| Notice of the China Banking Regulatory Commission on Issuing the Rules for the Measurement of Default Risk Assets of Counterparties in the Trading of Derivatives | | 中国银监会关于印发衍生工具交易对手违约风险资产计量规则的通知 |
| (No. 1 [2018] of the China Banking Regulatory Commission) | | （银监发〔2018〕1号） |
| All local offices of the China Banking Regulatory Commission (“CBRC”); all large-scale banks and joint-stock banks; Postal Savings Bank of China; and foreign-funded banks: | | 各银监局，各大型银行、股份制银行，邮储银行，外资银行： |
| For the purposes of improving the risk measurement and management of derivative instruments of commercial banks and promoting the steady development of derivative instruments, the Rules for the Measurement of Default Risk Assets of Counterparties in the Trading of Derivatives are hereby issued, for your compliance and implementation. | | 为提高商业银行衍生工具风险计量和管理水平，促进衍生工具业务稳健发展，现将衍生工具交易对手违约风险资产计量规则印发给你们，请遵照执行。 |
| The Rules for the Measurement of Default Risk Assets of Counterparties in the Trading of Derivatives shall come into force on January 1, 2019. | | 衍生工具交易对手违约风险资产计量规则自2019年1月1日起实施。 |
| January 3, 2018 | | 2018年1月3日 |
| Rules for the Measurement of Default Risk Assets of Counterparties in the Trading of Derivatives | | 衍生工具交易对手违约风险资产计量规则 |
| I. Commercial banks shall, in accordance with the relevant provisions, calculate the default risk assets of the counterparties in the trading of derivatives by the method of weighting or the Internal Rating-Based Approach. | | 一、商业银行应当根据有关规定使用权重法或内部评级法计算衍生工具的交易对手违约风险资产。 |
| II. Where commercial banks adopt the method of weighting, the default risk assets of trading counterparties shall be obtained by the default risk exposure of trading counterparties multiplied by the risk weight of counterparties, and the risk weight of counterparties shall be determined according to Part I “Risk Weights of On-balance Sheet Assets” of Annex 2 to the Administrative Measures for the Capital of Commercial Banks (for Trial Implementation). A commercial bank adopting the Internal Rating-Based Approach shall calculate the default risk assets of trading counterparties according to Annex 3 “Rules for the Measurement of Risk-weighted Assets under the Internal Rating-based Approach for Credit Risk” to the Administrative Measures for the Capital of Commercial Banks (for Trial Implementation). | | 二、商业银行使用权重法的，交易对手违约风险资产为衍生工具的交易对手违约风险暴露乘以交易对手风险权重，交易对手风险权重根据《商业银行资本管理办法（试行）》附件2第一部分“表内资产风险权重”确定。商业银行使用内部评级法的，根据《商业银行资本管理办法（试行）》附件3“信用风险内部评级法风险加权资产计量规则”计算交易对手违约风险资产。 |
III. Commercial banks shall, in accordance with the requirements of these Rules, calculate the exposure of the default risks of counterparties in the trading of derivatives, including the replacement costs and potential risk exposures.
．．．．．． | | 三、商业银行应按照本规则的要求，计算衍生工具的交易对手违约风险暴露，包括重置成本和潜在风险暴露。
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