the debtors or debt ratings, set quotas on a single or combination of assets of the debtor.
4. commercial banks according to the debtor and debt ratings as well as industry, regional combinations such as ratings, developed a differentiated credit policy. 5. credit risk Department at least quarterly to the Board of Directors, senior management and other related departments or staff report the debtor and debt rating profiles and change the whole situation.
Commercial Bank's internal reporting system should be clearly defined risk report content, frequency, and objects.
(C) the advanced applications
1. internal ratings and risk parameter estimates should be important for building economic capital model of commercial bank Foundation and an important source of input parameters.
2. the results of internal rating and risk parameter estimates should be determined as commercial banks risk appetite and risk strategy is based.
3. the risk parameter estimates should serve as an important basis for commercial banks ' loan-loss provisioning.
4. risk parameter estimates should serve as an important basis for pricing of commercial bank loans and investment. 5. internal rating and risk parameter estimates should be an important basis for calculating risk-adjusted rate of return on capital.
Commercial Bank's internal rating should be explicitly incorporated the results of performance appraisal policy.
6. parameters of internal rating systems and risk quantification model development and use should help commercial banks to strengthen relevant information systems, configuring adequate risk management and prudent risk management culture formation.
Annex 6: IRB risk mitigation of credit risk regulatory requirements
A, General requirements (A) credit risk mitigation means using qualified commercial banks against collateral, netting, and guarantees and credit derivatives, such as transfer or credit risk reduction.
Commercial banks using the IRB credit risk regulatory capital, credit risk mitigation function of probability of default, loss given default or default risk exposures declined.
(B) credit risk mitigation should be guided by the following principles: 1. the principle of legality.
Credit risk mitigation instruments should be in line with national law, ensure that they are implemented. 2. the principle of effectiveness.
Credit risk mitigation instruments should complete the procedures, compensation and is easy to implement. 3. the prudence principle.
Commercial bank credit risk mitigation instruments should be considered possible risk factors, conservative estimates of credit risk mitigation. 4. the principle of consistency.
If using estimates of commercial bank credit risk mitigation discount factor to meet using the discount factor used all of the credit risk mitigation instruments that the discount factor. 5. the principle of independence.
Credit risk mitigation instruments and the debtor should not have any substantial positive correlation between risks.
(C) the General requirements for the management of credit risk mitigation:
1. commercial banks should carry out effective legal review to ensure recognition and use of credit risk mitigation tools based on clear enforceable legal documents and relevant legal documents shall be binding on the parties of the transaction.
2. Commercial Bank should be expressly agreed upon in the agreement range covered by the credit risk mitigation. 3. commercial banks cannot be repeated taking into account the effects of credit risk mitigation.
Debtor of the credit risk mitigation function only in the ratings, the debt rating or default risk exposure estimates reflect a. 4. commercial banks shall be conservatively estimated the credit risk mitigation instruments and correlation between the risk of the debtor, and consider the currency mismatch, maturity mismatches and other risk factors.
5. the commercial banks should establish clear internal management system, review and processes and establishing appropriate information systems to ensure that credit risk mitigation tool effectively.
Second, qualified against collateral
(A) qualified against collateral including financial collateral, receivable, commercial real estate and residential real estate as well as other against collateral. Primary internal ratings-based approach of commercial banks, in part VI of this Annex provided they found qualified against collateral, and shall at the same time cater for the part (ii) and (iii) the relevant requirements.
Using advanced internal ratings-based approach of commercial banks, may, subject to this part (ii) and (iii) arrived in collateral requirements on its own cognizance, but historical data show that against collateral risk mitigation role.
Asset securitization is not part of qualified financial worth of collateral.
(B) the identification of qualified against collateral requirements:
1. arriving in collateral is the People's Republic of China real right law and the People's Republic of China may accept property or rights under the security law.
2. ownership is clear, and the collateral set with the appropriate legal documents.
3. meet against collateral necessary for the executable, subject to approval by relevant authorities of the State or for registration, should be required to go through the relevant formalities.
4. the existence of an effective treatment against collateral and liquidity of the market, arrived in collateral and you can get a reasonable market price.
5. the debtor's default, insolvency, bankruptcy or other credit event as agreed in the loan contract, commercial banks against collateral of the debtor timely liquidation or disposal.
(C) commercial banks against collateral management system should be established, including a sound system, valuation methods, management processes and the corresponding information systems:
1. commercial banks against collateral management system should be established, clearly qualified against collateral type, offset, offset mortgage rate collateral valuation method and frequency, against collateral monitoring arrived in collateral recovery and disposal and other related requirements. 2. arriving in collateral valuation should adhere to the principles of objectivity, independence and discretion, assessment shall not exceed the current fair market value. Commercial banks against collateral should be established to assess the value of the audited programs and against fluctuations in the value of the collateral properties revaluation method and frequency of market volatility should be revalued.
Revaluation on commercial real estate and residential real estate at least once a year.
3. commercial banks against collateral investigation and review process should be established to ensure against pledges real, legitimate, effective, and timely and effective collection arrives in collateral proceedings. 4. commercial banks against collateral monitoring on a regular basis, and urged the pledgor arrived in pledge or mortgage holder in accordance with the terms of the contract for meeting its obligations. On gains against collateral assessment should reflect the lien takes precedence over Bank compensation range and influence, and continuous monitoring.
Fully insured commercial banks should ensure that collateral, and prevent the use of reasonable use of collateral mortgage leads to reduction in its value.
5. If arriving in collateral held by the Trustees, the commercial banks should ensure that arrived in collateral is managed separate from its own assets, managed asset and physical dynamics effectively with account management.
6. commercial banks against collateral management information system should be established, arrived in the collateral's name, quantity, quality, location, ownership, and other basic information, arrives in collateral valuation method, frequency, time, and arrived in collateral relationship and debts, as well as the inward disposition of collateral recovery of records and information management.
7. commercial banks found that inventory for eligible credit risk mitigation instruments, except those that meet the aforementioned requirements of 1 to 6, risk monitoring inventory to establish the following procedures:
(1) ensure the custodial inventory warehousing company or the spot market have legal qualifications, good business reputation, perfect management system, professional management equipment and technology and qualified management personnel, as well as efficient access to database information system. (2) the full analysis of market supply and demand and market prospects, determine a stock's market value. Inventory valuation by lower of cost and market value.
Unsalable, backlog, sales, assessments should be determined according to its net recoverable value.
(3) to conduct regular physical inventory checks.
8. commercial banks found that accounts receivable for qualified credit risk mitigation instruments, except those that meet the aforementioned requirements of 1 to 6, risk management also needs to meet the following requirements:
(1) when determining the value of the accounts receivable shall be deducted for bad debts. (2) establishing accounts receivable credit risk the process of recognition, including the regular analysis of the debtor's business, financial conditions, industry conditions, type of the debtor of the receivable.
Determined by borrower accounts receivable risk in commercial banks, should examine the rationality of the borrower's credit policy and credibility. (3) establish monitoring and control system of receivables, aging reports, trade documents, including the controls, to the control of the proceeds of payment accounts, concentration, and so on.
Commercial banks should also periodically check the loan contract compliance, environmental restrictions and other legal requirements. (4) the commercial banks shall be in writing and provides clearing accounts receivable procedures, such as a borrower's financial difficulties or default, the commercial banks shall be entitled without consent of the debtor of the accounts receivable, sale or transfer of the pledge of receivables.
Even under normal circumstances through the borrower to collection of accounts receivable, it should formulate a comprehensive recovery measures.
9. finds that rental assets of commercial banks credit risk mitigation instruments, should fully take into account the residual value of the leased asset at risk. (D) commercial banks must ensure that adequate resources, over-the-counter derivatives and securities financing counterparty margin agreements are effectively implemented. Is the effective implementation of the measure is to issue additional margin requirement of timeliness, accuracy, and received additional margin calls when the timeliness of responses.
Banks must have arrived in collateral management policies to control, detect and report:
1. margin agreement to bring exposure (such as against volatility and liquidity of collateral securities).
2. specific against the pledged commodity divisions concentration risk.
3. arriving in collateral (cash and non-cash) use, including against collateral with counterparties of the potential shortage of liquidity risk.
4. will visit the pledge collateral to counterparties and give up rights.
(E) the primary internal ratings-based approach of commercial banks, financial collateral, credit risk mitigation role reflects the adjustments to standard default loss, adjusted loss given default for:
LGD*=LGD×(E*/E)
Of which:
LGD is considered collateral before, priority unsecured exposure standard loss given default rate;
E is the current value of the exposure;
E* after credit risk mitigation risk exposure.
E*=max{0,[E×(1+He)-C×(1-Hc-Hfx)]}
Of which:
He as a discount factor of risk exposure;
C is the current value of the financial collateral;
Hc as a discount factor of financial collateral;
Hfx for dealing with financial collateral and a discount factor of currency mismatch risk exposure.
If financial collateral is a basket of assets, the basket of assets the discount factor is calculated by H= ∑ iaiHi, AI's share in the basket for the asset, Hi for the discount rate of the asset. Commercial banks can estimate the discount factor He, Hc and Hfx, can also adopt the standard discount rate given in the annex, He and Hc standard discount factor to see the 7th.
Daily marking to market, daily adjustment margin and when the minimum holding period of 10 trading days, Hfx's standard discount is 8%; to different minimum holding period or frequency of transactions should be in accordance with the provisions of this annex to the 7th adjustment Hfx. Own estimates the discount factor of commercial banks should confirm the discount factor to estimate rationality, and approval of the CBRC.
Commercial banks should be individually estimated financial collateral or the discount factor of currency mismatch, estimates may not be considered unprotected exposures, against collateral, and Exchange correlation. (Vi) credit risk mitigation instruments than when the current exposure of short duration, commercial banks should consider the effect of maturity mismatch.
When there is a maturity mismatch, if original term of credit risk mitigation instruments less than 1 year or remaining term of less than 3 months, you do not have credit risk mitigation role.
1. recognition of credit risk mitigation instruments maturity mismatch adjusted according to the following formula:
Pa=P×(t-0.25)/(T-0.25)
Of which:
Pa for maturity mismatch-adjusted value of the credit risk mitigation;
P is adjusted for maturity mismatch on a discount factor adjusted before credit risk mitigation value;
T is the exposure of the remaining term of between 5 and smaller value, expressed in years;
T to the remaining maturity of the credit protection and the t between the smaller value, expressed in years.
2. the maturity mismatch of provisions also apply to netting, guarantees and credit derivatives. (G) the primary internal ratings-based approach of commercial banks, accounts receivable, commercial real estate and residential real estate and other credit risk mitigation against collateral effect reflects the loss given default rates down, fall arrived in collateral depends on the current value and current value ratios and risk exposure against pledge level.
When you use a single against collateral, LGD is determined as follows:
1. arriving in collateral value and exposure value is lower than the minimum rates of inward current pledge levels, equating non-against pledge processing, using standard default loss rate.
2. arriving in collateral value and exposure to current value ratios exceed the excess against the pledged level of loan, use the appropriate minimum loss given default rates. 3. arriving in collateral value and exposure to the current ratio between minimum offset of the value of pledge levels and excess arrived pledge levels, exposures should be divided into full against pledge and pledge of no inward parts.
Arriving in collateral value divided by excess arrived arrived in full pledge levels obtained for exposure part of the pledge, which arrives in minimum LGD for collateral; the remainder of the exposure as a pledge of no inward, using standard default loss rate.
Arrived in collateral for different levels of minimum cover pledge arrived in pledge, premium levels, and minimum loss given default rates are shown in table 1:
Table 1 primary IRB priority pledge of debt has arrived in parts of LGD
┌────────────┬───────┬───────┬───────┐
Minimum LGD │ │ │ │ arrived pledge minimum level excess against the pledged level of │
├────────────┼───────┼───────┼───────┤
│金融质押品 │ 0％ │ 0％ │ 不适用 │
├────────────┼───────┼───────┼───────┤
│应收账款 │ 35％ │ 0％ │ 125％ │
├────────────┼───────┼───────┼───────┤
Commercial real estate and residential real estate │ │ 35% │ │ 140% │
├────────────┼───────┼───────┼───────┤
Arrived in collateral │ │ 40% │ │ 140% │
└────────────┴───────┴───────┴───────┘ (VIII) the primary internal ratings-based approach of commercial banks, using a variety of forms when secured against collateral of the same exposure, risk exposure needs to be split into arrived in collateral covered by different parts of, respectively, to calculate risk-weighted assets. Split by financial collateral, accounts receivable, commercial real estate and residential real estate, and other against collateral in the order.
Financial collateral risk exposure value after processing into fully by a pledge of accounts receivable part, entirely by commercial real estate and residential real estate mortgage part, entirely by the other against collateral guarantees and pledge of no inward parts.
In identifying eligible financial collateral and pledge of receivables after, several other against collateral value of total and reduced risk exposure ratio is lower than the value of 30%, arrived in pledge loans counterpart without using standard default loss if the ratio is higher than 30%, then arrived in collateral to completely cover the part of the corresponding minimum LGD are used. (I) using advanced internal ratings-based approach of commercial banks against collateral of credit risk mitigation role embodied in loss given default values.
Should be based on estimates of commercial banks against collateral recovery, arrived in collateral covered by the exposure estimated loss given default rates, respectively.
Third, qualified netting
(A) the identification of qualified netting requirements:
1. have a legally enforceable netting agreements, in the case of counterparty becomes insolvent or bankrupt can be implemented.
2. in any case, can determine the same counterparty netting under the contract of the assets and liabilities.
3. on the basis of the net position monitoring and control of risks associated with exposure.
(B) qualified netting included in the table are valid netting agreement netting, from repo transactions belonging to the master netting agreement netting, subordinate to the effective netting agreement netting of OTC derivatives. (C) qualified net settlement of sustained-release of commercial banks credit risk, should continue to monitor follow-up and control risks, and on the basis of the net position related to the monitoring and control of risk exposure.
Using advanced internal ratings-based approach of commercial banks, should establish procedures for estimating default risk of off-balance sheet items exposed, it is estimated that each off-balance sheet items by default risk exposure.
(D) commercial banks using the IRB, risk mitigation effect of netting in the table reflects the decline of default risk exposure, E* and according to the following formula to calculate the net risk exposure:
E*=max{0, indebtedness in the risk exposure of the table-a table x (1-Hfx)}
Of which:
Table risk exposure and indebtedness in the table for the commercial banks under the same counterparty netting agreements effectively balance sheet assets and liabilities;
Hfx-table exposure and indebtedness in the table if there is a currency mismatch of discount coefficient.
(V) subordinate to the master netting agreement for repo transactions, repurchase financial assets may be viewed as financial collateral applicable to part II of the annex (v) related provisions can also be subject to this section (a) the requirements under netting for processing. 1. commercial banks respectively, bank accounts and trading accounts should be subject to netting.
Only when all transactions daily marking to market and pledge tool are eligible financial collateral on bank accounts, bank account net positions between the trading account and can only be handled by the netting.
2. when using netting to repo transactions of commercial banks, exposure to default risk calculated according to the following formula:
E*=max{0,[(∑(E)-∑(C))+∑(Es×Hs)+∑(Efx×Hfx)]}
Of which:
E* after credit risk mitigation risk exposure;
E is the exposure value;
C to accept the current value of the collateral;
Es for a given net of securities positions absolute values;
Hs as applicable to the discount factor;
Efx for the liquidation net currency position of the absolute value of currency mismatch;
Hfx discount factor for currency mismatches. 3. meet the requirements of the internal market risk model commercial banking, you can consider the relevance of equity positions, calculated using value-at-risk model in repurchase transactions risk exposure and collateral prices fluctuate.
Calculated using value-at-risk models risk exposure of banks, the formula is:
E*=max{0,[(∑E-∑C)+VaR]}
Of which:
Value-at-risk VaR for the previous trading day.
Law requires commercial banks do not meet the internal market risk model, can be applied to the CBRC separately calculated using internal value-at-risk model in repurchase transactions risk exposure and potential price volatility of the collateral and use the last 250 trading days of data for back testing results, proved that the model quality.
(F) the net settlement of commercial banks in the use of OTC derivatives credit risk mitigation, and net counterparty risk exposure for the current exposure NET and potential exposure net of:
1. NET net current exposure of marking to market replacement cost and the larger value between 0.
2. the potential exposure NET ANet, by calculating from the equation:
ANet=0.4×AGross+0.6×NGR×Agross
Of which:
Agross netting agreement under the same net amount of potential exposure to counterparty to all contracts, and is equal to the principal of the contract multiplied by the corresponding coefficients for each transaction the sum of coefficients, see annex 8 to this approach; NGR replacement cost for netting agreements NET and gross replacement cost ratio. Upon approval of the CBRC, NGR can be based on either a single counterparty, or based on netting agreements covering all transactions.
Without the approval of the CBRC, commercial banks must not change the calculation method.
Commercial banks can use standard method or the internal model method for calculating net counterparty risk exposure, but should be approved by the China Banking Regulatory Commission.
Four, compliance assurance and credit derivatives (A) the primary internal ratings-based approach of commercial banks, should be in accordance with the provisions of part VI of this annex compliance assurance and scope of credit derivatives, and should cater for the part (ii) and (iii) the identified requirements.
Using advanced internal ratings-based approach of commercial banks, qualified credit derivatives the same range as the primary internal ratings-based approach to meet this part (ii) and (iii) requirements can be found on their own compliance assurance, but historical data prove that guarantees risk mitigation functions.
(B) eligible guarantees must meet the minimum requirements: 1. the suretyship shall be consistent with the People's Republic of China security law provides that debts paid off the loan principal and interest.
Using advanced internal ratings-based approach of commercial banks, no restrictions on category of qualified guarantors, type should be specified in writing the guarantor of standards and processes.
2. the guarantee shall be in writing, and the guaranteed amount during the term of guarantee is valid. 3. the primary internal ratings-based approach of commercial banks, guarantees must be unconditional irrevocable.
Using advanced internal ratings-based approach of commercial banks, allowing the conditions to ensure, should fully take into account the potential effects of credit risk mitigation to reduce. 4. the guarantor of commercial bank credit approval status and compensation, appraisal, ensure reliability.
State in which the guarantor or the State of registration no foreign exchange controls should be set if foreign exchange controls, commercial banks should ensure that the guarantor the debt, the funds out of import approval can be obtained.
5. the archives information management of the commercial banks should strengthen the surety, in ensuring the effective period of the contract, shall be periodically guarantor's credit status and compensatory ability and ensure contract compliance checks at least once a year.
6. affiliated banks or groups of mutual insurance and cross-guarantees should be strictly controlled, has real risk guarantee should not be used as qualifying credit risk mitigation instruments.
7. after the capital requirements for credit risk mitigation tools not less direct exposure to the guarantor's capital requirements. (C) when the credit default swaps and total return swaps to provide credit protection and assurance are the same and can be used as qualifying credit derivatives.
In addition to this section (ii) requirements, sustained-release the use of certified credit derivatives credit risk should also meet the following requirements:
1. the credit protection must be provided by credit derivatives are direct liabilities of credit protection provider.
2. unless due to purchased credit protection reasons, otherwise the payment obligation specified in the contract is irrevocable.
3. credit derivatives credit events specified in contracts shall include at least:
(1) No appointment basis in fulfilment of payment obligations in full and final payment of the debt, and after the applicable grace period, is not correct.
(2) the debtor's bankruptcy, insolvency or inability to pay the debt, or writing is unable to pay debts, and other similar events. (3) for principal, interest, fees reduced or delayed payment on the underlying debt restructuring as a result of a credit loss event.
Not when a debt restructuring as a credit event, in accordance with the provisions of this part of the 9th finds credit risk mitigation role.
4. before the grace period provided for in default, base cannot pay the debt does not result in termination of credit derivatives. 5. allow cash settlement of credit derivatives, should have a strict assessment procedures in order to accurately estimate the losses.
Assessment procedures should be clear after the occurrence of a credit event gets the underlying debt value required.
6. If the settlement of credit derivatives for credit protection buyer based transfer debts to credit protection provider, based in terms of the debt should be clearly no reason for this type of transfer authorizations may not be revoked. 7. it should be clearly responsible for determining whether a credit event occurs.
Credit protection buyer must have the power and ability to inform credit protection provider a credit event occurs.
8. credit derivative tool based debt items and for determine credit event of reference debt items Zhijian of wrong distribution in following conditions Xia is was accept of: reference debt items in level Shang and based debt items similar or than its grade more low, while reference debt items and based debt items of debtor same, and must to has law can forced implementation of cross default or cross accelerated repayment terms. 9. credit derivatives do not cover debt restructuring situations, but meets the aforementioned requirements of 3 to 8, some recognized credit derivatives risk mitigation role. As the amount of credit derivatives does not exceed the amount of underlying debt, credit derivatives part of the cover for the amount of the credit derivative 60%.
Such as credit derivatives of the basis amount is greater than the amount of the debt, credit derivatives to cover part of the debt based on the upper limit of the amount of 60%.
(D) using advanced internal ratings-based approach of commercial banks, you can adjust the estimate of the probability of default and loss given default rates to reflect the guarantees and credit derivatives credit risk mitigation; does not meet its own estimated loss given default rate requirements of commercial banks, only by adjusting the default probabilities reflect the effects of credit risk mitigation.
Adjust the probability of default and loss given default rate, commercial banks should ensure that a certain period of different guarantees or credit derivatives between consistency of approach.
(E) the primary internal ratings-based approach of commercial banks, guarantee or credit derivative exposures covered by some alternative method to handle:
1. ensure the provision of the applicable risk weight function. 2. the ratings correspond to the probability of default by the guarantor.
Such as commercial banks cannot completely replace the handles, or in debtor rating a rating with the rating of the guarantor's default probability. 3. exposure to risk exposure as a guarantor of, standard loss given default rates.
As guarantor to the amount guaranteed by the other risk mitigation instruments may continue to make adjustments to the standard loss given default rates.
4. If the currency of the credit protection and risk exposure is different, the currency mismatches are identified to protect part of the exposure will be reduced by the discount factor Hfx.
Ga=G×(1-Hfx)
Of which:
Ga for currency mismatch-adjusted credit protection covering the risk of exposure;
G for the protection of part of the nominal amount;
Hfx for credit protection and the discount factor corresponding liabilities currency mismatches.
(Vi) using advanced internal ratings-based approach of commercial banks, guarantees or credit derivatives covering part of the substitution method may be used; or in debtor's default probability and Bank's internal estimate of the loss given default of such provision of guaranteed exposure. In both methods, the adjusted probability of default and loss given default rates may not reflect "double default" effects.
Based on estimated loss given default method to calculate the capital requirements for direct exposure of the guarantor shall not be less than the capital requirements. (VII) the same exposure is provided by two or more sureties to ensure, and does not divide liability cases, junior internal ratings-based approach is not taking more than one guarantor credit risk mitigation.
Commercial banks can choose to credit the best, credit risk mitigation effect the best guarantors for credit risk mitigation.
Using advanced internal ratings-based approach of commercial banks, if historical data to show that same risk exposure while simultaneously by multiple sponsors to ensure credit risk mitigation effect is larger than a single guarantee, you can consider the effect of sustained-release each guarantor risk, loss given default rates down.
Five, credit risk mitigation tool pool (A) single exposures when there are multiple credit risk mitigation instruments, using primary internal ratings-based approach of commercial banks, exposure should be broken down into each credit risk mitigation instruments covering part of the calculation of risk-weighted assets, respectively.
Such as credit protection provided by a credit protection, but there are different terms, should also be broken down into several separate credit protection. (B) using advanced internal ratings-based approach of commercial banks, takes the same exposures used credit risk mitigation instruments.
Using this method of commercial banks should prove the validity of the risk covered in this way, credit risk mitigation instruments and establish a reasonable multiple of handlers and methods.
Six qualified, primary under the IRB credit risk mitigation instruments
Table 2 primary under the IRB qualified credit risk mitigation instruments
┌──────────┬─────────────────────────────────┐
│ 信用风险缓释工具 │ 种类 │
├────┬─────┼─────────────────────────────────┤
Arrived in financial collateral collateral │ │ │ (a) sealed with a special household, gold or margin after specific cash │
│ │ │（二）黄金； │
│ │ │（三）银行存单； │
│ │ │（四）我国财政部发行的国债； │
│ │ │（五）中国人民银行发行的票据； │
│││ (Vi) of China's policy banks and commercial banks, public sector entities to issue bonds, notes, and d/│
│ │ │的汇票； │
│││ (VII) financial asset management companies to buy bonds issued by State-owned banks directed; │
│││ (VIII) other national or regional Governments and their central banks, the Bank for international settlements and the International Monetary Fund group │
│││ Weaving BB-issued by multilateral development banks (including the BB-) above the level of bonds issued by other entities │
│││ BBB-(BBB-) above the level of bond rating in A-3/P-3 (A-3/P-3) over the short term │
│ │ │债务工具； │ │││ (I) has no external rating, but at the same time bond that meets the following criteria: │
│ │ │1.银行发行 │
│ │ │2.交易所交易； │
│ │ │3.具有优先债务的性质； │
│ │ │4.具有充分的流动性； │
│││ 5. Although there is no external rating, but the bond issuer the same level the external rating of BBB-(including │ │││ BBB-) or A-3/P-3 (A-3/P-3).
│
│││ (X) publicly traded stocks and convertible bonds │
│││ (11) law may be pledged with the cash value of life insurance policies or similar financial products │ │││ (12), investing in these financial instruments can transfer fund shares and fund public offers every day.
│
│ ├─────┼─────────────────────────────────┤
│ │ │ Accounts receivable not exceeding 1 year of the original term financial receivables: │
│ │ │（一）销售产生的债权； │
│ │ │（二）出租产生的债权； │
│ │ │（三）提供服务产生的债权； │
│││ Qualified does not include accounts receivable and securitization, secondary participation or credit derivatives-related accounts receivable │ │ │ │款。
│
├────┼─────┼─────────────────────────────────┤
│ │ │ Commercial real estate (a) legally entitled to dispose of State-owned land and above-ground commercial, residential buildings, excluding industrial │
│ │和居住用房│用房； │ │ │ │ Real estate (b) transfer made for the construction of commercial housing residents or housing land use rights.
│
├────┼─────┼─────────────────────────────────┤
Arrived in pledging │ │ │ other financial collateral, accounts receivable, commercial real estate, residential real estate, upon approval of the CBRC │ │ │ │ Complies with credit risk mitigation tool identification and management requirements against collateral.
│
├────┴─────┼─────────────────────────────────┤
│净额结算 │（一）表内净额结算； │
│ │（二）回购交易净额结算； │ │ │ (C) OTC derivative instruments and credit derivatives trading account netting.
│
├──────────┼─────────────────────────────────┤
│ Guarantee │ (a) risk weight lower than the counterparty's sovereignty, financial institutions, companies and other entities │
│ │ (B) if the credit protection specifically for asset securitization risk exposures, the entity's current external credit │
│ │ Rating above BBB-(inclusive), and in providing the credit protection external credit rating of a-or above │ │ │（含）。
│
├──────────┼─────────────────────────────────┤
│信用衍生工具 │（一）信用违约互换； │ │ │（二）总收益互换。
│
└──────────┴─────────────────────────────────┘
If there is no corresponding external rating, commercial bank's internal rating results can be mapped to an external rating to determine the eligibility of credit risk mitigation instruments, but the mapping should be approved by CBRC.
Seven, junior IRB financial collateral standard discount factor
(A) He and Hc standard discount rate (%, assuming daily marked to market daily adjustment margin and a holding period of 10 trading days):
Table 3 He and Hc standard discount factor
┌────────────────┬──────┬───────┬─────┬─────┐
│ │ Terms │ sovereignty remaining issued (excluding public securitization of other Publisher │ │ risk │
│ │ │部门实体） │ │暴露 │
├────────────────┼──────┼───────┼─────┼─────┤
│ China's Treasury bond issue, Chinese silver ≤ 1 year ¦ 0.5 1 │ │ │
│ Notes, China's policy banks, public ├------┼--------┼------┼ ─ ─ ─ ┤
│ Sector entities, bonds issued by commercial banks, a total │ 1 year ≤ 5 years ¦ 2 ¦ 4 ¦ ¦
│票据和承兑的汇票 ├──────┼───────┼─────┼─────┤
│ │ 〉5年 │ 4 │ 8 │ │
├────────────────┼──────┼───────┼─────┼─────┤
│ │ ≤1年 │ 0.5 │ 1 │ 2 │
│ ├──────┼───────┼─────┼─────┤
│AAA至AA-A-1 │〉1年，≤5年│ 2 │ 4 │ 8 │
│ ├──────┼───────┼─────┼─────┤
│ │ 〉5年 │ 4 │ 8 │ 16 │
├────────────────┼──────┼───────┼─────┼─────┤
│ │ ≤1年 │ 1 │ 2 │ 4 │
│ ├──────┼───────┼─────┼─────┤
│ │〉1年，≤5年│ 3 │ 6 │ 12 │
│ A+ to BBB-/A-2/A-3/P-3/and meet ├------┼--------┼------┼ ─ ─ ─ ┤
Annex 6th │ financial collateral (VIII) is not │││││
│评级债券 │ 〉5年 │ 6 │ 12 │ 24 │
│ │ │ │ │ │
│ │ │ │ │ │
├────────────────┼──────┼───────┼─────┼─────┤
│ BB+ BB-│ terms │ not unqualified 15 │ │ unqualified │
├────────────────┴──────┼───────┴─────┴─────┤
│ With a cash value of life insurance policies or similar financial products ¦ 10 ¦
├───────────────────────┼───────────────────┤
│ Main index equities, convertible bonds and gold ¦ 15 ¦
├───────────────────────┼───────────────────┤
│ Other equities, convertible bonds listed on recognized exchanges │ 25 │
├───────────────────────┼───────────────────┤
│ │ Transferable funds share Fund invests in financial instruments the highest discount factor │
├───────────────────────┼───────────────────┤
│ Same currency cash, bonds or other similar tool │ 0 │
└───────────────────────┴───────────────────┘
(B) for different holding periods, non-marking, non-daily adjustments at the margin or discount factor adjustment Calculating collateral discount factor into repo transactions, other capital markets transactions and mortgages in three transactions.
Each transaction the discount factor depends on the assessment of the frequency and the minimum holding period trading.
Table 4 minimum holding period
┌─────────────┬─────────────┬────────────┐
│ 交易类型 │ 最低持有期 │ 条件 │
├─────────────┼─────────────┼────────────┤
│ │ │ Repurchase type transactions 5 trading days adjusting the margin on the day │
├─────────────┼─────────────┼────────────┤
│ │ │ On 10 trading days to adjust other capital markets transactions guarantee │
├─────────────┼─────────────┼────────────┤
│ │ │ 20 trading days on revaluation of mortgage loans │
└─────────────┴─────────────┴────────────┘
If the term is not 10 days, or is not a standard provisions in the daily revaluation adjustment or discount factor, depending on the transaction type and frequency adjusted discount factor:
(Formulas, see manuscript)
Of which:
H is the discount factor;
H10 is a minimum holding period of 10 days for the standard discount rate;
NR for the capital markets trading margin adjustment or actual trading days in the interval of the revaluation of mortgage;
TM for the minimum holding period for the deal.
(C) conditions of discount coefficient of zero
1. for repo transactions that meet the following criteria, core market participant and counterparty to, the corresponding discount factor for 0%:
(1) the exposure and the collateral are cash or AA-(or more) securities issued by sovereign.
(2) the exposure and the collateral valuation in the same currency.
(3) trading overnight, or risk exposure and collateral is marked to market, and on the day of the day adjusting margin.
(4) the counterparty fails to adjust the margin and the counterparty is not adjusted margin last time marking to market needs with the collateral liquidation period of no more than 4 days.
(5) trading through the settlement system applicable to this type of delivery.
(6) contract file is a standard market documentation on securities repurchase transactions.
(7) document specifies that, if the counterparty is not required to pay in cash, securities, bonds, or default, transaction terminated with immediate effect.
(8) as a result of events of default, not under the influence of no solvency or insolvency of the counterparty, commercial banks have absolutely, legally enforceable and liquidation of collateral powers.
2. the core market participants include:
(1) the sovereign central banks and policy banks.
(2) commercial banks.
(3) meet the capital or leverage requirements and regulated mutual funds.
(4) under supervision of pension funds.
(5) the recognized clearing organizations.
Annex 7: professional charging rules for credit risk weighted assets
A, General requirements
(A) commercial banks using the IRB, professional internal loan rating system should be consistent with the approach set out in annex 5 of the internal rating system of regulatory requirements.
Exposed in the estimation of default risk and should take fully into account the debtor's default, to facilitate the loan of assets formed by impact of operational and continue to make loans to ensure that risk estimates of prudential.
In estimating the probability of default, should also pay attention to the different phases of the project changes in the probability of default, and default probability relationship between exposure and effect on the calculation of risk-weighted assets.
(B) the mapping method of commercial bank loans to the professional supervision, should be in accordance with the provisions of these measures risk weights and expected professional loan loss ratio calculation of risk-weighted assets and the expected losses.
(C) the mapping method of supervision of commercial banks, should meet the following requirements:
1. professional loan using one dimensional rating rating should be taking into account the debtor's features and characteristics of debt, and the correlation between the two, a direct reflection of expected losses.
2. in accordance with this approach requires setting non-default level and default levels.
(D) commercial banks loans to the professional one class or more regulatory mapping method is used, the other subclass using the IRB, but not at the same time for the same exposure using different methods of a subclass.
(E) the mapping method of supervision of commercial banks, professional loan internal rating criteria are inconsistent with the regulatory standards, record the difference between the two, and to explain the differences and rationality of the CBRC.
Second, regulatory mapping method of the main considerations
Mapping method of supervision of commercial bank, specializing in credit rating should consider the following factors: (A) the rating of project financing should take into account the financial, political and legal environment, transaction characteristics, the project sponsor or the debtor five factors such as strength and security arrangements.
Project finance regulatory rating criteria shown in table 1. (B) the financing rate should take into account the financial, political and legal environment, transaction characteristics, operational risk, asset characteristics, the project sponsor strength and security arrangements, and seven factors.
Financing of regulatory standards is shown in table 2. (Iii) commodity finance rating should consider the financial situation, political and legal environment, asset characteristics, project sponsors five factors such as strength and security arrangements.
Commodity finance regulatory standards is shown in table 3. (D) income-producing real estate rating should consider the financial situation, characteristics, the project sponsors or developers power and security arrangements in four aspects.
Income-producing real estate regulatory standards is shown in table 4.
Third, supervisory ratings and external rating mapping Mapping method of supervision of commercial banks, professional loan internal ratings should be mapped to "excellent", "good", "", "poor" and "default" five supervisory ratings.
Commercial banks should refer to the external and internal rating rating mapping mapping relations, supervisory ratings and external rating, ensuring that regulation rating mapping between the IRB and the consistency and stability. (A) regulate the rating "excellent", the corresponding external rating BBB-(included).
Referring to loans arising from the formation of future cash flow and stable, strong market competitiveness and sponsors, and to implement a comprehensive security arrangements, even in a sustained and serious economic and industry issues, loan principal has been able to repay their debts. (B) regulate the rating "good", the corresponding external rating BB + or BB.
Referring to loans arising from the formation of future cash flow and stable, market competitiveness and promoter strength is good, and the implementation of a comprehensive security arrangements, but face continued, serious problems in the economy and industry, borrowed body may not be able to pay their debts. (C) rated "medium", the corresponding external rating BB-or B+.
Referring to loans arising from the formation of future cash flow, but the General market competitiveness and promoter strength, flaw in security arrangements, cash flow is not steady enough, borrowed a weak ability to withstand economic downturns and fluctuations. (D) regulate the rating of "poor", the corresponding external rating b to c-.
Refers to loans by the formation of the future cash flows arising from uncertainty, market competitiveness and promoter strength is weak, borrowed solvency depends to a large extent the economic situation and market demand improves, otherwise borrowed the principal may default. (E) the supervisory ratings of "default" mapping does not apply to external ratings.
In accordance with the methods set out in annex 5 definitions of default, loans have defaulted.
Four, supervisory ratings correspond to the risk weights
(A) professional loan 5 supervisory ratings correspond to a specific risk weight, as follows:
1. regulate the rating "excellent", the risk weighting of 70%.
2. regulate the rating "good", the risk weighting of 90%.
3. regulate the rating "in the" risk weight is 115%.
4. regulate the rating of "poor", the risk weighting of 250%.
5. the supervisory ratings of "default", the risk weighting of 0%.
(B) If a commercial bank or banking regulatory Commission believes that income-producing real estate loan real estate rental income, sales or land revenue volatility, could increase the risk weights:
1. regulate the rating "excellent", the risk weighting of 95%.
2. regulate the rating "good", the risk weighting of 120%.
3. regulate the rating "in the" risk weight is 140%.
(C) a professional loan, one of the following conditions, supervisory ratings of "excellent" risk weights 50%; supervisory ratings of "good" risk weights for 70%:
1. loans remaining maturity less than 2.5 years.
2. the regulator finds that credit more carefully than the regulatory standards and classification standards.
Five, regulatory rating corresponds to the expected loss ratios
(A) professional loan 5 supervisory ratings correspond to a specific percentage of expected losses, as follows:
1. regulate the rating "excellent", expected loss ratio is 0.4%.
2. regulate the rating "good" expected loss ratio is 0.8%.
3. regulate the rating "in the" expected loss ratio is 2.8%.
4. regulate the rating of "poor" and expected loss ratio is 8%.
5. the supervisory ratings of "default", expected loss ratio is 50%.
(B) in accordance with professional loan, one of the following conditions, supervisory ratings of "excellent" 0% of expected losses, supervisory ratings of "good" expected loss ratio of 0.4%:
1. loans remaining maturity less than 2.5 years.
2. the regulator finds that credit more carefully than the regulatory standards and classification standards.
VI other provisions Table 1, table 2, table 3 and table 4 of this annex part.
Of which:
Table 1: project financing regulatory classification standards
Table 2: financing regulatory standards
Table 3: commodity finance regulatory standards
Table 4: income-producing real estate regulatory standards
Table 1 regulatory rating standards for project financing
┌────────────────────┬────────────┬─────────────┬─────────────┬────────────┐
│ │ 优 │ 良 │ 中 │ 差 │
├────────────────────┼────────────┼─────────────┼─────────────┼────────────┤
│财务状况 │ │ │ │ │
├────────────────────┼────────────┼─────────────┼─────────────┼────────────┤
│ │ │ Directly or indirectly only a few on the market only a few on the market directly or indirectly competing │││
│ │ │ Competitors or projects on location, cost or project location, cost or technical │ │ not on project location, cost or technical project in the location, cost or technical │
│ │ Technical or market and competitive position with substantive and durable │ operation has a strong advantage, but has advantages-│ │ weaker than average │
│ │ Benefits │ │ positioned as a competitor in the market won't last │ no clear market positioning │
│ │ │ Top competitors in the market's position on market positioning as a first-class competitor │ │ poor market demand full and stable market demand and declining │
│ │市场需求较强并继续上升 │市场需求较强并稳定 │ │ │ ├────────────────────┼────────────┼─────────────┼─────────────┼────────────┤
│ Financial ratios (for example, debt protection ratios (DSCR) and │ relative to the degree of project risk, │ relative to the degree of project risk, money ¦ relative to the degree of project risk, money ¦ relative to the degree of project risk, │
│ Protection ratio (LLCR), guarantees of the project period ratio (PLCR) and │ financial ratios, economic prospects are extremely │ works between the ratio of health and General, │ service │ ratios in line with standard financial ratios weak │
│债务／资本比率） │看好 │经济前景看好 │ │ │
├────────────────────┼────────────┼─────────────┼─────────────┼────────────┤
│ │ When sustained economic and industry, facing General │ │ when economic and industry project is vulnerable to economic cycles in the common negative │ │ │ │ Pressure analysis of the problem, when the project can still repay │ project can pay down the debt.
Only when │ effects may in a normal trough │ if the situation does not improve, the project may be │
│ │债务 │经济发生严重问题时，项目才│违约 │违约 │
│ │ │可能违约 │ │ │
├────────────────────┼────────────┼─────────────┼─────────────┼────────────┤
│融资结构 │ │ │ │ │
├────────────────────┼────────────┼─────────────┼─────────────┼────────────┤
│ Loan duration and the duration of the project compare Super │ │ the useful life of the project the project's useful life exceeds loan │ │ the useful life of the project more than loans the useful life of the project may be │
│ │过贷款期限 │期限 │期限 │于贷款期限 │
├────────────────────┼────────────┼─────────────┼─────────────┼────────────┤
│ │ │ │债务本息分期均衡偿还，但有│到期一次性偿还，或债务本│
│ │ Debt principal and interest loan amortization plan phases equilibrium balance reimbursement │ service │ debt principal and interest staging a small part due a one-time reimbursement │ making regular payments are of equal value, but there are very big │
│ │ │ │ │部分到期一次性偿还 │
├────────────────────┼────────────┼─────────────┼─────────────┼────────────┤
│政治、法律环境 │ │ │ │ │
├────────────────────┼────────────┼─────────────┼─────────────┼────────────┤
│ Project type and risk mitigation of political risk, │ is a low risk, available │ risk low risk, availability of risk mitigation │ risk is not high, sustained │ available risk high risk, lack of available │
Transfer │ │ including risk mitigation instruments feature excellent function │ │ tool release tool features │ risk mitigation tools in general or its less powerful │
├────────────────────┼────────────┼─────────────┼─────────────┼────────────┤
│ │ Projects (mainly export-oriented │ projects of national importance, Government-supported drive │ project does not have a strategic significance, but no │ project is not important to the country, the Government does not │
│ Government support and the project in the long term the country's important │) to countries with significant strategic high │ │ doubts in favour of the Government, the Government may not be │ support or weak support │
│ │意义，政府强有力的支持 │ │明确表示支持 │ │
├────────────────────┼────────────┼─────────────┼─────────────┼────────────┤
│ Legal and regulatory environment of stability (risk of legal reform) │ │ medium-term stability of the regulatory environment of long-term stability of the regulatory environment │ │ project can definitely predict the regulatory environment may be affected by current and future regulatory │
│ │ │ │变化 │管问题影响 │
├────────────────────┼────────────┼─────────────┼─────────────┼────────────┤
│ Comply with local law, receive all necessary support and licensing low high high │ │ │ │ │
│的程度 │ │ │ │ │
├────────────────────┼────────────┼─────────────┼─────────────┼────────────┤
│ About │ arrived in enforcement of collateral contracts and force contract and against collateral can enforce │ contract and against collateral can enforce │ even if there are a number of non-critical problems, │ arrived in collateral contracts and enforce │
│ │ │ │同和抵质押品仍能强制执行 │面存在要害问题尚未解决 │
├────────────────────┼────────────┼─────────────┼─────────────┼────────────┤
│交易特点 │ │ │ │ │
├────────────────────┼────────────┼─────────────┼─────────────┼────────────┤
│ │ │ │技术和设计可靠―用强大的一│技术和设计不可靠／存在技│
│ Technology │ design and technology risk and designing reliable │ technical and design complete and reliable programme to mitigate the burgeoning │ │ package completion and/or design a complex operation │
│ │ │ │的问题 │ │
├────────────────────┼────────────┼─────────────┼─────────────┼────────────┤
│建设风险 │ │ │ │ │
├────────────────────┼────────────┼─────────────┼─────────────┼────────────┤
Granted a │ │││ some of the issues that need to be approved but some of the issues that need to be approved approval procedures │ not yet access to key documents, approvals and │
│ Approval and siting │ big │ │ had been documents clear approval was just routine │ non-routine, and may also meet the │
│ │ │ │ │其他一些重要条件 │
├────────────────────┼────────────┼─────────────┼─────────────┼────────────┤
│ │ │ Has a fixed price and date general contract has a fixed price and date of contract workers │ │ General Contracting has a fixed price and date built lacking fixed-price turnkey contract │
Construction contract type │ │ engineering, procurement and construction contract │ range │ set contracts, procurement and construction contract, one or more than one │ or contracts are incomplete and/or │
│ │(EPC) │ │承包商 │各承包商多方联络的问题 │
├────────────────────┼────────────┼─────────────┼─────────────┼────────────┤
│ │ Agreed damages sufficient │ agreed damages of more gold │ │ damages are appropriate and as agreed by gold agreed damages are insufficient or lacking │
Completion guarantee │ │ project financial support and/or physical assets physical assets to support and/or financial │ │ and thawing into asset-backed and/or in kind financial support │ spent financing real assets or │
│ │ │ Strong financial strength of the project sponsor project sponsors to provide project sponsors │ │ strong finish guarantees weaker │
│ │提供项目完成担保 │目完成担保 │目完成担保 │ │
├────────────────────┼────────────┼─────────────┼─────────────┼────────────┤
│承包商承建类似项目的业绩和财务实力 │强 │较强 │中 │弱 │
├────────────────────┼────────────┼─────────────┼─────────────┼────────────┤
│ 操作风险 │ │ │ │ │
├────────────────────┼────────────┼─────────────┼─────────────┼────────────┤
│ │完备的长期营运和维护合 │ │ │缺乏营运和维护合同：缓释│
│ Operation and maintenance (o and m) of the scope and nature of │, preferably with performance incentives │ long-term operation and maintenance contracts, │ the complete operating and maintenance contract, or │ operation cannot withstand the high operating cost of │
│ │ And/or operations and maintenance reserve │ │ and/or operations and maintenance reserve accounts with operation and maintenance reserve accounts risk │ │
│ │金账户 │ │ │ │
├────────────────────┼────────────┼─────────────┼─────────────┼────────────┤
│ Operator's expertise, performance and financial strength │ strong, or stronger commitment from project sponsors │ │ │ not strong/weak, or local carriers │
│ │提供技术支持 │ │ │受当局控制 │
├────────────────────┼────────────┼─────────────┼─────────────┼────────────┤
│承购风险(Off-take risk) │ │ │ │ │
├────────────────────┼────────────┼─────────────┼─────────────┼────────────┤
│ (A)-pay argument (take-or-pay) reputable │ acquisition contract or fixed price contract terminating the acquisition │ reputable; termination │ acquisition goodwill General; on the termination of the contract │ poor acquisition goodwill; contract │
¦ Grid acquisition (fixed-price off-take) contract │ terms of complete project contract terms │ complete projects contract period longer than the debt terms │ General project contract terms │ do not project contract │
│ │ │ Terms │ slightly longer debt maturity limit equal to debt maturity │ limit no longer debt maturity │
├────────────────────┼────────────┼─────────────┼─────────────┼────────────┤
│ │ Product that is generated by the main service │ product that is generated by the main service │││
│ (B) there is no pay │ acquisition contract or fixed-price contracts or commodities around the world Shun │ sales or merchandise sold in the regional market smoothly, and sales limited in scope and only than │ │ commodities products or only one or two buyers │
Under │ │ smooth; even though price growth below │ price │ even if market prices growth rate low price generally cannot be sold in the organised market of sale │ │
│ │于过去，产品也能按预定价│去，产品也能按预定价格出售│ │出 │
│ │格出售 │ │ │ │
├────────────────────┼────────────┼─────────────┼─────────────┼────────────┤
│供货商风险 │ │ │ │ │
├────────────────────┼────────────┼─────────────┼─────────────┼────────────┤
│ Raw materials (feed-stocks) price, quantity and wind transport │ │ signed with financial strength strong suppliers with strong financial strength of suppliers signed │ │ signed with strong financial strength of suppliers and supplier entered into with weak financial strength │
│ Insurance; supplier performance and financial strength, long-term supply contracts │ │ │ the long-term supply contract of long-term supply contracts, but may still be │ short-term or long-term supply contracts, │
│ │ │ │一定程度的价格风险 │存在一定程度的价格风险 │
├────────────────────┼────────────┼─────────────┼─────────────┼────────────┤
│ │ Reserves proven and have been developed and │ proven reserves alone and has been developed and independently proven duration debt, reserve can meet │ │ projects rely to some degree on underlying │
│ Reserve risk (such as the natural resources development) │ cubic audit, project life │ audit, need │ │ project during the project life period or untapped reserves │
│ │期内超额满足需要 │超额满足需要 │ │ │
├────────────────────┼────────────┼─────────────┼─────────────┼────────────┤
│ Force majeure risks (such as war, civil unrest, natural disasters) │ effective risk mitigation tools, risks violence │ effective risk mitigation tools, exposure │ effective risk mitigation tools general protective │ there is an obvious risk cannot be fully sustained │
│ │露的水平较低 │的水平较适中 │ │释 │
├────────────────────┼────────────┼─────────────┼─────────────┼────────────┤
│项目发起人／债务人的实力 │ │ │ │ │
├────────────────────┼────────────┼─────────────┼─────────────┼────────────┤ │ Sponsors/debtor's track record, financial strength │ sponsors and country/line/debtor's outstanding performance/debtor │ sponsors as well, general fiscal │ sponsors/debtor performance, fiscal │ sponsors/debtor's lack of performance or │
│ │ Experienced good financial strength of strength │ │ service │ good performance and/or questionable financial strength │
│ │ │ │ │实力微弱 │
├────────────────────┼────────────┼─────────────┼─────────────┼────────────┤
│ │支持力度大 │支持力度较大 │支持力度一般 │支持有限 │
│ Sponsors/debtor support for projects, such as the unit has high strategy │ │ project sponsor project sponsors │ project to sponsor important strategic significance (core │ project's long-term strategy to sponsor or │
│ Terms, ownership protection, have added to the project when necessary │ significance (long-term strategy of core business) │ │ (long-term strategy of core business) │) sponsor/debtor to others or core business irrelevant │ │
│ Investment incentives, as well as other related transactions/debtor to others or │ │ sponsor people/debtor to others or related transaction has some relatively important │ sponsors │ transactions/debtor to others or │
│ │ Transactions ' commitment to effectiveness of low or no effectiveness higher commitments │ │ │ close promise of the deal may affect │
│ │承诺 │ │ │当前项目 │
├────────────────────┼────────────┼─────────────┼─────────────┼────────────┤
│担保安排 │ │ │ │ │
├────────────────────┼────────────┼─────────────┼─────────────┼────────────┤
│合同和账户权利分配 │非常全面 │全面 │一般 │差 │
├────────────────────┼────────────┼─────────────┼─────────────┼────────────┤
│ │ To start the project all assets, │ the starting project all assets, │ the starting project all assets, │ the lender provides little guarantee │
│ │ The same formalities, approvals and accounts have finished complete │ │, approvals and accounts with formalities, permits and accounts with general terms │ or mortgage banks │
│ Inward pledge of quality, value and liquidity of the priority security interest priority guarantee │ │ │ │ security interests against the collateral value of the rights sufficient or not │
│ │ Against adequate collateral value, trading live │ against adequate collateral value, trade │ against adequate collateral value, traded to │ │
│ │跃 │先例 │交易 │ │
├────────────────────┼────────────┼─────────────┼─────────────┼────────────┤
│ Lenders control of the cash flow (for example, a cash transfer (cash poor good good │ │ │ │ │
│sweep) 和独立第三方账户托管） │ │ │ │ │
├────────────────────┼────────────┼─────────────┼─────────────┼────────────┤
│ Terms of binding (concerning the compulsory advance payments, deferred binding │ │ terms of the contract for this type of project contract provisions for this type of project binding a │ a │ binding contract terms for this type of project contract terms for this type of project binding │
│付款、分期付款和红利限制等方面的强制规 │强 │强 │般 │弱 │
│) │ Program │ no longer borrow other debt items very limited borrowing other liabilities │ │ project limited project to borrow additional debt may unlimited borrowing other liabilities │
├────────────────────┼────────────┼─────────────┼─────────────┼────────────┤
│ │储备基金覆盖期超过平均项│ │ │ │
│ Reserve Fund (debt service, operations and maintenance, updating, and resets, │ │ │ reserve fund reserve fund covers the period equal to the average project covers the period covers the period equal to the average │ reserve fund below average │
│不可预见事件） │储备基金来源落实，全部都│期 │期 │目期 │
│ │ │ Issued by cash or highly rated banks all sources of reserve funds to implement all the reserve fund are implemented │ │ reserve fund from the operating cash flow │
│ │信用证组成 │ │ │ │
└────────────────────┴────────────┴─────────────┴─────────────┴────────────┘
Table 2 financing of regulatory standards
┌───────────────┬──────────────┬─────────────┬───────────────┬──────────────┐
│ │ 优 │ 良 │ 中 │ 差 │
├───────────────┼──────────────┼─────────────┼───────────────┼──────────────┤
│财务状况 │ │ │ │ │
├───────────────┼──────────────┼─────────────┼───────────────┼──────────────┤
│ │ │ Demand and stable demand and rally and stable │ │ demand weak demand and declining │
│ │ │ Access obstacles there are barriers to entry market conditions │ │ without entering limited barriers to entry barriers │
│ │ │ Technology and changes in the Economic Outlook is not sensitive to changes some sensitive technology and economic prospects and are sensitive to changes in Economic Outlook │ │ technology vulnerable to changes in technology and economic prospects of negative │
│ │ │感 │ │影响，环境高度不确定 │
├───────────────┼──────────────┼─────────────┼───────────────┼──────────────┤
│ Financial ratios (ratio of debt guarantees and loans/│ asset types, financial ratios health │ asset types, financial ratio │ asset types, General │ relative asset types, financial ratios, financial ratios │ │价值比率） │康。 Economic forecasts are very good │/health fair.
经济情况预测好│ │于冒险 │
├───────────────┼──────────────┼─────────────┼───────────────┼──────────────┤
│ │ │ Long-term income stability better short-term income income very uncertain short-term income does not determine the │ │ │ │ │ The stress test to be able to weather the economic cycle of serious │ protected from some of the negative issues.
Only │ cash flow is vulnerable to economic cycles common in │ the pressure even in normal circumstances, loans │ Serious pressure for pressure of │ │ │ │ may breach the adverse effects.
In normal │ may default loans unless conditions turn better │
│ │ │ │的经济低迷期违约 │ │
├───────────────┼──────────────┼─────────────┼───────────────┼──────────────┤
│ │ │ Market liquidity in the market has global market with global or regional │ culture │ only adverse market and prospects for the near future or prospects for the local market │
│ │ │ High liquidity liquidity high liquidity low │ │ fluid low or no liquidity, │
├───────────────┼──────────────┼─────────────┼───────────────┼──────────────┤
│政治和法律环境 │ │ │ │ │
├───────────────┼──────────────┼─────────────┼───────────────┼──────────────┤
│ Political risks, including risk transfer │ is very low, risk mitigation tools ¦ low risk mitigation tools ¦ medium function │ high risk mitigation tools, lack of risk mitigation tools or bad function │
│ │能强大 │较强 │ │ │
├───────────────┼──────────────┼─────────────┼───────────────┼──────────────┤ │ │ Legal environment conducive to recovery and │ legal environment conducive to recovery and │ legal │ receipt environment generally conducive to the legal and regulatory environment is poor or unstable.
Secretary │
│ Legal │ risk and regulatory enforcement enforcement │ │ contract with back and contract enforcement, even if recovery │ law recovered or the execution of the contract goods │
│ │ │ │程可能较长和／或较难 │过程过长或不可能 │
├───────────────┼──────────────┼─────────────┼───────────────┼──────────────┤
│交易特点 │ │ │ │ │
├───────────────┼──────────────┼─────────────┼───────────────┼──────────────┤
│ │ Assets economic life corresponds with the financing provisions complete the last installment payment schemes/│ last instalment is more important, │ the last instalment is important, there are potential │ repay the negative to be last installment of fines or │ │ │付款金额很小。
Grace │-free but still maintain a very high payment grace period of moderate level of │ │ │
├───────────────┼──────────────┼─────────────┼───────────────┼──────────────┤
│操作风险 │ │ │ │ │
├───────────────┼──────────────┼─────────────┼───────────────┼──────────────┤
│ │ Has obtained all approvals, assets in accordance with current │ all approval has been granted or is pending approval, │ majority approval has been granted or is pending approval, Chinese │ exist on all the necessary approval in │ │ Approvals/permits │ │ and predictable sound regulatory provisions assets in accordance with current and foreseeable robust │ production in line with current and foreseeable │ prudent supervision law issues.
Part allocation plan and/or the operation │
│ │ │监管法规的规定 │规的规定 │计划可能需要修改 │
├───────────────┼──────────────┼─────────────┼───────────────┼──────────────┤
│ │ Complete long-term operation and maintenance contracts, most │ long-term operation and maintenance contracts and/or camp │││
│ Operation and maintenance contract scope and character │ good meet contract performance incentives and/or │ operation and maintenance reserve accounts (if necessary │ inadequate operation and maintenance contract or operation and │ lack of operation and maintenance contract: operating cost │
│ │ Operation and maintenance reserve accounts (if necessary │) │ maintenance reserve accounts (if necessary) │ high risk, risk mitigation effect limited │
│ │要） │ │ │ │
├───────────────┼──────────────┼─────────────┼───────────────┼──────────────┤
│ Operators ' financial strength, tube ││││ performance or similar assets is not known, lack of assets │
│ │ Performance and again on expiry of lease assets camp performance and superior marketing │ performance and good short │ performance, good at marketing, and marketing capacity │ │
│销能力 │ │ │ │ │
├───────────────┼──────────────┼─────────────┼───────────────┼──────────────┤
│资产特征 │ │ │ │ │
├───────────────┼──────────────┼─────────────┼───────────────┼──────────────┤
│ Compared with same-market assets, configurations, type │ design and maintenance have high │ design and maintenance of above average, poor configuration │ │ design and maintenance, asset closer economic │ │, Design and maintenance (such as aircraft age │ potentials, configuration standards, in compliance with the listing flow │, but there may be a very limited one │ design and maintenance, and configure some special, │ life.
Configuration is very special, │
│ Limits and models) │ │ access requirements in some exceptional cases, in compliance with the listing flow │ may make markets for goods on the market in limited │ illiquid │
│ │ │通需要 │ │ │
├───────────────┼──────────────┼─────────────┼───────────────┼──────────────┤
│ │ Current resale value resale value significantly higher than the debt prices of resale value moderately higher than the value of the debt │ │ │ resale resale value slightly higher than the value of the debt value is lower than the value of the debt │
│ │值 │ │ │ │
├───────────────┼──────────────┼─────────────┼───────────────┼──────────────┤
│ │ And liquidity in asset values relative to the economic cycle and relatively illiquid asset value economic cycles and relative economic mobility week │ │ asset values asset values and relatively illiquid │ economic cycles of economic cycle and relatively illiquid asset value │ │的敏感程度 │较不敏感 │期敏感 │当敏感 │的敏感度非常高 │
├───────────────┼──────────────┼─────────────┼───────────────┼──────────────┤
│发起人实力 │ │ │ │ │
├───────────────┼──────────────┼─────────────┼───────────────┼──────────────┤
│ Operators ' financial strength, tube ││││ performance or similar assets is not known, lack of assets │
│ │ Performance and again on expiry of lease assets camp performance and superior marketing │ performance and good short │ performance, good at marketing, and marketing capacity │ │
│销能力 │ │ │ │ │
├───────────────┼──────────────┼─────────────┼───────────────┼──────────────┤
│ Sponsors │ sponsors performances and financial strength of superior performance, financial performance and financial strength │ sponsors │ sponsors excellent performance, excellent financial no or questionable performance and/or │ sponsors │
│ │ │ │ │财力微弱 │
├───────────────┼──────────────┼─────────────┼───────────────┼──────────────┤
│担保安排 │ │ │ │ │
├───────────────┼──────────────┼─────────────┼───────────────┼──────────────┤
│ │ Legal documents protect the lender to hold assets or guarantees the lender on the assets or │ │ legal documents legal documents protect the lender on the assets or owns │ │
│ │ │ Company effective control of this asset owns the assets of the company to implement effective control │ company to exercise effective control over this asset (for example │ contract does not require the lender to provide Dan │
│ │ Asset control (such as material complete priority guarantee │ business (for example has a complete materials guarantee │ has material provides superior security interests, or lease │, caused the risk of loss of control over the assets │
│ │ Interest or leasing framework contains such warranty │ interests include this sharing or lease framework │ framework contains the collateral) │ │
│ │品） │保品） │ │ │
├───────────────┼──────────────┼─────────────┼───────────────┼──────────────┤
│ Place of lender-owned monitoring assets and conditions │ lenders can, at any time and in any place at any time │ │ lenders can lenders can at any time and in any place supervisor │ loans only to limited monitoring assets │
│ │ Monitoring rights and means of asset location and status (regular reporting │ where location of monitoring sites and conditions │ control assets places and conditions │ │
│ │告、检查的可能性） │ │ │ │
├───────────────┼──────────────┼─────────────┼───────────────┼──────────────┤
│ │ Top insurance to the quality to the General insurance insurance company │ │ │ to the insurance company │
│损害保险 │保险额高 │保险额较高 │保险额一般 │保险额低 │
│ │ │ Including collateral damage insurance without collateral damage insurance insurance │ │ does not include collateral damage does not include collateral damage insurance ¦
└───────────────┴──────────────┴─────────────┴───────────────┴──────────────┘
Table 3 financing of supervision standards
┌──────────────┬──────────────┬─────────────┬───────────────┬──────────────┐
│ │ 优 │ 良 │ 中 │ 差 │
├──────────────┼──────────────┼─────────────┼───────────────┼──────────────┤
│财务状况 │ │ │ │ │
├──────────────┼──────────────┼─────────────┼───────────────┼──────────────┤
│交易的超额担保程度 │优 │良 │ 中 │差 │
├──────────────┼──────────────┼─────────────┼───────────────┼──────────────┤
│政治和法律环境 │ │ │ │ │
├──────────────┼──────────────┼─────────────┼───────────────┼──────────────┤
│││ A limited number of country risk (in particular emerging │ country risk (particularly emerging markets │ high country risk (especially in emerging market countries │
│ │ │ No country risk country risk market in offshore reserves keep │ reserves stored in the offshore) │ reserves stored in the offshore) │
│ │ │放） │ │ │
├──────────────┼──────────────┼─────────────┼───────────────┼──────────────┤
│ │ Very strong release measures: │ strong sustained-release measures: ¦ slow release measures General: │ part only sustained-release measures: │
│ Country │ strong offshore mechanisms of sustained-release measures │ │ │ offshore offshore mechanisms mechanisms lack of offshore machinery │
│ │战略性商品 │战略性商品 │商品战略性较低 │非战略商品 │
Strength class │ │ │ buyers buyers strong weak strength │ │ buyers buyers │
├──────────────┼──────────────┼─────────────┼───────────────┼──────────────┤
│资产特征 │ │ │ │ │
├──────────────┼──────────────┼─────────────┼───────────────┼──────────────┤
Public offer public offer │ │ │ │ product non-public offer closed offer │ liquidity in the market, market wide │
And vulnerability levels │ │ liquidity available futures and OTC tools ¦ use OTC market instruments hedging hedge hedge or not does not determine the │ │ do and in depth, liquidity-constrained │
│ │ Store │ product difficult to damage │ product │ damage lack of proper hedging hedge │
│ │商品不易损坏 │ │ │商品易损坏 │
├──────────────┼──────────────┼─────────────┼───────────────┼──────────────┤
│发起人实力 │ │ │ │ │
├──────────────┼──────────────┼─────────────┼───────────────┼──────────────┤
Financial strength │ │ dealers │ relative to trading strategies and risk strong weak │ │ │
│ │强 │ │ │ │
├──────────────┼──────────────┼─────────────┼───────────────┼──────────────┤
│ Performance, including process management experience │ │ had issue trading experience in problem transactions limited experience │ │ had issue deal overall performance limited or uncertain │
│ │ │ Operation was successful and cost-saving performance operation was successful and cost-saving performance of Liang general │ │ operation was successful and cost-saving performance cost and profit fluctuations │
├──────────────┼──────────────┼─────────────┼───────────────┼──────────────┤
Control and hedging policy │ │ trading counterparty selection, value prison │ counterparty selection, hedging and │ trading experience, problem no │ traders had huge losses or very small transactions │
│ │控标准严格 │监控标准适当 │ │ │
├──────────────┼──────────────┼─────────────┼───────────────┼──────────────┤
│财务披露质量 │优 │良 │中 │财务披露存在一些不确定性或不│
│ │ │ │ │充分 │
├──────────────┼──────────────┼─────────────┼───────────────┼──────────────┤
│担保安排 │ │ │ │ │
├──────────────┼──────────────┼─────────────┼───────────────┼──────────────┤
│ │ Loans with complete priority security rights │ loans with complete priority security rights a │ links │ contracts made by the lenders control of assets there is loss of control of the assets of air │ │ Benefits │ asset control, necessary legal │ interest at any time, at any time if necessary │ interrupts, understanding or │ risks by virtue of the transaction process.
Recovery is likely to be hazardous │
Assets to exercise control over the │ │ │ legal │ third parties the right to exercise control over assets on this disruption can be sustained-release │ │
├──────────────┼──────────────┼─────────────┼───────────────┼──────────────┤
│ │ Top insurance to the quality to the General insurance insurance company │ │ │ to the insurance company │
│损害保险 │保险额高 │保险额较高 │保险额一般 │保险额低 │
│ │ │ Including collateral damage insurance without collateral damage insurance insurance │ │ does not include collateral damage does not include collateral damage insurance ¦
└──────────────┴──────────────┴─────────────┴───────────────┴──────────────┘
Table 4 regulatory rating standards for income-producing real estate
┌───────────────┬──────────────┬─────────────┬───────────────┬──────────────┐
│ │ 优 │ 良 │ 中 │ 差 │
├───────────────┼──────────────┼─────────────┼───────────────┼──────────────┤
│财务状况 │ │ │ │ │
├───────────────┼──────────────┼─────────────┼───────────────┼──────────────┤
│ │ │ │市场供需基本均衡 │市场需求弱，何时改善达到均衡│
│ │ │ Current project type and place supply and demand equilibrium currently project type │ competitive supply and demand equilibrium of real estate projects and places be available, other │ does not determine the │
│ │ Upcoming competitive real estate market situation less │ │ upcoming competitive real estate real estate in the planning, project design and │ projects are not easy to find after the expiry of the lease the lessee │ │ │ Than or equal to the demand forecast │ demand forecasts advanced │ │ production capacity without a new project people.
New terms now │
│ │ │ │ │越 │
├───────────────┼──────────────┼─────────────┼───────────────┼──────────────┤
│ │ About the financial ratios and advances real estate projects, debt guarantee │ debt protection ratios (DSCR) and │ real estate loans/debt protection ratios (DSCR) │ evil real estate debt protection ratios (DSCR) evil │ │ (DSCR is applicable to the rental of premises for the purpose of │ ratios (DSCR) is high, loan │ value/value ratio (LTV) is good.
If │, value, payment/value ratio ¦ seriously, its loan/value ratio │ │ Middle and does not apply during the construction phase, LTV suitable │ ratio (LTV) is low.
│, If there is a secondary city in the secondary market, according to market price, subscription │ rate (LTV) increase in │ (LTV) is substantially higher than the lowest bid on new loans │
│用于以出售为目的的房地产） │场，按市场价认购 │ │ │准 │
├───────────────┼──────────────┼─────────────┼───────────────┼──────────────┤
│ │ │ Real estate and real estate funds, or have matters in the face of continuing financial pressures │││
│ │ Liabilities configuration can be made in the face of serious fiscal │ (such as interest rates, economic growth) case │ in times of economic downturn, real estate revenue reduction │ tightening financial situation unless │ Analysis on pressure of │ │ pressure (such as interest rates, economic growth) │ can meet their debt obligations. This real estate is only less │ and reduce their capital expenditure and to improve or increase in │ period may default │
│ │ │ Conditions to meet debt obligations in the face of serious economic problems may be │ default risk │ │
│ │ │违约 │ │ │
├───────────────┼──────────────┼─────────────┼───────────────┼──────────────┤
│现金流预测 │ │ │ │ │
├───────────────┼──────────────┼─────────────┼───────────────┼──────────────┤
│ │合同租期长且到期日分散 │ │ │ │
│ │ │ Customer and the good reputation of the real estate real estate most of the long lease contract │ most rental contracts for medium-term real estate rental contract period lessee │ │
│ │ Real estate records show that customers are due to lease │ │ │ different tenant credit different tenant credit credibility varies │
│ (A) have been completed, a stable real estate rent │ │ continued contract renewal well general │ │ contract renewal contract original tenants rarely continue renting vacant │
│ │空置率低 │空置率低 │空置率一般 │率高 │
│ │ Costs (maintenance, insurance, security and property │ costs predictable relatively predictable revenue changes │ │ costs venue costs to attract new tenants a high │
│ │税）可预测 │ │ │ │
├───────────────┼──────────────┼─────────────┼───────────────┼──────────────┤ │ │ Leasing activities carried out according to plan or beyond the terms │ leasing activities carried out according to plan or exceeds most terms │ leasing activities carried out according to plan, but a │ rental situation than expected.
Reach the destination │ │ (B) │ real estate projects that have been completed but not stable. │ Recent stability.
Recent stable and unstable │ │ period projects occupancy rates, but the income is not ideal, resulting in │
│ │ │ │ │现金流紧张 │
├───────────────┼──────────────┼─────────────┼───────────────┼──────────────┤
│ │ Have │ all real estate loans during the real estate have all rental or sale to │ leasing activities as planned, but real estate │ due to high costs and falling market prices, │
│ (C) │ building rental or sale to the credit rating of investment grade │ │ good reputation of the lessee or buyer can not rent a │ lessee withdrawal or other reason deterioration │
│ │承租人或买家 │ │ │ │
├───────────────┼──────────────┼─────────────┼───────────────┼──────────────┤
│资产特征 │ │ │ │ │
├───────────────┼──────────────┼─────────────┼───────────────┼──────────────┤
│ │ Places real estate is located in a very privileged location, │ real estate located in superior location, convenient │ │ lack comparative advantage real estate location, configuration, design and maintenance of │
│ │便租户 │租户 │ │存在问题 │
├───────────────┼──────────────┼─────────────┼───────────────┼──────────────┤
│ │ Real estate due to the design, configuration, and maintenance of good │ design, configuration and maintenance of real estate │││
And conditions │ │ design and popular than competitive │ when new project, design and performance than the new project configuration, design and maintenance of │ │ real estate real estate weak configuration, design or maintenance of │
│ │ │争力 │ │ │
├───────────────┼──────────────┼─────────────┼───────────────┼──────────────┤
│ │ Budget conservative, lower technical risk, conservative │ construction budget, technical risks │ │ building expenditure over budget or project technical wind │ High level of │ │ │ real estate under construction the contractor, contractor's high level of │ construction budgets, contractor's General level of │ risks are too high and unrealistic.
Contractors may be │
│ │ │ │ │不合格 │
├───────────────┼──────────────┼─────────────┼───────────────┼──────────────┤
│发起人／开发商实力 │ │ │ │ │
├───────────────┼──────────────┼─────────────┼───────────────┼──────────────┤
│ │ Sponsors │ sponsors/developers/developers to deliver large cash offers more cash │││
│ │ To build or acquire │ │ used for construction or acquisition of real estate real estate fund sponsors/developers with little or non-│ │
│ │ Founder/developer flush with funds and direct cash/financial situation of developer benign │ sponsors │ │ sponsors/developers support real estate projects │
│ Develops real estate projects resources and willingness of │ │ liabilities and contingent liabilities, and cash flow shortages │ sponsors/developers of financial strength of medium or │ insufficient capacity, the will is not strong │
│ │发起人／开发商的房地产位置分│况下支持房地产建设 │下 │ │
│ │散，种类多样 │发起人／开发商的房地产位置│ │ │
│ │ │分散 │ │ │
├───────────────┼──────────────┼─────────────┼───────────────┼──────────────┤
│ │ Management experience, sponsors qualifications a good │ qualification │ management experience and sponsor management experience and qualification │ sponsors management's lack of experience, sponsors qualifications │
│ │ │ Reputation and performance similar to the real estate project sponsor or Manager │ management in similar projects on similar projects or promoters not │ size │
│ │ │ Good reputation in similar projects, long-term performance performance │ │ had serious problems of management and sponsor problems caused │
│ │好 │ │ │地产管理困难 │
├───────────────┼──────────────┼─────────────┼───────────────┼──────────────┤
│ │ Relationship with real estate industry participants with leading real estate leasing agents keep ¦ first-class real estate leasing agents │ with the leasing agents and other important │ provided with rental agents and other essential │
Reliable close relations │ │ │ │ │ real estate services services between the parties to maintain a proper relationship between the parties on bad terms │
├───────────────┼──────────────┼─────────────┼───────────────┼──────────────┤
Self-financing status │ │ │ │ expected better than all loans-loans ratio is expected in place │ later than loans in place or not in place │
├───────────────┼──────────────┼─────────────┼───────────────┼──────────────┤
│担保安排 │ │ │ │ │
├───────────────┼──────────────┼─────────────┼───────────────┼──────────────┤
│ │ Lien properties have complete the procedures of first lien Lien │ │ has complete the procedures of the first rank has complete the procedures of first lien │ arrived in mass execution of right of loan capacity │
│ │ │权 │ │限制 │
├───────────────┼──────────────┼─────────────┼───────────────┼──────────────┤
│ │ Banks have access to rental distribution and master │ banks have access to rental distribution and Palm │ banks have access to rental distribution and master │ │
│ Rental allocation (│ current tenants of long-term rent of real estate information, such as tables and │ holding current tenants of the rental information, such as information │ tenant rental table, such as lease form, rental of rent │ Bank project has not yet been allocated, or not Palm │
│) │ Copies of leases to notify tenants directly │ order, project, copy of lease, to notify │ about copy and │ holding to notify the tenant directly to the loan necessary to send notice to the tenant information │
│ │ │ Tenants pay rent directly to the lender by the lender to pay the rent │ pay rent │ │
├───────────────┼──────────────┼─────────────┼───────────────┼──────────────┤
│保险覆盖面情况 │适当 │适当 │适当 │不合格 │
└───────────────┴──────────────┴─────────────┴───────────────┴──────────────┘
Annex 8: counterparty credit risk-weighted assets measure rule
A, General requirements
(A) the characteristics of commercial banks and their trading activities should be developed, the complexity level and exposure to counterparty credit risk management policies and procedures.
(B) Commercial Bank and trading accounts should be calculated not in settlement of securities, commodity and foreign exchange trading counterparty credit risk exposures to risk-weighted assets, including:
1. formation of OTC derivatives trading counterparty credit risk;
2. securities financing transactions (including repo, securities lending and margin lending transactions) formed the counterparty credit risk;
3. the formation of the central counterparty trading credit risk.
(C) the OTC derivative counterparty credit risk-weighted assets, including counterparty default risk-weighted assets and credit valuation adjustment of risk-weighted assets in two parts.
Credit valuation adjustment refers to counterparty credit risk deterioration, credit spreads have lead to the risk of loss in derivatives transactions of commercial banks.
(Iv) risk-weighted assets to central counterparty risk exposure measurement rules prescribed by the CBRC separately.
Second, over-the-counter derivatives trading counterparty credit risk-weighted assets measure
OTC derivative counterparty credit risk-weighted assets for counterparty default risk-weighted assets and credit valuation adjustments and risk-weighted assets.
(A) the measurement of default risk-weighted assets
1. commercial banks can use weights or IRB approach calculate OTC derivative counterparty default risk-weighted assets.
2. weights of commercial banks and counterparty default risk-weighted assets for OTC derivatives transaction default risk exposure is multiplied by the approach set out in annex 2 of the counterparty risk weightings.
3. using internal ratings-based approach of commercial banks should be measured in accordance with annex 3 to this approach counterparty default risk-weighted assets.
4. commercial banks should be calculated using the current exposure method OTC derivatives trading risk exposure of default (EAD), calculated as follows:
EAD = MTM + Add-on
Of which:
(1) the MTM as calculated by marking to market value of the replacement cost is greater with the 0;
(2) the Add-on in order to reflect the additional factor of potential exposure within the remaining period.
(3) additional potential risk exposure factors (Add-on) is equal to the derivative of the notional principal is multiplied by the corresponding coefficients.
5. credit derivatives of the coefficients shown in table 1.
Table 1 additional coefficient of credit derivatives
┌────────┬─────────┬───────────┬───────────┐
│ │ References │ type asset buyer credit protection (%) │ credit protection seller (%) │
├────────┼─────────┼───────────┼───────────┤
│ │ 合格参照资产 │ 5 │ 5 │
│ 总收益互换 ├─────────┼───────────┼───────────┤
│ │ 不合格参照资产 │ 10 │ 10 │
├────────┼─────────┼───────────┼───────────┤
│ │ 合格参照资产 │ 5 │ 5 │
│ 信用违约互换 ├─────────┼───────────┼───────────┤
│ │ 不合格参照资产 │ 10 │ 10 │
└────────┴─────────┴───────────┴───────────┘
(1) qualified reference assets, including China's Central Government, the people's Bank of China and the bonds issued by policy banks, as well as the approach specified in annex 10 of Government securities and eligible securities.
(2) credit default swaps credit protection seller only in reference to the assets of the issuer can perform credit protection buyer's bankruptcy case to calculate additional factors, and capped at a credit protection costs have not been paid by the buyer.
(3) in credit derivative tool of reference assets by more items assets constitute of situation Xia, if reference assets group in the first items reference assets default that is do overall default, additional coefficient by reference assets group in the credit quality minimum of reference assets decided; if reference assets group in the second items reference assets default only is overall default, is additional coefficient by credit quality times low of reference assets decided, and so on.
6. in addition to credit derivatives, and other derivatives of the coefficients shown in table 2.
Table 2 additional coefficient of other derivatives
┌───────┬────┬───────┬────┬───────────┬──────┐
│ │ │ Rates of Exchange and the remaining period gold precious metals other than gold equity │ │ │ products │
│ │ （％） │ （％） │ （％） │ （％） │ （％） │
├───────┼────┼───────┼────┼───────────┼──────┤
│ 不超过1年 │ 0.0 │ 1.0 │ 6.0 │ 7.0 │ 10.0 │
├───────┼────┼───────┼────┼───────────┼──────┤
│ 1 years or more, not more │ │ │ │ │ 12.0 7.0 8.0 5.0 0.5 │
│ 过5年 │ │ │ │ │ │
├───────┼────┼───────┼────┼───────────┼──────┤
│ 5年以上 │ 1.5 │ 7.5 │ 10.0 │ 8.0 │ 15.0 │
└───────┴────┴───────┴────┴───────────┴──────┘
7. the commercial bank to hedge against bank credit risk or counterparty credit risk and credit derivatives purchased, if this is taken into account in the measurement of capital requirements credit derivatives risk mitigation function, when you calculate counterparty credit risk-weighted assets of the credit derivative exposures to 0.
8. If the commercial sale of credit default swaps in a bank account, as well as guarantees to credit-risk-weighted assets calculated, when calculating the counterparty default risk-weighted assets of the default risks of credit-default swaps exposure was 0.
9. OTC derivatives transactions in accordance with part III of the annex 6 to this way requirements on qualified netting, commercial banks can be calculated in accordance with the provisions of this part of OTC derivatives transactions default risk exposure.
(B) the credit valuation adjustment measurement of risk-weighted assets
1. commercial banks should use the following formula to calculate the credit valuation adjustment (CVA) risk-weighted assets: CVA risk-weighted assets
(Formulas, see manuscript)
Of which:
(1) h 1-year holding period of risk (unit: years), h=1. (2) the Wi for counterparty risk weight applicable to I. I of the counterparty risk weighting should be based on external rating of the counterparty I determined, are shown in the table 4 correspond to the external rating and risk weighting. I if a counterparty without external ratings, results of banks ' internal rating of the counterparty should be mapped to external ratings, and this mapping should be approved by CBRC.
As counterparty I no external ratings and no internal ratings, WI=1%. (3) EADitotal I EAD as a counterparty.
Estimate EAD may consider netting and inward collateral risk mitigation effect, and should use the (1-exp ( -0.05*Mi))/(0.05*Mi) discounted the discount factor.
(4) Bi-Bank purchases, subject to counterparty I and used to hedge against the risk of CVA amounts on behalf of single name credit default swaps hedging instrument (if there is more than one position, you should add it), the notional amount should be used (1-exp ( -0.05*Mihedge))/(0.05*Mihedge) any deduction of discount coefficient.
(5) Bind is used to hedge against the risk of CVA one or more of the total nominal amount of index credit default swap, the notional amount should be used (1-exp ( -0.05*Mind))/(0.05*Mind) any deduction of discount coefficient. (6) wind to index the risk weight of the hedging instrument.
Commercial banks should be based on the average index 'ind' spreads, tables 3 to determine the risk weights of the index of the hedging instrument. (7) Mi as the counterparty the validity of transactions I.
Calculation rules in annex 5 of the Mi and Mi not affected by the CAP (5) and lower (1 year) limit.
(8) Mihedge as a nominal amount for the Bi term of the hedging instrument (if there is more than one position, you should add Mihedge.Bi). (9) the Mind is exponential term of the hedging instrument 'ind'.
If you have multiple index tool positions are weighted average term in the name.
2. for any trading opponents, if its itself for for hedge trading opponents credit risk of index credit default swap in the based index of part, by Silver prison will approved, the index in the belongs to the trading opponents of name amount (according to its in index in the of weight) can from index credit default swap of name amount in the deductions, and will the amount as on single trading opponents of name sets period tool Bi, the sets period tool of term is equal to index sets period tool of term.
3. external ratings and counterparty risks correspond to the weight shown in table 3.
Table 3: external ratings and counterparty risks correspond to the weight
┌─────────────────┬─────────────────┐
│ 评级 │ 风险权重(Wi) │
├─────────────────┼─────────────────┤
│ AAA │ 0.7％ │
├─────────────────┼─────────────────┤
│ AA │ 0.7％ │
├─────────────────┼─────────────────┤
│ A │ 0.8％ │
├─────────────────┼─────────────────┤
│ BBB │ 1.0％ │
├─────────────────┼─────────────────┤
│ BB │ 2.0％ │
├─────────────────┼─────────────────┤
│ B │ 3.0％ │
├─────────────────┼─────────────────┤
│ CCC │ 10.0％ │
└─────────────────┴─────────────────┘
Three, securities financing transactions, counterparty credit risk-weighted assets measure
(A) commercial banks can use weights or IRB measurement of securities financing transactions, counterparty default risk-weighted assets.
(B) commercial banks using the IRB, in accordance with the approach set out in annex 3 and annex 6 of the metering banks accounts and trading accounts securities financing transactions in risk-weighted assets.
(C) commercial banks by weight method, use the following methods:
1. for securities financing transactions in bank accounts, in accordance with this approach the 73rd, 74th, and annex 2 of the measurement of the risk-weighted assets.
2. trading account securities financing transactions, counterparty credit risk-weighted assets for securities financing transaction risk mitigation risk exposure is multiplied by the method set out in annex 2 of counterparty risk weightings.
3. the securities financing transactions after risk mitigation measure risk exposure in accordance with the following formula:
E*=max{0,[E×(1+He)-C×(1-Hc-Hfx)]}
Of which:
E risk mitigation risk exposure for securities financing transactions;
E* exposure to risk after risk mitigation for securities financing transactions;
He as a discount factor of risk exposure;
C is the current value of the financial collateral;
Hc as a discount factor of financial collateral;
Hfx for dealing with financial collateral and a discount factor of currency mismatch risk exposure.
Eligible securities category and above arguments see part VI of annex 6 to this approach and the seventh part.
4. trading account securities financing transactions in line with net settlement requirement which the annex 6 to this approach, commercial banks in accordance with part III of the annex 6 to this approach of relevant provisions of measure default risk exposure of securities financing transactions.
Annex 9: asset securitization risk-weighted assets measure rule
A, General requirements
(A) the asset securitization transactions, including traditional assets securitization, synthetic asset securitization, and both types of common characteristics of asset securitization transactions.
Traditional securitization refers to the credit risk of the underlying assets through asset transfers, trusts or any other means, in whole or in part to investors, underlying asset cash flow to cover at least two grades of securities of different credit risk asset securitization transactions. Refers to the underlying assets of the synthetic asset securitization credit risk through credit derivatives or guarantees, in whole or in part to investors ' asset securitization transactions. The deal structure with at least two different credit risk level of security.
Credit derivatives including source of funds provision and source of funding non-preset type. (B) for engaging in asset securitization of commercial banks and tables both inside and outside the risk exposure of the formation of asset securitization risk exposures.
Asset securitization risk exposures include, but are not limited to asset-backed securities, residential mortgage securities, credit enhancements, liquidity, interest rate or currency swaps, credit derivatives and grades covered. Reserve account as the originator of the assets, should be treated the same as in asset securitization risk exposures.
Reserve accounts include, but are not limited to the cash collateral account and margin accounts. (C) in order to fully resist engaging in asset securitization and risk, commercial banks should be based on the economic substance of the transactions, but is not limited to law the total regulatory capital.
Asset securitization of commercial banks as sponsors, credit enhancement institutions, facilitate liquidity providers, investment or loan servicer, asset securitization, as long as the asset securitization risk exposures, it should make the appropriate regulatory capital.
CBRC is entitled to according to the economic substance of the transaction to determine whether commercial banks hold asset securitization risk exposures, and determine how to make their capital. (D) upon approval of the CBRC commercial bank credit risk internal rating method for calculating capital requirements for certain types of asset-backed securitization assets, must be calculated using the internal ratings-based approach of securitization of assets of similar underlying assets the corresponding capital requirements for securitisation exposures.
Without the approval of the CBRC commercial bank credit risk internal rating method of certain securitised underlying assets capital requirements, you can use internal ratings-based approach of securitization of assets calculate the capital requirements for securitisation exposures.
Of certain securitised underlying assets using the internal rating method for calculation of capital requirements for credit risk, such as the proportion of the assets of more than 50%, you should use the internal ratings-based approach of securitization of assets calculation of capital requirements for securitisation exposures, you should use the ABS standard method for calculating capital requirements for securitisation exposures.
Upon approval of the CBRC commercial bank credit risk internal rating method for calculating capital requirements for certain types of asset-backed securitization assets, if securitised underlying assets without appropriate internal ratings, sponsors must use asset securitization standard method for calculating capital requirements for securitisation exposures, investment agency must use the ratings based method for calculation of capital requirements for securitisation exposures.
(E) the amount of assets securitization of commercial bank risk exposure shall be determined in accordance with the following:
1. default risk exposure for the securitization of the table deduction specifically for the asset securitization risk exposures the calculation of book value after impairment.
2. off-balance sheet securitisation exposures of default for the table outside the nominal amount after deducting the impairment, multiplied by the appropriate credit conversion factor to get the amount.
(Vi) commercial banks providing credit support for asset securitization transactions and the credit support has been reflected in the external rating, the banks are not allowed to use external ratings shall be in accordance with these measures concerning asset securitization risk exposures the relevant provisions of the regulatory capital requirements of measurement.
(G) in the same bank on the same asset securitization transactions that have overlapping asset securitization risk exposures, overlap should be compared with the regulatory capital requirements, only the highest in terms of regulatory capital.
(H) commercial banks in accordance with the approach required the deduction of sales profit after capital provision for asset securitization, securitization of assets before the regulatory capital requirements to a maximum.
(IX) for failure to comply with the following conditions of asset securitization risk exposures, banks can only use standard method for calculating regulatory capital requirements and risk weighting of 1250%:
1. commercial banks should be an ongoing, comprehensive understanding of its internal and external asset securitization risk exposures and risk characteristics of the underlying assets.
2. should be able to obtain information about the underlying assets of commercial banks, including the asset class, the borrower's credit situation, various kinds of assets past due, default rates, prepayment rates, against collateral categories of assets and ownership status, arrived in mortgage rates as well as industry and geographical dispersion of average.
3. assets held by commercial banks should have a thorough knowledge of its securitization risk exposures have a significant impact on the structure of asset securitization transactions, including credit, liquidity, trading-related defaults defined, trigger mechanism, and asset-backed securities pay arrangements.
Second, credit risk transfer and the regulatory capital calculation
(A) for traditional asset securitization transactions, in cases that meet all of the following conditions, the originator can be deducted in the calculation of risk-weighted assets securitised underlying assets:
1. significant credit risk associated with the transferred assets have been transferred to an independent third party.
2. the originator to transfer assets no longer have practical or indirect control.
Sponsoring institutions have proved to be the transfer of assets no longer have practical or indirectly controlled, at least by certified lawyers provide legal opinion letters, show that originator with the transferred assets for bankruptcy.
Sponsoring institutions or indirectly to transferred assets to retain actual control, including but not limited to, the following two cases:
(1) the originator in order to make a profit, you can redeem the transferred assets, but the originator in accordance with the relevant provisions for underlying assets were found in storage value date does not meet the trust contract scope, categories, criteria and conditions are required except in the case of redemption or replacement.
(2) the originator is obliged to transfer significant credit risk assets.
3. the originators of asset-backed securities investment institutions does not assume obligations and responsibilities.
4. in the trust contracts and asset securitization of other related legal documents are not included in the following terms:
(1) require originators to change the asset in the asset pool, weighted average credit quality to improve asset pool, but at a price to an independent third party except for the transfer of assets.
(2) after the transfer of the underlying assets, still append allows originators to take the first loss or increase credit enhancement level of support.
(3) the case of a decline in the credit quality of the pool of assets, add to the sponsoring organizations participate in organs other than the payment of the proceeds.
5. clear repurchase in accordance with part I of this annex (vi) prescribed conditions.
In the case of meet from 1 to 5 of the above conditions, the originator should continue in accordance with the provisions of this annex, for the securitisation exposures held by provision for capital.
1 to 5 of the conditions of any of the above non-compliant cases, agencies shall, in accordance with capital requirements before the asset securitization made capital.
(B) for a synthetic asset securitization transactions, only under all the following conditions are true, the originator can measure when the securitised underlying assets for regulatory capital recognized credit risk mitigation of credit risk mitigation instruments:
1. credit risk mitigation tools to meet the relevant requirements of annex 6 to this approach. 2. qualified against collateral are limited to qualified finance provided for in annex 6 to this approach against collateral.
Arriving from qualified for a specific purpose trust mortgage collateral can be considered qualified against collateral. 3. compliance assurance and credit derivatives is limited to the methods indicated in annex 6, the sixth part of the first, second compliance assurance and conformity of credit derivatives.
Specific purpose trust are not as qualified sponsors.
4. sponsoring institutions must transfer significant credit risk of the underlying asset to an independent third party.
5. credit risk mitigation instruments related contractual documents must not contain limits credit risk transfer number of terms and conditions, including, but not limited to, the following situations:
(1) credit losses or declining credit quality of the pool of assets when events occur, limiting level of credit protection or credit risk transfer.
(2) require originators to change the asset in the asset pool, weighted average credit quality to improve asset pool, but at a price to an independent third party except for the transfer of assets.
(3) the case of a decline in the credit quality of the pool of assets, increase the originator credit protection costs.
(4) in case of a decline in the credit quality of the pool of assets, add to the sponsoring organizations participate in organs other than the payment of the proceeds.
(5) in the asset securitization transactions after the start, still append allows originators to take the first loss or increase credit enhancement level of support.
6. asset securitization transactions must be made by legal practitioners provide legal opinion letters, confirm that the relevant contract in effectiveness in the implementation of all the relevant country or region.
7. clearing repurchase in accordance with this section (vi) prescribed conditions.
Of cases eligible for items 1-7 above, the originator should continue in accordance with the provisions of this annex, for the securitisation exposures held by provision for capital.
Any item in items 1 to 7 above conditions do not meet the case originator in the measurement of securities shall not be recognized when the underlying assets for regulatory capital credit risk mitigation of credit risk mitigation instruments.
(C) subject to this part (b) the requirements of synthetic asset securitization transactions, securitization of originator in the measurement when the underlying assets for regulatory capital should be in accordance with the following provisions recognized credit risk mitigation of credit risk mitigation instruments:
1. the underlying assets the use of internal ratings-based approach of credit risk, in accordance with annex 6 to this approach on the IRB's regulations, approved credit risk mitigation of credit risk mitigation instruments.
2. the underlying assets does not use internal ratings-based approach of credit risk, in accordance with the approach of credit risk weighted assets measure the weight-related provisions of the law, recognized credit risk mitigation of credit risk mitigation instruments.
(D) synthetic asset securitization credit risk mitigation tools and when there is a maturity mismatch of assets and calculation of regulatory capital requirements institutions shall, in accordance with the following provisions:
If the assets in the pool has different terms, should be the longest term as term of the entire pool of assets.
(V) for other asset securitization risk exposures, the originator shall, in accordance with the relevant provisions of annex 6 to this approach, to deal with the maturity mismatch.
(F) asset securitisation transaction clearance buy-back clause in a contract, under the following conditions, the originator may not arrange for clearance to buy back provision for capital:
1. sponsoring institutions have the right to decide whether to make a clearance to buy back, clear buy-back exercise both in form and substance is not mandatory.
2. clearance buy-back arrangements do not relieve the credit enhancement institutions or investment institutions are obliged to bear the loss of asset-backed securities, will not be used to provide credit enhancement.
3. for traditional asset securitization transactions, only in the asset pool or to the balance of the asset pool asset-backed securities issued on the basis of reduced asset pool or 10% or 10% of the initial amount of asset-backed securities when the clearance to buy back.
4. synthetic asset securitization transactions, only when the value of the reference asset falls below the initial amount of 10% or 10% below, for clearance to repurchase. In any of the conditions in 1 to 4 above does not meet the case for traditional asset securitization transactions, the originator shall, in accordance with capital requirements before the asset securitization made capital and cannot be sold in regulatory capital that are counted in the profits. Synthetic asset securitization transactions, securitization of originator in the measurement may not be recognized when the underlying assets for regulatory capital credit risk mitigation of credit risk mitigation instruments.
If synthetic securitisation transactions contain foreclosures, and terminate at a specific time and the foreclosures and securitization transactions purchased credit protection, the originator shall, in accordance with this section (d) of the calculation of the capital requirements for securitization transactions.
(G) in excess of contractual obligations of commercial banks provide tacit support for asset securitization transactions, shall, in accordance with capital requirements prior to securitization of assets provision for capital, and tacit support to the public disclosure and its impact on regulatory capital requirements.
Commercial banks provide tacit support including but not limited to the following scenarios:
1. at above-market prices, from redeem the asset pool asset, or redemption of credit quality deterioration of the assets in an asset pool, but the originator in accordance with relevant provisions, because of underlying assets were found in storage value date does not meet the trust contract scope, categories, criteria and conditions are required except in the case of redemption or replacement.
2. inject assets again with discounts to asset pools.
3. increase the contract's first loss responsibility.
4. clearance to buy back exercised by being found to be deployed to provide credit enhancement.
Three, the standard of asset securitization law
(A) qualified through evaluation of commercial bank rating agency's external rating to determine the risk weight based on the asset securitization risk exposures and asset securitization risk exposures the risk weight according to table 1 and table 2 shows the corresponding relationship.
Table 1 long-term credit rating and risk weighting table
┌─────────┬────┬────┬─────┬─────┬─────┐
│ │ AAA long-term credit rating to AA-minus │ A+ │ BB+ │ BBB+ A-BBB-and B+ BB-│ B+ │
│ │ │ │ │ │或者未评级│
├─────────┼────┼────┼─────┼─────┼─────┤
│ Asset securitization risk exposures │ 20% │ │ 100% │ 350% │ 1250% │
├─────────┼────┼────┼─────┼─────┼─────┤
│ Asset securitization risk violence │ 40% │ │ 225% │ 650% │ 1250% │
│露 │ │ │ │ │ │
└─────────┴────┴────┴─────┴─────┴─────┘
Note: long-term rating at BB + (BB+) BB-(BB-) between, originator does not apply 350% or 650% in the table risk weights, and 1250% of the risk weight.
Table 2 correspond to short-term credit rating and risk weighting table
┌─────────┬─────┬─────┬──────┬───────┐
│ │ A-1/P-1 │ A-2/P-2 │ A-3/P-3 │ short-term credit rating or other ratings are not │
│ │ │ │ │评级 │
├─────────┼─────┼─────┼──────┼───────┤
│ Asset securitization risk exposures │ 20% │ │ 100% │ 1250% │
├─────────┼─────┼─────┼──────┼───────┤
│ Asset securitization risk violence │ 40% │ │ 225% │ 1250% │
│露 │ │ │ │ │
└─────────┴─────┴─────┴──────┴───────┘
(B) the Bank shall distinguish between the following situations for no credit rating or credit rating is not recognized by the Bank as the basis for risk-weighted asset securitization risk exposures and asset securitization risk exposures (hereinafter referred to as exposure to asset-backed securities that are not rated) provision for regulatory capital.
1. for the highest grade of asset securitization risk exposures and asset securitization risk exposures, if banks are able to determine the average risk-weighted assets pool, can be determined according to the average risk-weighted assets pool asset-backed securitization exposure risk weighting.
2. lack of qualified external ratings and in accordance with this section (c) provides eligible liquidity facilities, according to the individual risk in the asset pool exposed to the highest risk weighting determines the risk weights.
3. other asset securitization risk exposures that are not rated in accordance with 1250% of the risk-weighted calculation of risk-weighted assets.
(C) in the case of the following conditions are met, the commercial banks provide liquidity facilities for eligible liquidity facilities: 1. contract documents clearly defined use of liquidity facilities to facilitate liquidity situation. Liquidity facilities should be lower than the amount of basic assets and credit enhancement can pay off the full amount.
Liquidity facilities cannot be used to cover any losses arising prior to its use in the pool. 2. the use of liquidity facilities is uncertain.
Liquidity facilities cannot be used for permanent or routine financing for asset securitization investment institutions. 3. liquidity should asset quality tests, prevent it from being used to cover credit risk exposure due to defaults have been losses.
If liquidity facilities to support the external rating of asset securitization risk exposures, the liquidity facilities can only be used to support external rating to investment grade asset securitization risk exposures.
4. liquidity facilities shall not be used in all credit enhancement has been used.
5. liquidity to facilitate reimbursement cannot be located after investment institutions asset securitization transactions, or extension or cancellation of debt.
(D) in the case of the following conditions are met, loan services cash overdrafts for eligible loan services cash advance convenience:
1. the loan servicer has the right to be paid.
2. the overdraft facility with the highest cash compensation order takes precedence over any other claim to the underlying assets.
(E) off-balance sheet securitisation exposure determine the credit conversion factor as follows:
1. According to external ratings to determine the risk weight of liquidity facilities, applying credit conversion factor of 100%.
2. not in accordance with the external credit ratings the risk weights for eligible liquidity facilities, if the original term of not more than 1 year are applying credit conversion factor of 20% if the original period greater than 1 year are applying credit conversion factor of 50%. 3. for eligible loan services cash advance facilities, in accordance with the relevant provisions of this annex with regard to eligible liquidity facilities calculation of regulatory capital requirements.
If eligible loan services cash advance convenience without prior notice without any condition, you can use 0% credit conversion factor.
4. for other off-balance sheet securitisation exposures, using credit conversion factor of 100%. (Vi) use standard method of asset securitization of commercial banks in the measurement of credit risk mitigation instruments asset securitization risk exposures of regulatory capital, arrived in collateral are limited to authorized and qualified way qualified financial worth of collateral specified in annex 6.
Arriving from qualified for a specific purpose trust mortgage collateral can be considered qualified against collateral.
(Seven) used assets securities of standard method of commercial banks in measurement by qualified arrived pledge products provides credit risk sustained release of assets securities of risk exposed of regulatory capital Shi, should first according to no qualified arrived pledge products of situation calculation regulatory capital requirements, again will its multiplied by according to this approach annex 6 second part (five) by calculation of E*/E, as the assets securities of risk exposed of regulatory capital requirements.
Where e is one that is not taken into account the credit risk mitigation of asset securitization risk exposures, E* means considering credit risk mitigation of asset securitization risk exposures. (VIII) use standard method of asset securitization of commercial banks in the measurement of credit risk mitigation instruments regulatory capital asset securitization risk exposures, will approve qualified guarantee is limited to the options set out in part VI of annex 6 as shown in the first, the second qualified guarantees and credit derivatives.
Specific purpose trust are not as qualified sponsors.
(IX) provided by a qualified guarantor of asset securitization risk exposures with risk mitigation effect of credit protection, the securitisation exposures held with a credit institution can protect asset securitization risk exposures part in accordance with the sponsor's claims directly measuring regulatory capital requirements.
(J) credit risk mitigation instruments covering only part of the asset securitization risk exposures, covered part of measurement shall be in accordance with the relevant provisions in the annex taking into account commercial bank credit risk mitigation effect of regulatory capital requirements; for sections not covered, it should be in accordance with the measurement of credit risk mitigation instruments regulatory capital requirements. Credit risk mitigation instruments covering only part of the asset securitization risk exposures and asset securitization risk exposures with different grades of, if not expressly agreed, the credit risk mitigation instruments should be considered in accordance with the order from higher to lower the level of asset securitization risk exposures to provide credit protection.
(11) asset securitization risk exposure and credit risk mitigation instruments between the maturity mismatch, currency mismatches should be handled in accordance with the relevant provisions of annex 6 to this approach.
(12) as non-originator of commercial banks to provide credit protection to securitisation exposures, and should be treated the same in the asset securitization risk exposures of investment institutions to measure their regulatory capital requirements.
(13) except for this section (14) provides for exceptions, when a securitization transaction has the following amortization situations in advance, body part or all of the investors ' rights and interests should be made capital:
1. in the asset securitization transactions in early amortization provisions of related arrangements.
2. the underlying asset has a circular feature, including allowing borrowers in the credit line within the prescribed limits within the amount of assets with the payment form.
When the underlying assets include revolving credit and term loan at the same time, the originator should be revolving credit risk exposure to the underlying assets of parts in accordance with this part (15) provisions provision for regulatory capital.
Originator for investors, calculation of regulatory capital requirements shall not be greater than the two maximum values: (1) the rest of the regulatory capital requirements for securitisation exposures and (2) based on regulatory capital requirements prior to securitization.
(14) If you have any of the following circumstances, sponsors are not required for securitization transactions of early amortization provision for capital:
1. supplementary securitisation deal structure, complementary assets do not have the basis of cycling, and in the aftermath of the repayable advance, the originator cannot increase its underlying assets in the pool.
2. pools of underlying assets securitization transactions while cycling, but the amortization arrangements in advance of the securitization transaction leading to it has the nature of loans on a regular basis, the sponsors do not assume risks of the underlying asset.
3. even if the early amortization, asset-backed securities investment institutions remain fully responsible revolving line of credit borrower use of financing in the future risks.
4. repayable advance trigger mechanism and securitization transactions is independent of the underlying asset or originators.
(15) the originator for investors, withdrawal of capital for the following three products:
1. the interests of investors.
2. related credit conversion factor.
3. prior to the securitisation of assets, the average risk weight. Investor's equity is equal to investment in securities assets has been the basis of extraction of principal balance and not extracting principal balance equivalent to the amount of credit amount.
When determining the credit equivalent amount did not extract the principal balance, securitization of assets did not extract the principal balance should be based on institutions and investment institutions in the extraction of principal balance has allocated shares.
Credit conversion factor determined in accordance with the following two conditions: early amortization is a control structure or non-controlling structure; underlying assets for non-commitment to the retail credit line or other lines of credit.
(16) for a controlled amortization arrangements in advance of asset securitization transactions, the originator shall be determined in accordance with table 3 credit conversion factors:
1. committed credit lines, apply credit conversion factor of 90%.
2. for the non-commitment of the non-retail credit, applicable credit conversion factor of 90%. 3. retail credit limit for non-commitment, in accordance with table 3 of asset securitization transactions in "the three months average excess spread" and "excess spread lock point" ratio to determine credit conversion factor.
If the securitization transaction does not set locks excess spread, the excess spread lock point to 4.5%.
Table 3 has a controlled early amortisation of asset securitization transactions arranged by the credit conversion factor table
┌───────┬───────────────────────┬────────┐
│ │ 非承诺型 │ 承诺型 │
├───────┼───────────────────────┼────────┤
│ │ The three months average excess spread/excess spread lock (r) │ │
│ ├─────────┬─────────────┤ │
│ │ R〉=133.33％ │ 0％信用转换系数 │ │
│ ├─────────┼─────────────┤ │
│ 100%=R │ 133.33% │ 1% credit conversion factor │ │
│ ├─────────┼─────────────┤ │
Retail credits │ 75%= │ r credit conversion factor │ 100% │ 90% credit conversion factor │
│ ├─────────┼─────────────┤ │
│ │ 50％=〈R〈75％ │ 10％信用转换系数 │ │
│ ├─────────┼─────────────┤ │
│ │ 25％=〈R〈50％ │ 20％信用转换系数 │ │
│ ├─────────┼─────────────┤ │
│ │ R〈25％ │ 40％信用转换系数 │ │
├───────┼─────────┴─────────────┼────────┤
Non-retail credit │ 90% │ │ 90% of credit conversion factors credit conversion factor │
└───────┴───────────────────────┴────────┘
(17) the arrangements for non-controlled early amortisation of asset securitization transactions, the originator shall be determined in accordance with table 4 credit conversion factors:
1. committed credit lines, apply credit conversion factor of 100%.
2. for the non-commitment of the non-retail credit, applicable credit conversion factor of 100%. 3. retail credit limit for non-commitment, in accordance with table 4 in the asset securitization transactions, "the three months average excess spread" and "excess spread lock point" ratio to determine credit conversion factor.
If the securitization transaction does not set locks excess spread, the excess spread lock point to 4.5%.
Table 4 non-controlled early amortisation of asset securitization transactions arranged by the credit conversion factor table
┌───────┬────────────────────┬─────────┐
│ │ 非承诺型 │ 承诺型 │
├───────┼────────────────────┼─────────┤
│ │ The three months average excess spread/excess spread lock (r) │ │
│ ├──────────┬─────────┤ │
│ │ R〉=133.33％ │ 0％信用转换系数 │ │
│ ├──────────┼─────────┤ │
│ │ 100%= of credit conversion factor r 133.33% │ 5% │ │
│ ├ Retail credit limit--------------┼-----------credit conversion factors 100% ┤ │
│ │ 75%= of credit conversion factor r 100% │ 15% │ │
│ ├──────────┼─────────┤ │
│ │ 50%= of credit conversion factor r 75% │ 50% │ │
│ ├──────────┼─────────┤ │
│ │ R〈50％ │100％信用转换系数 │ │
├───────┼──────────┴─────────┼─────────┤
Non-retail credit │ 100% │ │ 100% of credit conversion factors credit conversion factor │
└───────┴────────────────────┴─────────┘
Four, asset securitisation the IRB (A) the internal ratings-based approach of securitization of assets including ratings based method and the supervisory formula method.
Commercial banks should distinguish between the following scenario, choose the appropriate method:
1. for external ratings or no ratings but can be inferred rating asset securitization risk exposures, you should use the ratings based method for regulatory capital requirements.
2. not rated and cannot be inferred from rating asset-backed securitization risk exposures, you can choose to measure regulatory capital requirements in the following ways:
(1) the supervisory formula method.
(2) in accordance with part III of this annex (iii) eligible under the liquidity facilities, in accordance with this section (h) measured for regulatory capital requirements.
(3) calculated as 12.5 times times asset securitization risk exposures to risk-weighted assets.
Supervisory formula method is used to calculate the risk-weighted asset securitization risk exposures shall not be less than 7%, and asset securitization exposure risk weight shall not be less than 20%.
(B) by the ratings based method, risk-weighted assets equal to the asset securitization risk exposure times table 5 and table 6 shows the appropriate risk weight.
Asset Securitization exposure risk weighting is determined by external rating and speculation rating, long-term rating and short-term ratings, in the pool of assets dispersed conditions and asset securitization risk exposures to priority four factors. If the asset securitization risk exposures to all the assets of the asset pool enjoy the priority right to be repaid, the asset securitization risk exposures can be used as a priority level of asset securitization risk exposures. For traditional asset securitization transactions, if first loss responsibility over all grades of asset securitization risk exposures have rating, the rating is the highest priority level of asset securitization risk exposures; if several grades of asset securitization risk exposure rating same, compensational priority priority levels of asset securitization risk exposures.
Synthetic asset securitization risk exposures, if compliance with this section (c) under conditions, super high grades for the first grade of the asset securitization risk exposures.
Asset securitization determine the risk weight of exposures according to the following method:
1. asset pooling risk exposures effectively number (n) is less than 6, the asset pool does not have the dispersion, application of the fourth column in table 5 and table 6 risk weights.
2. asset pooling risk exposures effectively number (n) is greater than or equal to 6, if the securities belonging to the priority level, then the second column of table 5 and table 6 apply the risk weights, or apply the risk weights of the third column of table 5 and table 6.
Pools of assets referred to in the preceding paragraph exposures valid number (n) in accordance with this section (d) 6 calculation of relevant provisions. Asset Securitization exposure risk weighting depends on asset securitization risk exposure level of priority.
Priority level and securitization risk exposures for table 5 and table 6 risk-weighting of the fifth column, non-priority grade securitization risk exposures for table 5 and table 6 risk-weighting of the sixth column.
Asset securitization risk exposures meet the following criteria for priority level asset securitization risk exposures, or for non-priority grade asset securitization risk exposures:
1. the exposures to priority level of asset securitization risk exposures.
2. all the underlying assets are not asset securitization risk exposures.
Table 5 external credit ratings and/or based on long-term assessment
Promote ratings ratings based method of risk weights
┌───────┬──────────────────────┬─────────────┐
│ │ │ Asset securitization risk exposure to asset securitization risk exposures │
├───────┼──────┬────────┬──────┼──────┬──────┤
│ │ │ Priority level, funding non-│ │ │ priority priority levels, asset quality risks a priority level wind │
│ │ The external rating pool distributed wind dispersed risk weight │ │ │ │ pool risk weighting │
│ │险权重 │ │ │ │ │
├───────┼──────┼────────┼──────┼──────┼──────┤
│ AAA │ 7％ │ 12％ │ 20％ │ 20％ │ 30％ │
├───────┼──────┼────────┼──────┼──────┼──────┤
│ AA │ 8％ │ 15％ │ 25％ │ 25％ │ 40％ │
├───────┼──────┼────────┼──────┼──────┼──────┤
│ A+ │ 10％ │ 18％ │ │ 35％ │ 50％ │
├───────┼──────┼────────┤ ├──────┼──────┤
│ A │ 12％ │ 20％ │ 35％ │ 40％ │ 65％ │
├───────┼──────┼────────┤ ├──────┼──────┤
│ A- │ 20％ │ 35％ │ │ 60％ │ 100％ │
├───────┼──────┼────────┴──────┼──────┼──────┤
│ BBB+ │ 35％ │ 50％ │ │ 150％ │
├───────┼──────┼───────────────┼──────┼──────┤
│ BBB │ 60％ │ 75％ │ 150％ │ 225％ │
├───────┼──────┴───────────────┼──────┼──────┤
│ BBB- │ 100％ │ 200％ │ 350％ │
├───────┼──────────────────────┼──────┼──────┤
│ BB+ │ 250％ │ 300％ │ 500％ │
├───────┼──────────────────────┼──────┼──────┤
│ BB │ 425％ │ 500％ │ 650％ │
├───────┼──────────────────────┼──────┼──────┤
│ BB- │ 650％ │ 750％ │ 850％ │
├───────┼──────────────────────┴──────┴──────┤
│BB-以下或者未 │ 1250％ │
│评级 │ │
└───────┴────────────────────────────────────┘
Table 6 short term external credit rating and/or speculation based on short-term assessment rating ratings based method of risk-weighted
┌──────┬────────────────────┬─────────────┐
│ │ │ Asset securitization risk exposure to asset securitization risk exposures │
├──────┼──────┬──────┬──────┼──────┬──────┤
│ │ │ Grades, funding non-priority non-dispersible grades, │ pool │ │ non-priority priority level risk scale wind │
External rating │ │ │ pool pools scattered wind dispersion of risk weight │ │ │ risk weighting │
│ │险权重 │风险权重 │ │ │ │
├──────┼──────┼──────┼──────┼──────┼──────┤
│ A-1/P-1 │ 7％ │ 12％ │ 20％ │ 20％ │ 30％ │
├──────┼──────┼──────┼──────┼──────┼──────┤
│ A-2/P-2 │ 12％ │ 20％ │ 35％ │ 40％ │ 65％ │
├──────┼──────┼──────┼──────┼──────┼──────┤
│ A-3/P-3 │ 60% │ 75% │ 75% │ 150% │ 225% │
├──────┼──────┴──────┴──────┴──────┴──────┤
│其他评级或者│ 1250％ │
│ 未评级 │ │
└──────┴──────────────────────────────────┘
(C) when the following conditions are met, no asset securitization risk exposures is superior in every respect as a reference when the external rating of asset securitization risk exposures, banks must speculate on asset securitization risk exposure rating. 1. no rating asset securitization risk exposures in all respects than the reference asset securitization risk exposures have higher priority. In assessing the rating of asset securitization risk exposure and the priority level for the reference asset securitization risk exposures, credit enhancement effect must be considered.
If the reference asset securitization risk exposures by a third party guarantee or credit enhancement provides protection, not asset securitization risk exposures do not provide such credit enhancement, it cannot be based on the reference asset securitization risk exposures on speculated rate not rated securitisation exposures.
2. the term of the reference asset securitization risk exposures, must be greater than or equal to the rating of asset securitization risk exposure duration.
3. refer to external ratings of asset securitization risk exposures, must meet the specifications of external rating, and recognized by the Bank as the basis for determining the risk weight.
Speculated that ratings should be based on the reference asset securitization risk exposures external rating changes, updated continuously.
(Four) used regulatory formula method of, a a grade assets securities of risk exposed of regulatory capital requirements depends on following five a index: based assets securities of zhiqian of internal rating method regulatory capital requirements (KIRB), and the grade of credit increased level level (l), and the grade of thickness (t), and assets pool risk exposed effective number (n) and assets pool weighted average default loss rate.
Supervisory formula method of calculation methods and indicators are defined as follows:
1. a grade asset securitization risk exposures of regulatory capital equal to the underlying asset exposures and 0.0056xT and S[L+T]-S[L] the larger value of the product.
If banks hold only a certain percentage of a grade asset securitization risk exposure, then the Bank's regulatory capital requirement equal to the level of asset securitization risk exposures proportional regulatory capital requirements. 2. regulatory formulas are defined as follows: when l ≤ KIRB,, S[L]=L when the KIRB l, S[L] =KIRB+K[L]-K[KIRB]= (dxKIRB/ω) (1-e ω (KIRB-L)/KIRB) where: h = (1-KIRB/LGD) n c = KIRB/(1-h) (LGD-KIRB) xKIRB+0.25x (1-LGD) xK
IRB
v = _______________________________________
N v+KIRB2 (1-KIRB)×KIRB-v
f = { _______ - c2 } + ________________
1-h (1-h)×τ
(1-c)×c
g = __________ -1
f
A = gxc b = GX (1-c) d = 1-(1-h) x (1-Beta[KIRB;a,b]) K[L]= (1-h) x ((1-Beta[L;a,b]) xL+Beta[L;a+1,b]xc) Beta [L;a,b]-l a and b as the cumulative Beta distribution parameter.
This parameter is determined by the CBRC to the equation: τ = 1000 ω = 20. 3. the securitisation of assets before the IRB regulatory capital requirements (KIRB) for (a) and (b) of the ratio. Among them, (a) on the basis of assets with credit risk internal rating method required regulatory capital and expected losses and, (b) risk exposure for the asset pool. Calculations (a) values should be treated the same as in the pool of assets are held directly by the Bank, according to China Banking Regulatory Commission on the relevant provisions of the internal ratings-based approach of credit risk calculation. Risk mitigation provided by the underlying assets will benefit all asset securitization risk exposures.
If some of the structures involved in the special purpose vehicle, special purpose vehicle to all associated with the securitization of assets should be dealt with according to the asset in the asset pool, including as the assets of the special-purpose reserve account. If the Bank is designed for extraction of assets in the asset pool, or some of the assets in the pool is purchased through non-refundable discounted in the calculation above (a) and (b) the value, you must use not to deduct such a ready or not risk exposure considering price discount.
If an underlying asset for defaulting assets accordingly or price discounts that can be used to offset the asset securitization risk exposures related to the reduction of regulatory capital. 4. the level of credit enhancement level (l) (a) and (b) of the ratio, expressed as a decimal number.
(A) priority is lower than the level of asset securitization risk exposures, (b) all risk exposures for the asset pool. When calculating the level of credit enhancement levels regardless of credit enhancement for a particular grade securities, regardless of asset securitization-related sales gains. In the calculation of interest rate swaps or credit enhancement level of currency swaps, if its priority level for the grade, current value can be used to measure if the current value could not be determined, in the calculation of the level of credit enhancement levels can not take into account the interest rate swaps and currency swaps. If a reserve account funding by priority is lower than the level in the asset pool asset cash flows, you can count the level of credit enhancement level; if the reserve account is funded by the pool of future earnings, you cannot count the level of credit enhancement levels.
5. the level of thickness (t) (a) and (b) of the ratio. (A) banks hold a certain level of asset securitization risk exposures, (b) all risk exposures for the asset pool. Due to interest rate swap or swap of the formation of asset securitization risk exposures, the Bank must take into account potential future exposure. Potential future exposure for Annex 8 to this approach against derivatives contracts in accordance with the current exposure method to calculate the amount of risk assets by the book when the notional amount multiplied by the coefficient fixed income portion.
If the current value of the asset securitization risk exposures to non-negative value, then the value of the asset securitization risk exposures for the current value and potential future exposures and if the asset securitization risk exposures the current value to a negative value, its value as a potential future exposure.
6. asset pooling risk exposures effectively number (n) is calculated as follows: (∑ iEADi) 2
N = ______________ ∑ IEADi2 where EADi represents the I in the pool of the debtor's default risk exposure. Merging multiple exposures should be calculated to the same debtor.
If you know the maximum share of asset securitization risk exposures for C1, you can also use 1/C1 to calculate n.
Asset securitization risk exposures, valid number (n) refers to the amount of exposure to underlying assets, rather than the underlying asset base under assets.
7. asset pooling weighted average LGD is calculated as follows: ∑ iLGDixEADi
LGD = _________________
∑ IEADi where LGDi represents all risk exposure to a debtor of the I-th the average loss given default rates.
Asset securitization risk exposure weighted average LGD for 100%.
(E) for a retail asset securitization transactions when using the supervisory formula method, you can use the following simplified values: h=0 and v=0.
(F) if the following conditions are met, banks count the number of asset pooling risk exposures effectively (n) and the weighted average of the asset loss given default rates, you can use the following method:
1. If the maximum risk exposure-related portfolio share of C1 is less than or equal to 0.03, when you use the supervisory formula method, LGD=0.50, and uses the following formula to calculate N:Cm-C1
N = {C1×Cm + { ________ }}×max{1-m×C1,0}}
M-1 Cm expressed in the preceding paragraph in securitised assets pools maximum m of risk exposure and share, m determined by the commercial banks themselves.
2. If only C1 is not known, and less than or equal to 0.03, you can LGD=0.50,N=1/C1.
(VII) for off-balance sheet securitisation exposures, using credit conversion factor of 100%.
(H) if the basis for calculation of asset securitization of commercial banks before the IRB regulatory capital requirements (KIRB) difficult, upon approval of the CBRC, can temporarily use the following method to calculate the regulatory capital requirements that are not rating the liquidity facilities:
1. eligible liquidity facilities, risk-weighted in accordance with the credit risk internal rating method is used to calculate the pool of individual exposure in highest risk weighting determines if the original term not exceeding 1 year, then applying credit conversion factor of 50% if the original period greater than 1 year are applying credit conversion factor of 100%.
2. in other cases, liquidity to facilitate the use of the risk weight of the credit conversion factor of 100% and 1250%. (I) the use of internal ratings-based approach of securitization of assets of commercial banks in the measurement of credit risk mitigation instruments asset securitization risk exposures of regulatory capital, the able to recognize qualified against collateral is limited to the method specified in annex 6 for junior IRB qualified against collateral.
Arriving from qualified for a specific purpose trust mortgage collateral can be considered qualified against collateral. (J) the use of internal ratings-based approach of securitization of assets of commercial banks in the measurement of credit risk mitigation instruments asset securitization risk exposures of regulatory capital, the approved compliance assurance and credit derivatives is limited to the method specified in annex 6 for junior IRB compliance assurance and credit derivatives.
Specific purpose trust are not as qualified sponsors.
(11) use of internal ratings-based approach of securitization of assets of commercial banks should be in accordance with part III of this annex (VII), (IX), (12) with regard to credit risk mitigation instruments and these measures on primary internal ratings-based approach of relevant provisions of annex 5, measuring credit risk mitigation instruments asset securitization risk exposures of regulatory capital. (12) using the internal ratings-based approach of the originator in accordance with part III of this annex (13) to (17) of the regulations, for the amortization arrangements made in advance of regulatory capital.
The originator for investors, calculation of regulatory capital for the following three products:
1. the interests of investors.
2. related credit conversion factor.
3. the securitisation of assets before the IRB regulatory capital requirements (KIRB). Investor's equity is equal to investment in securities assets has been the basis of extraction of principal balance and default risks not extraction of principal balance amount of exposure.
In determining the default risk exposure that is not extracted principal balance, no extraction of principal balance should be based on institutions and investors in securitised assets have been withdrawn in the principal balance of the share allocation.
V, external ratings use Using asset securitization risk exposures external credit assessment measurement of capital requirements, excluding external rating specification for Annex 17 to this approach, but should also meet the following criteria.
The following standards apply to both standards within the framework of asset securitization law also applies to the IRB: (A) in order to calculate risk-weighted, and external credit assessments must consider and reflect the credit risk of bank debt in full.
For example, if the Bank's creditors include both principal and interest, the assessment must take into account and reflect the credit risk associated with the timely reimbursement of the principal and interest. (B) the external credit ratings must be performed by qualified external rating agencies approved by the CBRC, the following exceptions. Qualifying credit rating, processes, methods, assumptions and ratings key elements should have no choice but to become public, and completely free of charge. In other words, the ratings must be published in a publicly accessible manner, and is included in the external rating agency ratings migration matrix. In addition, loss and cash-flow analysis, and ratings of sensitivity should also be open to key rating assumptions change.
Therefore, the parties to the transaction's credit rating is not sufficient to meet the requirements of.
(C) qualified external rating agencies must prove expertise in asset securitization, it should be a good market acceptance to prove. (D) the Bank uses qualified external credit assessments of external credit rating agencies, for the same type of asset securitization risk exposures should maintain continuity and consistency.
All grades of the same structure of asset securitization, banks should use the same qualified external credit assessments of external credit rating agencies. (Five) Dang credit risk sustained release directly provides to special purpose institutions Shi, as provides who current external credit rating in BBB-(containing) above, and and in provides credit risk sustained release Shi external credit rating in A-(containing) above, and the risk sustained release reflect in assets securities of risk exposed of external credit assessment in the, is should using and the external credit assessment phase corresponds to of risk weight. In order to avoid double counting, for credit risk mitigation is not required to hold additional capital.
If the provider of credit risk mitigation does not meet the above requirements, then the asset securitization risk exposures shall be treated as not rated.
(F) if the special purpose vehicle was unable to get the credit risk mitigation, but a given structure (such as asset-backed securities class) used in a particular asset securitization risk exposures, banks should follow not rated to handle these exposures, and then dealt with using the credit risk mitigation methods to confirm the related risk prevention approach. (G) the same asset securitization risk exposures have two different rating results, commercial banks should use the higher risk weights.
The same asset securitization risk exposures with three or more rating results, the commercial banks from the two lower risk weight in the selection of higher risk weights.
Six, glossary
"Traditional securitisation" means the credit risk of the underlying assets through asset transfers, trusts or any other means, in whole or in part to investors, underlying asset cash flow to cover at least two grades of securities of different credit risk asset securitization transactions. "Synthetic securitization" refers to the credit risk of the underlying assets through credit derivatives or guarantees, in whole or in part to investors ' asset securitization transactions. The deal structure with at least two different credit risk level of security.
Credit derivatives including source of funds provision and source of funding non-preset type. "Source preset credit derivatives" refers to when an event is in the case of credit default and credit protection to buying agency for access to credit protection and to have access to funds or assets, may take the seizure, disposal, transfer or any other means for processing and receive compensation.
Purchased credit protection institutions for credit protection against pledged assets or issuance of credit connected bills belonging to this situation. "Funding non-preset credit derivatives" refers to when an event is in the case of credit default, purchased credit protection agencies rely on credit protection agencies to fulfil their commitments and to receive compensation.
Guarantee and credit-default swaps are part of this case.
"Liquidity facilities" refers to the actual principal and interest in the underlying assets charged with asset-backed securities case does not match the regular principal and interest payments for the time being, a kind of short-term financing provided by the Bank to ensure that investors can timely, full collection of principal and interest in asset-backed securities. "The grades covered" means for a given exposure, part transfer of commercial banks to provide credit protection the risk while retaining part of the risk, and transfer and keep the parts at different priority levels.
In this case, commercial bank credit protection can be obtained for higher end, can also be low quality. "Cash collateral account" refers to the asset securitization transaction in an internal credit enhancement.
Cash collateral account funds by institutions or from loans from other financial institutions to cover possible losses in the asset securitization activities. "Margin account" refers to the asset securitization transaction in an internal credit enhancement.
Margin account funded by assets interest income and other securitization income, net asset-backed securities, interest expense and other securities transactions costs the formation of excess spread to cover possible losses in the asset securitization activities.
"Sales gains" refers to the commercial banks to engage in asset securitization transactions as a result of the owner's equity increases.
"First loss" refers to assets securitization asset pool of the participating agencies were the first to take loss responsibility for the agencies involved to asset securitization transactions other participating institutions provide the primary financial support or protection. "Clearance to buy back" refers to the asset pool asset or asset-backed securities until full repayment, originator foreclosure asset securitization risk exposures of a choice.
For traditional asset securitization transactions, clearing repo it is common practice in the asset pool or asset-backed securities balances down to a certain level and then, from originator to redeem the remaining asset securitization risk exposures; synthetic asset securitization transactions, clearing repo usually refers to the early termination of credit protection. "Securitization" refers to the assets in line with the body on the basis of at least one securitisation exposure defined and hierarchically structured asset securitization risk exposures.
One or more asset securitization risk exposures belonging to asset securitization.
"Services cash advance convenience" refers to a short-term advances, or financing from loan servicer, including but not limited to, advance recovery fee, mortgage-related expenses to recover the principal and interest of the underlying asset on time, so that investors can be timely, full collection of principal and interest in asset-backed securities.
"Repayable advance" refers to the provisions of asset securitization in the relevant legal documents in advance mechanism is triggered, asset-backed securities investment institutions will be provided in advance to be repaid before maturity.
"Controlling early amortization" refers to the amortization arrangements in advance of the meet the following conditions:
Sponsoring institutions have adequate capital and liquidity programmes, to ensure that they have enough in case of repayable advance capital and liquidity.
In securitization transactions, including the early amortization period during their existence, sponsoring institutions with investment institutions in accordance with the beginning of each month in the underlying assets of securities outstanding balance as determined by the relative shares in the same proportion, shared interest and principal, expenses, losses and the recoverable amount.
Sponsoring institutions set the early amortization period should be sufficient to make the basic assets at least 90% per cent of the outstanding debt at the end of the repayable advance has been repaid or recognized as default.
During the early amortization period and repay the investment agency's speed is not faster than the speed of repayment under the straight-line amortisation method. Early amortization schedule does not meet the above criteria for "non-controlled early amortisation".
"Non-committed credit limit" means, without prior notice, credit limit that can be unconditionally withdrawn at any time.
Annex 10: standard measurement of market risk rules
And interest rate risk Interest rate risk include bonds in the trading account (fixed-rate and floating-rate bonds, bills, negotiable deposit receipts and non-convertible preferred stock and convertible bonds traded in accordance with the bond trading rules), interest rate risk and bond derivatives positions.
Interest rate risk capital requirements including specific market risk and general market risk capital requirements in two parts.
(A) market risk
Table 1: corresponds to a specific market risk calculation rate table
┌─────┬───────────┬──────────────────┐
│ │ │ Category issuers outside rating specific market risk capital provision ratio │
├─────┼───────────┼──────────────────┤
│ │AA-以上（含AA-） │0％ │
│ ├───────────┼──────────────────┤
│ │ │ 0.25% Government securities (remaining period of not more than 6 months) │
│ │ ├──────────────────┤
│ │ A+ to BBB-(including BBB-) │ 1% (remaining period of 6-24 months) │
├─────┤ ├──────────────────┤
│││ 1.6% (remaining for a period of 24 months or more) │
├─────┼───────────┼──────────────────┤
│ │BB+至B-（含B-） │8.00％ │
├─────┼───────────┼──────────────────┤
│ │B-以下 │12.00％ │
├─────┼───────────┼──────────────────┤
│ │未评级 │8.00％ │
├─────┼───────────┼──────────────────┤
│││ 0.25% (remaining period of not more than 6 months) │
│ │BB+以上（不含BB+） ├──────────────────┤
│││ 1% (remaining period of 6-24 months) │
├─────┤ ├──────────────────┤
│││ 1.6% (remaining for a period of 24 months or more) │
├─────┼───────────┴──────────────────┤
│ BB+ │ other external rating (including) not rated securities by securities and capital ratios in the │ │ │ Credit risk weights applicable to securities subject divided by 12.5 risk weight, see annex 2 to this approach.
│
└─────┴──────────────────────────────┘
1. the countries government securities Central Government and Central Bank issued bonds and short-term financing tool.
China's Central Government, the people's Bank of China and the bonds issued by policy banks capital ratios were 0%.
2. eligible securities include:
(1) the multilateral development banks, the Bank for international settlements and the International Monetary Fund bond issue.
(2) bonds issued by public sector entities and commercial banks in China.
(3) by at least two qualified external rating agencies rated investment grade (more than BB+) bonds issued by issuers.
3. for bonds issued by other issuers, their capital ratios in the credit risk of issuers of securities corresponding to the weight divided by 12.5, specific risk weights determined in accordance with Annex 2 to this approach.
Asset Securitization exposure risk weights determined in accordance with Annex 9 to this approach.
(B) market risk
1. the capital requirements for market risk consists of the following three parts:
(1) each time-weighted long and short positions can be hedged part of the vertical capital requirements.
(2) between periods weighted long and short positions can be hedged by the horizontal part that capital requirements.
(3) the entire trading account a weighted net long or net short position of the corresponding capital requirements.
2. commercial banking due date can be used method or duration calculation of general rate risk market risk capital requirements. 3. commercial maturity method is used to calculate market risk capital requirements should first positions divided into time zones and time periods Division and matching the risk weights are shown in table 2, Division and matching the risk weight for the time zone is shown in table 3.
Due date method to calculate the steps are as follows:
(1) position in each period multiplied by the respective risk weighted weighted positions in each period.
(2) the time-weighted long and short positions can be hedged part of times 10% to draw vertical capital requirements.
(3) each time-weighted long positions and weighted short positions to offset each time-weighted net position; in each time zone in each period of the net weighted positions between mutually offsetting part of the times set out in table 3 of the same weight within each time zone in the region of transverse capital requirements.
(4) weighted net position in each period within each time zone offsets, each time zone net weighted positions each weighted position between the net between the two time zones hedged part of the times set out in table 3 of the adjacent area within zone 1 and 3 weight obtained range between horizontal capital requirements.
(5) the time zone offset the net weighted positions, draw the entire trading account a weighted net long or net short position of the corresponding capital requirements.
Table 2: time and weight
┌─────────┬────────┬─────┬──────────┐
│ 3% │ coupon rate of not less than the coupon rate is less than 3% │ │ assuming yield changes risk weights │
├─────────┼────────┼─────┼──────────┤
│ │ Not longer than 1 month no longer than 1 month ¦ 0% 1.00 │
├─────────┼────────┼─────┼──────────┤
│ Months months │ 1-3 │ 1-3 │ 1.00 │
├─────────┼────────┼─────┼──────────┤
│ Months months │ 3-6 │ 3-6 │ 1.00 │
├─────────┼────────┼─────┼──────────┤
│ Months months │ 6-12 │ 6-12 │ 1.00 │
├─────────┼────────┼─────┼──────────┤
│ │ 1.25% │ 1-2 │ 1.0 to 1.9 years 0.90 │
├─────────┼────────┼─────┼──────────┤
│ │ 1.75% │ 2-3 │ 1.9 to 2.8 years 0.80 │
├─────────┼────────┼─────┼──────────┤
│ │ 2.25% │ 3-4 │ 2.8 to 3.6 years 0.75 │
├─────────┼────────┼─────┼──────────┤
│ │ 2.75% │ 4-5 │ 3.6 to 4.3 years 0.75 │
├─────────┼────────┼─────┼──────────┤
│ │ 3.25% │ 5-7 │ 4.3 to 5.7 years 0.70 │
├─────────┼────────┼─────┼──────────┤
│ │ 3.75% │ 7-10 │ 5.7 to 7.3 years 0.65 │
├─────────┼────────┼─────┼──────────┤
│ │ 4.5% │ 10-15 │ 7.3 to 9.3 years 0.60 │
├─────────┼────────┼─────┼──────────┤
│ │ 5.25% │ 15-20 │ 9.3 to 10.6 years 0.60 │
├─────────┼────────┼─────┼──────────┤
│ │ 20 years above the 10.6-12 │ 6% │ 0.60 │
├─────────┼────────┼─────┼──────────┤
│ │12至20年 │8.00％ │0.60 │
├─────────┼────────┼─────┼──────────┤
│ │20年以上 │12.50％ │0.60 │
└─────────┴────────┴─────┴──────────┘
Table 3: time zone and weight
┌────┬──────┬───────┬───────┬───────┐
│ │ │ Time zone time │ │ between adjacent areas within the same region between zone 1 and zone 3 │
├────┼──────┼───────┼───────┼───────┤
│ │ 0-1个月 │ │ │ │
│ ├──────┤ │ │ │
│ │1至3个月 │ │ │ │
│ 1区 ├──────┤ 40％ │ │ │
│ │3至6个月 │ │ │ │
│ ├──────┤ │ │ │
│ │6至12个月 │ │ │ │
├────┼──────┼───────┤ │ │
│ │1至2年 │ │ │ │
│ ├──────┤ │ │ │
│ 2区 │2至3年 │ 30％ │ │ │
│ ├──────┤ │ │ │
│ │3至4年 │ │ 40％ │ 100％ │
├────┼──────┼───────┤ │ │
│ │4至5年 │ │ │ │
│ ├──────┤ │ │ │ │ │5到7年 │ │ │ │
│ ├──────┤ │ │ │
│ │7至10年 │ │ │ │
│ 3区 ├──────┤ 30％ │ │ │
│ │10至15年 │ │ │ │
│ ├──────┤ │ │ │
│ │15至20年 │ │ │ │
│ ├──────┤ │ │ │
│ │20年以上 │ │ │ │
└────┴──────┴───────┴───────┴───────┘ 3. upon approval of the CBRC, banks can use duration measurement-general market risk capital requirements. Once you choose to use secular law should continue to use this method, such as changing methods require the approval of the CBRC.
Long period calculated as follows:
(1) in table 4 corresponding to each position identified in terms of yield, the yield is calculated one by one the price sensitivity is changed by.
(2) the price sensitivity corresponding to table 4 of 15 level and duration in time.
(3) each time in the long and short positions respectively make 5% of vertical capital requirements to cover the basis risk.
(4) in accordance with the requirements of due date law, calculating transverse capital requirements.
(5) in accordance with the maturity date the provisions of the law, will offset the net weighted positions in various districts, concluded that the entire trading account a weighted net long or net short the corresponding capital requirements.
Table 4: duration calculation table
┌─────────┬──────────┬─────────┬──────────┐
│ │ │ │ Assuming yield changes assuming yield changes │
├─────────┼──────────┼─────────┼──────────┤
│ 1区 │ │ 3区 │ │
├─────────┼──────────┼─────────┼──────────┤
│ 0-1月 │ 1.00 │ 3.6-4.3年 │ 0.75 │
├─────────┼──────────┼─────────┼──────────┤
│ 1-3月 │ 1.00 │ 4.3-5.7年 │ 0.7 │
├─────────┼──────────┼─────────┼──────────┤
│ 3-6月 │ 1.00 │ 5.7-7.3年 │ 0.65 │
├─────────┼──────────┼─────────┼──────────┤
│ 6-12月 │ 1.00 │ 7.3-9.3年 │ 0.6 │
├─────────┼──────────┼─────────┼──────────┤
│ │ │ 9.3-10.6年 │ 0.6 │
├─────────┼──────────┼─────────┼──────────┤
│ 2区 │ │ 10.6-12年 │ 0.6 │
├─────────┼──────────┼─────────┼──────────┤
│ 1-1.9年 │ 0.90 │ 12-20年 │ 0.6 │
├─────────┼──────────┼─────────┼──────────┤
│ 1.9-2.8年 │ 0.80 │ 20年以上 │ 0.6 │
├─────────┼──────────┼─────────┼──────────┤
│ 2.8-3.6年 │ 0.75 │ │ │
└─────────┴──────────┴─────────┴──────────┘
(C) the interest rate and bond derivatives
1. interest rate derivative instruments, including derivative financial instruments affected by interest rate changes, such as: interest rate futures, forward rate agreements, interest rate swaps and cross currency swaps and forward foreign exchange contracts, interest rate options trades.
Derivatives include forwards, futures bonds bonds and bond options. 2. derivatives should be converted to a basic tool, and on the basic tools of a specific market risk and the General method of calculation of capital requirements for market risk.
Interest rate and currency swaps, forward rate agreements, forward exchange contracts, interest rate futures and interest rate futures do not have to calculate market risk capital requirements; if the underlying bonds or futures contracts on behalf of bond portfolio index shall be calculated according to the credit risk of the issuer-specific market risk capital requirements.
Second, the equity risk Equity risk refers to the trading account in stock and derivative positions are at risk.
Shares are traded in accordance with stock exchange rules to all financial instruments, including common stock (regardless of whether voting), the convertible bonds and the promise of stock trading.
(A) the specific and general market risk market risk Specific capital requirements for market risk is equal to all the different markets of long stock positions in absolute value and the sum of the short positions in absolute value multiplied by 8% derived from the values of and.
Corresponding to the General market risk capital requirements in different markets of various kinds of long and short positions to offset net equity position of absolute value when multiplied by 8%, derived from the values of and.
(B) equity derivatives
Equity derivatives included stock and stock index forwards, futures and swaps contracts.
Derivatives should be converted to an underlying tool, and on the basic tools of a specific market risk and the General method of calculation of capital requirements for market risk.
Third, foreign exchange risk
Foreign exchange risk is foreign exchange (including gold) and the risk of foreign exchange derivatives positions.
(A) structural foreign exchange risk exposure Structural exposure to foreign exchange risk refers to structural assets or liabilities form of non-trade foreign exchange risk exposure.
Structural assets or liabilities means unavoidable policy on foreign currency assets and liabilities, which may include:
1. after deduction of depreciation of fixed assets and property.
2. the capital of the respective currencies the functional currency (working capital) and statutory reserves.
3. investment in overseas subsidiaries and affiliates.
4. held positions to maintain the capital adequacy ratio stability.
(Ii) foreign exchange risk the capital requirements
Foreign exchange risk capital requirement equal to 8% multiplied by the total net exposure positions.
Total net exposure positions is equal to the sum of the following two:
1. foreign currency portfolio (excluding gold) the sum of the net long position (net position for the long sum of the net positions of all currencies) and the sum of the net short position (net net positions for all currency short positions and absolute value) is greater.
2. the net gold position.
(C) foreign exchange derivatives
Foreign Exchange derivatives should be converted to basic tools and tool based method to calculate market risk capital requirements.
Four, commodity risk
Apply to commodities, commodity forwards, commodity futures, commodity swaps.
Here goods that can be traded in the secondary market for physical products, such as: precious metals (excluding gold), agricultural products and minerals (including oil).
(A) the commodities risk capital requirement equal to the sum of the following two:
1. the net position 15% times the sum of the absolute value of goods.
2. items total positions (the absolute value of long positions and short positions) and multiply by 3%.
(B) on behalf of the commodity derivatives should be converted to goods, and according to the method of calculating capital requirements.
Five risks, options
(A) the only commercial banks can use a simple calculation method of purchase options. 1. the banks who hold stock bulls are bulls and put options, or hold a stock short and call options long and capital requirement equal to option contracts corresponding to the market value of the underlying tool is multiplied by a specific market risk and the general rate of capital requirements for market risk and, minus the option premium.
Minimum capital requirements are zero.
2. the banks who hold a call longs or put option bulls and capital requirement equal to the market value of the underlying tool times the basic tools of a specific market risk and the general rate of capital requirements for market risk and option market value, whichever is less.
(B) while commercial banks put options should use Delta + (Delta-plus) method.
Seoul Tower + method of calculating capital requirements consist of the following three parts:
1. multiply the market value of the underlying tools the option Delta worth to Delta-weighted option positions, and in Delta-weighted positions added to the basic tools of a position in the calculation of capital requirements.
2. gamma (Gamma) risk capital requirements.
Effects of gamma value =0.5xGammax (VU) 2
VU as the underlying tool changes.
Of which:
(1) interest rate option, when bond is basic tool: VU= base value x in table 1 risk weights of the corresponding periods.
(2) when interest is based tool: VU= base value x in table 1 changes in the assumed rate of return in the period.
(3) when the Foundation tool for stock, stock index, foreign exchange and gold: VU= market based tool x8%.
(4) when the underlying tools for product: VU= market based tool x15%. Same basic tools each option corresponds to the effect of gamma values are summed to yield a net effect of gamma values for each basic tool.
Only if the net effect of gamma value based tools for negative values, and shall calculate the capital requirement, and total capital requirement equal to the net effect of gamma values and absolute value.
3. Vega (Vega) risk capital requirements.
Based tool dimensions and risk capital requirements
=25%x the underlying tools x| volatility that the underlying instrument Vega of the sum of the values of the options |
Vega risk total capital requirements, tool dimensions the basis is equal to the sum of the capital requirements and risk.
Six, underwriting
When commercial banks taking underwriting tools such as underwriting bonds, you should use the following method to the corresponding market risk capital.
1. commercial banks according to the following pattern determine the required accrual amount of underwriting risk exposure to market risk capital:
Required accrual amount of underwriting risk exposure to market risk capital = day-end underwriting daily balance x conversion factor
2. from the date it determines the amount of underwriting bonds and prices, conversion factors for 50%; from the date of payment, and adjust the conversion factor of 100% until the bonds sold.
3. daily of the need to make capital requirements for market risk calculated underwriting risk exposure as a trading account, according to the type of underwriting bonds and issuers, to calculate the corresponding market risk capital requirements, including specific and general market risk market risk.
Seven, the trading account of credit derivatives
Commercial banks credit derivatives trading accounts should be converted to the relevant credit reference entity principal positions, and use its current market value to calculate market risk capital requirements for interest rate risk.
Table 5: trading accounts credit derivatives rules
┌────────────┬───────────────┬───────────────┐
Credit protection sellers │ │ │ long/short credit buyer/│
├──────┬─────┼───────────────┼───────────────┤
Wind │ │ │ general market subject to payment of any fees or interest is considered │ is subject to the payment of any fees or interest, │
│ │-│ Holds no specific market risk bond bulls │ to sell specific market risk-free bond bears │
│信用违约互换├─────┼───────────────┼───────────────┤
Specific wind │ │ │ as a credit reference entity Bull, such as │ as a credit reference entity bears, as for │
│ │ │ Insurance eligible securities, swaps │ is regarded as eligible securities are considered sold swaps │
│ │ │风险暴露 │空头 │
├──────┼─────┼───────────────┼───────────────┤
Wind │ │ │ general market subject to payment of any fees or interest is considered │ is subject to the payment of any fees or interest, │
│ │ │ Insurance for credit reference entity Bull, and sell │ to sell credit reference entities, and holds no special │
│││ No specific market risk bond bear market bond bulls │ │
│总收益互换 ├─────┼───────────────┼───────────────┤
Specific wind │ │ │ as a credit reference entity Bull │ as selling credit reference entities bear │
│ │险 │ │ │
├──────┼─────┼───────────────┼───────────────┤
│ │ │ Market wind generally regarded as holding bills the issuer bulls │ considered selling bills the issuer bears │
│ │险 │ │ │
│ ├─────┼───────────────┼───────────────┤
│ │ │ Credit instruments market-specific wind considered held issuer credit reference and credit references │ considered selling entity bears, as for │
Bulls │ │ │ insurance entities, such as eligible securities, │ eligible securities are considered sold bills │
│││ Bills the issuer is considered long │ issuers short │
├──────┼─────┼───────────────┼───────────────┤
Wind │ │ │ general market subject to payment of any fees or interest is considered │ is subject to the payment of any fees or interest, │
│ │-│ Holds no specific market risk bond bulls │ to sell specific market risk-free bond bears │
│ ├─────┼───────────────┼───────────────┤
│ │ │ Default credit for the first time as a bull holds all reference entity, specific │ considered selling a specific market risk capital requirements most │
Specific wind │ │ │ swaps market risk capital requirements to the largest possible support │ high reference entity bears (for risk critical │
│ │ │ As ceiling of insurance, such as qualified portfolio │ dew) or as specific market risk capital sold │
│││ Conditions, credit derivatives is considered long │ the credit reference entity requires a minimum short │
│ │ │ │（针对对冲头寸） │
├──────┼─────┼───────────────┼───────────────┤
Wind │ │ │ general market subject to payment of any fees or interest is considered │ is subject to the payment of any fees or interest, │
│ │-│ Holds no specific market risk bond bulls │ to sell specific market risk-free bond bears │
│ ├─────┼───────────────┼───────────────┤
││││ As selling a specific market risk capital requirements most │
│││ As holding all the reference entities bulls, entity references are not high │ short (for risk critical │
│ │ │ Second breach specific market risk capital requirements including minimum │ dew), when there is default protection for the first time, │
│ │ │ Interchangeably with specific market wind long credit reference entities, under specific market risk │, seen as secondary market risk selling │
│ │ │ Insurance capital requirements to the maximum possible expenses as │ minimum capital requirements on credit reference entity │
│││ Limited, for eligible securities, is considered a │ head, or when a specific market risk capital requirements most │
│││ Credit derivatives held long │ low credit reference entity has default │
│ │ │ │况下，视为卖出信用参考实体空头│
│ │ │ │（针对对冲头寸） │
└──────┴─────┴───────────────┴───────────────┘
Annex 11: internal market risk model supervisory requirements
, Internal model approach should cover the risk factors
(A) interest rate risk
1. commercial banks ' internal models shall cover each of a series of risk factors corresponding to the interest rate of the currency. 2. commercial banks should use a widely accepted model for internal use of the yield curve.
The yield curve shall be divided into different maturity time, to reflect changes in the yield volatility along the expiration time of each expiration date should correspond to an element of risk. 3. for larger exposure of major currencies and major changes in market interest rates, commercial banks at least six risk factors should be used to build the yield curve.
The number of risk factors shall be finally determined by the complexity of the commercial banks ' trading strategies.
4. risk factors should reflect the risk spreads.
(B) the equity risk
1. commercial banks ' internal models should be included with each large stock holdings held by banks that correspond to the respective market risk factors. 2. for each stock market, internal models should contain at least one to reflect the price movement of the composite market risk factors (such as stock index).
Investing in stocks or industry stock position can be described as corresponding to the General market risk factors "beta (Beta) equivalent."
3. the banking regulator would encourage commercial banks to use internal model of risk factors corresponding to the different sectors of the market, cyclical and non-cyclical industries such as manufacturing, and so on; the most prudent approach is the volatility of each stock to establish a risk factor.
4. for a given market, characteristics and complexity of modeling and commercial banks on the market risk exposure and concentration of stocks to match.
(C) foreign exchange risk
1. internal models should be included in each risk exposure held by large commercial banks and foreign currency (including gold) corresponds to the currency risk.
(Iv) commodity risk
1. internal models should be included with each held by commercial banks to commercial positions that correspond to the respective market risk factors. 2. for commodity-based financial tool is relatively limited in commercial banks, risk factors can be simplified to define methods.
That risk exposure corresponds to the price of each item is to identify a risk factor if less total commodity positions held by the commercial banks, or risk factors risk factors as a series of related commodities.
3. for the more actively traded commodity, internal models should be considered derivative positions (such as forwards, SWAps) between physical goods and "convenience yield" different.
(V) other
1. internal models should contain can effectively reflect the options associated with the four types of market risk risk, basis risk and related risk and other risk factors. 2. in principle, the commercial use of pricing and valuation within the model of risk factors should be included in the model.
If not included, you should note that it makes sense.
B the minimum qualitative requirements, internal model method
Commercial banks use internal model approach should satisfy the regulator about market risk management general requirements and specific requirements for these measures, and comply with the qualitative requirements of the following:
(A) capital measurement should be closely combined with daily market risk management activities, including:
1. the daily market risk management of capital measurement should be based on internal models rather than market risk capital requirements in particular improved models. 2. the model should be fully integrated into the daily market risk management of commercial banks, and as the basis of reports submitted to the senior management of risks.
Model results should serve as a necessary component of market risk management. 3. the risk measurement system shall be used in conjunction with transaction limits.
Trading links with the model should be consistent and understood by senior management.
(B) by an independent risk management market risk daily report shall be reviewed by a certain level of management, and should have sufficient authority to force the management to reduce individual traders ' positions and the risk exposure of the Bank as a whole. (C) commercial banks should be established independently of the business units and reports directly to the senior management of market risk management.
The risk management division is responsible for the design and implementation of commercial bank's risk management system, produce and analyse daily based on risk measurement model output reports.
(D) commercial banks should have enough in the trading, risk control, audit and back-office employees working with complex models.
(E) should be in accordance with the requirements of the measures of commercial banks to conduct stress tests on a regular basis.
(Vi) commercial banks should build up enough to support their own model operation of information systems.
(G) the internal model used by the commercial banks should be sufficiently documented, relevant documents should have sufficient details.
Third, internal model method of minimum quantitative requirements
(A) commercial banks have access to anything that can reflect all its main risk modeling method to calculate market risk capital requirements, including, but not limited to the Variance-Covariance method, historical simulation and the Monte Carlo simulation method.
(B) commercial banks such as the use of internal models approach, its minimum capital requirements for market risks generally value-at-risk and pressure value at risk, and value-at-risk and pressure value at risk (sVaR) calculation of minimum quantitative standards shall be consistent with this approach.
(C) commercial banks in the daily calculation of value-at-risk, one-tailed confidence interval, 99%.
(D) when the calculation of value-at-risk, commercial banks use the holding period for 10 trading days.
Commercial banks can use a shorter holding period and the results are converted to a holding period of 10 days (such as square root method using time), but shall prove to the CBRC on a regular basis of such method is reasonable.
(E) calculation of value-at-risk observation period used shall meet the following requirements:
1. the length of the observation period should be at least one year (250 trading days).
2. using weighting method or other similar method to deal with historical data, effective observation period of at least one year, that is when weighting is used, weighted average time history data shall not be less than 6 months.
3. commercial use does not completely satisfy the requirements above the 2nd other weighting method of dealing with the historical data, but be sure to calculate the capital requirement of not less than calculated by the above 2nd results.
(F) on the basis of the calculation of value-at-risk, commercial banks also respond to their existing portfolio of value-at-risk calculation pressure, the pressure value-at-risk should be covered by all major market risk in commercial banks.
(VII) pressure value at risk calculation requirements include:
1. the pressure value-at-risk should be calculated at least once a week.
2. use causes significant losses to the commercial bank of consecutive 12-month period as a significant financial stress scenarios, and using historical data during the calibration data as the basis of calculation.
3. selection of 12 consecutive months of pressure means the continuous period of extreme financial stress events, if extremely stressful events for the duration of less than 12 months, the Bank shall use appropriate methods to extend the period to 12 months. 4. selected for 12 consecutive months during the pressure associated with the commercial bank's asset portfolio.
5. Bank select methods of pressure during shall upon approval of the CBRC.
Commercial banks shall report its approved method to determine the pressure during the preparation of the CBRC, and its regular audits. (H) commercial banks should ensure the reliability of data used for internal models. When you are unable to obtain reliable data, you can use alternative data or other reasonable value at risk measurement techniques.
Commercial banks should be able to demonstrate the reasonableness of using technology and does not substantially underestimate the risks. (I) commercial banks should be updated at least monthly data sets. Such as changes in risk factors and make commercial banks need more frequent updates to ensure prudential value at risk model data, you should increase the frequency of updates.
DataSet update process should be flexible enough to adapt to the increased update frequency requirements.
Four, the internal model method-specific market risk capital requirements
(A) commercial banks can use internal model approach measuring interest rate risk and equity risk-specific market risk capital requirements.
(B) except in accordance with this annex concerning the internal models approach the minimum qualitative and quantitative requirements, using the internal model method to measure specific market risk capital requirements, internal models should be included to reflect the all important factor leading to price risk, and can react to changes in market conditions and trading portfolio and meet the following requirements, otherwise, the commercial banks should use the standard method to measure specific market risk capital requirements.
1. to explain the history of the trading portfolio price changes.
2. reflect the concentration risk.
3. the unfavourable market environment remained robust.
4. reflect the basis risk associated with basic tools.
5. reflect the event risk.
6. is validated through back testing.
Internal model shall conservatively estimated by illiquid risk positions with limited price transparency.
Five, the internal model method of new risk capital requirements (A) commercial banks such as the use of internal models method specific market risk capital requirements, should at the same time using an internal model measurement new risk capital requirements.
Using internal models failed to cover the additional risk of commercial bank, you should use the standard method to calculate market risk capital requirements.
Added risk is defined as not being value-at-risk model of measurement associated with interest rate and equity products default and rating migration risk.
Internal model approach was used to calculate the new risks of commercial banks, should cover the interest rate added risks; upon approval of the CBRC, covering the stock class added risk.
(B) the holding of new venture capital for a period of 1 year, the confidence interval is 99.9%.
(C) new risk capital requirements for the larger of the following two values:
1. added value risk of the past 12 weeks.
2. the most recent calculated added value at risk. Commercial banks a new risk capital requirements should be calculated at least once a week.
Measure added risks of commercial bank model should meet within 1 year holding period assumptions of constant risk levels and concentration, risk hedging strategies and options characteristics to be adjusted also should reflect the market events that may affect multiple issuers. (D) commercial bank added liquidity risk model should fully consider the product or combination of terms.
Term refers to the pressure under the condition of market liquidity, on the premise that does not affect the market price, position or the period required to fully hedge against new risks.
1. the mobility period can be estimated according to position or combination units; if the estimated liquidity terms, in combination, combination classification should be clearly defined in order to reasonably reflect the different combinations of term liquidity differences.
2. for non-investment-grade products, lack of liquidity in the secondary market fell sharply and has never had the liquidity terms should be carefully estimated. 3. mobility periods of not less than 3 months.
Should fully take into account the new risk model of commercial bank default and rating migration event correlation, but not taking into account new risks and hedging or diversification effects of other risk factors.
(E) the net calculation applies only to long and short positions of the same product; the basis risk, priority structures, rating, duration and NET errors to be a reasonable measurement.
(F) the new risk model of commercial banks when the following conditions are met, you can consider dynamic hedging strategies to hedge effect, rather than as a hedge against error handling:
1. dynamic hedging strategy consistently applied to all account-related positions.
2. proof by dynamic hedging strategy is a better approach to risk management.
3. show hedging instruments have enough liquidity to ensure even pressure conditions are still able to take dynamic hedging strategies to manage risk.
Six, back testing requirements
(A) commercial banks should compare the daily profit and loss data and internal value-at-risk data model, back testing, within one year, according to a recent additional factor breakthrough count in the calculation of the market risk capital, and quarterly returns test results and reports of additional factors to adjust the CBRC.
CBRC commercial bank returns test results and supervise the implementation of additional adjustment factor.
(B) in accordance with the following conditions, banks may apply to the China Banking Regulatory Commission no additional factor is adjusted according to the actual number of breakthroughs:
1. commercial banks if reasonable description of their sound you do use breakout, and events are of a temporary nature, the CBRC may decide not to register that number included breakthrough breakthrough events. 2. when there is a substantive change in the financial markets, market fluctuations and significant changes in the correlation coefficient can cause substantial breakthroughs within a short time.
In this case, the regulator could require the transformation of commercial bank system as soon as possible into their internal model, this process may not raise additional factor.
(C) the back testing of the internal model shall meet the following requirements at least:
1. commercial banks should be calculated daily based on the T-1 position of value-at-risk with t-day profit and loss data and compare if the losses exceed the risk value is called a breakthrough.
2. the value-at-risk of the holding period is 1 day, confidence intervals, duration of calculation methods and the use of historical data and other parameters using internal models method parameters to use when calculating market risk capital requirements remain consistent.
3. break through statistical methods using simple breakthrough method, namely statistics at the end of each quarter of the last 250 trading days returns total number of breakthrough occurred in the test results.
4. commercial banks when you apply to the China Banking Regulatory Commission conducting the internal model method, returns should be established inspection procedure, and returns the test result data accumulated at least a year.
(D) using the internal model method-specific market risk capital requirements, commercial banks ' interest rates and stocks back testing such combinations.
(E) commercial banks back testing of document management and reporting system should be established.
1. commercial banks should return to the testing process and results set up complete written documentation for internal management and external auditors and banking regulators access to use.
2. test breakthrough after the incident, shall promptly report in writing members of the senior management responsible for risk management of commercial banks.
3. after a formal method for implementing internal market risk model of commercial banks, should be conducted at the last 250 trading days of the quarter back testing results report to the CBRC.
(F) in accordance with the number of back testing breakthrough of the last 250 trading days, its results can be divided into green, yellow and red zones in three areas. 1. green zone, including 0-4 time event.
Green zone represents the back testing showed no evidence of problems in commercial banks ' internal models. 2. the yellow zone, including 5 to 9 times a breakthrough event. Yellow back testing showed that commercial banks of internal model there may be a problem, but the conclusion is still uncertain, therefore, models are accurate or inaccurate is likely.
Normally, as the number of breakthrough events increased from 5 to 9 times, inaccurate models likely to gradually increase. 3. the red zone, including 10 times or more breakthrough event.
Results for red zone back testing showed problems in commercial banks ' internal models of a real possibility.
(G) market risk return test breakthrough times, zoning and capital correspond to the additional factors are shown in table 1.
Table 1: number of breakthroughs and additional factors table
┌────┬──────────────────────┬──────────┐
│ │ Partition number back testing breakthrough of the last 250 trading days │ additional factor capital │
├────┼──────────────────────┼──────────┤
│ 绿区 │ 少于5次 │ 0.00 │
├────┼──────────────────────┼──────────┤
│ │ 5次 │ 0.40 │
│ ├──────────────────────┼──────────┤
│ │ 6次 │ 0.50 │
│ ├──────────────────────┼──────────┤
│ 黄区 │ 7次 │ 0.65 │
│ ├──────────────────────┼──────────┤
│ │ 8次 │ 0.75 │
│ ├──────────────────────┼──────────┤
│ │ 9次 │ 0.85 │
├────┼──────────────────────┼──────────┤
│ 红区 │ 10次或以上 │ 1.00 │
└────┴──────────────────────┴──────────┘
Seven, model validation requirements Supervision of commercial bank internal model approach was used to calculate market risk capital requirements, shall be governed by the regulations on the internal market risk model validation and support system, ensure that the model is correct, reasonable assumptions, data integrity, model operates well, accurate calculation, usage analysis is appropriate.
Internal market risk model validation of the detailed requirements see annex 14 to this approach.
Eight, stress test requirements
(A) commercial banks use internal model method of measuring market risk capital requirements should stress test called for by this approach accordingly. Bank stress tests deal with stress scenarios should cover the possible combinations have a significant loss, have a material adverse effect on its trading portfolio, or give rise to risk prior or subsequent quite difficult to manage all kinds of potential risk factors.
Of these risk factors should include all major risk categories low probability events, and reflects events of linear and nonlinear characteristics of a position of influence. (B) commercial banks should have the capacity to conduct stress tests on a daily basis.
Also, you should regularly assess the status of risks under stress scenarios, especially coping with stress tests reveal major risks and special attention to vulnerability, stress tests show that the commercial banks under the negative influence of a particular scene, should reduce the risk exposure or to allocate more capital management.
(C) the commercial bank market risk stress test scenarios should be developed.
Stress testing programme should focus on the following areas: concentration risk, the pressure under the condition of market illiquidity in the market, movements in the single market, event risk, non-linear products and other internal models may not adequately reflect the risk. Stress testing programme should be approved by the Board of Directors and senior management of commercial banks, and conduct regular evaluation and revision.
Senior management should regularly review the results of the stress tests, be taken into account in the assessment of capital adequacy and management and be reflected in the policies and limits established by the Board. (D) pressure test should be both quantitative and qualitative criteria, taking into account the market turmoil caused by the market risk and liquidity risk.
Quantitative criteria should be clear commercial banks may face pressure; qualitative criteria should emphasize stress test goal is to assess the ability of capital to absorb potentially large losses and to seek measures can be taken to reduce risk and save the capital.
(E) commercial banks to choose the most suitable size of its business and complex levels of pressure testing technology, including sensitivity tests and scenario testing. (Vi) commercial bank positions can be combined according to their size, structure and complexity to determine content of the stress scenarios, and covered different severity.
Stress scenarios by their nature can be divided into: 1. regulatory requirements without Bank simulation scenarios. Commercial banks should report on their quarterly 5 biggest one-day loss of information for review by the regulator.
Loss of information should be calculated from the internal measurement systems are compared to levels of capital. 2. simulation of banking history.
Commercial banks should test its trading portfolio performance in the two historical situations: the first is when the market price volatility or a sharp decline in liquidity in the market history; second is when the risk factors of correlation and extreme changes in the volatility of the history. 3. commercial banks designed to reflect characteristics of stress scenarios in their trading portfolios. Commercial Bank according to its own portfolio characteristics, design their own stress test scenario, identify the most adverse market conditions.
Commercial banks should inform the regulator of their recognition and implementation of such methods of stress scenarios, and this caused the results. (G) complete commercial bank should develop processes to ensure full market risk stress tests. Related process should at least including following content: analysis trading combination characteristics and business by at of external market environment, to determine should in pressure situation Xia for test of main risk factors; design appropriate of trading combination pressure test, including may of pressure event and the situation of specific description; to file form records pressure test by with of assumed and the obtained about assumed of method; regularly for pressure test, analysis pressure test results to determine easy by effect of link and the potential risk
And reported to the senior management and management personnel of commercial banks stress tests results to determine appropriate remedial measures to be taken under the pressure, to deal with the stress tests found that the potential risks; reporting to the Board about the results of the stress tests and remedial measures to be taken. (H) commercial banks according to the trading portfolio characteristics and changes in the external environment, periodic reviews of stress test scenarios to assess the stress test the basic assumptions are still valid.
Audits should include at least the following: stress testing programme covered risk factors stress tests are integrated into the daily risk management; pressure test procedure of the approval process, include any significant change to the mandate used to stress-test the accuracy and completeness of position data; to stress-test the consistency, timeliness and reliability of data sources used, pressure test the adequacy of the documentation of the program.
Nine, reporting requirements Commercial banks are allowed to use an internal model method to calculate market risk capital requirements, internal models shall report quarterly to the CBRC's operation.
Report should at least include: model method, content and coverage of significant changes, returns the results for the current period, major changes in information systems and management, and market risk related to the development of new business.
Annex 12: measurement of operational risk capital regulatory requirements
, Basic indicator approach revenue definition Gross income and net interest income and net non-interest income.
Total income constitute descriptions are shown in table 1.
Table 1 income constitutes description
┌─┬─────────┬─────────────────────────────┐
│ │ 项目 │ 内容 │
├─┼─────────┼─────────────────────────────┤
│ 1 │ │ financial institutions between the interest income interest income interest income derived from loans, investments, and other interest income, │
├─┼─────────┼─────────────────────────────┤
│ 2 │ │ financial institutions between interest expense interest expense, interest expense, customer deposits other interest on borrowed funds support │
│ │ │出等 │
├─┼─────────┼─────────────────────────────┤
│3 │净利息收入 │1-2 │
├─┼─────────┼─────────────────────────────┤
│ │ │ Fees and commissions net income 4 fees and commissions income fees and commissions expense │
├─┼─────────┼─────────────────────────────┤
¦ ¦ 5 net trading gains and losses on Exchange and exchange rate gains and losses, interest-rate products, precious metals and other commodities trading profit and loss transactions │
│ │ │损益、权益衍生产品交易损益等 │
├─┼─────────┼─────────────────────────────┤
│ 6 │ portfolio │ securities net gains and losses net investment gain or loss, but does not include: bank account "has to maturity" and "available for │
│ │ │出售"两类证券出售实现的损益 │
├─┼─────────┼─────────────────────────────┤
│ │ │ Dividend income other operating income 7, investment property fair value movements, │
├─┼─────────┼─────────────────────────────┤
│8 │净非利息收入 │4＋5＋6＋7 │
├─┼─────────┼─────────────────────────────┤
│9 │总收入 │3＋8 │
└─┴─────────┴─────────────────────────────┘
Second, standard conditions of implementation of the law and business line classified
(A) the implementing conditions
Commercial Bank's adoption of the model law should be subject to the following conditions: 1. the operational risk management of commercial banks should establish a clear organizational structure, policies, tools, procedures and reporting lines. Board should bear the ultimate responsibility for monitoring effectiveness of operational risk management, senior management should be responsible for Executive Board approval of the operational risk management policy, the overall policies and system. Shall designate the Department responsible for all operations of commercial bank risk management system of the building, organizing and implementing operational risk identification, monitoring, evaluation, measurement, control, delivery, monitoring and reporting.
Commercial banks should be established across the line, the incentive mechanism to encourage improvements in operational risk management. 2. commercial banks should establish and the nature of the business of the Bank and scale and operational risk management system adapted to the complexity of the product. The management system should be able to record and store data related to operational risk operational risk event information and to support operational risk and control self assessment and key risk indicator monitoring.
The management system should be equipped with the complete documentation, for failure to comply with the regime provided for sound disposal and remediation. 3. commercial banks should systematically collect, track and analyze data related to operational risk, including operational risk losses and losses of the business line frequency.
Commercial banks ' internal loss data should be collected in accordance with the provisions of part IV of this annex.
4. Commercial Bank operational risk assessment mechanisms should be developed, to integrate risk assessment into business processes, establishment of operational risk and control self assessment or additional assessment tools to assess regularly the main business lines of operational risk, and apply the results to the risk assessment, process optimization and risk reports.
5. the Bank shall establish a system of key risk indicators, monitoring indicators, and process the index break through the threshold of active risk management and control.
6. commercial banks should establish a unified business continuity management policies and measures to establish business continuity management contingency plans.
7. commercial banks is responsible for operation risk management of sector should regularly to senior management layer and Board submitted full line of operation risk management and control situation report, report in the should including main operation risk event of detailed information, and has confirmed or potential of major operation risk loss, information, and operation risk and the control measures of assessment results, and key risk index monitoring results, and developed process on report in the reflect of information take effective action.
8. Commercial Bank's operational risk management systems and processes should be subject to independent review, internal audit should cover the business sector activities and all levels of operational risk management activities.
9. commercial banks should devote adequate human and material resources support implementation of operational risk management in business lines, and to ensure that the effectiveness of the internal control and internal audit.
10. operational risk management system in commercial banks and its review should be supervised by the China Banking Regulatory Commission checks.
(B) principles of business line classified
1. commercial bank based on total income should be defined, identified with the total income defined accounting courses and accounting codes.
2. Commercial Bank should be identified to meet the gross income defined subjects classified according to their nature of business activity recorded by item by item to the appropriate business line.
3. If a business activities involving two or more business lines, higher value should be included in the beta coefficient of the business lines.
4. commercial banks should provide all accounting subjects meet the gross income defined assignments.
5. commercial banking business line revenues should meet the following requirements:
Total revenue is calculated for line of business of commercial banks and should be equal to the commercial bank's total income;
Second, commercial banks when calculating business line net interest income should be according to each business line's capital in proportion to the interest cost.
6. commercial banking business activities into business lines, should ensure that the credit risk or market risk measurement classification definitions used by business line, if there are differences, should provide detailed written instructions.
7. banks shall record in writing all business line revenues classified details.
Table 2 classification of business line directory
┌────────┬─────────┬─────────────────────────┐
│ 1级目录 │ 2级目录 │ 业务种类示例 │
├────────┼─────────┼─────────────────────────┤
│ │公司和机构融资 │ │
│ ├─────────┤ │
│││ M service, underwriting, underwriting, listing services, delisting, stock │
│ │ │ Government financing, and research and information services, debt financing, equity financing, syndicated loan │
│ │ │ Financial line services, IPO services, rights issue and private placement services, consultation │
│ ├---------┤ Witness services, financial advisory and consulting, debt restructuring, corporate finance service │ │ │投资银行 │务等。
│
│ ├─────────┤ │
│ │咨询服务 │ │
├────────┼─────────┼─────────────────────────┤
│ │ Sales │ trading accounts RMB financial products, foreign products, in the inter-bank bond │
│ ├---------┤ Market, import precious metals trading business, proprietary derivative │
│ │ │ Business market maker trading, foreign exchange trading, due from banks and securities repurchases, capital lending, │
│ Trading and sales ├---------┤ customer financing foreign-funded financial institutions, asset-backed certificates, precious metals lease business │
│ │ │ Proprietary business certificates, forward rate agreements, interest rate swaps and interest rate options, forward currency │
│ ├---------┤ Contracts, interest rate swaps, swaptions, FX options, forward exchange settlement and sales, servicing │
│ │ Certificate │ funds investments, cash and bank deposits, the Central Bank, within the system, │ │ │ │其他资金管理等。
│
├────────┼─────────┼─────────────────────────┤
│ │ │ Retail business retail loans, retail accounts, personal income, personal FX, travel │ │ │ │支票、其他零售服务。 │
│零售银行 ├─────────┼─────────────────────────┤
│ │ │ High-end, high-end customer deposits loans private banking fees, the high-end customer financing, investment management │ │ │ │询、其他私人银行服务。
│
│ ├─────────┼─────────────────────────┤ │ │ │ Bank card business credit card, debit card, credit card, acquiring, other bank card services.
│
├────────┼─────────┼─────────────────────────┤
│││ Corporate loans, savings, discounts, credit, project financing assets buy sell │
│││ Broken, warranties, guarantees, acceptances, loans, import and export trade financing, not │
│ │ │ Commercial banking business of commercial banks property services, factoring, leasing, unit certificates of deposits, loans at your service, │
│││/Commitments type of investment certificates, bonds, letters of credit, bank credit (bank account ¦ │ │ │户）、其他商业银行业务。
│
├────────┼─────────┼─────────────────────────┤
│││ Bond settlement agents, foreign exchange settlements, acting Deputy Foreign-funded financial institutions policy │
│││ Bank loan funds settlement, transfer of banking and securities, other commercial banks to be Deputy AG │
│││ Draft, the agent of foreign financial institutions renminbi clearing, checks, e │
│ Payment and settlement (note) │ │ banks, commercial bills, FX, securities capital settlement, Lottery funds open │
│││ Calculation, gold trading capital clearing and fund liquidation, personal electronic futures trading sinks │
│││, Bank draft, promissory note, transfer, acceptance and collection transactions, │ │ │ │支付结算业务。
│
├────────┼─────────┼─────────────────────────┤
│││ Managed, QFII custodian of securities investment funds, QDII custodian, corporate pension support │
Managed │ │ │ tubes, other assets managed, trading fund accounts managed by third parties, │ │││ Pipe, safe-deposit boxes and other related businesses.
│
│ ├─────────┼─────────────────────────┤
│││ Collection of withholding business, bank loans, financial agent authorized agent policy │
│ Services │ │ payment, public finance, valet, valet Forex trading derivative financial instruments │
│ │ Services │ shipping, agency securities, agency sale of precious metals, insurance agent │
│││, Collecting taxes, payroll, Enterprise Annuity business agent, other public │ │ │ │代理业务。
│
│ ├─────────┼─────────────────────────┤ │ │ │ Company entrusted with business enterprise pension trustee business, other mandated agency business.
│
├────────┼─────────┼─────────────────────────┤
│ │ │ Discretionary fund management investment fund management, asset management, private equity fund for delegates, other discretionary │ │ │ │委托的资金管理。
│
│资产管理 ├─────────┼─────────────────────────┤
│ │ │ Investment capital fund non-discretionary asset management, enterprise annuities management, delegate management, other discretionary │ │ │理 │委托的资金管理。
│
├────────┼─────────┼─────────────────────────┤
│││ Execution services, to sell the funds, insurance, personal finance, the acting cast │
│ │ │ Chinese retail brokerage business of retail brokerage, savings bonds agent, agent, agents, foreign exchange trading, individual gold business │
│ │ │其他零售经纪业务 │
├────────┼─────────┼─────────────────────────┤ │ Service │ service │ not included in the above eight business lines business lines.
│
└────────┴─────────┴─────────────────────────┘
Note: for Bank business payment and settlement services operational risk losses, accept payment and settlement services business line within the entry.
Third, the advanced measurement method implementation requirements and measurement rules
Using the advanced measurement method of commercial banks, should comply with the criteria set out in this annex for implementation of the law requirements, as well as governance structures, data processing and modeling requirements:
(A) governance structure
1. the operational risk management of commercial bank's operational risk measurement should become an important part of the process, relevant measurement system should enable commercial banks to improve operational risk management and business line, support to business line configuration of capital. 2. the Bank shall, according to requirements of Annex 16 to this approach, establishing independent validation of the operational risk measurement system in strict procedures. Advanced validation should include operational risk measurement models and support systems that senior models fully reflect low frequency high risk loss event, carefully measuring operational risk regulatory capital.
Commercial Bank's operational risk management systems and processes should be subject to third party verification, validation should cover the business lines and a full line of operational risk management, authentication standards and procedures shall be in accordance with the regulations.
(B) data-processing Commercial Bank's operational risk measurement system shall be based on the internal loss data, external loss data, scenario analysis, business environment and internal control of the four basic elements, and of the operational risk measurement system and weight in writing a reasonable definition.
The four basic elements should at least comply with the following requirements:
1. internal loss data (1) the observation period should have at least 5 years of commercial bank internal loss data.
Using the advanced measurement method of commercial banks for the first time, you can use the 3-year internal loss data.
(2) commercial banks should be specified in writing the internal loss data are processed, adjustment of methods, procedures and authorities to deal effectively with issues of data quality.
(3) commercial bank's internal loss data should cover the full risk assessment of all important business activities have a significant impact, and shall set a reasonable amount of loss events and statistics to start.
(4) the operational risk measurement system using internal loss data should be classified business line with the provisions of this annex list of loss event type directory and correspondence.
(5) total loss of commercial banks in addition to collecting information, should also be collecting loss events, cause of loss events and other information.
(6) commercial banks controlled by a central sector (such as the information technology sector) or across business lines and intertemporal loss events caused by operational risks, should develop reasonable standards of allocation of loss.
(7) commercial banks on the loss event tracking and inspection mechanism should be established and updated amount of loss events and loss and other changes.
(8) the Bank shall collect the records an event that did not result in any loss of influence or benefit, such an event is not used for modeling, but situational analysis and other methods to evaluate the risks and losses.
(9) due to operational risks of commercial banks (such as collateral management deficiencies) caused loss of credit risk, as has been reflected in the credit risk databases, should be seen as a credit risk losses not included in regulatory capital operational risk measurement, but this type of event should be marked separately within the operational risk loss database description.
(10) commercial banks on market risk losses due to operational risk events should be reflected in the operational risk loss database, into regulatory capital operational risk measurement.
(11) the operational risk of commercial bank internal loss data collection and assessment results should accept the supervision and inspection of the CBRC.
2. external loss data
(1) commercial bank's operational risk measurement system shall use relevant external data, including open data sharing data, banking and so on.
(2) the Bank shall be in writing and provided external data processing, adjustment of methods, procedures and authorities to deal effectively with external data to the Bank's adaptability.
(3) external data loss incidents should include the actual amount of loss, business size, cause of loss events and background information. (4) implementation of advanced measurement method of commercial banks can be shared as appropriate between internal data, external data sources as operational risk measurement. Commercial banks use internal data collection, management and sharing among, follow predetermined rules in writing.
Operation and management of the relevant rules and mechanisms should have reported the CBRC.
(5) commercial banks for the use of external data should accept the supervision and inspection of the CBRC.
3. scenario analysis
(1) commercial banks should use external data and scenario analysis to estimate the potential operational risk large losses. (2) Commercial Bank operational risk measurement system using correlation should be assumed for scenario analysis.
Commercial banks will promptly ex post real losses result comparison with scenario analysis, continuously improve the rationality of scenario analysis.
4. business environment and internal control factors
Commercial banks in the use of internal and external loss data and scenario analysis measures operating risks, should also take into account the possible operational risks and changing business environment and internal control factors, and these factors are converted into measurable quantitative indicators included in the operational risk measurement system.
(C) model development and measurement
1. commercial banks used to measure operational risk capital requirements model confidence level should not be less than 99.9%, and observed for a period of 1 year.
2. the operational risk measurement system shall have a high degree of accuracy, taking into account the very serious and the frequency of extreme loss events and loss amount.
3. If we cannot prove to the CBRC commercial bank expected losses have been calculated exactly and fully reflected in the statement, should be considered in the measurement of operational risk capital expected loss and unexpected loss.
4. commercial banking in adding different types of operational risk capital, can determine the correlation coefficient, but written estimate of the correlation coefficients between the operational risk loss of rationality. 5. commercial insurance can be as sustained-release factor for operational risk advanced measurement methods.
Insurance release up to 20% of the operational risk capital requirements.
Four operational risk loss event and the statistical requirements
(A) the operational risk loss event types 1. internal fraud.
Refers to intentionally defraud, misappropriate property or violation of regulations, laws or company policies leading to loss events, involves at least one such event, but does not include discrimination and differential treatment. 2. external fraud.
Refer to third-party intentional fraud, theft, plunder of property, forgery, attacks on information technology systems or evade the law regulation in commercial banks leads to loss events. 3. employment and workplace safety.
Violation of law or an agreement of employment, health or safety, personal injury claims, or losses due to discrimination and differential treatment. 4. customer, product, and business events.
Caused by not complying with the relevant provisions of the particular customer is not fulfilling obligations (such as fiduciary duties and appropriateness requirements) or product loss events caused by nature or design flaw. 5. damage to physical assets.
Due to natural disaster or other event (such as a terrorist attack) led to the loss of physical assets were lost or destroyed. 6. information technology systems.
Refers to the operation of the information technology systems, applications, security management products as well as software, hardware, service providers and other third parties, causing the system to fail to handle business or system speed loss events caused by abnormal. 7. the execution, delivery and process management event.
For transaction processing or process management, as well as with trading partners, external suppliers and sellers dispute leads to loss events.
Table 3 list of operational risk loss event types
┌────┬─────┬─────┬──────────────────┬────┐
│ │ Briefly explain the level 1 directory │ │ │ 3 directory number example level 2 directory │
├────┼─────┼─────┼──────────────────┼────┤
│ │ │ │故意隐瞒交易 │1.1.1 │
│ │ │ ├──────────────────┼────┤
│ ││││ Unauthorized transactions resulting financial losses 1.1.2 │
│ │ │行为未经授├──────────────────┼────┤
│ │ Right to intentionally defraud, │ │ │ 1.1.3 deliberately mispriced │
│ │盗用财产或│ ├──────────────────┼────┤
│ │违反监管规│ │其他 │1.1.4 │
│ │章、法律或├─────┼──────────────────┼────┤
Fraud/credit policy │ │ │ │ │ fraud/false deposits 1.2.1 │
│ │致的损失，│ ├──────────────────┼────┤
│ │ │ │ To such an event/extortion/theft/robbery of misappropriating │ 1.2.2 │
│ │少涉及内部│ ├──────────────────┼────┤
│ │一方，但不│ │盗用资产 │1.2.3 │
│ │包括歧视及│ ├──────────────────┼────┤
│ │ │ │ │ Differential treatment of malicious damage to assets 1.2.4 │
│内部欺诈│件 │ ├──────────────────┼────┤
│ │ │ │伪造 │1.2.5 │
│ │ │ ├──────────────────┼────┤
│ │ │盗窃和欺诈│支票欺诈 │1.2.6 │
│ │ │ ├──────────────────┼────┤
│ │ │ │走私 │1.2.7 │
│ │ │ ├──────────────────┼────┤
││││ Theft of accounts/accounting/fake account/│ 1.2.8 │
│ │ │ ├──────────────────┼────┤
│ │ │ │违规纳税／故意逃税 │1.2.9 │
│ │ │ ├──────────────────┼────┤
│ │ │ │贿赂／回扣 │1.2.10 │
│ │ │ ├──────────────────┼────┤
││││ Insider (no bank account) │ 1.2.11 │
│ │ │ ├──────────────────┼────┤
│ │ │ │其他 │1.2.12 │
├────┼─────┼─────┼──────────────────┼────┤
│ │ │ │盗窃／抢劫 │2.1.1 │
│ │ │ ├──────────────────┼────┤
│ │ │ │伪造 │2.1.2 │
│ │ │盗窃和欺诈├──────────────────┼────┤
│ │第三方故意│ │支票欺诈 │2.1.3 │
│外部欺诈│骗取、盗用│ ├──────────────────┼────┤
│ │财产或逃避│ │其他 │2.1.4 │
│ │法律导致的├─────┼──────────────────┼────┤
│ │损失 │ │黑客攻击损失 │2.2.1 │
│ │ │ ├──────────────────┼────┤
│││ System security │ │ 2.2.2 for financial losses caused by stealing information │
│ │ │ ├──────────────────┼────┤
│ │ │ │其他 │2.2.3 │
├────┼─────┼─────┼──────────────────┼────┤
││││ Salary, benefits, labor contract termination arrangements │ 3.1.1 │
│ │ │ ├──────────────────┼────┤
│ │ Violates labour labour relations │ │ │ 3.1.2 organized trade unions action │
│ │同法、就 │ ├──────────────────┼────┤
│ │业、健康或│ │其他 │3.1.3 │
│ │安全方面的├─────┼──────────────────┼────┤
│ │ │ │ General regulations or responsibility of the employment system (such as slip and fall) │ 3.2.1 │
│和工作场│议，个人工│ ├──────────────────┼────┤
│ │ Security claim or injury │ │ │ breaches of health and safety provisions 3.2.2 │
│ │ │ ├ Environmental security due to discrimination and difference-------------------------┼-┤
│ │别待遇事件│ │劳方索偿 │3.2.3 │
│ │导致的损失│ ├──────────────────┼────┤
│ │ │ │其他 │3.2.4 │
│ │ ├─────┼──────────────────┼────┤
│││ Of discrimination and difference ¦ all incidents involving discrimination 3.3.1 │
│ │ │待遇事件 │ │ │
├────┼─────┼─────┼──────────────────┼────┤
││││ Breach of fiduciary duty and violation of rules and regulations │ 4.1.1 │
│ │ │ ├──────────────────┼────┤
││││ Appropriateness/disclosure (know your customer) │ 4.1.2 │
│ │ │ ├──────────────────┼────┤
││││ Information disclosure obligations not to retail customers │ 4.1.3 │
│ │ │ ├──────────────────┼────┤
│ │ │ │泄露隐私 │4.1.4 │
│ │ │适当性，披├──────────────────┼────┤
│ │ │露和诚信责│强制推销 │4.1.5 │ │ │ │任 ├──────────────────┼────┤
││││ │ Customer account for a charge for repeated operation 4.1.6 │
│ │ │ ├──────────────────┼────┤
│ │ │ │保密信息使用不当 │4.1.7 │
│ │ │ ├──────────────────┼────┤
│ │ │ │贷款人责任 │4.1.8 │
│ │ │ ├──────────────────┼────┤
│ │ │ │其他 │4.1.9 │
│ │ ├─────┼──────────────────┼────┤
│ │因疏忽未对│ │垄断 │4.2.1 │
│客户、产│特定客户履│ ├──────────────────┼────┤
│ │ │ │ Products and business lines within the obligation poor trading/marketing │ 4.2.2 │
│活动事件│（如诚信责│ ├──────────────────┼────┤
│ │任和适当性│ │操纵市场 │4.2.3 │
│ │要求）或产│不良的业务├──────────────────┼────┤
Nature or set up │ │ about us │ products │ insider trading or market behavior (bank account) │ 4.2.4 │
│ │计缺陷导致│ ├──────────────────┼────┤
Loss of │ │ │ │ │ 4.2.5 business activities without a valid authorization │
│ │ │ ├──────────────────┼────┤
│ │ │ │洗钱 │4.2.6 │
│ │ │ ├──────────────────┼────┤
│ │ │ │其他 │4.2.7 │
│ │ ├─────┼──────────────────┼────┤
│ │ │ │产品缺陷（未经许可等） │4.3.1 │
│ │ │ ├──────────────────┼────┤
│ │ │产品瑕疵 │模型错误 │4.3.2 │
│ │ │ ├──────────────────┼────┤
│ │ │ │其他 │4.3.3 │
│ │ ├─────┼──────────────────┼────┤
│ │ │ │未按规定审查客户信用 │4.4.1 │
│ │ │客户选择，├──────────────────┼────┤
│││ Business promotion and │ │ 4.4.2 customer risk limit │
│ │ │风险暴露 ├──────────────────┼────┤
│ │ │ │其他 │4.4.3 │
│ │ ├─────┼──────────────────┼────┤
│ │ │││ Consulting business consulting business disputes 4.5.1 │
├────┼─────┼─────┼──────────────────┼────┤
│ │ │ │ │ Entity assets natural disasters losses 5.1.1 │
│ │ Disaster and other natural disasters or │ ├-------------------------┼-┤
│ │ │ Events │ lost other events outside of physical assets (terror attacks, vandalism) caused the │ │
│ │ Damage lost or destroyed │ │ │ 5.1.2 casualties and damage │
│ │致的损失 │ │ │ │
├────┼─────┼─────┼──────────────────┼────┤
│ │ │ │硬件 │6.1.1 │
│ │ │ ├──────────────────┼────┤
│ │ │ │软件 │6.1.2 │
│信息科技│业务中断或│ ├──────────────────┼────┤
│ │ │ Events │ system failure of the system information system network and communication lines │ 6.1.3 │
│ │致的损失 │ ├──────────────────┼────┤
│ │ │ │动力输送损耗／中断 │6.1.4 │
│ │ │ ├──────────────────┼────┤
│ │ │ │其他 │6.1.5 │
├────┼─────┼─────┼──────────────────┼────┤
│ │ Transaction processing in implementation, or │ │ │ error message transaction is determined information 7.1.1 │
│割 │ │ │ │ │
├────┼─────┼─────┼──────────────────┼────┤
││││ Data entry, maintenance, or posting error │ 7.1.2 │
│ │ │ ├──────────────────┼────┤
││││ Deadline or failure to perform an obligation │ 7.1.3 │
│ │ │ ├──────────────────┼────┤
│ │ │ │模型／系统误操作 │7.1.4 │
│ │ │ ├──────────────────┼────┤
││││ Of accounting system errors/transaction errors of attribution │ 7.1.5 │
│ │ │ ├──────────────────┼────┤
│││ Implementation and maintenance of │ │ other tasks to perform failure 7.1.6 │
│ │ │ ├──────────────────┼────┤
│ │ │ │交割失误 │7.1.7 │
│ │ │ ├──────────────────┼────┤
│ │ │ │担保品管理失效 │7.1.8 │
│ │ │ ├──────────────────┼────┤
│ │ │ │交易相关数据维护 │7.1.9 │
│ │ │ ├──────────────────┼────┤
│ │ │ │其他 │7.1.10 │
│ │ ├─────┼──────────────────┼────┤
│ │ │ │未履行强制报告职责 │7.2.1 │
│ │ │ ├──────────────────┼────┤
│││ Monitoring and reporting not accurate loss │ │ the external report 7.2.2 │
│ │流程管理失│ ├──────────────────┼────┤
│ │败和因交易│ │其他 │7.2.3 │
│ │对手方及外├─────┼──────────────────┼────┤
│ │ And process pipe manufacturers │ │ customer lack of license/statement │ 7.3.1 │
│ Recruit │ events │ led loss clients ├-------------------------┼-┤
Lost │ │ │ legal file is missing/incomplete documentation │ │ 7.3.2 │
│ │ │ ├──────────────────┼────┤
│ │ │ │其他 │7.3.3 │
│ │ ├─────┼──────────────────┼────┤
│ │ │ │未经批准登录账户 │7.4.1 │
│ │ │ ├──────────────────┼────┤
Personal/corporate │││ │ │ 7.4.2 records error resulted in the loss of customer information │
│ │ │客户账户管├──────────────────┼────┤
│ │││ │ Customer assets due to negligence damage 7.4.3 │
│ │ │ ├──────────────────┼────┤
│ │ │ │其他 │7.4.4 │
│ │ ├─────┼──────────────────┼────┤
│ │ │ │与同业交易处理不当 │7.5.1 │
│ │ │ ├──────────────────┼────┤
│││ Counterparties with interbank counterparty controversy │ │ 7.5.2 │
│ │ │ ├──────────────────┼────┤
│ │ │ │其他 │7.5.3 │
│ │ ├─────┼──────────────────┼────┤
│ │ │外部销售商│外包 │7.6.1 │
│ │ ├─────┼──────────────────┼────┤
│ │ │ │与外部销售商的纠纷 │7.6.2 │
│ │ │和供应商 ├──────────────────┼────┤
│ │ │ │其他 │7.6.3 │
└────┴─────┴─────┴──────────────────┴────┘
(B) principles of operational risk loss data collection and statistics
Commercial banks should be in accordance with the following provisions and, in conjunction with the actual, detailed rules for the implementation of statistical development of operational risk loss data, and report to the CBRC for the record. 1. the materiality principle.
Reference operational risk loss event, the loss amount and high frequency of operational risk loss event to focus on and confirmed. 2. the principle of timeliness.
Shall acknowledge promptly and complete records, accurately operational risk loss event caused direct financial loss, avoid early or delayed resulting in inaccurate statistical data for the current period. 3. the principle of unity.
Operational risk loss event of statistical standards, scope, procedures and methods should be consistent to ensure objective, accurate and comparable statistics. 4. the principle of prudence.
Operational risk losses should be carefully identified, make objective and fair statistics measure the amount of loss, avoid operational risk loss of meter or less.
(C) the operational risk loss form 1. legal costs. Legal proceedings arising from commercial banks ' operational risk events occur or arbitration proceedings incurred in litigation or arbitration process in accordance with fees, arbitration fees and other legal costs.
Violating rules on intellectual property rights protection, such as a result of litigation costs, external Attorney's fee, appraisal fee, appraisal fee. 2. regulatory confiscated. Because of operational risk events suffered by the regulator or authority fines and other penalties.
Breach of industrial policies, suffered by the regulation, such as fines, revocation of license. 3. asset losses. Negligence, accidents or natural disasters or other events cause direct damage and a reduction in the value of physical assets.
Such as fires, floods, earthquakes and other natural disasters caused by the reduction in the book value. 4. the external compensation. Due to internal operational risk events, leading commercial banks failed to fulfil responsibilities caused the damages.
As a result of banks ' business interruption, delivery delays by the customer, internal cases, compensation for loss of funds or assets. 5. recourse fail. Due to errors, omissions, or internal events, can recover but ultimately unable to recover loss or damage caused by, or recovery failed because the parties do not fulfil their obligations as a result of the loss.
Such as funds transfer errors, the relevant documents elements missing, tracking time brought about by the loss. 6. the reduced book value. Due to theft, fraud, unauthorized activities of operational risk events, such as book value of assets as a result of direct reduction.
Such as write-offs caused by internal fraud, external fraud assets at book value or earnings loss and theft, as well as unauthorized or ultra licensing deals led to losses. 7. other losses.
Other losses due to operational risk event.
(D) the amount of operational risk loss event identification beginning and scope definition 1. payment will start from operational risk loss statistics. Commercial Bank's operational risk loss event shall, in accordance with the importance of statistical principles, determines the amount of operational risk loss event statistics starting point.
Commercial Bank to have payment will start from the following operational risk loss event does not occur and the financial losses of operational risk events can also be recorded and accumulated. 2. the scope of operational risk loss event statistics.
Commercial banks should be based on the reasonable distinction in these measures operational risk loss, loss of credit risk and market risk limits, for cross-regional, cross-business kind of operational risk loss event, a commercial bank should rationally determine the loss of statistical principles, avoiding duplication of statistics.
(E) the main contents of the operational risk loss event statistics
Commercial Bank's operational risk loss event should at least contain: a loss event occurs, discovery, time and loss of time, loss of business line name, event type, involving a total amount, the amount of loss, slow-release, non-financial impact, cross-relations and credit risk and market risk.
Annex 13: risk assessment standards
A comprehensive assessment of the risk management framework (A) commercial banks should establish their internal capital adequacy assessment process and to meet the complete enterprise-wide risk management framework, maintaining the Bank's stable operation and sustainable development.
A comprehensive risk management framework should include the following elements:
1. effective Board and senior management oversight.
2. appropriate policies, procedures and limits.
3. the comprehensive and timely identification, measurement, monitoring, delivery and control risk.
4. better management information systems.
5. the comprehensive internal control.
(B) Commercial Bank Board of Directors and senior management on the overall effectiveness of the risk management framework the primary responsibility, determined according to the risk-bearing capacity and business strategy risk appetite, and to ensure that banks limit consistent with risk appetite.
(C) the Board of Directors and senior management of commercial banks should be required to have comprehensive risk management knowledge and management experience, familiar with the main business lines, especially the new business area of operation and the main risks, ensure that risks and control measures for the effective implementation of policies.
Board of Directors and senior management of commercial banks should be fully aware of the risk measurement, risk and key assumptions and limitations to ensure management decision-making information is sufficiently reliable.
(D) Commercial Bank Board of Directors and senior management should continue to concern the Bank's risk profile, and timely reporting requirements risk management risk and violation of risk limits and so on.
(E) Commercial Bank Board of Directors and senior management should clearly identify the Business Department and risk management Department Division of responsibilities and reporting lines and ensure the independence of the risk management Department. (Vi) commercial banks should improve their own development strategy, business objectives and financial situation Adaptive risk management policies and procedures, risk limits for major risks, ensuring that the limits and levels of capital, assets, income and overall risk levels to match.
Risk policies, procedures and limits to ensure the attainment of the following objectives:
1. sound level and at the level of individual business line risk management function to ensure comprehensive and timely identification, measurement, monitoring, delivery and control of credit, investment, trading, securitization, off-sheet and other critical business risks.
2. ensure that the risk management process to identify key risk exposure to economic substance, including reputation risk and valuation uncertainty.
3. all levels of management review should be an offence under the internal position limits in time, and take measures according to set procedures. 4. ensure that the risk management and control of the new businesses, new products.
Prior to business start-up, should bring together risk management, internal control and business lines to new business, new product assessment, to ensure that banks have sufficient ability to manage and control the risks in advance.
5. establish mechanism to assess and update on a regular basis to ensure risk policies. processes and limits of rationality.
(VII) should be established and adapted to the risk management of commercial bank management information system, management information system should have the following main functions:
1. support each business line total risk measurement and risk.
2. identify a full range of concentration risk, credit risk, market risk, liquidity risk, reputation risk and other risks produced by the interaction of risk.
3. analysis of various types of risk mitigation tools and effects in different market environments.
4. support the full line pressure testing, assessment of various stress scenarios on impact and main business line.
5. have appropriate flexibility, reflect the risk assumption changes affect the risk assessment and the assessment of capital.
(H) the internal control system of commercial banks should establish a comprehensive risk management, ensure that the relevant information accurately and the effective implementation of bank-wide risk management policy.
Second, credit risk, market risk and operational risk assessment
(A) commercial banks should establish a sound credit risk, market risk and operational risk management system, relevant factors include, but are not limited to:
1. the Board of supervision and control.
2. the responsibilities of senior management.
3. appropriate organizational structure and staffing arrangements.
4. risk management policies, methods, procedures and limits.
(B) should assess the bank accounts of commercial banks credit risk exposure categories of standards, procedures and coverage, confirm the classification criteria of rationality and compliance, consistency of standards implementation, ensure that the credit risk exposure of full coverage, regulatory capital requirement to cover all credit risk exposure. (C) commercial weights method for calculation of credit risk regulatory capital, should be directed to external ratings and no external rating of credit risk exposures, respectively to assess their weight under risk-weighted matching with potential risks.
If banks found exposure to the risks inherent in significantly higher than the risk-weighting, especially for not rating the risk exposure, should be taken into account in assessing the overall level of capital adequacy of banks higher credit risk.
(D) commercial bank should clearly define the scope of internal ratings-based approach covering the credit risk exposure and performed consistently, avoiding regulatory capital arbitrage.
(V) the commercial banks should assess the internal rating system used by default, loss, economic downturn, key definitions of rationality, master key used internally defined with these measures concerning the definition corresponds to commercial bank's internal rating system provides the difference between regulatory capital and the resulting deviation of the measurement results.
(Vi) commercial banks should evaluate credit risk stress testing of prudential, including setting up the legitimacy and relevance of stress scenarios, stress rigorous logical relationship with credit risk parameters, and so on.
(G) commercial banks should assess whether the internal rating system verified to achieve these measures regarding bank capital advanced methods to verify that the relevant requirements, ensure risk parameters used for calculation of credit risk regulatory capital requirements accuracy and prudence.
Commercial banks should assess the scope and application of the internal rating system applications, ensure that credit risk for calculating capital adequacy ratio parameters play a significant role in the credit risk management. (H) commercial banks should assess the possible remaining credit risk mitigation techniques credit risk.
These risks include:
1. could not have arrived in time due to a counterparty collateral.
2. due to lack of liquidity against collateral to realisation.
3. refusal or delay in payment of the guarantor. 4. the failure of related documents.
(I) commercial banks should assess credit risk mitigation policies and procedures, valuation and information systems on commercial bank credit risk mitigation for this approach are met regulatory capital requirements.
(J) commercial bank market risk capital measures shall cover the following risks:
1. the trading book interest rate risk and equity risk.
2. trading account and the bank account currency risk and commodity risk.
3. the optionality.
(11) a commercial bank should clearly define the use of internal models method and standard method to measure the scope of the regulatory capital requirements for market risk, and consistent enforcement, preventing capital arbitrage.
(12) when using the standard method of measuring the market risk regulatory capital, commercial banks should establish financial instruments split standards and procedures, reasonable term determined, risk parameters, choose carefully, to ensure that regulatory capital requirement calculation of prudential.
(13) the internal model method is used when measuring the market risk regulatory capital, commercial banks should reach these measures regarding the requirements of the internal market risk model of commercial banks; the validation of market risk measurement model, commercial banks should reach this approach of commercial bank capital advanced methods to verify that the relevant requirements to ensure supervision of commercial banks to calculate market risk capital requirements, risk parameters, accuracy and prudence.
(14) should be in accordance with the measures for commercial bank's operating risk of commercial bank supervisory capital requirements and measurement of operational risk capital.
Basic indicator approach or standard method for measuring operational risk regulatory capital of banks, compared with other similar size and business bank, with gross earnings significantly lower or negative, may underestimate the operational risk capital requirements, should improve its operational risk capital.
(15) using the advanced measurement method measurement of operational risk capital requirements for commercial banks, whose model shall continue to meet these measures on capital advanced methods to verify that the relevant requirements of commercial banks.
Third, the assessment of other risks and issues
(A) concentration of risks
1. concentration risk is a single exposure or combination of exposure banks might face significant losses or risks of substantive changes in the Bank's risk profile.
Commercial banks should clearly recognize and evaluate a single or group of closely related risk factors impact on banks, and take fully into account the interconnections between different kinds of risk.
2. concentration risk situations include: (1) the counterparty concentration risk or borrower.
Due to the commercial banks for the same counterparty, borrowers or more highly related to risk of counterparties, borrowers with high exposure to risks arising from, for example, loans to local-government financing platforms such. (2) areas of concentration risk.
Commercial banks for the same counterparty or borrowers with higher risk of risks arising from exposure. (3) industry concentration risk. Commercial banks on the same economic and financial industry have a high risk of risks arising from exposure.
Such as loans to the real estate industry and the railways, roads and infrastructure loans. (4) credit risk mitigation instruments focus on risk.
Since arriving in single commercial bank collateral, by a single guarantor of risks arising from loan guarantees. (5) risk concentration.
High proportion of commercial banks hold asset-specific risk, specific assets include loans, bonds, derivatives, structured products, and so on. (6) off-balance sheet item concentration risk.
Commercial banks engage in external guarantees, commitments by the formation of concentration risk. (7) other risk concentrations.
Recognition of other banks might face losses of commercial banks a single exposure or exposure combinations, such as long term loans of risks arising from concentration. 3. commercial banks should identify types of concentration risk, and clearly understand the different business lines similar to the exposure concentration of risk on a lead.
Also should fully take into account various types of associations between risk concentration risk.
Commercial banks should also be clearly assessed the economic downturn and market liquidity as well as pressure potential concentration risk under market conditions.
4. commercial banks should use a variety of techniques from multiple angles and identify, measure and manage their major concentration risk.
5. the concentration of commercial banks should establish a comprehensive risk-management framework, Bank concentration risk management framework shall include at least: (1) a written risk management system.
Concentration of banking risk management system should be made clear to concentration risk faced by banks relating to the definition and requirements management.
(2) effective concentration risk identification, measurement, monitoring and control methods. (3) concentration risk limit management system.
Commercial banks shall, according to their size and business complexity concentration risk determines the appropriate limit, and take effective measures to ensure that quota management are followed. (4) the concentration risk reports on a regular basis and censorship.
The Board of Directors and senior management of concentration risk under regular review to ensure that the associated risks are effectively managed and controlled. (5) stress test system. Commercial banks should regularly conduct stress tests on major concentration risk, identify potential factors that might have adverse effects on the banking, and according to the results of the stress tests to take corresponding measures.
Commercial banks should fully consider the possible risk of pressure conditions.
6. commercial banks should, according to its concentration risk assessment results, configure the appropriate capital to resist possible loss of concentration risk. In view of the different characteristics of different types of concentration risk, concentration risk for different categories of commercial banks based on different measurement methods.
Such as loans to the Government financing platforms, can be combined with cash flow coverage provision for capital, characteristics of medium-and long-term loans according to the loan terms provision for capital, loans to real estate industry through prudent estimates industry trends in the overall average default provision for capital.
(B) banking book interest rate risk 1. commercial banks should establish with their scale, nature and adapted to the complexity of the banking book interest rate risk management and evaluation system to determine capital requirements for banking book interest rate risk and configure the appropriate capital.
Commercial bank interest rate risk management should be integrated into comprehensive risk management system, and through related business activities.
2. commercial banks should established and perfect bank account interest rate risk management of governance schema and management information system; clear Board, and Board authorized of specifically Committee, and senior management layer and by specified of competent sector of duties; configuration bank account interest rate risk management by needed of human, and material resources; developed corresponding of management policy and process; clear bank account interest rate risk management internal control, and limit management, and report, and audit, aspects of principles and requirements.
3. bank accounts commercial bank interest rate risk management (personnel) should be independent of the risk Department responsible for trading and other business activities (personnel), lines of reporting should also remain independent.
4. Bank's management information system should be accurate, timely, sustained and adequately identify, measure, monitor, control and report on the banking book interest rate risk to provide effective support, which includes at least:
(1) calculated according to the period of time set by repricing gap, reflecting the maturity mismatch.
(2) currency and banking book interest rate risk of analysis of major currency.
(3) quantitative assessment of banking book interest rate risk on the Bank's net interest income and the impact of economic value.
(4) to support the verification of the implementation of the quota policy.
(5) providing effective support for stress tests.
(6) providing effective support for model validation.
5. prior to the introduction of new products and new business of commercial banks should be fully identified and assessed potential banking book interest rate risk, establish appropriate internal approval, business operation and risk management procedures, and approved by the Special Committee of the Board or its authorized. 6. commercial banking in the banking book interest rate risk in the process of measurement, should be taken into account include the repricing of risk, basis risk, yield curve risk and impact of optionality, important risks, as well as major currency interest rate risks faced by the business.
Measurement and evaluation should include all interest-sensitive items of assets and liabilities within and outside tables.
(1) for the repricing of risk, commercial banks should be at least quarterly monitoring repricing gap Pan scenario simulation results and interest rate to assess the re-pricing of risk on the Bank's overall earnings and economic value may affect.
(2) for the basis risk, should regularly monitor the correlation between benchmark interest rates of commercial banks to assess pricing benchmarks is inconsistent impact on banks ' overall earnings and economic value.
(3) for the yield curve risk, commercial banks according to the yield curve rotated, distorted effect on overall bank earnings and economic value, measure and monitor banking book interest rate risk; the main operating currencies, the commercial banks should each consider their risk of adverse changes in the yield curve.
(4) the optionality, commercial banks should fully consider the business bank account of optionality in independence and embed feature banking supervision will encourage commercial banks based on historical data to analyze customer behavior and customer behavior analysis results are regularly tested and amended to accurately reflect the change in customer behavior. 7. commercial banks should be combined with regulatory authorities related to stress test requirements according to existing or prospective business bank account status, business development strategies, changes in amount and structure of assets and liabilities and interest rate risk stress testing features, and develop appropriate risk mitigation measures. Stress tests should cover all substantive source of risk.
Senior management in the development and consideration of the interest rate risk management policies, procedures and limits, and should consider the results of the stress tests. 8. the banking book interest rate risk measurement of commercial banks should be closely integrated with the Bank's risk management process.
Measurement results shall be fully applied to the Bank's management decisions.
9. commercial banks should adjust the pricing of interest rate term structure of bank accounts, adjust pricing and pricing levels, scientific guidance business, effective control of the banking book interest rate risk.
10. the commercial bank should be based on actual levels of risk, the use of effective financial tools to reveal bank account interest rate risk risk mitigation and regularly test the effectiveness of risk mitigation measures.
11. banks shall establish adequate and effective internal model validation procedures, regular follow-up models, continued validation of models and hypotheses, based upon the results, adjust the model to ensure measurement of rationality.
12. Bank documents support system should be able to provide sufficient information to support the independent review of the banking book interest rate risk measurement and verification.
(C) liquidity risk
1. commercial banks should establish a bank size, business nature and complexity of relative liquidity risk management system, full identification, measurement, monitoring, and properly control Bank overall and in all products, business lines and links, agencies at all levels of liquidity risk, and liquidity risk and other risks interact with conversion.
2. the Bank's liquidity risk management framework should include the following basic elements:
(1) the Board of Directors and senior management and effective monitoring.
(2) improve liquidity risk management strategies, policies and procedures.
(3) improve the liquidity risk identification, measurement, monitoring and control procedures.
(4) improve internal control and an effective oversight mechanism.
(5) the effective improvement of management information systems.
(6) an effective crisis management mechanism. 3. the commercial bank should be based on the Bank's business strategy, operational characteristics determination of own liquidity risk-bearing capacity and risk appetite, and as a basis for the formulation of risk management strategies, policies and procedures.
Risk tolerance should be included in the normal and banks can withstand the pressures of sustained-release without liquidity risk level.
4. liquidity risk management strategies, policies and procedures should cover the Bank's tables both inside and outside the business, as well as inside and outside all may have a significant impact on its liquidity risk business units, branches and subsidiaries, including liquidity risk management under normal and stress conditions.
5. liquidity risk management liquidity risk management strategy should make it clear the overall pattern and sets out specific policies relating to matters specific to the liquidity risk management, including, but not limited to, the following:
(1) overall liquidity management policy.
(2) liquidity risk identification, measurement, monitoring and reporting system.
(3) liquidity risk management procedures.
(4) assets and liabilities portfolio.
(5) liquidity risk limits and limitation procedure.
(6) the analysis of cash flow.
(7) different currencies, different countries, cross-border and inter-agency and liquidity management methods across business lines.
(8) potential factors leading to increased liquidity risk and its monitoring processes.
(9) stress testing and scenario analysis.
(10) emergency plans and management of liquidity risk mitigation tools. 6. commercial banking in accordance with regulatory requirements and internal liquidity risk management liquidity risk limits policy, and determined according to the nature of the limits the frequency of monitoring. Liquidity risk management should be carried out separately for the currency in principle, but if the currency is freely convertible and the business volume smaller, effect on bank liquidity risk level and the overall market is smaller, commercial importance in accordance with the principle of merger control. Commercial banks should be at least as foreign currency identification, measurement, and monitoring liquidity risk, respectively.
Merging management of foreign currency should be reported to regulators. 7. commercial banks in introducing new products, new technologies, and prior to the establishment of new institutions, a new business unit, should be fully in the feasibility study to assess its impact on liquidity risk, and to develop the appropriate risk management measures, improve internal controls and management information systems.
Introduction and running, routine monitoring should be strengthened, and periodic evaluation of the effectiveness of measures and adjusted according to needs.
8. the internal audit of commercial banks ' liquidity risk management should be carried out on a regular basis to review and evaluate the adequacy and effectiveness of liquidity risk management system.
Overseas branches of commercial banks, according to its management, against the Bank as a whole and by country or area of liquidity risk management of their respective audits. 9. commercial banks should establish and improve the management information system for accurate, timely and continuous measurement, monitoring, control and reporting of liquidity risk.
Management information systems shall include, but not limited to, complete the following tasks:
(1) calculated daily by the set deadline of bank cash flows and maturity mismatches, and according to the Bank's liquidity risk management model in currency, according to the Bank as a whole or by agencies, business lines are calculated and analyzed.
(2) according to regulations and banking requirements of internal management of the liquidity risk ratios and other indicators, and timely monitoring and control as needed.
(3) timely and effective real-time monitoring and control of the banks of large capital flows.
(4) timely report composition of the liquid assets held by banks, and market value.
(5) regularly verify compliance with liquidity risk management policies and limits.
(6) timely and forward-looking manner reflecting the Bank's liquidity risk trends, so that the Board and senior management evaluation of banks ' liquidity risk level.
(7) according to rapidly changing external environment, according to different scenarios and restrictions related to collection, collation data, timely implementation of scenario analysis and stress testing.
10. liquidity crisis, commercial banks should timely disclosure statement and other information in order to improve counterparty, customer confidence, the public and other stakeholders, so as to minimize the adverse effects of information asymmetry might give the Bank. 11. the Bank shall, in accordance with the precautionary principle liquidity stress tests carried out on a regular basis, taking full account of various types of risk associated with the liquidity risk inherent, in-depth analysis of scenarios on other factors of liquidity risk and its reaction.
Commercial banks should be based on the results of the stress tests to assess their liquidity of assets and liabilities structure reasonableness and adequacy of liquidity reserves, determines its risk mitigation strategy and should be taken to develop liquidity contingency plans.
12. the commercial bank should be based on liquid assets, market liquidity conditions to assess the Bank's capital adequacy ratio, assessments shall cover normal and stress situations.
Commercial banks should, according to its liquidity risk monitoring and management, combined with the liquidity risk stress tests results, configure the appropriate capital against liquidity risk.
(D) the reputation risk
1. commercial banks should establish their business nature, scale and complexity relative reputation risk management system.
2. the reputation of commercial bank risk management system should include the following basic elements:
(1) effective corporate governance framework.
(2) effective reputation risk management policies, systems and processes.
(3) the effective management of reputational risk.
3. scenario analysis of commercial bank's reputational risk should be provided to assess significant consequences and the possible impact of reputational risk events and situational analysis to develop viable contingency plan, exercise.
4. have identified reputation risk, commercial banks should measure the implicit support or may face losses under the adverse market conditions, and measure as accurately as possible reputation risk credit risk, liquidity risk, operational risk and other risks of.
5. commercial banks should take fully into account the reputation risks lead to liquidity risk and credit risk other risks, such as levels of capital, and, as appropriate, configure the appropriate capital.
(E) strategic risk
1. strategic risk is business strategy is not appropriate or risks resulting from changes in the external business environment.
Commercial banks should establish their own operations and products adapted to the complexity of strategic risk management systems, strategies for effective risk identification, assessment, monitoring, control and reporting.
2. commercial bank strategic risk management framework should include the following elements:
(1) the supervision of the Board of Directors and its committees.
(2) strategic planning and evaluation system of commercial banks.
(3) strategic management and supervision system of commercial banks.
Commercial banks should be assessed according to changes in the external environment strategic objective rationality, compatibility and consistency, and to take effective measures to control the possible strategic risk.
3. commercial banks should fully assess strategic risks possible losses to the banks and its impact on the level of capital and risk capital allocation strategies, as appropriate.
(F) asset securitisation risk 1. commercial banks should give full consideration to asset securitization and other innovative products and business-related risks.
Main risks in asset securitization business include:
(1) all kinds of asset securitization credit risk, market risk, liquidity risk and reputational risk.
(2) securities of the arrears and the risk of loss of assets.
(3) the SPV credit and liquidity risk.
(4) the risks of insurance institutions and other third parties to provide security. 2. investment in asset-backed securitization of commercial bank products, shall remain the basis of risk analysis, cannot rely exclusively on external rating agencies ' credit ratings to make investment decisions.
Commercial banks should have the necessary tools of quantitative analysis, valuation model and the mature technology of stress tests in order to assess all relevant risks.
3. commercial banks should be in a single transaction, the same business line and track assessments across business lines, such as multiple levels of asset securitization credit risk. 4. as an asset securitization transactions of commercial banks, should assess the level of asset securitization risks, especially evaluation through to asset securitization provide tacit support in the form of the contract.
For not substantive transfer of risks or provide tacit support of asset securitization transactions, securitization of commercial banks should hold and not exposure to regulatory capital, and public disclosure provides tacit support for asset securitization and the increase in regulatory capital.
(VII) valuations 1. commercial banks should establish effective governance and control procedures to ensure that valuation is objective, accurate, and consistent, standardizing the valuation of financial instruments.
Governance and control procedures should apply to risk management and reporting purposes.
Commercial Bank internal audit control processes shall be valued on a regular basis. 2. all methods of valuation of commercial banks should be approved and be clearly recorded.
Optional initial pricing, marking to market, focus on mold, revaluation adjustments and periodic independent valuations, commercial banks should develop policies and procedures to standardize. 3. commercial banks ability to value should be associated with exposure to the importance, the degree of risk and to adapt to the size.
The main exposure, a commercial bank should possess in times of stress the ability to value using a variety of methods.
In times of stress mentioned in this article refers to the market disruption or lack of liquidity led to failure of the main parameters and valuation methods. 4. commercial bank valuations should be based on reliable data.
To enliven the market, commercial banks should be adopted as far as possible using the valuation technique to estimate fair value observable data.
Inactive market, commercial banks should select reliable data based on the following considerations:
(1) the frequency of price, quote and availability.
(2) whether prices represent real trading conditions.
(3) data distribution breadth, is it easy for market participants to obtain.
(4) the valuation frequency timeliness of information.
(5) the number of independent sources of quotations or prices.
(6) quotations or prices received support from actual transactions.
(7) the maturity of the market.
(8) sale of financial instruments held by the similarity of the tool with the Agency.
Using valuation models of commercial banks, the limitations of models should be tested in pressure situations.
Four, stress testing
(A) commercial banks ' internal capital adequacy assessment process established under the framework of a comprehensive, prudent and forward-looking capital adequacy stress testing works, mainly through quantitative analysis method in some scenarios of possible losses and changes in risk assets, to assess the impact on the overall level of capital adequacy of banks. (B) commercial banks should establish a Committee authorized by the Board of directors or its approved pressure testing policies, ensure the comprehensiveness of the stress tests, normative and validity, and effective integration of capital planning, capital contingency plan risk management and capital management in the system.
Stress testing policies should contain at least the following:
1. clear the Board or its authorized Committee, senior management, stress testing authorities, risk Department or team, capital management and other duties in the stress test.
2. clear mild, moderate or severe severity of stress scenarios such as design methods and workflows, approving the use of various types of stress test scenarios, scenario design method of establishing a regular assessment, updating mechanisms.
3. clear mild, moderate or severe severity of all kinds of material risks under stress scenarios individual stress testing framework and workflow.
4. clear mild, moderate or severe severity from all kinds of risks under stress scenarios such as conduction effect of stress testing framework and workflow.
5. clear mild, moderate or severe severity under stress scenarios such as stress test reporting lines and management mechanism, linkage of management scope includes, but is not limited to the Board of Directors, senior management, as well as a reputation risk, strategic risk, liquidity risk, country risk, concentration risk, risk management, capital management and related business sectors.
(Three) commercial banks Board and executives layer should active participation and promoted bank capital sufficient rate pressure test of implementation, clear risk preference and pressure test target, design pressure test stories, understand pressure case Xia Bank by faced of risk and capital sufficient situation, according to pressure test results for necessary of strategy adjustment, reduced may of loss and on capital sufficient rate of adverse effect, improve commercial banks on extreme event of risk against capacity.
(Iv) capital adequacy stress testing should cover the full range of substantive risk, including but not limited to, credit risk, market risk, operational risk, bank account interest rate risk, liquidity risk, concentration risk, etc.
(E) capital adequacy stress testing should cover commercial banks risk exposure both within and outside the main portfolio, including but not limited to, credit portfolio, retail credit portfolio, a bond portfolio, buying back the sale of assets, equity portfolios, derivatives portfolio, asset securitization portfolio and off-balance sheet business. (F) the reasonable design of commercial banks should be mild, moderate, severe and other severe stress scenarios.
According to the need for testing purposes, you can select a single factor stress variables, build single scenarios, assessing the impact of single event on the capital adequacy ratio, you can also select multiple variable pressure, constructing comprehensive scenarios, analysis, assessing the impact of systemic risks to the Bank's capital under pressure. (G) the business of commercial banks according to their own characteristics, risks and management level, complexity of choice using the appropriate stress testing methodology.
Choose stress test methodology by commercial banks should ensure that the design can effectively transfer to the various types of material risks, among various risks under stress scenarios total effect is effective.
Commercial banks should be based on changes in the internal and external economic situation, establish mechanisms to regularly evaluate, update stress test methodology to continuously improve the scientific nature of the stress test results and reliability. (H) commercial banks in relation to their risk profile, quantitative and non-quantitative methods to evaluate specific risks losses in pressure situations in the field, and stress test results into specific risk areas in the overall capital adequacy stress testing. Specific risk areas should be likely to affect the stability of banks operating in major areas of risk.
Commercial banks should carry out periodic studies, analysis of potential areas of particular risk.
(I) commercial banks should gradually establish and improve the capital adequacy stress testing systems, to implement overall stress testing can also implement the specific risks of the specific stress test. (J) capital adequacy stress testing is divided into regular stress testing and ad hoc stress testing. In principle, the pressure test on a regular basis at least once a year.
Do not pressure test on a regular basis depending on the economic and financial situation, regulatory or Bank's own judgment in due course.
(11) the commercial banks should be based on regular and non-regular stress test work preparing capital adequacy stress testing reports, report content including, but not limited to the purpose of testing, scenarios, testing methods, test conclusions, risk analysis, contingency measures and other measures.
(12) commercial banks should be based on capital adequacy stress testing the banks faced potential adverse effects and required to hold additional capital.
Commercial bank capital and liquidity management plan should consider the results of the stress tests, and as it developed the Bank risk preference and one of the most important basis for setting exposure limits, provided references for commercial banks ' medium and long-term strategic development.
Annex 14: capital advanced methods of supervision and inspection
And implement applications Commercial banks should be carried out in accordance with the requirements of this approach to capital advanced methods in preparation for the implementation and timely submitted to the regulator to implement applications into the implementation phase if it is approved. Capital advanced methods to implement application and approval of the Bank Group and single corporate application and approval for implementation in commercial banks.
At the time of submission of applications, commercial banks according to the progress made in the implementation of the Bank, capital advanced methods and implementing internal capital adequacy assessment process applies.
(A) governance structure
1. commercial banks should establish a sound implementation of the applying organization structure, clear the Board, senior management, the lead department as well as the responsibilities and authorities of the participating departments, set up internal procedures for implementing applications, forming an effective decision-making mechanism and reporting processes, ensuring that we work effectively. 2. Commercial Bank Board of Directors bear the preparation, application and compliance of the final responsibility for the implementation of the Bank.
The Board shall perform the following duties:
(1) review and approve capital advanced methods of an implementation plan and major adjustments.
(2) consideration and approval of application to ensure the authenticity, reliability and completeness of the application materials.
(3) received regular implementation readiness reporting, understand the capital advanced methods in the implementation of the Bank strategy development, risk management, capital management and other aspects of a major impact, to grasp the situation. 3. commercial banking senior management responsible for the Bank's specific preparation for the implementation, application and compliance work.
Senior management should perform the following duties:
(1) approves the application workflow, clearly the responsibilities of participating departments, continue monitoring the implementation of the work.
(2) the establishment of internal communication and reporting mechanisms on a regular basis, listen to the preparation for the implementation, application and compliance reporting, comprehensive grasp of the overall situation and project progress, as well as major gaps.
(3) the Organization's bank account the CBRC on-site assessment and acceptance. (4) assess the situation according to the CBRC, responsible for the development and monitoring of implementation of corrective action plans.
4. the Bank shall designate special departments responsible for our preparation for the implementation and application of overall coordination and promotion.
Lead department shall have the following duties:
(1) led the preparation for and apply for jobs.
(2) led the Bank's compliance self-assessment.
(3) organize relevant departments on a regular basis to the Board of Directors and senior management reporting preparation for the implementation, application and compliance.
(4) specific organizations, the CBRC on-site assessment and acceptance.
(5) organizations to implement the corrective action plan, reporting corrective action. 5. the relevant participating departments in accordance with the Bank's implementation of the master plan, the lead department under the unified organization, is responsible for implementing work related to preparation, application and compliance.
Participating departments shall perform the following duties:
(1) provide the required material.
(2) carried out on a regular basis within the limits of responsibility of compliance assessment, assessment and related support to the lead department.
(3) periodic reporting to the Board and senior management of progress for the implementation.
(4) line with CBRC on-site assessment and inspection work.
(5) according to the regulator's assessment and requirements, implementation of the action plan associated with this sector.
(B) submit an application 1. before implementing applications, commercial banks should accept the CBRC's assessment of readiness for implementation.
Assessment materials submitted by commercial banks should include the following:
(1) General information, including, but not limited to application scope, objectives and preparation for the implementation overview. (2) supporting documents include, but are not limited to governance structures, policies, processes, models, data, and information systems, business applications and other documents.
Among them, the key of the capital advanced methods definitions and important issues should be approved by the Board of directors or senior management records.
(3) the most recent compliance self-assessment reports.
(4) the results of at least the last two quantitative impact.
(5) verify and audit reports.
(6) other material familiar with the preparation for the implementation of the CBRC.
2. by outsourcing means measuring model of development, maintenance, commercial banks should, through appropriate ways to the information needed to provide a comprehensive assessment of the CBRC.
3. improve upon assessment of the CBRC approval, commercial banks can submit the implementation of applications, application materials include, but are not limited to: (1) application.
Implementing the application shall specify the scope and objectives.
(2) the Board or its authorized bodies for their consideration through application of relevant resolutions.
(3) the closing date for applications to update this section (ii) "application" the assessments required.
(C) the implementation of banking group application
1. the headquarters of the banking group Bank Group responsible for implementation shall be applied for the preparation and organization of work, submitted to the CBRC group application, accept the CBRC approved the implementation of group level.
2. the scope of the Bank Group should clearly apply, including covers and the proportion of the assets of the subsidiary bodies.
Not included in this application for further application and plan for the future into the group-wide, should submit a clear implementation plan and the current progress is not included in Group applications, it shall explain the reasons.
3. in addition to this section (ii) "application" on the submission of assessment materials and related requirements of the application materials, various corporate bodies within the Bank Group shall also submit the group implementation of the method and the difference, provide empirical data on the abovementioned differences on the group risk management compliance requirements effect, solutions, and practical effects.
Second, regulatory approval
(A) approved by the General
1. the CBRC commercial bank capital advanced under this approach and approved the implementation of the internal capital adequacy assessment process.
2. in the implementation of the approval, the regulator will focus on the following areas:
(1) analysis of the capital advanced methods to improve risk management of commercial banks.
(2) examine whether commercial banks set up to promote continuous improvement of risk management mechanism for self-improvement.
(3) to assess the commercial bank capital advanced methods to implement regulatory requirements are met.
(4) capital advanced methods of verification verify that the work is adequate and effective.
3. the CBRC according to materials submitted by the Bank to develop evaluation, assessment, imposed on commercial banks prepare to evaluate the overall situation, and urged reform.
4. regulator of commercial banks based on assessment of the preparation for the implementation of the results and problems of rectification, formally submitted implementation determines whether the Bank can apply.
5. the CBRC commercial banks applying for approval in accordance with the following process:
(1) examine and assess the authenticity and integrity of the application materials. (2) development of approved programmes, to carry out on-site inspection.
Implementation of commercial banks according to the evaluation stage of assessment and subsequent rectification, comprehensive analysis of the materials submitted by commercial banks to determine approval of the programme, with emphasis on the assessment phase does not overlap and rectification of the problems found in the assessment for site acceptance. (3) written approval report.
Approval reports should focus on the analysis of commercial banks ' implementation status, existing problems and gaps, parallel arrangements, concludes with preliminary approval of recommendations. (4) approval of feedback.
With commercial banks senior management communicate preliminary approval, check to confirm the facts. (5) issuing approval advice.
Commercial banks implement the approved comments are, should identify Bank reform during the parallel period meet the specific project. (6) continuous monitoring.
On conditional implementation of commercial banks continued to monitor during the parallel period of improvement.
6. in approved implementation capital measurement senior method Shi, silver prison will right to according to assessment and acceptance results, requirements commercial banks adjustment credit risk internal rating method long-term average default trend, and recession period default loss rate, and correlation coefficient, and effective term, important parameter, adjustment market risk internal model method additional factor, important parameter, adjustment operation risk senior measurement method, makes measurement results full reflect real risk status. 7. experience think commercial banks meet regulatory requirements by implementing preparations for resumption, the CBRC approved the capital advanced methods of measurement.
If they failed to meet regulatory requirements, but practical effect in the implementation of the core of project standards, and non-substantive gaps have a clear parallel compliance program of the commercial banks, the CBRC approved the conditions of implementation.
To be prevented from implementing the commercial banks, according to the CBRC to improve the car, upon approval of the CBRC to apply again.
(B) approved by the cross-border 1. approved by the regulator for the banking group's primary responsibility, and active cooperation with the supervisory authorities of the host country, agreed to approve comments.
Consensus cannot be reached, the CBRC synthesize the views form the final approval of the regulatory authorities of the host country.
2. centralized management by the headquarters of the banking group's overseas affiliated institutions, led by the CBRC for approval.
Local accounts for substantial market share outside of subsidiary bodies of the host country, approved by the banking supervisory authorities of the host country will be invited to participate in work outside the territory of the other subsidiary bodies, the CBRC will join the host country authorities, joint supervision mechanism, providing approved results of share approval information. 3. methods and group differences or exercise global business line management functions outside of subsidiary bodies and approved by the regulatory authorities of the host country to take the lead.
CBRC adopted bilateral regulatory cooperation mechanisms, joint consultations with the supervisory authorities of the host country approval, approve it or share approval information.
If the supervisory authorities of the host country is not and CBRC to establish bilateral mechanisms for cooperation or limited information provided by host authorities, banking group headquarters in accordance with the requirements of the CBRC, provide the application and approval of the subsidiary bodies.
4. substantive market share in China of foreign-owned banks, led by the CBRC approval and arrange work approved by the regulatory authorities in their home countries.
Other foreign-owned banks, the CBRC through bilateral regulatory cooperation mechanisms, joint consultations with its home country supervisory authorities approve, approve it or share approval information.
5. portfolio or methods with a foreign banking groups are quite different, or business line exercise global or regional management of foreign-owned banks, the CBRC is responsible for approval.
Home country supervisory authority is not with the CBRC to establish bilateral mechanisms for cooperation or the limited information provided by the home country supervisory authorities, wholly foreign-funded Bank shall, in accordance with the CBRC requirement, provide the group applied for and approved.
Third, parallel arrangement
(A) the permitted capital advanced methods of the CBRC commercial bank to set up a parallel and departure is at least 3 years, calculated from the commercial approval of the CBRC on December 31 of that year.
During the parallel period, if granted a conditional implementation of rectification cannot be completed in accordance with regulatory requirements of commercial banks, or internal capital adequacy assessment process is not approved, the CBRC may extend and departure.
During the parallel period, such as commercial bank credit risk measurement method from IRB junior transition to advanced, market transition from the standard method of measurement of internal risk capital model, or transition from the standard method of measurement of operational risk capital to advanced metering method, the parallel period is extended to the new method after 3 years is granted on December 31 of that year.
(B) granted conditional application of commercial banks should develop a detailed and comprehensive compliance program, implementation of the six-monthly report to the CBRC plans, with the related examination and assessment of the CBRC, ensure that at the end of the parallel period full implementation of regulatory requirements. (C) commercial banks six months should be applied to the CBRC end parallel, was approved only after ending and departure.
Submitted application materials should be in accordance with part I of this annex (ii) "application" requirements.
(D) the parallel period of measurement shall be in accordance with the capital of commercial bank advanced method and other methods of parallel calculation of capital adequacy and adherence to capital line.
(E) the departure of total risk-weighted assets calculated as follows:
1. in accordance with the other method of calculating capital the bottom line
Cs = (RWAs×CAR + Ds - EPs)×α
Of which:
Cs for the capital bottom line of financial requirements.
RWAs to total risk-weighted assets calculated by other methods.
CAR for the sum of minimum capital requirements and capital reserve requirements.
Ds for the use of other methods, according to the method for calculating the total amount of the capital deduction.
EPs for the use of other methods, according to the method for calculating the excess loan loss reserves that can be accounted for in the capital.
Alpha capital line adjustment coefficient and departure is the first year for 95%, 90% for the second year, third year and beyond is 80%.
2. in accordance with the capital advanced methods to calculate capital requirements
Ca = RWAa×CAR + Da - EPa
Of which:
Ca for credit risk, market risk and operational risk in one or more of the capital advanced method was used to calculate risk-weighted assets capital requirements.
RWAa for part or all of the capital advanced methods, according to the method for calculating the total risk-weighted assets.
Da senior for capital measurement method, based on the method for calculating the total amount of the capital deduction.
Senior EPa for capital measurement method, based on the method for calculating the excess loan loss reserves that can be accounted for in the capital.
3. departure of total risk-weighted assets calculated
RWA = Max(Cs - Ca,0)×CAR-1 + RWAa
Among them, the RWA and departure total risk-weighted assets.
Four, continuing oversight
(A) the CBRC commercial bank capital advanced methods of supervision and inspection of the due diligence to ensure that results reflect the full range of economic and policy environment change on the negative effects of expected loss and unexpected loss.
(B) commercial bank capital advanced methods to make major changes, including but not limited to, expand advanced methods of coverage, adjusting key definitions and measurement model, reconstruction and adjustment of important parameters, shall promptly report to the CBRC, and submission of verification reports and quantitative impact analysis report.
According to results of validation and the CBRC, deciding whether to conduct a site assessment, is to be recognized.
(C) the CBRC report is verified by reviewing commercial banks and other non-spot supervision mode, learn capital measure advanced methods of operation. Commercial banks should be submitted at least once a year, the CBRC validation report, verification report should contribute to the understanding of the CBRC to capital advanced methods of running, verify and change the situation.
The regulator could require the Bank to submit the verified report detailing.
(D) pursuant to these measures the CBRC commercial bank capital advanced methods of validation of conducting supervision and inspection, including:
1. commercial bank capital advanced methods of internal validation system and implementation.
2. assessment of rationality and applicability of the authentication method used by commercial banks.
3. evaluation of commercial authentication data management processes, information systems, and verification of reliability.
4. examine whether the commercial validation phase covering all of this requires verification.
5. evaluation of commercial banks to verify that the trigger mechanism and coping mechanisms of implementation.
6. check the use of verified results of commercial banks, as well as verify that the rectification of the problem to rectify the situation.
7. for the examination of commercial banks to verify relevant documents, evaluating the effectiveness of the document. (E) as commercial bank capital advanced methods from material defects, including but not limited to, measurement result of underestimated capital requirements, validation work could not continue to meet regulatory requirements, the CBRC should request the rectification of commercial banks.
If commercial banks in the period after the end of failing to meet regulatory requirements, the CBRC has the right to cancel the commercial banks capital measurement method of high qualification. The internal model method returns the results in more than 10 times within the last 250 trading days after the breakthrough, a commercial bank should immediately report to the CBRC. The CBRC commercial bank should be required for rectification, and set up a 6-month observation period.
Observation period, commercial banks still cannot effectively fix, CBRC commercial bank should be lifted using the internal model method of measuring market risk capital requirements for eligibility.
(Vi) cancellation capital measurement by CBRC commercial bank advanced methods of qualification, from the date of cancellation, within 3 years shall not apply to the CBRC capital advanced methods.
Annex 15: the need and content of information disclosure
, The main risk management system
(A) credit risk management objectives, policies and processes.
(B) market risk management objectives, policies and processes.
(C) the risk management objectives, policies and processes.
(D) other important risk management objectives, policies and processes.
(V) organizational structure and management functions of the risk management system.
Second, the calculation of capital adequacy ratio range
(A) banking group name.
(B) the capital adequacy calculation.
(C) capital adequacy calculation discrepancies between the scope and financial, as well as the corresponding relations between tables.
(D) according to the type of investment institutions, disclosure-by-calculation method for consolidated capital adequacy ratio.
(E) ranked by equity investment balance and disclose the top included in the calculation of investment institutions and investments to take the basic conditions of the deduction.
(F) the majority owner or has the right to control the regulatory capital shortfall by investments of financial institutions.
(VII) capital transfers within the Bank Group Limited.
Number three, capital and its composition
(A) all capital projects and audited balance sheet items of correspondence.
(B) capital formation
1. core tier one capital of the final count, including:
(1) paid-up capital or common stock.
(2) capital reserve.
(3) surplus reserve.
(4) risk.
(5) the undistributed profit.
(6) the minority shareholders capital in addition to the part.
2. the end of the other tier-one capital, including:
(1) the other tier-one capital and premium.
(2) the minority shareholders capital in addition to the part.
3. the final number of Tier II capital, including:
(1) tier II capital.
(2) excess loan loss provision can be included in the section.
(3) the minority shareholders capital in addition to the part.
(C) the total number of capital final.
(D) the capital deduction.
1. deductions deductions core tier one capital projects, including:
(1) the goodwill.
(2) other intangible assets (except for land).
(3) deferred income tax assets caused by operating losses.
(4) the provisions for loan losses gap.
(5) the securitization of asset sales gains.
(6) determine the pension assets the net amounts after deduction of deferred tax liabilities.
(7) the direct or indirect ownership of shares in the Bank.
(8) for projects that are not measured at fair value in the balance sheet hedging cash flow reserves should not be deducted for the formation of positive or negative values to be added back.
(9) commercial banks ' credit risk changes result in unrealized gains or losses from changes in the fair value of its liabilities.
2. deduction from the corresponding regulatory capital corresponds to two or more commercial banks through an agreement between each other at all levels of the capital amount, or found to be inflating the CBRC capital amount of capital investment at all levels.
3. from the corresponding deductions in the appropriate regulatory capital, small minority capital investment that are not financial institutions and table 10% part of the net beyond the core tier-one capital.
4. deduct from the core tier one capital, not high minority capital investment in financial institutions and table 10% part of the net beyond the core tier one capital.
5. from the corresponding deductions in the appropriate regulatory capital, not tables of high minority capital investment in financial institutions other tier-one capital investment and secondary capital investments section.
6. deduct from the core tier one capital, others depend on commercial banks ' future profitability of net deferred tax assets net beyond the core tier one capital of 10% parts.
7. no deductions core tier one capital, the large minority of financial institutions capital investment and the corresponding net deferred tax assets total net beyond the core tier one capital of 15% parts.
(E) all limits and minimum requirements, as well as the positive and negative effects on the capital, including the following: 1. the capital deduction limits, shall apply to deductions set out threshold method.
If a tax deduction is not reached, should disclose the specific amount and the difference between the ceiling. 2. in addition to the secondary capital of excess loan loss reserve limits.
If not what can be factored into the ceiling, should disclose the specific amount and the difference between the ceiling.
(Vi) the main characteristics of all types of eligible capital instruments issued in.
(VII) on the site to disclose all terms and conditions of regulatory capital instruments.
(H) to increase or decrease the paid-up capital during the reporting period, separation and merger matters.
(I) major capital investments during the reporting period.
Four, all levels of capital adequacy ratio
Itemized disclosure was not consolidated core tier one capital ratios, tier one capital adequacy ratio and capital adequacy ratios and calculation methods, and form the core tier one capital ratios, tier I capital adequacy, capital adequacy and calculation methods.
Five, the risk-weighted assets
(A) credit risk measurement methods, overall capital requirements, the use of internal ratings-based approach covering the credit risk exposure corresponds to the capital requirements, not covered by the internal ratings-based approach of credit risk exposure corresponds to the capital requirements, capital requirements for securitisation exposures, credit risk-weighted assets.
(B) market risk capital measures, overall capital requirements, using internal model calculation of capital requirement, using the standard method of capital requirements, risk-weighted assets.
(C) operational risk capital measures, overall capital requirements, using the basic indicator approach capital requirement, using the standard method of capital requirements, capital requirements, by advanced measuring method of operational risk weighted assets.
(D) the risk measurement system for major changes, and the impact on capital requirements.
VI credit risk exposure and assessment
(A) qualitative information for credit risk exposures, including: the definition of overdue and bad loans, loan loss reserve calculation method, various types of exposure measurement methods used.
(B) quantitative information for credit risk exposures, including: total credit risk exposure, based on different measurement methods of balance of risk exposure, the geographical distribution of credit risk exposure, distribution, distribution of remaining term or a counterparty, total bad loans, loan loss reserve balances and changes during the reporting period.
(C) commercial banks using the IRB, qualitative information should be disclosed, including: on the banks of the CBRC IRB approval, the governance structure of the rating system, rating structures, ratings of applications, the definition of risk parameters, data, risk measurement methods and assumptions. (D) commercial banks using the IRB, retail credit risk exposure in non-quantitative information should be disclosed, including: broken down by level of probability of default risk mitigation before and after exposure, average probability of default risk exposure weighted average LGD and exposure-weighted average risk weight, and so on.
If commercial banks at the time of disclosure to merge the default probability level, it should be merged according to the probability of default after level disclosure of such information.
(E) using internal ratings-based approach of commercial banks, retail credit risk exposure of the quantitative information should be disclosed, including: residential mortgage loans, qualified recycling retail risk mitigation and other retail sales before and after the exposure, the average probability of default, the average loss given default rates, average risk weight, and so on.
(Vi) commercial banks using the IRB should also be disclosed losses related to historical information: the period of exposure to actual damages of differences and historical loss data, reason for the differences.
(G) commercial banks should implement weights or not covered by the internal ratings-based approach of credit risk exposures, including: the determination of risk weights, broken down by risk-weighted grade for risk mitigation before and after exposure and reduction of risk, risk mitigation by subject classification before and after exposure.
Itemized disclosure of other levels issued by the commercial bank capital instruments, equity investment in business enterprises, non-personal use real estate exposures.
(H) the regulatory map measurement professional loans of commercial banks capital requirements, broken down by risk-weighted grades should be disclosed the risk mitigation before and after exposure.
(Nine) commercial banks should disclosure credit risk sustained release of qualitative information, including: risk sustained release policy, management risk sustained release tool of process, risk sustained release degree, net amount settlement, main arrived pledge products type, arrived pledge products valuation policy and program, guarantor and credit derivative tool trading opponents of main type and the funding letter situation, by has of sustained release tool concentrated degrees,.
(J) the quantitative information of commercial bank credit risk mitigation should be disclosed, including: various types of netting of exposure, eligible financial collateral, other qualified credit collateral, guarantees and credit derivatives cover the risk exposure.
Seven, the exposure to market risk and assessment
(A) market risk exposure and evaluation of qualitative information, including:
1. covered by the standard method of measuring market risk exposures.
2. covered by the internal model method of measuring market risk exposures, the characteristics of the model used, stress testing, and so on.
(B) market risk exposure and evaluation of quantitative information, including:
1. using the standard method of measuring market risk and shall disclose the interest rate risk and equity risk, foreign exchange risk, commodity risk and option risk capital requirements.
2. using the internal model method of measuring market risk shall disclose the final value-at-risk, highest, lowest, average value at risk during the reporting period, significant outliers in the return test.
Eight, the operational risk exposure and to assess
Method of measuring operational risk capital requirements and risk exposure using advanced measurement method for measuring operational risk shall disclose the internal and external factors to be considered, and the use of operational risk capital requirements for insurance before and after.
Nine, asset securitization risk exposures and assessments
(A) assessment of asset securitization risk exposures and qualitative information, including:
1. the objective of asset securitization of commercial banks, including from other entities of the Bank to transfer the credit risk of securitized assets transfer degree, and these activities make the banks bear the risk.
2. Commercial Bank's role in the securitization process, and at each level of participation in the process.
3. measurement methods.
4. asset securitization and the related accounting policies, including trading properties, earnings principles, synthetic asset securitization accounting policies.
5. each asset securitization products using the name of the external rating agencies.
(B) the asset securitization risk exposures and assessing quantitative information, including:
1. traditional and synthetic securitisation exposures balance if the originators of asset-backed securitization transaction does not retain any of the securitised exposures, such transactions should be listed separately in the report of that year.
2. broken down by exposure category, bad, late of securitised assets and confirmed the loss of the reporting period.
3. divided by type of securitisation exposures, and commercial banks from owning or buying all kinds of asset securitization risk exposures balance.
4. broken down by risk weights, asset securitization of commercial banks from owning or buying exposure balance and capital requirements under the internal ratings-based approach.
5. repayable advance asset securitization transactions, disclosure of such securitization assets for each of the following items:
(1) all cash exposure involving the interests of originators and investors.
(2) in accordance with the IRB, has been drawing some of the banks retained such as sellers capital requirements.
(3) in accordance with the IRB, on retention of commercial banks and investors ' rights and interests not withdrawals capital requirements.
6. the adoption of the model law of commercial banks according to the above 4, 5 of the disclosure requirements, but you should use a standard capital requirements under the law.
7. during the reporting period as originators of asset securitization of commercial banks, shall be disclosed by category by balance of the securitization of assets, and the sale of assets securitization recognizes gain or loss.
Ten, exposure and other risks assessment
(A) qualitative information of counterparty credit risk exposure, including exposure to counterparty credit risk management, mortgages, collateral management and guarantee the establishment of policies, exposed to the risk of wrong policies, such as when there is a downgrade of the banks need to provide additional collateral, collateral effects.
(B) the nature of the equity exposure of the bank account information, including: non-significant or substantial equity investment risk exposure of the treatment methods, characteristics and types of equity investments, has a purpose, Bank equity valuations and accounting treatment of important policies, including the use of methods of accounting and valuation methods, significant changes in the key assumptions and the methodology and assumptions.
(C) the equity risk exposure of the bank account information, including: equity investment in financial institutions and companies, including publicly traded, the balance of non-publicly traded equity exposures do not realize the potential risk and return.
(D) the nature of the interest rate risk exposure of the bank account information, including banking book interest rate risk characteristics and critical assumptions, loan prepayment and non-term deposits and other important customer behavior assumptions, bank account interest rate risk measurement frequency.
(V) quantitative information on bank account interest rate risk exposure, including: upward or downward change in interest rates, according to the classification of principal currency income and equity values, and so on.
(Vi) Commercial Bank set up a table outside the institution or entity, outside agencies or entities should be disclosed the scope of business, main products, risk characteristics of qualitative information.
(G) commercial bank to set up a table outside the agency or entity should disclosure of off-balance sheet business of large exposures, conversion factors, exposure and other quantitative information.
Third, the internal capital adequacy assessment
(A) the internal capital adequacy assessment processes and procedures.
(B) capital and capital adequacy management plan.
12, salary
(A) remuneration of qualitative information, including:
1. salary Management Committee (Group) structure and permissions, commercial bank executives and important influence on the risk position of the employee's basic information. 2. characteristics of remuneration policies, goals, scope of application, review and modify, as well as ensure that risk and compliance management staff salaries and the oversight of independent business line performance measures and policies.
3. remuneration policy linked to current and future risks.
4. the level of pay and Bank performance.
5. the method of adjusting remuneration levels based on long-term performance.
6. variable compensation type of payment instrument used and the use of reason.
(B) remuneration of the quantitative information, including:
1. Bank Management Committee (Group) members pay and remuneration oversight meeting times.
2. get performance bonuses and total number of employee severance and bonuses.
3. total outstanding payments and deferred compensation paid.
4. According to fixed and variable pay, not pay and deferred compensation, payment instrument classification total disclosure.
5. adjusted for deferred compensation, retirement pay, the dominant and recessive adjustment information.
Quantitative disclosure requirement for commercial banks only on the pay of senior management staff and important influence on the risk of the post.
Annex 16: capital advanced methods of verification requirements
A, General requirements
1. credit risk of commercial bank's internal rating method of internal model approach, market risk, operational risk advanced measurement methods and verification system should be established in accordance with the requirements of this annex, senior capital measurement method and its supporting system for continuous inspection, perfect self-correcting mechanism, to ensure capital fully reflects the level of risk.
2. before the introduction of these measures has been put into operation the capital measurement model and support system, commercial banks should be assessed in accordance with the requirements of this annex is commissioned a comprehensive verification, supplementary documentation, and prove their regular continuous monitoring and commissioning a comprehensive validation of this annex has been reached the commissioned a comprehensive validation requirements.
3. the regulator should regularly assess Bank validation and verification of internal audit, verification or audit of commercial banks is not full, flawed or failed to meet the regulatory requirements, the CBRC has the right to require commercial banks to carry out further verification or audit.
(A) the verification objectives and scope
1. commercial banks bear primary responsibility for capital measurement validation of advanced methods, and establish and improve the verification system to achieve the following objectives:
(1) enhanced capital high robustness and reliability.
(2) establishment of corrective mechanisms, improving the ability to predict the risk of capital advanced methods, method and system for continuous improvement.
(3) promotion of commercial bank's senior management and stakeholders understanding of econometric models, fully aware of the limitations of the model, perfect model results, to ensure capital accurately reflect the level of risk.
2. commercial bank capital advanced methods of verification includes the verification of measurement model and its supporting systems. 3. Bank econometric model validation, the sample data should focus on model development, model, methods, key assumptions and parameters, the model development process and review of the results of application of the model.
Commercial banks developed models and outsourcing models should be verified to ensure actual asset mix and risk models applicable to the Bank.
4. when commercial banks to support validation system, verify that the scope should include, but not limited to the econometric model used policies and procedures, data, information systems, application models and user feedback, as well as related documentation and so on. 5. validation of commercial banks should be both quantitative and qualitative methods. Quantitative validation through back testing and benchmarking methods, using statistical tools for the accuracy of the models, differentiate, and validate stability.
Qualitative validation through expert assessment method, test measurement model and support system related management structures, policies, processes, control, document management, and model results, and so on.
6. validation of the commercial banks should pay close attention to results in business performance and usage, validation results and other feedback should be provided to senior management and model users to promote model and support the continuous improvement of the system of measurement, promoting the application of model results.
(B) the verification phase 1. the Bank's verification is an ongoing, circular process.
Validation can be divided into fully validated before going live (hereinafter referred to as the start-up of fully validated), continuous monitoring on a regular basis and in full verification (hereinafter referred to as operation verification) in three stages, each stage of validation results should serve as a start to the next stage validation, as well as an important basis for improving capital advanced methods. 2. the measuring model of commercial banks and support system to come into operation before use, should be fully validated before production. Verification includes the verification of model development, key validation measurement model of rationality, critical definition of compliance and true interoperability, data integrity and validity of risk quantification.
Validation shall also cover model and related policies, procedures, data, information and documentation, and so on to ensure measurement model and support the integrity, reliability and compliance to make a comprehensive assessment.
3. commercial bank capital advanced methods should be continued monitoring on a regular basis, timely understanding of performance measurement model, model runtime environment or changes in assumptions to model the effect of monitoring supports the functioning of the system. 4. comprehensive verification of commercial production, should have been put into production models and support systems to conduct a comprehensive inspection and testing, and integrated formative assessment results provide the basis for capital improvement of advanced methods.
Commercial banks based on capital measurement should be the different characteristics of advanced methods to determine the frequency of verification.
(C) verify that the governance structure
1. validation of commercial banks should establish a sound governance structure to ensure sustained, effective, independent verification, and provide the basis for continuous improvement to capital advanced methods. 2. commercial banks should establish validation policies approved by the Board of directors or its authorized the Committee to ensure verification of normative and independence, and the effective integration of risk measurement and management system.
Verify the policy contains the following content:
(1) clear the Board and authorizing the Committee, senior management, authentication authorities, auditing Department, model, application development teams, teams in the validation work and verification functions responsibilities, clear results to set standards is a prerequisite for capital advanced methods to obtain internal approval.
(2) to confirm the measurement and validation of advanced methods and basic method of capital, establish mechanisms to regularly assess, update validation tools and methods.
(3) expressly commissioned a comprehensive verification, periodic monitoring and comprehensive validation of the production function and the subject of principles, ensure the independence and objectivity of verification.
(4) clear commissioned comprehensive verification, periodic monitoring and comprehensive validation of the production process management and results policy to ensure that redress mechanisms, models and support systems for continuous improvement.
(5) to confirm the verification system requirements, ensuring that information and submit the report frequency meet the annex and the Bank's internal risk management needs of importance based on the authentication type, frequency, and reporting the use of different elements of the reporting system should be clearly verified reports, formats, send scope, reporting, content, level of detail, frequency of reporting and approval permissions.
(6) the establishment and continuous improvement of document management requirements, ensure that the validation process are independent third party inspection and copying.
3. the Board of Directors and authorized the Committee shall perform the following duties:
(1) the advanced methods of measurement system of the bank capital framework and features a general understanding.
(2) approval or authorization approval certification related policies, listen to verify policy implementation report every year.
(3) supervision of senior management to establish authentication policies and implementation mechanisms to ensure banks have sufficient resources to independent and effective verification.
(4) ensure that internal audit system, standardized methods for independent and objective monitoring of validation process.
4. senior management shall perform the following duties:
(1) to delve into the bank capital framework and characteristics of advanced methods, major risk factors affecting measurement model.
(2) formulating the Bank verification policies, establish and improve the validation process and management system, ensuring verification in the rational use of model results and improving the capital has continued to play the role of advanced methods of measurement.
(3) organizations to carry out the Bank's verification work, clear the stage to verify, define the model design and application development, model and data providers and other interested parties duty, equipped with adequate human resources and information technology, ensure the independence of the work.
(4) received regular detailed reporting of validation, evaluation and verification methods, tools and internal standards of reasonableness and effectiveness, and heard at least once a year the production of regular ongoing monitoring and verification reports, before the new econometric model for on-line use, hear commissioned a comprehensive report on validation.
(5) a clear understanding of the existing drawbacks of the capital advanced risk measurement, operational activities and the impact of the capital adequacy and approve major modification or redevelopment proposals, and authorizes the Committee to report to the Board of capital advanced methods to modify the situation. 5. the commercial banks should specify authentication authorities, responsible for higher capital measurement method of verification, and organize the bank capital advanced methods of different levels of validation.
Verify that the competent authorities shall perform the following main duties:
(1) is responsible for verifying the implementation of the policy of unified validation framework and theoretical methods, standardize the verification process.
(2) comprehensive verification organization, responsible for important risk capital measurement methods of operation before and after the verification.
(3) coordinating risk measurement validation of advanced methods, clear all stages of the verified subject.
(4) write the validation report, ensure that the Board of Directors and senior management of the authorized Committee, model and applied knowledge of the Group's capital measurement and level validation of advanced methods, main results and recommendations for improvement.
(5) to model design and development, policy development, model subject feedback to verify information and make recommendations for improvement.
6. model design and development shall be responsible for providing validation required for modeling data samples, models, methods, critical assumptions, modeling, instructions for use, and limitations of the model documentation, and online testing of the model of.
7. commercial banks should establish a different validation subjects to meet the validation requirements, including:
(1) commercial banks should establish model validation, take on commissioned and put into operation a comprehensive validation of econometric models.
(2) commercial banks should establish a risk measurement model of monitoring body responsible for running the daily monitoring of the situation and form a monitoring report.
(3) support system should be established to verify the main support system of commercial banks and formed a support system for the validation to verify the report. 8. Verify that the main set of responsibilities shall meet the independence requirements. Commissioned and put into operation a comprehensive verification of model validation and model development and application subject to remain independent, continuous monitoring on a regular basis and model application subject to remain independent.
Verify that the subject is not intended to model the main operational activities of direct benefit.
9. the internal audit department is responsible for the oversight of bank capital advanced methods of verification, evaluation and verification policies, regulatory framework, organizational processes, implementation, important links and reporting mechanisms such as adaptability, independence and effectiveness, ensure that the Bank is able to model and support system for independent and impartial inspection.
(1) internal audit shall be carried out at least once a year, cover the whole process of verification, the internal audit Department should timely feedback to senior management issues identified in the audit, report regularly to the Board of directors or its authorized the Commission to audit results.
(2) the internal audit Department found major problems, should report to the CBRC.
(3) internal auditors should possess the necessary professional knowledge and skills, be familiar with the Bank verify the operating policies, procedures and methods.
(D) the verification process and methods
1. before the commercial banks should be established and put into production, continuous monitoring and validation of production processes, explicitly verify the scope and content, select the appropriate method, detailed operating procedures, arrange the order and frequency of work to ensure that verify that the job is scheduled to run.
2. the validation process should include verification of the trigger mechanism of commercial banks, ensure that the authentication process can capture performance measurement model in a timely manner and support system changes, initiate a validation work.
3. the validation process should be included as a contingency mechanism of commercial banks to ensure that validation object or verify major adjustment caused major changes in working conditions, time recording and checking the work of change, do a good job responding to change plans, ensure that changes do not hinder the smooth implementation of validation.
4. commercial banks should fully understand the portfolio risk characteristics and measurement characteristics of advanced methods of different portfolios corresponding verification tool and method of risk design, ensuring validation techniques can effectively verify goals.
5. Verify that personnel should be fully aware of the limitations of the different models, quantitative approach, focused on verification of the characteristics.
6. automatic monitoring system of commercial banks should be established to ensure ongoing monitoring of work processes and consistency of standards on a regular basis. 7. the commercial validation process should be fully documented, and documented.
Documents should include at least verify the scope, contents, methods, procedures, results, reports, the shortcomings identified and corrective actions and improvement assessment.
(E) verify support system
1. commercial banks should establish a complete set of validated data management processes to ensure that verification based on accurate, relevant and complete data.
2. commercial banks should have to be able to effectively support the verification information system, improve the automation of verification work, enhance the efficiency and accuracy of certification, the construction of information systems and internal controls shall meet the relevant provisions of the CBRC.
3. Verify data management process should include the following: (1) support the validation data set, to complete the clean filter, input data, logic testing and back-office functions such as the reconciliation of data from different sources, ensure that is used to verify the accuracy of the data.
If you need to set up the Authentication sample data sets should be clear criteria for sampling.
(2) develop data storage management, ensure the safety of long-term storage of data to meet the validation requirements for data observation period.
(3) making manual data entry rules for data entry personnel with the necessary training, reduce the manual data-entry errors.
(4) assess the quality of the data is verified on a regular basis.
4. commercial banks must save and validate the work related to a variety of important documents, detailed records of validation of all content to ensure inspection and verification can be copied, including the following:
(1) senior metering method to develop technical documentation.
(2) validation of analytical papers and reports at each stage.
(3) form the basis of policy and process, the impact on risk measurement.
(4) verify that corrective measures are taken to improve the record.
(5) reporting to the Board of directors or senior management of materials.
(6) internal audit reports.
(7) other documents verifying compliance by third parties.
Second, the internal credit risk rating system
(A) basic requirements
1. the internal rating system validation of internal rating and risk assessment parameters to quantify the accuracy, including:
(1) non-retail exposure ratings and retail exposure pool divided in accordance with the design requirements were implemented.
(2) the IRB can effectively differentiate risk.
(3) the rating migration of non retail exposures in accordance with the corresponding rating methodology.
(4) retail exposure risk pooling systems can accurately divide the exposure to the asset pool.
(5) the actual default rates for each grade or pool of assets, loss and risk exposure is consistent with estimates of risk parameters.
2. the validation of internal rating system should assess the stability of internal rating and risk parameters to quantify, namely: in the case of risks the same, using policies and standards to keep ratings and estimates of risk parameters generally do not change, but does not exclude the rating system of adjustment.
3. the validation of internal rating system should evaluate internal rating and risk parameters to quantify the prudent, namely by adopting policies and standards to identify internal rating, risk-pooling and quantitative valuation data sources of uncertainty, and the extent of internal rating and risk parameters to quantify the conservative to ensure practical results do not significantly exceed the risk parameter estimates. 4. verify the frequency of the internal rating system should be able to guarantee internal rating and risk parameters to quantify the accuracy, completeness and reliability.
Risk parameters to quantify the commercial bank's internal rating method implementation, data, or when a significant change occurs, related verification activities should be implemented in a timely manner.
5. the internal rating system validation should include start-up verification, continuous monitoring on a regular basis and after the verification phase. Early implementation of the internal ratings-based approach, such as the lack of sufficient data for analysis, should mainly rely on the development of commercial bank based on validation, process validation by means of verification and benchmarking, ensuring the accuracy of internal rating and risk parameters.
Early stages of the verified activities should include senior management of commercial banks on the rating system of the effectiveness of the judgment cannot only rely on empirical methods.
6. the commercial bank's internal rating system should be commissioned fully validated, ensuring that internal rating models have basic conditions of use, internal rating system meet the minimum requirements of annex 5 to this approach.
7. commercial banking operation fully validated before approval of the report should be used as an internal rating system based on the verification results should serve as a basis for determining the indicators for continuous monitoring thresholds.
8. Commercial Bank's internal rating system should be regularly monitored through a series of indicators for monitoring performance measuring model of assessment and rating system, ensure the rational application of rating system, risk measurement model of related distinction, meet the internal standard calibration capability and stability.
9. when the set index break through the threshold, a commercial bank should initiate a production fully validated. 10. the commercial bank should be combined with the annual check of the validity of the ratings system, after undergoing a comprehensive validation of internal rating system, provide the basis for internal rating systems continue to be used, or fully optimized.
When commercial bank portfolio, substantive changes in credit policy and procedure, or major changes in external factors such as economic cycles impact ratings system operation environment, commercial banks should start fully validated in a timely manner. 11. the commercial bank should be based on characteristics of internal rating systems and risk quantification model using at least two ways to verify the risk differentiated quantitative accuracy, stability and risk parameters.
Verification personnel understanding of the model on the basis of logic and limitations, should be able to explain the basis for selecting authentication methods and their applicability, and understand the limitations of these methods. 12. commercial banks should adopt benchmark assessment of existing rating systems differ from other rating conclusion. Commercial banks should be based on ratings feature and grading system a reasonable selection of benchmarks, benchmark test results and ratings were the model.
Such as commercial banks using external ratings support validation calibration, you should be aware of external rating tool risk factors considered and rating standards to ensure that external ratings structure consistent with the IRB. 13. primary internal ratings-based approach of commercial banks could be the actual loss given default, default risk exposure compare to regulatory standards.
Actual loss given default, default risk exposure values should be important factors of internal economic capital assessment.
(B) comprehensive validation before put into production
1. fully validated before production including, but not limited to the following:
(1) rating on quantitative model of risk parameters and other relevant model development phase verified, covering risk data, parameter estimates, map, and application parameters in four stages, including quantification of the risk parameters, key policies, processes definition, modeling, validation of data and model assumptions and methodologies.
(2) the rating, rating system, the governance structure rating process and information systems to support internal ratings validation and data management. 2. commercial banks should evaluate the supporting quantitative model of development based on internal rating and risk parameters. Development based on internal rating systems and risk parameters design and build infrastructure, including literature, empirical basis, statistical modeling technology logic, proof the approach and rationality of the selected variable.
Assess the basis should meet the following requirements:
(1) the internal risk rating system can be an accurate assessment of the debtor and the debt.
(2) risk pool systems being able to accurately measure the pool risks and measure changes over time in risk pool.
(3) quantification of risk parameters to be able to accurately estimate the probability of default, loss given default and default risk exposure.
3. If the internal rating system or significant change in the risk quantification model, commercial banks must reassess the development basis. 4. commissioned a comprehensive validation should include the existing internal grading system and risk between quantization method and other options good or bad.
For a retail portfolio to assess development should include the use of empirical experience based on comparing different drivers of risk analysis and selection.
5. using model-based commercial bank's internal rating system, support model validation should include analysis of data quality and statistical modeling technology analysis rating system history data, ensure that the results agree well with the development of maximum degree of through time and sample data test validate statistical models of adaptability.
6. the rating system of the commercial bank based on expert judgement, verification can include inspections of specialist experience is rating system is based on, and to assess the model's final performance.
7. the rating system of the commercial banks using expert judgement, and to model the values as input parameters, validation should include financial ratios guidelines check scores or scoring model systems, including historical rates of default and loss values or value logic and empirical description. 8. commercial banks should establish a representative sample of data to benchmark the internal rating system, which uses alternative methods or data to draw conclusions, pending the outcome of the model to assess the reliability of results of internal rating and risk estimation.
Baseline tests should test the existing rating method and other methods of rating difference in rating conclusions; for retail exposures, benchmarks should be examined whether other methods of risk-pooling similar risks driving factor and portfolio distribution.
Benchmark testing methods include:
(1) the rating of audit rating on expert judgement systems personnel ratings results ratings again.
(2) based on internally developed models of risk exposure rating based on expert judgement.
(3) experts based on long experience risk exposure to model rating rating.
(4) external and internal rating rating results.
9. Bank risk parameters quantify benchmark, Visual difference to the method described in annex 5 quantitative testing process in four stages:
(1) comparative data and other data sources.
(2) using a different method the same parameters of sample data to calculate risks.
(3) uses a different method for mapping.
(4) use another method to make adjustments to the implementation phase of the data.
10. benchmark testing and actual use of internal rating and risk between quantization results when there is an error, the commercial banks should investigate the cause, verify that internal ratings or risk parameter estimates for errors, error is acceptable.
(C) continuous monitoring 1. Commercial Bank's internal rating system should be continuously monitored to ensure that internal rating and risk parameters quantization according to requirements effective this annex set.
Continuous monitoring on a regular basis including, but not limited to, the following:
(1) the rating control.
(2) the functioning of the rating system, including the rating process, rating the overthrow.
(3) rating for policy implementation and adjustment.
(4) rating the accuracy of the results.
(5) the rating being used.
(6) data storage, management, maintenance and quality of the data.
(7) the rating indicators or risk the stability and predictability of the variables.
(8) stability rating model.
(9) the rating distribution and ratings migration.
(10) rating model using the environment changes.
(11) risk found previous validation phase.
2. the commercial banks shall from the date of the model up and running continuous monitoring work carried out on line model until the model line or model results are no longer entering the date of risk-weighted assets calculation engine stopped. 3. based on different characteristics of assets should be combined with the performance of commercial banks determine reasonable monitoring and frequency of updates, a monitoring report.
When encountering significant market changes, commercial banks should adjust monitoring frequency.
(Iv) operation verification 1. commercial banks should return to testing, using statistical methods to analyze results of internal rating and risk parameter estimates. Commercial banks should return to test the methods and data used to form specialized documents.
Back testing at least once a year.
Back testing is to compare the internal rating system of results and the actual results, the IRB identified, risk pools divided into the accuracy of parameter estimation and risk analysis. 2. Commercial Bank's internal rating models and support systems for operation verification. Validation of the model should at least meet the annex data, rating models, probability of default, loss given default, default risks exposing validation requirements, support systems should be validated by at least this annex on information systems, policy process validation requirements and verify that you reach annex 5 to this approach to governance structures, data management, document management and internal rating requirements.
After the verification should also be covered to support the process of verification. 3. quantitative verification, including the process of internal rating and risk parameters in accordance with the design requirements of the operation, monitoring and updating the assessment of a series of activities.
Process verification including identifying activities such as data quality, the rationality of the rating process, and should ensure that the shortcomings identified are corrected.
4. for different parameters of internal rating and risk quantification methods, commercial banks can use the appropriate verification methods:
(1) commercial banks use internal rating system based on model and process verification should include evaluation of automatic allocation process, such as verification of computer coding schema and data input is correct, assessment models, such as compliance with the requirements laid down in annex 5 to this approach. (2) commercial banks use internal rating system based on expert judgement, independent inspection agents should be required to assess rating rating of whether implementation of the existing policy.
Verify the minimum requirements should include transparent rating process, information data base used by rating, rating records of decision.
5. the Bank's internal ratings validation policies, risk parameter estimates and set tolerance differences between the actual results, and provided the difference is out of tolerance conditions to take remedial measures and processes.
(E) the validation of data
1. the Bank shall verify the rating system used by the data, including sample data and model development rating run the actual business data validation.
2. commercial bank before undergoing a comprehensive authentication, data integrity, completeness, accuracy, consistency, quality and defects treatment of data validation.
(1) verify data integrity, should focus on the assessment of sample size, the observation period, and meet the basic requirements of the rating model is established, select the quantity, select the time of the analysis of sample data and the effects of sampling frequency on estimates of risk parameters accuracy.
(2) when verifying the comprehensive sample data, should focus on the assessment of sample selection methods and procedures impact on the representativeness of sample data, evaluate the sample data reflect banks ' credit risk exposure characteristics, the credit policy and of the external business environment. (3) verify the accuracy of sample data, should approve model input data is true and correct, to avoid significant deviations in data entry. Validation personnel should review the data cleaning methods and processes impact on data accuracy and full identity check default client and default debt. For the sampling method should be used to verify the accuracy of the risk exposure, should analyse the representativeness of the sample.
Exceptions to the input data should be recorded and reviewed in detail.
(4) verify data consistency, should be reviewed automatically enter data and manual data collection of retro range if appropriate, collecting consistent standards; rating system used by the data reconciliation and accounting data to assess the degree of data consistency. (5) verify data quality, use inflexible check, compare and trend analysis for data quality analysis and checks, verify the data through logical examination of capacity in a single point, and time continuity and consistency through your business test, statistical test and logic test. Verification process should focus on the data in the missing values, outliers and extremes and handling methods.
(6) when the defect treatment of the data is verified, should approve model development team understanding of sample defects and treatment methods, assess the effect of the treatment on the development.
3. use of external data for design and validation of internal rating system, commercial banks should focus on testing the external data and internal comparability, relevance and consistency of the data.
Commercial banks should be an annual assessment of the appropriateness of continued use of external data.
(Vi) the validation of rating models
1. commercial banks rating model at the critical definition compliance verification and continued relevance, including definition of default, loss of definition, the Lord ruler definition defined, long-term Center default trends and recession.
(1) review the definitions of default and loss of definition of identity whether it meets the requirements of annex 5 to this approach, subjective and objective criteria for the definition of default is reasonable.
(2) review loss definition and implementation plan continued to cover direct costs, indirect costs and other specific content and reflects the time value, whether in a business practice is reasonable and operability. (3) review of the definitions of the main ruler, rating and standard reasonable and intuitive, and be able to distinguish risk description is detailed and operational.
Different business lines, sectors and regional rating standards are consistent.
(4) the review of long-term default tendency away from the center of calculation methods and the practical implementation of the truly reflects the history of Bank defaults, use the weighted approach to the most conservative estimates of long-term default trends, reflect the characteristics of the business cycle.
(5) the review of the definition of a recession is reasonable and easy to operate, can true economic downturn loss given default features, review the definition of recession, and whether the relationship between the stress-test scenario is reasonable.
2. the subdivision of the commercial banks should evaluate the model based on rationality and, ensure that the model can accurately reflect the risk exposure characteristics.
3. Bank shall verify the rating methodology to assess the selected model inner logic, rationality, applicability and limitations, and should be able to demonstrate that the selected rating methodology to accurately reflect the risk rating character and period features.
Commercial banks should evaluate different rating methodology on risk valuation effects of accuracy and stability.
4. commercial banks should evaluate the model parameters and assumptions with the actual risk characteristics of the portfolio and the external environment continued to maintain a consistent, changes in economic environment, if reasonable assumptions and parameters. 5. the commercial bank should check the rationality of the modeling process, including sample selection logic and evidence, data cleaning methods and processes, model parameters, univariate analyses, fraction conversion, multivariate analysis, such as mapping basis and with a population.
Modeling and optimization process should have a special document to ensure that copying by third parties.
6. the Bank shall verify the model results, ratings at different rating methodology and concern relations with the economic cycle.
(1) the rating models and main ruler as against the debtor, results include long-term average trend for breach of reasonable analysis relationship between model output and manual intervention the end result, as well as the rationality of the grade corresponding to the probability of default.
(2) the debt rating model results consist of different kinds of debt debts or loss given default to determine reasonableness of the process and results, debt rating model outputs and manual intervention the end result of relationships.
(3) for retail exposures, check scores and risk parameters corresponding relationship, actual results and the estimates of risk parameters of rationality, check whether the risk pooling logic, structure reasonable, risk parameters, based on risk measurement is accurate, meets the asset pool pool homogeneity and heterogeneity between pool requirements.
7. the Bank shall annually determine the individual housing mortgage loans and qualifying revolving retail exposure to stocks to verify the customer pool, and annually determine lists of small businesses classified as retail exposures for validation. 8. Commercial Bank should be based on actual business data to validate the ability to distinguish the debtor's rating model, to ensure that the model can be sorted by debtor risk effectively.
Model discrimination testing shall use at least two methods, including monitoring accumulation accuracy accurate curve and its main index ratio and ROC curve and the coefficient of AUC, SomersD and KS test results.
9. the commercial bank should be checked and documented model use the test results agree well with the actual business.
10. commercial banks should select the appropriate method to verify the rating model for low default portfolios and methods you can use include:
(1) internal ratings and migration matrix rank and compare migration matrix with third parties, such as rating agencies, a common database or other internal model got ratings and rating changes.
(2) the internal rating compared with the different internal and external expert judgement.
(3) an analysis of risk characteristics with the same exposure.
(4) the entire portfolio's average levels compared with the reality of the portfolio.
(5) check the rating model according to which acceptance of the expert judgment, and to assess the overall performance of the model.
(6) use their own authentication methods, and carefully considered the effects of insufficient data, data enhanced methods to fill data gaps.
(VII) the validation of default probability
1. the Bank shall verify the valuation of default probability. 2. Commercial Bank should be based on the actual frequency to validate the accuracy of the valuation of default probability of default.
Verify that personnel should be not less than two methods of analysis of actual default frequency and default probability estimation of the agreement, including binomial test, Chi-square test, normal inspection, traffic lights and conditional information entropy method, the Herfindahl index, and so on.
3. commercial banks on debtor's rating should be based on actual business data model to validate the stability test valuation of default probability in the changing scenario has the stability and customer base.
(1) commercial banks should analyze the impact of different rating methodology for rating stability, internal stability monitoring of targets have been set.
(2) commercial banks should be to validate the models distinguish between different time periods of stability, ensure that the model's ability to distinguish at least three years to meet internal stability requirements and ensure that model to separate capacity exceeds set time limit increases with the length of time decreases rather than plunge.
(3) commercial banks should assess the economic and legal environment for model changes using preconditions, such as effects on the stability of probability of default value.
4. retail exposures stability of probability of default validation except those that meet the previous requirements, you should also verify that the stability of the asset pool to assess new customers between different asset pool distribution consistent with the distribution of existing customers.
5. If the retail default probability considering the maturity of the exposure effect, commercial banks should evaluate the maturity of effect on stability of probability of default value, including:
(1) the maturity of the debt if the time has changed.
(2) if the age distribution of the debt has changed greatly.
(3) the probability of default adjustment parameters of maturing retail risk exposure is appropriate. 6. the commercial bank should be based on actual business data validate the prudential valuation of the probability of default by the debtor.
Carefully verified by statistical comparison of default probability estimates and actual default frequencies to ensure that statistical results meet internal standards.
(VIII) the validation of LGD
1. commercial banks should verify that the relevant requirements of the reference about the probability of default, loss given default estimates the risk of discrimination verified, accuracy and stability.
2. Commercial Bank should verify that LGD estimates take into account methods and the extent of the recession. 3. use recovery estimated loss given default LGD method, validation should include the collection of end times, the recoverable amount of assessment methods, methods of cost evaluation and verification of the choice of discount rate.
Commercial banks should focus on assessing the following:
(1) whether the changes in the age distribution of recovery time and recovery amounts have a noticeable impact, discount rate if the recovered premium to cash flow volatility.
(2) the discount rate and recycling there is a maturity mismatch between cash flow.
(3) in the process of clearing the direct costs and indirect costs have been considered.
4. commercial banks should review whether the loss given default estimates and reasonable, that is, according to the building development data set, assess debt realized to the default LGD and estimated loss given default procedures of non-defaulting debts.
(1) verify that the development dataset, commercial banks should assess whether the defaulting debt sample bias, contains default more and realized loss given default rates are relatively high annual data, risk factors and the rating or pool risk factors are used when there are substantive differences, is consistent with the default definitions used in probability of default.
(2) sample breach of contract when the real default rate of the debt, should assess the impact of recession on LGD.
(3) when the estimation of default LGD of the debt should be based on empirical research and analysis of similar debt realized to the default loss given default distribution.
First, use models (such as regression models) directly, or when adjusting the loss given default estimates obtained, verification shall, through sample tests to assess the predictive power of the model.
Second, the use of expert judgment to adjust the loss given default estimates, validation should focus on adjusting the basis and procedures of transparency, consistency and check the implementation of adjustment policies. 5. commercial banks can use benchmarking and back testing to validate the accuracy of the valuation of the loss given default. When benchmarking, commercial banks should focus on differences in default definitions, data samples and related loan discount rate, loss and evaluation method of differential effects on benchmark results. Can be used in commercial banks and its own asset pool similar to external data (such as third party rating agencies) as a benchmark. If not using an external data, commercial banks should provide adequate reasons, and compensatory measures, such as higher frequency of back testing.
Unable to get valuations of external benchmarks, such as retail exposures, commercial banks can set up internal benchmark testing.
6. the loss given default estimates for retail exposures are authenticated, should cover the loss given default pool domestic homogeneity, pool heterogeneity and loss given default parameter setting accuracy.
(IX) the validation of default risk exposure
1. commercial banks should verify that the relevant requirements of the reference about the probability of default, to validate the accuracy and stability of the exposure to default risk valuation.
2. commercial bank default risk exposure estimate validation should focus on program evaluation.
(1) samples of commercial banks to assess exposure to default risk valuation data, should be concerned about the integrity of the data, including repossessed after default debt.
(2) the Bank shall examine the default risk exposure estimate rationality of drivers, concerned about exposure estimates taking into account the following factors: factors affect borrowers receive funds, commercial lending, may act as the borrower's other sources of funds to third parties and the specific nature of the debt.
(3) using expert judgment to estimate default risk exposure adjustment, validation should focus on adjusting the basis and procedures of transparency, consistency and check the implementation of adjustment policies.
3. the commercial bank's off-balance sheet items for non-derivative use 100% credit conversion factor or the utilization of the debt and on the table within the project using the current outstanding balance, shall assess the conservative exposure estimate.
(J) the validation of the information system
1. commercial banks should review internal rating system the comprehensiveness, completeness and validity of data content, build data warehouses and data marts are consistent with the risk requirements of these measures for internal rating system, internal rating information system with other information systems are effectively integrated, data size to achieve unity.
2. the Bank shall examine whether the internal rating system can effectively support operations, rating model development, validation of rating models and optimize data management, internal rating and risk reporting, data collection, data cleansing, data storage, backup, business regularly loaded, data sampling, and data analysis is perfect.
3. shall examine whether the internal rating system of commercial bank after functional testing, integration testing, and user validation testing.
4. the Bank shall examine whether the internal rating system has the reliability and safety, the security and stability of the system is tested, whether with the relevant policies and measures to control data access, and whether it has a full backup, recovery, the fallback plan and a business continuity plan to ensure the integrity of the data from the effects of a crisis or disaster.
5. the Bank shall examine whether the internal rating system with the flexibility and scalability, improved and upgraded information systems in a timely manner as needed to fully meet the internal rating system and model development, run a ever-increasing demand for information, and ensure that information system without risk of information loss in the process.
(11) the validation of the policy and procedure
1. commercial bank risk measurement system of policies and procedures should be validated to ensure that model results can be reasonably applied.
2. the qualitative validation of Bank policies and procedures should be carried out, including:
(1) the compliance policies and procedures, and assess whether the policy meets the requirements of annex 5 to this approach. (2) risk management policies and procedures set the basis and legitimacy.
Based on characteristics of the model, the rating methodology and rating the independence rationality include rating update frequency and rating their professional qualification and other important factors influencing the quality of model results.
(3) whether policies and procedures defining the relationship between risk measurement and risk management.
(4) the integrity and maintain the timeliness of the default definition, including the technical basis for the determination of default and rationality. (5) rating, identify, reverse and update policies and procedures for the basis and justification for checks to overturn the policy implementation process is based primarily on the models not covered by the relevant information is repeated to the same risk factors to consider, and so on.
Commercial banks should focus on monitoring rating to overturn, check that you have set up monitoring rating specification and process of overthrowing, rating, whether the manual reverse model parameters to exclude or modify the input condition.
(6) corporate rating policy is reasonable.
3. commercial banking policies and procedures should be quantitative validation.
(1) by real data model results results are well matched and rating system, assess the impact of policies and procedures on risk measurement differentiate levels, should be particularly concerned about the definition of default integrity maintenance and technical default on the differentiated effects of, rated reverse effects of policy on discrimination. (2) verify the consistency of policy implementation, and evaluation and calculation of the same policy in commercial departments and understanding, the performance differences, particularly concerns based on expert judgment scorecard in consistency in execution.
According to the validation of the accuracy and the ability to distinguish results, assess the effectiveness of policies in different areas and levels.
(3) assess the impact of policies and procedures, as well as model for risk measurement correlation, when there is a high correlation between, should pay particular attention to policy and process development is reasonable. 4. the rating should be monitored and analysed the overthrow of commercial banks. Validation of the rating to overthrow overthrow property, authorized personnel and frequency dimensions.
Overthrow the validation should control risk measurement models, results, review different reverse link of overturned decisions and effect levels for the stability of the system, analysis of overthrow of the rationality of the policies and mandates.
(1) separately for rating people overthrow the model results, rating found overthrow rating personnel ratings respectively.
(2) if there is a rating topple too frequently, commercial bank's internal rating system should be checked corresponding link possible problems, from the following two points assessment and rating to overturn:
First, the overthrow of the ratio test, analysis to overthrow the ratio is higher than within the tolerance value.
Second, the overthrow of the degree test overturned set within the grade span is greater than the proportion of all levels in the overthrow of above within the tolerance value.
Third, the internal market risk model validation
(A) basic requirements
1. commercial banks should be used for the measurement of market risk capital value-at-risk model and validate product pricing model associated with it.
2. measurement of commercial banks to introduce a new model new products or new business value-at-risk and risk capital into the market in advance, fully validated before the model shall be subject to production, ensure that the model of product or transaction valuation and risk measures meet the requirements of internal model approach.
3. the Bank commissioned a comprehensive report should be used as a model for new products, new transaction approval basis.
4. daily by means of back testing investment commercial banks should constantly monitor the market risk measurement models used to monitor processes and results should be documented to ensure that an independent third party can fully understand the continuous monitoring of the situation.
5. If the returned results break more than the set threshold, or other monitored indicators on a regular basis through the set threshold, timely written reports for market risk management of commercial bank's senior management team, and started after the verification.
6. the results of continuous monitoring of commercial banks show that it is necessary to full internal model validation or internal market risk model when following changes occur, you should verify that reflects the ability of the model to changes in risk:
(1) when an internal model assumptions, quantitative approach, or the type of market data, data processing methods when a significant change occurs.
(2) when significant structural changes in markets or significant change in the portfolio of commercial banks, and may cause the internal model is no longer applicable to the actual portfolio.
(3) when adding new modules and functions, or when the system is upgraded.
7. in addition to these circumstances, commercial banks should be at least every two years to a comprehensive internal market risk model validation, to ensure that the models can meet the need of market and business development.
8. market risk verification body shall perform the following duties:
(1) actual conditions from the banks, the logic of the model and the concept of reasonable conduct an independent assessment to assess the accuracy of product entry, there are split input transactions to assess whether the split is reasonable.
(2) by copying, creating a parallel model or compare other baseline model method in the industry, pricing models or pricing engine to validate the accuracy and stability.
(3) measurement of parallel model or reference model results and the internal model calculation results, analysis of variances, the corresponding validation recommended.
(4) written document model validation and model verification report to the senior management, and feedback to the validation result is responsible for model development, maintenance and use of related departments.
(5) for model validation issues found in the analysis of its causes, and improvement and optimization suggestions according to the actual situation.
9. Verify document management market risks should meet the following requirements:
(1) commercial bank developed model, model development team should be submitted to the development process document, including: model theory, coding instructions, program source code, development, testing and validation of the process documentation, instructions for use, and to ensure the independent model validation can be completed according to the document model validation work.
(2) commercial bank outsourcing model, model purchasing department shall require suppliers to provide a full model of the system manuals and technical documentation, to ensure that the model can be completed according to the document model validation work. (3) verify the integrity, full validation documentation should be established, including model descriptions, pricing formulas are derived parallel to, sources of data, comparing model results and so on.
Model validation is also required in the validation report for the validity of the model and assess limitations, and explain the reasons.
(B) the validation of input data 1. commercial banks should ensure that the internal market risk model input data are accurate, complete, and timely.
Model input data can be divided into the transaction and position data, market data, model assumptions and parameters, as well as related reference data. 2. transaction and position data including manually entered or imported data by the system interface. Commercial banks should ensure that their internal models for market risk in the trading and position data smoothly, accurately and effectively.
Model was first built, commercial banks should select verification points, new transaction data for that date, position data with data from other sources to check; for model changes other types, such as validation, commercial banks may take a sample approach to validation of the input data. 3. market data is provided by an external third party organization, for the value and calculation of value-at-risk and exchange rates, the yield curve data.
Commercial Bank by selecting points, compared with cross-validation data from multiple external agencies, or through their own program, such as EXCEL calculation processing of raw data and compare before and after processing the data, to ensure the accuracy of the data.
4. commercial banks using collected or obtained by the calculation of portfolio, counterparties and other market data as an internal model input data, CBRC should be provided on its own acquisition or market data specifications and technical documentation, and explain the rationality of their choice, and upon approval of the CBRC.
5. reference data, such as counterparty credit rating data, commercial banks should establish the appropriate authentication mechanisms, including authentication methods, frequency, reporting mechanisms, ensure the effective support price reference data model and the model run.
(C) the validation of the calculation process 1. Commercial Bank's value-at-risk in the system should be a single product pricing and valuation models are validated in order to master the model method, to avoid having the "pricing black box" bring losses.
Commercial banks should be developed according to the model document, an itemized deduction of different pricing models, assessing their accuracy and reasonableness as well as through their own modeling, parallel calculation or extraction of third parties published pricing data to check to ensure the accuracy of the model.
A single product pricing and valuation model according to product type and characteristics, taking a certain amount of sample products or transactions. 2. Commercial Bank should be verified on the basis of a single product pricing and valuation model, and to validate the model output value at risk. You can select some typical transactions of commercial banks, set up parallel to the value-at-risk model by type of product, and the results are compared with the results of internal model to calculate value at risk. Commercial banks holding positions in large, complex products, value-at-risk model, difficult, returns inspection of commercial banks based on theory of profit and loss, calculated risk values are compared with the theoretical profit and loss on the day.
Commercial banks return the test results shall be recorded, and refer to annex 11 of this approach on the back testing breakthrough number and respective regulations to process the model. 3. the returns examined risks of commercial bank based on theoretical profit and loss values, can also be based on their own risk and portfolio structure, adopt the following authentication methods as a supplement.
Banking regulators can require commercial banks to take as a supplement to conventional authentication method in the following ways.
(1) by an extension based on the theory of profit and loss of the return time to improve test effectiveness, such as three years of historical data for back testing if commercial banks ' internal models or market conditions in selected historical interval of a major change or history data is not applicable, do not need to take it.
(2) according to the above 99% back testing based on theoretical profit and loss of confidence.
(3) combinations of commercial banks based on the theory of profit and loss of back testing. 4. the daily risk management of commercial banks should be based on experience and needs a predetermined reasonable level of tolerance and will appear in the validation process compared to the level of difference and tolerance. If the difference above the tolerance level, model validation should be based on timely feedback to problem type models development, external model providers or provider of market data, and report to senior management. Meanwhile, model validation and development requirements, the system provider or market data provider to identify the causes of, and model, as soon as possible the amendment and perfection of market data and reference data.
If the problem is caused by the system provider, or market data providers, commercial banks should also promptly report to the CBRC.
(D) validation of the market risk report Should be output by the internal market risk model of commercial bank market risk report is verified to ensure results accurate and reasonable application of the model.
Reports should include a summary of model output, market risk model results, important and model limitations, key elements of model assumptions and parameters, as well as the results of sensitivity analysis, scenario analysis on a regular basis, such as supplementary information.
Four senior, operational risk measurement system
(A) basic requirements
1. validation of the operational risk advanced measurement system should cover the operational risk capital measurement areas of focus, including the advanced measurement method and supports advanced metrology system authentication.
2. Commercial Bank advanced econometric model should be fully validated before production, with emphasis on the important assumptions, input data and parameters of the model setting effects, modeling and commissioning a comprehensive inspection, ensuring that the econometric model to the production conditions.
3. commercial banks should influence the system running and results of related infrastructure support functions for authentication, ensure that the relevant infrastructure to support the use of econometric models.
4. commercial banks should continue to monitor the health of advanced metering system, ensuring that the operation of the metering system in line with the relevant policies, processes, requirements, and local correction in a timely manner as required. 5. the commercial bank should be at least every two years to a comprehensive validation of the advanced metering system, provide a basis for its continued use or fully optimized.
When the operational risk, operational risk measurement methodology or assumptions, business environment or significant changes in the internal control elements as well as significant operational risk losses when banks start fully validated in a timely manner. 6. the commercial bank should be based on the business nature, size, complexity, and risk management systems as well as advanced metering system (test), operation select the appropriate authentication method, authentication method should take into account the market and changes in the operating environment. Commercial banks required a combination of multiple authentication methods, such as benchmarking, back testing, stress testing, and so on.
Commercial banks should regularly assess the applicability of authentication methods.
7. commercial banks regardless of which authentication method is chosen, should be based on the advanced measurement system of policies, procedures, data, models, assumptions, parameters and model validation to ensure high measurement accuracy, robustness, and flexibility of the system.
(1) accuracy verification, verify the accuracy of measurement results reflect actual results.
(2) strong authentication, verify that the stability of measurement results, model checking is at least 99.9%.
(3) sensitivity to verify, in the business environment and internal changes, differences of measurement results of before and after comparison, determine the risk sensitivity of the measuring system.
8. commercial banks should use different technologies, validation of advanced measurement method using appropriate indicators.
(1) commercial banks use the scorecard measuring operational risk capital, should be verified experts ' subjective judgments, qualitative data, mapping logical relations.
(2) when using the internal measurement method measurement of operational risk capital of commercial banks, should be validated exposure indicators, loss probability and loss values accuracy and robustness.
(3) commercial banks using loss distribution technology measurement operation risk capital Shi, should focus validation internal loss data and external data cleaning and mixed using, and loss probability of distribution function and event loss strength, and different business article line of loss distribution of important statistics features, including time differences, and different quality sex and correlation,; should validation internal data, and external data, and stories analysis, and business business environment and internal control, elements of weight.
9. the internal audit department in addition to performing general duties discussed earlier in this annex should also be in daily business and functional unit inspections focus on operational risk loss data report and losses monitoring, aggregating, and reporting process.
(B) validation program
Commercial banks should be established to verify that at each stage the appropriate procedures, standardize key risk factor identification, verification, ongoing monitoring, change control, results analysis, calibration and ratification, reporting and rectification work, documentation and other steps.
1. identification of operational risk management system and measurement of operational risk capital system, all critical elements of risk defined, clear scope of verification, verify lists of key risk factors listed.
2. Select the authentication method, configure sufficient verification resources to develop validation protocols, and arrange the order of the validation and verification of frequencies for different models or independent verification of key risk factors. 3. the whole process of internal validation for dynamic monitoring, when the business environment and internal control factors or other key risk factors when major changes occur, to revalidate.
4. when verification work has been verified or verification of the significant changes in the conditions of work and major adjustments, time recording and checking the work of change, do a corresponding work plans to ensure that changes do not hinder the smooth implementation of validation.
5. Verify calibration select the appropriate benchmark to measure results, ensure that measurement results comply with that set the standard.
6. reporting results to senior management in a timely manner and corrective action recommendations.
(C) the validation of data
1. data validation including internal data, external data, analyze data, and business environment and internal control factors for data validation, it should focus on the following:
(1) internal and external data standardization method.
(2) external data use conditions to determine process.
(3) creating a scenario analysis of data standards, as well as the Bank data to the appropriate level of granularity and data assumptions are reasonable.
(4) select appropriate business environment and internal control factors and methods of integration into measurement systems. 2. the Bank shall regularly check operational loss data submitted by the Department or support department.
Check process should require the business line heads or confirm the completeness of data reporting, head of operational risk, loss and identify shortcomings in the report.
3. commercial banks should ensure that risk and control self assessment program for inspection of the event cycle sample test report, if possible, still need to compare in the loss database and related subsystems, the system can monitor the loss of first-hand data.
4. operational risk loss event data collection system should cover the results, provide support for the investigation of the causes of these incidents, and support appropriate documentation of work to produce a traceable record, make the event authorization appropriate disposal and in the corresponding ledgers or subsystem to handle.
5. the commercial bank should be for different activities, different departments and comparative analysis of different parts of the loss trend and set up the appropriate conversion factor in order to ensure the qualitative assessment of reasonableness, comparability and validity. 6. commercial banks should verify the adequacy and appropriateness of threshold.
Threshold settings for data loss should consider model sensitivity and validity of management evaluation, loss event does not guarantee threshold of expected loss and unexpected loss and regulatory capital accordingly had a significant impact, would not undermine the effectiveness of operational risk management. 7. advanced measurement model input data should be set, covering the main risks, collection methods, and be able to support the business management.
Commercial Bank advanced measurement model input data should be clean clear standards that are established and sustained.
(D) for model validation
1. commercial banks should ensure that the input parameters of the model and the relationship between output stability concepts, assumptions and parameters setting reasonable and feasible, including operational risk exposure, data model and operational risk capital requirements with respect to the assumptions and related technology transparent and intuitive.
2. Commercial Bank should examine internal data, external data, scenario analysis data, business environment and internal control factors in the weight of the operational risk measurement system, make sure the weight is reasonable.
3. the commercial bank should check that the distribution function of choice, regardless of the distribution function is derived from the historical data are simulated, ensure that the distribution function in accordance with the Bank the current distribution and the operational risk loss of face in the near future.
4. commercial banks should examine advanced econometric model for low frequency high loss events reflect the adequacy, in particular checking the operational risk of bank stress test results reflect the low-frequency high-loss robustness and sensitivity. 5. should check that the operating risk of commercial bank expected loss and unexpected loss calculations for accuracy.
Expected loss and unexpected loss of logic should be intuitively reasonable.
6. commercial banks should check that the correlation coefficient between variables to ensure correlation assumptions to be reasonable to ensure that historical data or data correlation coefficients in line with the actual situation. 7. total bank capital requirements should check the line is reasonable.
Ensure advanced econometric model to the line total capital requirements of different distributions, correlation and time differences and other factors.
8. Commercial Bank should check that the model output results, analysis of differences and reasons of model results and the actual results.
(E) validation of the policy and procedure
1. validation of the advanced metering system policies, including, but not limited to, the following:
(1) whether there was a clear policy and effective implementation of advanced metering system.
(2) clearly provides for effective corporate governance and measurement processes, measurement methods and models, measurement results and application, measurement and reporting, and more.
(3) whether the effectiveness of operational risk management framework, including checking and updating procedures for the operational risk management framework, operational risk management and compliance to standards, policies and procedures.
(4) it requires high consistency of measurement methods in the different business lines.
2. the process of validation of the advanced metering system, including, but not limited to, the following:
(1) whether advanced metering management system management process and effective implementation of the full line.
(2) management processes to explicitly include identification, assessment, monitoring, control and release, as well as reports link.
(3) identification is clearly included on the business environment and internal control elements of the key elements of risk assessment is a clear definition of risk measurement range; clear internal and external data sources and collection procedures and storage; whether there was loss of data standards.
(4) assess whether the link explicitly includes standards on data entry and data cleaning, model assumptions and parameters, the output of the modeling process, the results assessment are clear for test and verification of the operational risk capital requirements, valuation adjustments, including operational risk exposure and the hypothesis, advanced econometric models and operational risk capital requirements.
(5) monitoring link whether clear including defined operation risk management system monitoring of operation risk range; evaluation operation risk management system whether monitoring all major activities and risk exposed; key risk elements, and loss data, and collection rules report and risk valuation whether and qualitative self assessment results phase consistent; monitoring operation risk management system of performance and sound sex, and on system contains of statistics relationship and assumed for check,.
(6) control, when significant changes in the business environment and internal control factors, model assumptions and parameters significant changes, the emergence of new products and new business situations such as whether there is control standards and control flow enters.
(7) release links, business environment and internal control factors of significant changes, the model assumptions and parameters of major changes, new products and new business when banks sustained-release contingency plans covering measures in response to residual risks, including suspended some operations, the implementation of specific insurance arrangements and appropriate operational risk capital requirements.
(8) the report part, did include a clear written procedures to record the risk analysis model of development and operation; documentation is complete; are there clear lines of reporting and compliance program management information reports, and so on.
Annex 17: external ratings use
A, General requirements
(A) the Bank shall, in accordance with the eligibility criteria for qualified external rating agencies set out in the annex, in conducting due diligence based on the careful selection of qualified external rating agencies and their credit ratings.
(B) commercial banks should be at least once every two years to recognize qualified external rating agencies ' independence, professionalism and internal control evaluation, understanding the rating principles, and read the relevant disclosure document.
(C) commercial banks should be authorized and qualified external rating agencies, modification and assessment report submitted to the CBRC. (D) commercial banks in the capital and risk management, for qualified external rating agencies in selecting and rating results of use should be consistent.
There are a number of external rating agencies to the same credit or debt ratings results, commercial banks must not arbitrarily choose to use or change of qualified external rating agencies.
Second, external rating agencies qualification standards
(A) objectivity
1. external rating agencies shall establish a rating of each part of the market, including rigorous back testing, rating methodology using time of at least one year, it is more than three years.
2. external rating agency ratings should persist in combining qualitative and quantitative analysis of the methodology and rating methodologies should be rigorous, systematic, and historical data can be used for testing.
3. external rating agencies must regularly review the ratings and rating changes be updates on the financial situation of the object.
4. external rating agency's assessment in the rating process should be fair, without any prejudice.
(B) independence
External rating agencies should have sufficient independence, would not be affected because of political or economic pressure ratings; external rating agency's internal credit review board members and assessors should remain independent in the rating process, and should be based on data and information collected by independent judges, not subject to rating and other external influences.
(C) international and transparency
Individual ratings, external rating agencies should fully disclose key elements in the rating process, as well as rating whether an object is information such as participation in the rating process.
(D) disclosure
External rating agencies should disclose the following information:
1. the code of conduct of external rating agencies.
2. external rating agencies and rating paid arrangements between the General characteristics of the object.
3. rating methodology that includes default definitions, time span and the meaning of credit rating and so on.
4. the actual default rate with credit.
5. rating move.
(E) resources External rating agencies should have sufficient resources to ensure the provision of high quality ratings.
Meanwhile, external rating agencies should have sufficient resources to ensure that the rating of senior management and staff maintain substantive ties in order to improve the quality of ratings.
(F) credibility
1. external rating agency ratings should be widely recognized and used by market participants.
2. external rating agencies do not require the ability to rank the companies in multiple countries.
3. external rating agencies should establish internal procedures to prevent the improper use of confidential information.
Three, the use of multiple ratings
(A) there are two external credit or debt ratings, which correspond to different risk weights, commercial banks should use a risk weight higher ratings.
(B) the same credit or debt there are three external ratings and above, which correspond to different risk weights, commercial bank should be in accordance with the risk-weighting from low to high order, select the first two ratings, and then choose a risk weight higher ratings.
Four, the determination of debt ratings
(A) debt instruments have qualified external debt ratings from rating agencies, the risk weight of the debt instruments will be determined by external rating.
(B) a debt instrument no qualified external debt ratings from rating agencies ("not rated debt instruments"), a commercial bank should determine the risk weight of the debt instrument is based on the following principles:
1. the credit subject has issued of other debt tool ("has rating debt tool") has high of external rating results (that corresponds to of risk weight below not rating debt items of risk weight) of, only Dang "not rating debt tool" in the aspects are not bad Yu the "has rating debt tool" Shi, "not rating debt tool" only can applies "has rating debt tool" external rating results corresponds to of risk weight.
2. the credit the principal has on external ratings, but the ratings only apply to priority unsecured debt instruments issued by credit, the credit issued by other "not rated debt instrument" in accordance with the process not rated.
3. credit subject or its issued of "has rating debt tool" of credit rating results lower (that corresponds to of risk weight not below not rating debt items of risk weight), and the "not rating debt tool" of conditions not is better than credit subject priority no mortgage debt items or "has rating debt tool" of, the "not rating debt tool" applies the lower credit grade corresponds to of risk weight.
(C) whether the issuer rating or the debt rating of a debt instrument, the rating must take into account the credit risk exposure of all claims, and reflected in the ratings.
(D) debt instruments debt rating reflects the credit enhancement factors, commercial banks should not duplicate taken into account in the calculation of risk-weighted assets credit risk mitigation effect.
Five ratings used for additional issues to be considered
(A) local currency and foreign currency ratings
When under a debt external credit ratings to determine the risk weight that is not rated debt, foreign currency debt ratings can only be used to determine to the same outstanding rating for foreign currency-denominated debt risk weight, the local currency debt rating results can only be used to determine the risk-weighted outstanding rating for local currency-denominated debt.
(B) scope of the rating
Internal external ratings of some credits subject other credits within the same group cannot be used to determine the risk weight of the subject.
(C) active rating In principle, qualified commercial banks should use given by external rating agencies entrusted ratings.
In the case of active rating not less than the principal rating the quality of, commercial banks have access to external ratings agencies active ratings.
Using Active rating such as external rating agencies put pressure on the ratings, forcing it to get the rating any of commercial banks the external rating agencies should be excluded from the qualified external rating agencies. Active rating is an external rating agency rating according to the publicly available information on the rating an object active. Rating refers to the rating agencies rated object for a delegate delegate to rating the rating an object.
