信用風險管理標準化辦法(PDF 56頁)

Table of Contents
INTRODUCTION: OBJECTIVES OF THE STANDARDISED APPROACH.... 1
A. THE RISK WEIGHTS IN THE STANDARDISED APPROACH.. 1
1. INDIVIDUAL CLAIMS..... 2
(i) Sovereign risk weights .... 2
(ii) Risk weights for Non-Central Government Public Sector Entities (PSEs) ... 4
(iii) Risk weights for multilateral development banks (MDBs).... 5
(iv) Risk weights for banks .... 6
(v) Risk weights for securities firms . 7
(vi) Risk weights for corporates... 7
(vii) Risk weights of retail assets .. 8
(viii) Risk weights of claims secured by residential property .. 8
(ix) Risk weights of claims secured on commercial real estate ... 9
(x) Higher risk categories.... 9
(xi) Other assets.. 9
(xii) Off-balance sheet items... 9
(xiii) Maturity ..... 10
2. EXTERNAL CREDIT ASSESSMENTS... 11
(i) The recognition process 11
(ii) Eligibility criteria... 11
3. IMPLEMENTATION CONSIDERATIONS... 12
(i) The mapping process .... 12
(ii) Multiple assessments.... 13
(iii) Issuer versus issue assessment.. 13
(iv) Short term/long term assessments... 14
(v) Level of application of the assessment .. 14
(vi) Unsolicited ratings. 14
B. CREDIT RISK MITIGATION IN THE STANDARDISED APPROACH .... 14
1. INTRODUCTION. 14
2. COLLATERAL..... 16
(i) Minimum conditions..... 17
(ii) The methodologies .. 19
(iii) Eligible collateral ... 19
(iv) The comprehensive approach ... 20
(v) The simple approach..... 28
3. NETTING . 30
(i) On-balance sheet netting .... 30
(ii) Off-balance sheet netting/PFEs 31
4. GUARANTEES AND CREDIT DERIVATIVES. 31
(i) Introduction ..... 31
(ii) Minimum conditions..... 32
(iii) Operational requirements for guarantees... 33
(iv) Operational requirements for credit derivatives..... 33
(v) Range of eligible guarantors/protection providers. 35
(vi) Risk weights ..... 35
(vii) Sovereign guarantees... 37
(viii) The level of w ... 37
5. MATURITY MISMATCHES.. 38
(i) Definition of maturity.... 38
(ii) Risk weights for maturity mismatches... 38
6. CURRENCY MISMATCHES. 39
(i) Collateral ... 39
(ii) On-balance sheet netting .... 39
(iii) Guarantees/credit derivatives ... 40
7. DISCLOSURE REQUIREMENTS ..... 40
(i) Collateral/on-balance sheet netting 40
(ii) Guarantees/credit derivatives ... 40
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