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Basel ii Accord Section 211 to 230
III. Credit Risk ─ The Internal Ratings-Based Approach
A. Overview
211. This section of the Framework describes the IRB approach to credit risk. Subject to
certain minimum conditions and disclosure requirements, banks that have received
supervisory approval to use the IRB approach may rely on their own internal estimates of risk components in determining the capital requirement for a given exposure.
The risk components include measures of the probability of default (PD), loss given default (LGD), the exposure at default (EAD), and effective maturity (M). In some cases, banks may be required to use a supervisory value as opposed to an internal estimate for one or more of the risk components.
212. The IRB approach is based on measures of unexpected losses (UL) and expected
losses (EL). The risk-weight functions produce capital requirements for the UL portion.
Expected losses are treated separately, as outlined in paragraph 43 and Section III.G.
213. In this section, the asset classes are defined first. Adoption of the IRB approach
across all asset classes is also discussed early in this section, as are transitional
arrangements.
The risk components, each of which is defined later in this section, serve as inputs to the risk-weight functions that have been developed for separate asset classes. For example, there is a risk-weight function for corporate exposures and another one for qualifying revolving retail exposures. The treatment of each asset class begins with a presentation of the relevant risk-weight function(s) followed by the risk components and other relevant factors, such as the treatment of credit risk mitigants.
The legal certainty standards for recognising CRM as set out in Section II.D apply for both the foundation and advanced IRB approaches. The minimum requirements that banks must satisfy to use the IRB approach are presented at the end of this section starting at Section III.H, paragraph 387.
B. Mechanics of the IRB approach
214. In Section III.B.1, the risk components (e.g. PD and LGD) and asset classes (e.g.
corporate exposures and retail exposures) of the IRB approach are defined. Section 2
provides a description of the risk components to be used by banks by asset class. Sections 3
and 4 discuss a bank’s adoption of the IRB approach and transitional arrangements,
respectively. In cases where an IRB treatment is not specified, the risk weight for those other
exposures is 100%, except when a 0% risk weight applies under the standardised approach,
and the resulting risk-weighted assets are assumed to represent UL only.
1. Categorisation of exposures
215. Under the IRB approach, banks must categorise banking-book exposures into broad
classes of assets with different underlying risk characteristics, subject to the definitions set
out below. The classes of assets are
(a) corporate,
(b) sovereign,
(c) bank,
(d) retail, and
(e) equity.
Within the corporate asset class, five sub-classes of specialised lending are
separately identified. Within the retail asset class, three sub-classes are separately identified.
Within the corporate and retail asset classes, a distinct treatment for purchased receivables
may also apply provided certain conditions are met.
216. The classification of exposures in this way is broadly consistent with established
bank practice. However, some banks may use different definitions in their internal risk
management and measurement systems. While it is not the intention of the Committee to
require banks to change the way in which they manage their business and risks, banks are
required to apply the appropriate treatment to each exposure for the purposes of deriving
their minimum capital requirement. Banks must demonstrate to supervisors that their
methodology for assigning exposures to different classes is appropriate and consistent over
time.
217. For a discussion of the IRB treatment of securitisation exposures, see Section IV.
(i) Definition of corporate exposures
218. In general, a corporate exposure is defined as a debt obligation of a corporation,
partnership, or proprietorship. Banks are permitted to distinguish separately exposures to
small- and medium-sized entities (SME), as defined in paragraph 273.
219. Within the corporate asset class, five sub-classes of specialised lending (SL) are
identified. Such lending possesses all the following characteristics, either in legal form or
economic substance:
• The exposure is typically to an entity (often a special purpose entity (SPE)) which
was created specifically to finance and/or operate physical assets;
• The borrowing entity has little or no other material assets or activities, and therefore
little or no independent capacity to repay the obligation, apart from the income that it
receives from the asset(s) being financed;
• The terms of the obligation give the lender a substantial degree of control over the
asset(s) and the income that it generates; and
• As a result of the preceding factors, the primary source of repayment of the
obligation is the income generated by the asset(s), rather than the independent
capacity of a broader commercial enterprise.
220. The five sub-classes of specialised lending are project finance, object finance,
commodities finance, income-producing real estate, and high-volatility commercial real
estate. Each of these sub-classes is defined below.
Project finance
221. Project finance (PF) is a method of funding in which the lender looks primarily to the
revenues generated by a single project, both as the source of repayment and as security for
the exposure. This type of financing is usually for large, complex and expensive installations
that might include, for example, power plants, chemical processing plants, mines,
transportation infrastructure, environment, and telecommunications infrastructure.
Project finance may take the form of financing of the construction of a new capital installation, or refinancing of an existing installation, with or without improvements.
222. In such transactions, the lender is usually paid solely or almost exclusively out of the
money generated by the contracts for the facility’s output, such as the electricity sold by a
power plant. The borrower is usually an SPE that is not permitted to perform any function
other than developing, owning, and operating the installation.
The consequence is that repayment depends primarily on the project’s cash flow and on the collateral value of the project’s assets. In contrast, if repayment of the exposure depends primarily on a well established, diversified, credit-worthy, contractually obligated end user for repayment, it is considered a secured exposure to that end-user.
Object finance
223. Object finance (OF) refers to a method of funding the acquisition of physical assets
(e.g. ships, aircraft, satellites, railcars, and fleets) where the repayment of the exposure is
dependent on the cash flows generated by the specific assets that have been financed and
pledged or assigned to the lender.
A primary source of these cash flows might be rental or lease contracts with one or several third parties. In contrast, if the exposure is to a borrower whose financial condition and debt-servicing capacity enables it to repay the debt without undue reliance on the specifically pledged assets, the exposure should be treated as a collateralised corporate exposure.
Commodities finance
224. Commodities finance (CF) refers to structured short-term lending to finance
reserves, inventories, or receivables of exchange-traded commodities (e.g. crude oil, metals,
or crops), where the exposure will be repaid from the proceeds of the sale of the commodity
and the borrower has no independent capacity to repay the exposure.
This is the case when the borrower has no other activities and no other material assets on its balance sheet. The structured nature of the financing is designed to compensate for the weak credit quality of the borrower. The exposure’s rating reflects its self-liquidating nature and the lender’s skill in structuring the transaction rather than the credit quality of the borrower.
225. The Committee believes that such lending can be distinguished from exposures
financing the reserves, inventories, or receivables of other more diversified corporate
borrowers. Banks are able to rate the credit quality of the latter type of borrowers based on
their broader ongoing operations. In such cases, the value of the commodity serves as a risk
mitigant rather than as the primary source of repayment.
Income-producing real estate
226. Income-producing real estate (IPRE) refers to a method of providing funding to real
estate (such as, office buildings to let, retail space, multifamily residential buildings, industrial or warehouse space, and hotels) where the prospects for repayment and recovery on the exposure depend primarily on the cash flows generated by the asset. The primary source of these cash flows would generally be lease or rental payments or the sale of the asset.
The borrower may be, but is not required to be, an SPE, an operating company focused on
real estate construction or holdings, or an operating company with sources of revenue other
than real estate. The distinguishing characteristic of IPRE versus other corporate exposures
that are collateralised by real estate is the strong positive correlation between the prospects
for repayment of the exposure and the prospects for recovery in the event of default, with
both depending primarily on the cash flows generated by a property.
High-volatility commercial real estate
227. High-volatility commercial real estate (HVCRE) lending is the financing of
commercial real estate that exhibits higher loss rate volatility (i.e. higher asset correlation)
compared to other types of SL. HVCRE includes:
• Commercial real estate exposures secured by properties of types that are
categorised by the national supervisor as sharing higher volatilities in portfolio
default rates;
• Loans financing any of the land acquisition, development and construction (ADC)
phases for properties of those types in such jurisdictions; and
• Loans financing ADC of any other properties where the source of repayment at
origination of the exposure is either the future uncertain sale of the property or cash
flows whose source of repayment is substantially uncertain (e.g. the property has
not yet been leased to the occupancy rate prevailing in that geographic market for
that type of commercial real estate), unless the borrower has substantial equity at
risk.
Commercial ADC loans exempted from treatment as HVCRE loans on the
basis of certainty of repayment of borrower equity are, however, ineligible for the
additional reductions for SL exposures described in paragraph 277.
228. Where supervisors categorise certain types of commercial real estate exposures as
HVCRE in their jurisdictions, they are required to make public such determinations. Other
supervisors need to ensure that such treatment is then applied equally to banks under their
supervision when making such HVCRE loans in that jurisdiction.
(ii) Definition of sovereign exposures
229. This asset class covers all exposures to counterparties treated as sovereigns under
the standardised approach. This includes sovereigns (and their central banks), certain PSEs
identified as sovereigns in the standardised approach, MDBs that meet the criteria for a 0%
risk weight under the standardised approach, and the entities referred to in paragraph 56.
(iii) Definition of bank exposures
230. This asset class covers exposures to banks and those securities firms outlined in
paragraph 65. Bank exposures also include claims on domestic PSEs that are treated like
claims on banks under the standardised approach, and MDBs that do not meet the criteria
for a 0% risk weight under the standardised approach.
BẢN DỊCH
Rủi ro tín dụng-Phương pháp ước tính tổn thất tín dụng dựa trên hệ thống cơ sở dữ liệu đánh giá nội bộ
(hay phương pháp IRB)
A-Tổng quát
211- Mục này miêu tả phương pháp ước tính tổn thất tín dụng dựa trên hệ thống cơ sở dữ liệu đánh giá nội bộ. Tuỳ thuộc vào một số điều kiện tối thiểu và yêu cầu tiết lộ thông tin, các ngân hàng đã nhận được sự chấp thuận có giám sát để sử dụng phương pháp IRB có thể dựa vào những đánh giá nột bộ để tính toán phần vốn yêu cầu cho một hoạt động công khai.
Các loại rủi ro bao gồm: xác suất khách hàng không trả được nợ (PD); tỉ trọng tổn thất ước tính (LGD); tổng dư nợ của khách hàng tại thời điểm khách hàng không trả được nợ (EAD) và kì hạn thanh toán (M). Trong môt vài trường hợp, các ngân hàng bắt buộc phải sử dụng 1 giá trị giám thị tương phản với sự ước tính nội bộ đổi với 1 hay nhiều thành phần rủi ro.
212-Phương pháp IRB dựa trên việc tính toán tổn thất không thể ước tính (UL) và tổn thất có thể được ước tính (EL). Xác định tổn thất ước tính sẽ cho ra số vốn yêu cầu của việc phân chia UL. Tổn thất có thể ước tính được xử lý riêng, như đã được chỉ ra trong đoạn 43 và mục III.G
213-Trong mục này, các dạng tài sản được định nghĩa trước. Sự thông qua phương pháp IRB trên mọi loại tài sản cũng được thảo luận trong mục này, như đã được sắp xếp chuyển tiếp.
Các thành phần rủi ro, mà mỗi loại sẽ được định nghĩa sau trong mục này, được dùng làm đầu vào cho xác định tổn thất ước tính đã được thiết lập cho một vài loại tài sản riêng biệt. Ví dụ, đối với tài liệu công khai của doanh nghiệp thì có phương pháp khác với tài liệu công khai của bán lẻ. Việc xử lý đổi với từng loại tài sản bắt đầu với việc đưa ra các tổn thất ước tính liên quan, theo đó là các thành phần rủi ro và nhân tố liên quan, như sự xử lý giảm nhẹ đối với rủi ro tín dụng.
Các tiêu chuẩn hợp pháp để công nhận CRM như đã trình bày trong mục II. D có thể áp dụng đối với cả phương pháp IRB cơ sở và nâng cao. Yêu cầu tối thiểu mà các ngân hàng phải thoả mãn để có thể sử dụng phương pháp IRB được trình bày trong phần cuối của mục này, bắt đầu từ mục III.H, đoạn 387.
B.
214. Trong mục III.B1, các loại rủi ro (VD: PD và LGD) cũng như các loại tài sản (VD: tài sản tập thể và tài sản cá nhân) của phương pháp IRB được định nghĩa. Mục 2 miêu tả các loại rủi ro được sử dụng bởi các ngân hàng thông qua các loại tài sản. Mục 3 và 4 thảo luận lần lượt việc thông qua phương pháp IRB đối với 1 ngân hàng và các sắp xếp mang tính chuyển tiếp. Trong trường hợp một phương pháp IRB chưa được định rõ, nguy cơ rủi ro đối với các hoạt động này là 100%, ngoại trừ trường hợp 0% nguy cơ rủi ro ứng dụng trong một phương pháp đã được tiêu chuẩn hoá, và kết quả được thừaa nhận chỉ đại diện cho tổn thất không thể ước tính.
1.Phân loại các dạng tài liệu công khai
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