巴塞尔协议,英语.doc

PAGE  PAGE 25 巴塞尔协议,英语 篇一：巴塞尔资本协议中英文完整版(13附录5(英文)) Annex 5 Illustrative Examples: Calculating the Effect of Credit Risk Mitigation under Supervisory Formula Some examples are provided below for determining how collateral and guarantees are to be recognised under the SF. Illustrative Example Involving Collateral - proportional cover Assume an originating bank purchases a ?100 securitisation exposure with a credit enhancement level in excess of KIRB for which an external or inferred rating is not available. Additionally, assume that the SF capital charge on the securitisation exposure is ?1.6 (when multiplied by 12.5 results in risk weighted assets of ?20). Further assume that the originating bank has received ?80 of collateral in the form of cash that is denominated in the same currency as the securitisation exposure. The capital requirement for the position is determined by multiplying the SF capital requirement by the ratio of adjusted exposure amount and the original exposure amount, as illustrated below. Step 1: Adjusted Exposure Amount (E*) = max {0, [E x (1 + He) - C x (1 - Hc - Hfx)]} E* = max {0, [100 x (1 + 0) - 80 x (1 - 0 - 0)]} = ? 20 Where (based on the information provide above): E* = the exposure value after risk mitigation (?20) E = current value of the exposure (?100) He = haircut appropriate to the exposure (This haircut is not relevant because the originating bank is not lending the securitisation exposure in exchange for collateral). C = the current value of the collateral received (?80) Hc = haircut appropriate to the collateral (0) Hfx= haircut appropriate for mismatch between the collateral and exposure (0) Step 2: Capital requirement = E* / E x SF capital requirement Where (based on the information provide above): Capital requirement = ?20 / ?100 x ?1.6 = ?0.32. 195 Illustrative Example Involving a Guarantee - proportional cover All of the assumptions provided in the illustrative example involving collateral apply