巴塞尔资本协议中英文完整版(16附录8(英文)).pdf

Annex 8 Overview of Methodologies for the Capital Treatment of Transactions Secured by Financial Collateral under the Standardised and IRB Approaches 1. The rules set forth in the standardised approach – Credit Risk Mitigation (CRM), for collateralised transactions generally determine the treatment under both the standardised and the foundation internal ratings-based (IRB) approaches for claims in the banking book that are secured by financial collateral of sufficient quality. Banks using the advanced IRB approach will typically take financial collateral on banking book exposures into account by using their own internal estimates to adjust the exposure’s loss given default (LGD). One exception for advanced IRB bank pertains to the recognition of repo-style transactions subject to a master netting agreement, as discussed below. 2. Collateralised exposures that take the form of repo-style transactions (i.e. repo/reverse repos and securities lending/borrowing) are subject to special considerations. Such transactions that are held in the trading book are subject to a counterparty risk capital charge as described below. Further, all banks, including those using the advanced IRB approach, must follow the methodology in the CRM section, which is outlined below, for repo-style transactions booked in either the banking book or trading book that are subject to master netting agreements if they wish to recognise the effects of netting for capital purposes. Standardised and Foundation IRB Approaches 3. Banks under the standardised approach may use either the simple approach or the comp