【正文】 ............................ 31 (iv) Collateralised OTC derivatives transactions ............................................ 32 4. Onbalance sheet ting .................................................................................. 32 5. Guarantees and credit derivatives .................................................................... 33 (i) Operational requirements ........................................................................ 33 (ii) Range of eligible guarantors/protection providers .................................. 35 (iii) Risk weights ............................................................................................. 35 (iv) Currency mismatches .............................................................................. 36 (v) Sovereign guarantees .............................................................................. 36 6. Maturity mismatches ......................................................................................... 37 (i) Definition of maturity ................................................................................ 37 (ii) Risk weights for maturity mismatches ..................................................... 37 7. Other items related to the treatment of CRM techniques ................................. 37 (i) Treatment of pools of CRM techniques ................................................... 37 (ii) Firsttodefault credit derivatives ............................................................. 38 (iii) Secondtodefault credit derivatives ........................................................ 38 III. Credit Risk The Internal RatingsBased Approach .................................................... 38 A. Overview ................................................................................................................... 38 B. Mechanics of the IRB Approach ............................................................................... 39 1. Categorisation of exposures ............................................................................. 39 (i) Definition of corporate exposures ............................................................ 39 (ii) Definition of sovereign exposures ........................................................... 41 (iii) Definition of bank exposures ................................................................... 41 (iv) Definition of retail exposures ................................................................... 41 (v) Definition of qualifying revolving retail exposures ................................... 42 (vi) Definition of equity exposures ................................................................. 43 (vii) Definition of eligible purchased receivables ............................................ 45 2. Foundation and advanced approaches ............................................................ 46 (i) Corporate, sovereign, and bank exposures ............................................ 46 (ii) Retail exposures ...................................................................................... 47 (iii) Equity exposures ..................................................................................... 47 (iv) Eligible purchased receivables ................................................................ 47 3. Adoption of the IRB approach across asset classes ........................................ 47 4. Transition arrangements ................................................................................... 48 (i) Parallel calculation for banks adopting the advanced approach ............ 48 (ii) Corporate, sovereign, bank, and retail exposures .................................. 48 (iii) Equity exposures ..................................................................................... 49 C. Rules for Corporate, Sovereign, and Bank Exposures ............................................ 49 1. Riskweighted assets for corporate, sovereign, and bank exposures .............. 50 (i) Formula for derivation of risk weights ...................................................... 50 (ii) Firmsize adjustment for small and mediumsized entities (SME) .......... 50 (iii) Risk weights for specialised lending ........................................................ 51 2. Risk ponents ............................................................................................... 52 (i) Probability of Default (PD) ....................................................................... 52 (ii) Loss Given Default (LGD) ........................................................................ 52 (iii) Exposure at Default (EAD) ...................................................................... 56 (iv) Effective Maturity (M) ............................................................................... 58 D. Rules for Retail Exposures ....................................................................................... 59 1. Riskweighted assets for retail exposures ........................................................ 59 (i) Residential mortgage exposures ............................................................. 60 (ii) Qualifying revolving retail exposures ....................................................... 60 (iii) Other retail exposures .............................................................................. 60 2. Risk ponents ............................................................................................... 61 (i) Probability of default (PD) and loss given default (LGD) ......................... 61 (ii) Recognition of guarantees and credit derivatives ...........................