巴塞尔资本协议中英文完整版(17附录9(英文)).docVIP

Annex 9 The Simplified Standardised Approach I. Credit risk - general rules for risk weights 1. Exposures should be risk weighted net of specific provisions. (i) Claims on sovereigns and central banks 2. Claims on sovereigns and their central banks will be risk weighted on the basis of the consensus country risk scores of export credit agencies (ECA) participating in the “Arrangement on Guidelines for Officially Supported Export Credits”. These scores are available on the OECD’s website. The methodology establishes seven risk score categories associated with minimum export insurance premiums. As detailed below, each ECA risk score will correspond to a specific risk weight category. ECA risk scores 1 2 3 4 to 6 7 Risk weights 0% 20% 50% 100% 150% 3. At national discretion, a lower risk weight may be applied to banks’ exposures to their sovereign (or central bank) of incorporation denominated in domestic currency and funded in that currency. Where this discretion is exercised, other national supervisory authorities may also permit their banks to apply the same risk weight to domestic currency exposures to this sovereign (or central bank) funded in that currency. (ii) Claims on other official entities 4. Claims on the Bank for International Settlements, the International Monetary Fund, the European Central Bank and the European Community will receive a 0% risk weight. 5. The following Multilateral Development Banks (MDBs) will be eligible for a 0% risk weight: the World Bank Group, comprised of the International Bank for Reconstruction and Development (IBRD) and the International Finance Corporation (IFC), the Asian Development Bank (ADB), the African Development Bank (AfDB), the European Bank for Reconstruction and Development (EBRD), the Inter-American Development Bank (IADB), the European Investment Bank (EIB), the Nordic Investment Bank (NIB), the Caribbean Development Bank (CDB), the Islamic Development Bank (IDB), and the Council of Europe De