| Order of the China Banking and Insurance Regulatory Commission | | 中国银行保险监督管理委员会令 |
| (No. 1 [2018]) | | （2018年第1号） |
| The Measures for the Administration of the Large Exposures of Commercial Banks, as adopted at the 14th chairman's meeting of the former China Banking Regulatory Commission in 2017, are hereby issued and shall come into force on July 1, 2018. | | 商业银行大额风险暴露管理办法已经原中国银监会2017年第14次主席会议通过。现予公布，自2018年7月1日起施行。 |
| Chairman: Guo Shuqing | | 主席：郭树清 |
| April 24, 2018 | | 2018年4月24日 |
| Measures for the Administration of the Large Exposures of Commercial Banks | | 商业银行大额风险暴露管理办法 |
| Chapter I General Provisions | | 第一章 总 则 |
| Article 1 For the purposes of driving commercial banks to enhance their management of large exposures, effectively preventing and controlling risks of client concentration, and maintaining the stable operation of commercial banks, these Measures are developed in accordance with the Banking Supervision Law of the People's Republic of China, the Law of the People's Republic of China on Commercial Banks, and other laws and regulations. | | 第一条 为促进商业银行加强大额风险暴露管理，有效防控客户集中度风险，维护商业银行稳健运行，根据《中华人民共和国银行业监督管理法》《中华人民共和国商业银行法》等法律法规，制定本办法。 |
| Article 2 These Measures shall apply to the commercial banks formed in the territory of the People's Republic of China. | | 第二条 本办法适用于中华人民共和国境内设立的商业银行。 |
| Article 3 For the purposes of these Measures, “exposure” means the credit risk exposure of a commercial bank to a single client or a group of connected clients, including various kinds of credit risk exposures arising in the banking book and the trading book. | | 第三条 本办法所称风险暴露是指商业银行对单一客户或一组关联客户的信用风险暴露，包括银行账簿和交易账簿内各类信用风险暴露。 |
| Article 4 For the purposes of these Measures, “large exposure” means the exposure of a commercial bank to a single client or a group of connected clients exceeding 2.5% of its net tier 1 capital. | | 第四条 本办法所称大额风险暴露是指商业银行对单一客户或一组关联客户超过其一级资本净额2.5%的风险暴露。 |
| Article 5 Commercial banks' large exposures, whether on a consolidated basis or not, shall all satisfy the regulatory requirements set out in these Measures. | | 第五条 商业银行并表和未并表的大额风险暴露均应符合本办法规定的监管要求。 |
| Commercial banks shall calculate their large exposures at the consolidated or unconsolidated level in accordance with these Measures. | | 商业银行应按照本办法计算并表和未并表的大额风险暴露。 |
| The scope of consolidation shall be consistent with the Measures for the Administration of the Capital of Commercial Banks (for Trial Implementation, hereinafter referred to as the “Capital Measures”). The exposure at the consolidated level is the simple sum of exposures of all members of a bank group to their clients. | | 并表范围与《商业银行资本管理办法（试行）》（以下简称《资本办法》）一致。并表风险暴露为银行集团内各成员对客户的风险暴露简单相加。 |
| Article 6 A commercial bank shall include the management of large exposures in its comprehensive risk management system, establish and improve its organizational structure, management rules, and information systems, among others, that are commensurate with the scale and complexity of its business, and effectively identify, measure, monitor, prevent, and control large risks. | | 第六条 商业银行应将大额风险暴露管理纳入全面风险管理体系，建立完善与业务规模及复杂程度相适应的组织架构、管理制度、信息系统等，有效识别、计量、监测和防控大额风险。 |
| Chapter II Regulatory Requirements for Large Exposures | | 第二章 大额风险暴露监管要求 |
| Article 7 The loan balance of a commercial bank to a single non-interbank client shall not exceed 10% of its net capital; and the value of exposure of it to a single non-interbank client shall not exceed 15% of its net tier 1 capital. | | 第七条 商业银行对非同业单一客户的贷款余额不得超过资本净额的10%，对非同业单一客户的风险暴露不得超过一级资本净额的15%。 |
| Single non-interbank clients include but are not limited to sovereigns, central banks, public sector entities, incorporated enterprises and public institutions, natural persons, and unknown clients. Unknown clients are virtual counterparties set when the underlying assets of asset management products or asset securitization products cannot be identified. | | 非同业单一客户包括主权实体、中央银行、公共部门实体、企事业法人、自然人、匿名客户等。匿名客户是指在无法识别资产管理产品或资产证券化产品基础资产的情况下设置的虚拟交易对手。 |
| Article 8 The value of exposure of a commercial bank to a group of non-interbank connected clients shall not exceed 20% of its net tier 1 capital. | | 第八条 商业银行对一组非同业关联客户的风险暴露不得超过一级资本净额的20%。 |
| Non-interbank connected clients include non-interbank group clients and economically dependent clients. | | 非同业关联客户包括非同业集团客户、经济依存客户。 |
| Article 9 The value of exposure of a commercial bank to a single interbank client or group client shall not exceed 25% of its net tier 1 capital. | | 第九条 商业银行对同业单一客户或集团客户的风险暴露不得超过一级资本净额的25%。 |
| Article 10 The value of exposure of a global systemically important bank (“G-SIB”) to another G-SIB shall not exceed 15% of its net tier 1 capital. | | 第十条 全球系统重要性银行对另一家全球系统重要性银行的风险暴露不得超过一级资本净额的15%。 |
| After a commercial bank becomes a G-SIB, its exposures to other G-SIBs shall satisfy the aforesaid regulatory requirement within 12 months. | | 商业银行被认定为全球系统重要性银行后，对其他全球系统重要性银行的风险暴露应在12个月内达到上述监管要求。 |
| Article 11 The exposure of a commercial bank to a single qualifying central counterparty (“QCCP”) related to clearing activities is not subject to the regulatory requirements for large exposures set out in these Measures, but the value of exposure of it to a single QCCP unrelated to clearing activities shall not exceed 25% of its net tier 1 capital. | | 第十一条 商业银行对单一合格中央交易对手清算风险暴露不受本办法规定的大额风险暴露监管要求约束，非清算风险暴露不得超过一级资本净额的25%。 |
| Article 12 Both the value of clearing exposure and the value of non-clearing exposure of a commercial bank to a single Non-QCCP shall not exceed 25% of its net tier 1 capital. | | 第十二条 商业银行对单一不合格中央交易对手清算风险暴露、非清算风险暴露均不得超过一级资本净额的25%。 |
| Article 13 The exposures of commercial banks to the following counterparties are not subject to the regulatory requirements for large exposures set out in these Measures: | | 第十三条 商业银行对下列交易主体的风险暴露不受本办法规定的大额风险暴露监管要求约束： |
| (1) The Central Government of China and the People's Bank of China. | | （一）我国中央政府和中国人民银行； |
| (2) The central governments and central banks of the countries or regions with a rating of AA- or above. | | （二）评级AA-（含）以上的国家或地区的中央政府和中央银行； |
| (3) The Bank for International Settlements and the International Monetary Fund. | | （三）国际清算银行及国际货币基金组织； |
| (4) Other counterparties that may be exempted as determined by the banking regulatory authority of the State Council. | | （四）其他经国务院银行业监督管理机构认定可以豁免的交易主体。 |
| Article 14 The bonds issued by the people's governments of provinces, autonomous regions, municipalities directly under the Central Government and cities under separate state planning as held by commercial banks are not subject to the regulatory requirements for large exposures set out in these Measures. | | 第十四条 商业银行持有的省、自治区、直辖市以及计划单列市人民政府发行的债券不受本办法规定的大额风险暴露监管要求约束。 |
| Article 15 Non-subordinated debts of policy banks to commercial banks are not subject to the regulatory requirements for large exposures set out in these Measures. | | 第十五条 商业银行对政策性银行的非次级债权不受本办法规定的大额风险暴露监管要求约束。 |
| Chapter III Calculation of Exposure Values | | 第三章 风险暴露计算 |
| Article 16 The exposures of commercial banks to clients include: | | 第十六条 商业银行对客户的风险暴露包括： |
| (1) general exposures arising from loans, investment in bonds, interbank deposits, interbank lending, reverse repurchases, and other on-balance-sheet credit; | | （一）因各项贷款、投资债券、存放同业、拆放同业、买入返售资产等表内授信形成的一般风险暴露； |
| (2) special exposures arising from investment in asset management products or asset securitization products; | | （二）因投资资产管理产品或资产证券化产品形成的特定风险暴露； |
| (3) trading book exposures arising from trading in bonds, stocks, and their derivatives; | | （三）因债券、股票及其衍生工具交易形成的交易账簿风险暴露； |
| (4) counterparty credit risk exposures arising from over-the-counter (OTC) derivatives and securities financing transactions; | | （四）因场外衍生工具、证券融资交易形成的交易对手信用风险暴露； |
| (5) potential exposures arising from guarantees, commitments, and other off-balance-sheet items; and | | （五）因担保、承诺等表外项目形成的潜在风险暴露； |
| (6) other exposures, meaning the exposures where the credit risks are still assumed by commercial banks under the principle of “substance over form,” in addition to the aforesaid exposures. | | （六）其他风险暴露，指按照实质重于形式的原则，除上述风险暴露外，信用风险仍由商业银行承担的风险暴露。 |
| Article 17 A commercial bank shall calculate its value of general exposures by deducting loss provisions from the book value. | | 第十七条 商业银行应按照账面价值扣除减值准备计算一般风险暴露。 |
| Article 18 Commercial banks shall, in accordance with these Measures, calculate the values of special exposures arising from investment in asset management products or asset securitization products. | | 第十八条 商业银行应按照本办法计算投资资产管理产品或资产证券化产品形成的特定风险暴露。 |
| Article 19 Commercial banks shall calculate exposure values for trading book positions in accordance with these Measures. | | 第十九条 商业银行应按照本办法计算交易账簿风险暴露。 |
| Article 20 Commercial banks shall, in accordance with the provisions of the Capital Measures, calculate the counterparty credit risk exposure values for OTC derivatives and securities financing transactions. | | 第二十条 商业银行应按照《资本办法》的规定计算场外衍生工具和证券融资交易的交易对手信用风险暴露。 |
| Article 21 Commercial banks shall multiply the nominal amount of off-balance-sheet items by the credit conversion factor to obtain an equivalent to the on-balance-sheet assets, and then calculate the potential exposures in the treatment method for general exposures. | | 第二十一条 商业银行应将表外项目名义金额乘以信用转换系数得到等值的表内资产，再按照一般风险暴露的处理方式计算潜在风险暴露。 |
| Article 22 Commercial banks shall calculate the values of central counterparty credit risk exposures related to clearing activities in the following methods: | | 第二十二条 商业银行应按照以下方法计算中央交易对手清算风险暴露： |
| (1) The exposure values for trading in derivatives and securities financing transactions shall be calculated according to the relevant provisions of the Capital Measurement Rules for Central Counterparty Credit Risk Exposures. | | （一）衍生工具交易和证券融资交易按照《中央交易对手风险暴露资本计量规则》有关规定计算风险暴露； |
| (2) The exposure values for non-segregated initial margin, pre-funded default fund contributions, and equity stakes shall be calculated as per the nominal amount. | | （二）非单独管理的初始保证金、预付的违约基金以及股权按照名义金额计算风险暴露； |
| (3) The exposure values for segregated initial margin and unfunded default fund contributions shall not be calculated. | | （三）单独管理的初始保证金以及未付的违约基金不计算风险暴露。 |
| The value of non-clearing exposure of a commercial bank to central counterparties shall be the total exposures to central counterparties minus the value of clearing exposures. | | 商业银行对中央交易对手非清算风险暴露为对中央交易对手全部风险暴露减去清算风险暴露。 |
| Article 23 In calculating the value of exposure to a client, a commercial bank shall consider the risk mitigation effect of eligible collateral or an eligible guarantor, and deduct the mitigated portion from the exposure to the client. Where the maturity of collateral or guarantee is shorter than that of the secured claim, there is no risk mitigation effect. | | 第二十三条 商业银行计算客户风险暴露时，应考虑合格质物质押或合格保证主体提供保证的风险缓释作用，从客户风险暴露中扣减被缓释部分。质物或保证的担保期限短于被担保债权期限的，不具备风险缓释作用。 |
| For collateral, the amount to be deducted shall be its market value, and the deduction shall be included in the exposure to the ultimate provider of the collateral. The deduction of cash specialized in the form of special account, frozen money, or security deposit, gold, and other collateral shall not be included in the exposure to the ultimate provider of the collateral. | | 对于质物，扣减金额为其市场价值，扣减部分计入对质物最终偿付方的风险暴露。对于以特户、封金或保证金等形式特定化后的现金以及黄金等质物，扣减后不计入对质物最终偿付方的风险暴露。 |
| For guarantee, the amount to be deducted shall be the amount guaranteed, and the deduction shall be included in the exposure to the guarantor. | | 对于保证，扣减金额为保证金额，扣减部分计入对保证人的风险暴露。 |
| Article 24 In calculating the value of exposure to a client, a commercial bank may exclude the exposure that has been deducted from the regulatory capital, the intraday exposure between commercial banks, and interbank deposits for settlement purposes. | | 第二十四条 商业银行计算客户风险暴露时，可以剔除已从监管资本中扣除的风险暴露、商业银行之间的日间风险暴露以及结算性同业存款。 |
| Article 25 A commercial bank meeting the following conditions may calculate exposure values in a simplified method: | | 第二十五条 符合下列条件的商业银行可以采用简化方法计算风险暴露： |
| (1) Where the total balance of investment in asset management products and asset securitization products is less than 5% of its net tier 1 capital, the commercial bank may treat all asset management products and asset securitization products as an unknown client, and treat the total balance of investment as its exposure to the unknown client. | | （一）资产管理产品及资产证券化产品投资余额合计小于一级资本净额5%的，商业银行可以将所有资产管理产品和资产证券化产品视为一个匿名客户，将投资余额合计视为对匿名客户的风险暴露； |
| (2) Where the total amount of trading book positions is less than 7 billion yuan and less than 10% of its total assets, calculation of the exposure value for trading book positions is not required. | | （二）交易账簿总头寸小于70亿元人民币且小于总资产10%的，可以不计算交易账簿风险暴露； |
| (3) Where the total book value of OTC derivatives is less than 0.5% of its total assets, and the total nominal principal is less than 10% of its total assets, calculation of the value of counterparty credit risk exposure is not required. | | （三）场外衍生工具账面价值合计小于总资产0.5%且名义本金合计小于总资产10%的，可以不计算交易对手信用风险暴露。 |
| Chapter IV Management of Large Exposures | | 第四章 大额风险暴露管理 |
Article 26 A commercial bank shall establish and improve its organizational structure for the management of large exposures, specify the managerial duties of the board of directors, senior management, and relevant departments, and establish an interconnected operating mechanism with effective checks and balance.
．．．．．． | | 第二十六条 商业银行应建立健全大额风险暴露管理组织架构，明确董事会、高级管理层、相关部门管理职责，构建相互衔接、有效制衡的运行机制。
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