| Guidelines for the Management of Interest Rate Risk in the Banking Book of Commercial Banks | | 商业银行银行账簿利率风险管理指引 |
| (Revised by the China Banking and Insurance Regulatory Commission on May 30, 2018) | | （中国银行保险监督管理委员会 2018年5月30日修订） |
| Chapter I General Provisions | | 第一章 总则 |
| Article 1 For the purposes of strengthening the management of interest rate risk in the banking book of commercial banks and maintaining the safe and steady operation of the banking system, these Guidelines are developed according to 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 为加强商业银行的银行账簿利率风险管理，维护银行体系安全稳健运行，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，制定本指引。 |
| Article 2 These Guidelines shall be applicable to the incorporated institutions of commercial banks formed in the territory of the People's Republic of China in accordance with the law. | | 第二条 本指引适用于中华人民共和国境内依法设立的商业银行法人机构。 |
| Article 3 For the purposes of these Guidelines, interest rate risk in the banking book means the risk of suffering losses of economic value and overall profit of banking books caused by adverse changes in the interest rate level and maturity structure, mainly including gap risk, basis risk and optionality. Banking book records are relevant on- and off-balance sheet business of commercial banks not included in the transaction books. | | 第三条 本指引所称银行账簿利率风险指利率水平、期限结构等不利变动导致银行账簿经济价值和整体收益遭受损失的风险，主要包括缺口风险、基准风险和期权性风险。银行账簿记录的是商业银行未划入交易账簿的相关表内外业务。 |
| Article 4 A commercial bank shall include the interest rate risk in the banking book in the comprehensive risk management framework, establish a management system for the interest rate risk in the banking book commensurate with its system significance, risk status and business complexity, and strengthen the identification, measurement, monitoring, control and mitigation of the interest rate risk in the banking book. | | 第四条 商业银行应将银行账簿利率风险纳入全面风险管理框架，建立与本行系统重要性、风险状况和业务复杂程度相适应的银行账簿利率风险管理体系，加强对银行账簿利率风险的识别、计量、监测、控制和缓释。 |
| Article 5 A commercial bank shall conduct management of interest rate risk in the banking book at the level of legal person and on a consolidated basis. | | 第五条 商业银行应在法人和并表层面实施银行账簿利率风险管理。 |
| Article 6 The banking regulatory authorities shall, according to the law, supervise and administer the level of and management system for the interest rate risk in the banking book of commercial banks. | | 第六条 银行业监督管理机构依法对商业银行的银行账簿利率风险水平和管理体系实施监督管理。 |
| Chapter II Risk Governance | | 第二章 风险治理 |
| Article 7 A commercial bank shall establish a perfect governance framework for the interest rate risk in the banking book, develop a risk management policy framework including risk strategies, risk appetite and limit system, among others, and assess and improve the process for the management of interest rate risk in the banking book on a regular basis. | | 第七条 商业银行应建立完善的银行账簿利率风险治理架构，制定包括风险策略、风险偏好、限额体系等在内的风险管理政策框架，并定期对银行账簿利率风险管理流程进行评估和完善。 |
| Article 8 The board of directors of a commercial bank shall assume the ultimate responsibility for the management of interest rate risk in the banking book, and perform the following duties: | | 第八条 商业银行董事会承担银行账簿利率风险管理的最终责任，履行以下职责： |
| (1) Developing strategies for the management of interest rate risk in the banking book, setting risk appetite, and ensuring the setting of risk limits. | | （一）制定银行账簿利率风险管理策略，设定风险偏好，并确保风险限额的设立； |
| (2) Examining and approving the policies and process for the management of interest rate risk in the banking book. | | （二）审批银行账簿利率风险的风险管理政策和流程； |
| (3) Supervising the senior management's establishment and implementation of the related limit system and risk management policies and procedures, to ensure consistency with the current risk management policies and risk appetite of the board of directors. | | （三）监督高级管理层建立并实施相关限额体系、风险管理政策和流程，确保其与董事会既定的风险管理策略和风险偏好一致； |
| (4) Deliberating the reports on the interest rate risk in the banking book. | | （四）审议银行账簿利率风险报告； |
| (5) Being responsible for the information disclosure relevant to the interest rate risk in the banking book. | | （五）负责银行账簿利率风险相关的信息披露； |
| (6) Other duties relevant to the management of interest rate risk in the banking book. | | （六）其他与银行账簿利率风险管理相关的职责。 |
| The board of directors may authorize its relevant subordinate professional committees to perform some of its duties of management of interest rate risk in the banking book. | | 董事会可以授权下设的专业委员会履行其银行账簿利率风险管理的部分职责。 |
| Article 9 The senior management of a commercial bank shall assume the responsibility for implementing the management of interest rate risk in the banking book, and perform the following duties: | | 第九条 商业银行高级管理层承担银行账簿利率风险管理的实施责任，履行以下职责： |
| (1) Establishing a framework for the management of interest rate risk in the banking book, specifying the division of functions among relevant departments, developing a clear implementation and accountability mechanism, and ensuring effective implementation of various policies. | | （一）建立银行账簿利率风险管理架构，明确相关部门职责分工，制定清晰的执行和问责机制，确保各项政策有效实施； |
| (2) Establishing and implementing the limit system and management policies and process for interest rate risk in the banking book, including but not limited to risk limit, approval process for excess of limit, risk report and assessment process, among others. | | （二）建立并实施银行账簿利率风险限额体系、风险管理政策和流程，包括但不限于风险限额、超限额审批流程、风险报告和评估流程等； |
| (3) Establishing a system for the measurement of interest rate risk in the banking book, specifying the procedures for managing the scenarios of interest rate shock and assumption of key models, and establishing a corresponding management information system. | | （三）建立银行账簿利率风险计量体系，明确利率冲击情景和关键模型假设的管理流程，建立相应的管理信息系统； |
| (4) Establishing an effective internal control mechanism. | | （四）建立有效的内控机制； |
| (5) Other duties relevant to the management of interest rate risk in the banking book. | | （五）其他与银行账簿利率风险管理相关的职责。 |
| Article 10 A commercial bank shall designate a special department to be responsible for the identification, measurement, monitoring, control and mitigation of interest rate risk in the banking book and ensure that the said department has the resources required for the performance of duties. The department shall be independent of the business department (or personnel), and directly report to the senior management. | | 第十条 商业银行应指定专门部门负责银行账簿利率风险识别、计量、监测、控制和缓释，并确保其具备履行职能所需资源。该部门应独立于业务经营部门（或人员），并直接向高级管理层报告。 |
| Article 11 A commercial bank shall develop clear strategies for the management of interest rate risk in the banking book in comprehensive consideration of the risk appetite, risk status, macro economy, market changes and other factors. | | 第十一条 商业银行应在综合考虑银行风险偏好、风险状况、宏观经济和市场变化等因素基础上制定清晰的银行账簿利率风险管理策略。 |
| Article 12 A commercial bank shall, on the basis of the impact of the interest rate risk in the banking book on its economic value and overall benefit, develop written appetite for the interest rate risk in the banking book, and conduct updating in a timely manner. | | 第十二条 商业银行应基于银行账簿利率风险对其经济价值和整体收益的影响制定书面的银行账簿利率风险偏好，并及时更新。 |
| Article 13 A commercial bank shall manage the limits of the interest rate risk in the banking book to ensure the consistency between the level of the interest rate risk in the banking book and the risk appetite. The limit system for the interest rate risk in the banking book shall be commensurate with the scale, business complexity, capital adequacy and risk management capacity of the commercial bank, and sub-limit shall be set for the business departments, portfolios and financial instrument types if necessary. A commercial bank shall manage the limits of the interest rate risk in the banking book in consideration of the following factors: | | 第十三条 商业银行应实施银行账簿利率风险限额管理，确保银行账簿利率风险水平与风险偏好一致。银行账簿利率风险限额体系应与商业银行的规模、业务复杂程度、资本充足程度及风险管理能力相匹配，必要时应针对业务部门、投资组合和金融工具类别设定子限额。商业银行实施银行账簿利率风险限额管理应考虑以下因素： |
| (1) The limits of the interest rate risk in the banking book shall be set on the basis of the measurement method for interest rate risk in the banking book. | | （一）银行账簿利率风险限额设置应基于银行账簿利率风险计量方法； |
| (2) Where the limits of interest rate risk in the banking book are relevant to the specific scenarios of interest rate shock, the historical interest rate fluctuation, time required for risk mitigation, and other factors shall be fully considered in the relevant scenarios of interest rate shock. | | （二）如银行账簿利率风险限额与特定利率冲击情景相关联，相关利率冲击情景应充分考虑历史利率波动情况和风险缓释所需时间等因素； |
| (3) To carry out hedging transactions for interest rate risk in the banking book through financial derivatives and other instruments, special limits shall be set for the mark-to-market risk. | | （三）通过金融衍生品等工具对银行账簿利率风险开展避险交易，应针对其盯市风险制定专门的风险限额； |
| (4) A commercial bank with major gap risk, basis risk or optionality exposures shall set risk limits on the basis of relevant risk types. | | （四）具有重大缺口风险、基准风险或期权性风险敞口的商业银行应针对相关风险类型设定风险限额； |
| (5) A trigger mechanism shall be established for excess of limit or approximation of limit, and the reporting path and method shall be specified, to ensure that the management attaches importance and take measures in a timely manner. | | （五）应建立超限额或临近限额时的触发机制，明确报告路径和报告方式，确保管理层及时关注并采取措施。 |
| Article 14 A commercial bank shall, before developing new products, making major changes in the existing products, expanding new business fields, and conducting new major investment and hedging transactions, fully identify and assess the interest rate risk in the banking book to ensure the consistency with its risk appetite. Where interest rate risk in the banking book of new products and new business is determined to be significant upon assessment, comprehensive implementation shall be conducted after the test stage. | | 第十四条 商业银行开发新产品、对现有产品进行重大改动、拓展新的业务领域，以及开展新的重大投资和避险交易前，应充分识别和评估银行账簿利率风险，确保其与风险偏好一致。如评估认定新产品和新业务的银行账簿利率风险显著，应经过测试阶段后再全面推开。 |
| Article 15 A commercial bank shall improve the internal control system, and assess the process for the management of interest rate risk in the banking book on a regular basis, to ensure its effectiveness, reliability and compliance. A commercial bank shall assess the relevant internal control mechanism for the management of interest rate risk in the banking book on an annual basis, and improve the internal control system in a timely manner. | | 第十五条 商业银行应健全内部控制体系，定期评估银行账簿利率风险管理流程，确保其有效性、可靠性和合规性。商业银行应至少每年对银行账簿利率风险管理相关内控机制开展评估，及时完善内控制度。 |
| Article 16 A commercial bank shall include interest rate risk in the banking book in the internal audit, and file the audit report with the board of directors and the banking regulatory authority in a timely manner. | | 第十六条 商业银行应将银行账簿利率风险纳入内部审计，向董事会提交审计报告，并及时报送银行业监督管理机构。 |
| Chapter III Risk Measurement and Stress Test | | 第三章 风险计量和压力测试 |
| Article 17 A commercial bank shall take rational scenarios of interest rate shock and assumption of models to measure the interest rate risk in the banking book on the basis of the change in economic value and the impact on benefit. | | 第十七条 商业银行应采用合理的利率冲击情景和模型假设，基于经济价值变动和收益影响计量银行账簿利率风险。 |
| Article 18 The measurement of the interest rate risk in the banking book shall include the assets and liabilities in the banking book with interest rate sensibility for which the bank assumes risks, and the relevant off-balance-sheet items. Measurement shall include gap risk, basis risk, and optionality, among others. Optionality includes automatic optionality and clients' behavioral optionality. A commercial bank shall also include the credit spread risk in the scope of measurement as much as possible. | | 第十八条 银行账簿利率风险计量应包括银行承担风险的具有利率敏感性的银行账簿资产、负债，以及相关的表外项目。计量应包括缺口风险、基准风险和期权性风险等。其中，期权性风险包括自动期权风险和客户行为性期权风险。商业银行还应尽可能将信用利差风险纳入计量范围。 |
| Article 19 A commercial bank shall separately measure the interest rate risk in the banking book for a currency in which the balance of the asset or liabilities in the banking book accounts for more than 5%, and may, on the basis of its own risk management needs, separately measure the interest rate risk in the banking book for a specific currency in which the balance accounts for less than 5%. | | 第十九条 商业银行应对银行账簿资产或负债中余额占比5%以上的币种单独计量银行账簿利率风险，并可根据自身风险管理需要，对占比低于5%的特定币种单独计量银行账簿利率风险。 |
| A commercial bank shall reasonably consider the dependence factors when aggregating the interest rate risk in the banking book in different currencies. | | 商业银行对不同币种银行账簿利率风险进行加总时应合理考虑相关性因素。 |
| Article 20 A commercial bank shall consider the following scenarios of interest rate shock when measuring the interest rate risk in the banking book: | | 第二十条 商业银行在计量银行账簿利率风险时应考虑以下利率冲击情景： |
| (1) the scenarios of interest rate shock used in the internal capital adequacy assessment procedures of the bank; | | （一）银行内部资本充足评估程序中使用的利率冲击情景； |
| (2) the historical or assumed scenarios of interest rate stress that are more serious than the scenarios set forth in the preceding paragraph; and | | （二）比前款所述情景更为严重的历史或假设的利率压力情景； |
| (3) the scenarios of interest rate shock under supervision requirements, including but not limited to the six scenarios of interest rate shock set forth in Annex V. | | （三）监管要求的利率冲击情景，包括但不限于附件5所规定的六种利率冲击情景。 |
| Article 21 A commercial bank shall, when determining the scenarios of interest rate shock and stress scenarios, comprehensively consider its own risk characteristics and sources, time required for the risk mitigation measures, adjustment to the risk portfolio position, and capability and willingness of assuming the losses, among others, according to the requirements of Annex 2 and in consideration of the current interest rate level, maturity structure, historical and implicit interest rate fluctuations, and other factors. | | 第二十一条 商业银行在确定利率冲击情景和压力情景时应按照附件2的要求，结合当前利率水平和期限结构、历史和隐含利率波动性等因素，综合考虑自身风险特征和来源、风险缓释措施所需时间、调整风险组合头寸并承担损失的能力和意愿等情况。 |
| Article 22 A commercial bank shall, according to the option clauses of the relevant products of bank book, analyze characteristics of clients' behaviors and make assumptions on the future cash flow of the products. Financial products with option clauses shall include, but not be limited to, fixed-interest rate loan with the right to exercise early redemption, fixed time deposit with the right to early withdrawal, deposits without maturity date, and ceiling interest rate and floor interest rate of floating interest rate loans, among others. | | 第二十二条 商业银行应根据银行账簿相关产品的期权性条款，分析客户行为特点，对产品未来现金流做出假设。具有期权性条款的金融产品包括但不限于：具有提前还款权的固定利率贷款、具有提前支取权的定期存款、无到期日存款、浮动利率贷款中的利率顶和利率底等。 |
| Article 23 A commercial bank shall, when measuring the interest rate risk in the banking book, rationally consider assumptions on clients' behaviors, including specific scenarios of interest rate shock, client attribute and product attribute under different product types, macro economy and other factors. Assumptions on clients' behaviors on the basis of the historical data may be conducted, mutatis mutandis to, Annex 3. | | 第二十三条 商业银行计量银行账簿利率风险时应合理考虑客户行为假设，包括特定利率冲击情景，不同产品类型下的客户属性、产品属性和宏观经济等因素。基于历史数据的客户行为假设可参考附件3。 |
| Article 24 A commercial bank shall assess the assumptions on key clients' behaviors on an annual basis at a minimum, conduct sensitivity analysis on their impact on the economic value and benefit, and improve the assessment frequency when the market environment changes rapidly. | | 第二十四条 商业银行应至少每年对关键客户行为假设进行评估，就其对经济价值和收益的影响进行敏感性分析，并在市场环境快速变化时提高评估频率。 |
| Article 25 For non-standardized creditors' investments for which risks are assumed, a commercial bank shall measure the interest rate risk in the banking book for the underlying asset under the penetration principle. | | 第二十五条 商业银行对实际承担风险的非标准化债权投资，应按照穿透原则，针对底层资产计量银行账簿利率风险。 |
| Article 26 A commercial bank shall, according to the scale, risk status, business complexity, establish and implement an effective stress test framework for the interest rate risk in the banking book, and conduct stress tests on a regular basis. The stress test shall cover all substantive risk sources faced by the bank, and emergency plans shall be developed. A commercial bank shall designate an independent verification department or team to conduct continuous assessment of the effectiveness of the stress test not less than once a year in principle. | | 第二十六条 商业银行应根据规模、风险状况和业务复杂程度制定和实施有效的银行账簿利率风险压力测试框架，定期进行压力测试。压力测试应覆盖银行面临的所有实质性风险源，并制定应急方案。商业银行应确定独立的验证部门或团队对压力测试的有效性进行持续评估，评估原则上不少于每年一次。 |
| Article 27 A commercial bank shall, in light of the reality, conduct reverse stress test, and identify the interest rate scenarios severely threatening its capital and benefits. | | 第二十七条 商业银行应根据情况开展反向压力测试，识别严重威胁银行资本和收益的利率情景。 |
| Article 28 A commercial bank shall include the stress test results in the decision-making reference factors of the board of directors and the senior management and fully consider the stress testing results when establishing the limit system for the interest rate risk in the banking book and developing the risk management policies. | | 第二十八条 商业银行应将压力测试结果纳入董事会和高管层的决策参考因素，在建立银行账簿利率风险限额体系和制定风险管理政策时充分考虑压力测试结果。 |
| Chapter IV Measurement System and Model Management | | 第四章 计量系统和模型管理 |
| Article 29 A commercial bank shall establish a measurement system for the interest rate risk in the banking book, and support the whole-process management of interest rate risk in the banking book. | | 第二十九条 商业银行应建立银行账簿利率风险计量系统，为银行账簿利率风险全流程管理提供支持。 |
| Article 30 In the measurement system for the interest rate risk in the banking book, static simulation, dynamic model and other various methods shall be adopted to measure the changes in the economic value and benefits, the potential impacts on various scenarios of interest rate shock and stress scenarios shall be effectively assessed, and the interest rate risk in the banking book shall be identified and measured. The system shall be able to restrict or adjust the internal risk parameters according to the supervision requirements. | | 第三十条 银行账簿利率风险计量系统应采用静态模拟、动态模型等多种方法计量经济价值和收益变化，有效评估各种利率冲击情景和压力情景的潜在影响，识别并计量银行账簿利率风险。该系统应能根据监管要求对内部风险参数进行限制或调整。 |
| Article 31 A commercial bank shall improve the data collection automation of the measurement system for the interest rate risk in the banking book, collect risk information in a timely and accurate manner, and assess and improve the data management on a regular basis. | | 第三十一条 商业银行应提高银行账簿利率风险计量系统的数据采集自动化水平，及时、准确收集风险信息，对数据管理进行定期评估和完善。 |
| Article 32 A commercial bank shall, according to the requirements of Annex 4, develop the management policies for the measurement models of the interest rate risk in the banking book, specify the responsibilities for model management and supervision, and regulate the procedures of model verification, model risk assessment, model revision and related internal audit. | | 第三十二条 商业银行应按照附件4的要求，制定银行账簿利率风险计量模型管理政策，明确模型管理和监督职责，规范模型验证、模型风险评估、模型修订以及相关内部审计的流程。 |
| Article 33 A commercial bank shall effectively keep documents and records of the measurement of the interest rate risk in the banking book, including the following information at a minimum: | | 第三十三条 商业银行应做好银行账簿利率风险计量的文档记录，至少包括以下信息： |
| (1) The interest rate shock and stress scenarios, including the selection of and change in risk-free yield curves, basis relationships among different yield curves, basis for the selection of interest rate shock and stress scenarios, and forecast for the pricing of the bank's products, among others. | | （一）利率冲击和压力情景，包括无风险收益率曲线的选择和变更、不同收益率曲线间的基差关系、利率冲击和压力情景的选取依据、对本行产品定价的预测等； |
| (2) The basic framework and specific contents of the measurement models, including the measurement methods, setting of and adjustments to key assumptions, and model verification and adjusting, among others. | | （二）计量模型的基本框架和具体内容，包括计量方法、关键假设的设定和调整、模型验证和校准等； |
| (3) The data management policies and procedures, including the main data sources, data contents, data storage and management process, among others. | | （三）数据管理政策和流程，包括主要数据来源、数据内容、数据存储和数据管理过程等。 |
| Chapter V Application of Measurement Result and Information Disclosure | | 第五章 计量结果应用和信息披露 |
Article 34 A commercial bank shall ensure that the measurement results of the interest rate risk in the banking book are effectively applied to risk management.
．．．．．． | | 第三十四条 商业银行应确保银行账簿利率风险计量结果在风险管理中得到有效应用。
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