【正文】 g ........................................................... 94 11. Calculation of capital charges for equity exposures ......................................... 94 (i) The internal models marketbased approach .......................................... 94 (ii) Capital charge and risk quantification ..................................................... 95 (iii) Risk management process and controls ................................................. 96 (iv) Validation and documentation ................................................................. 97 12. Disclosure requirements .................................................................................... 99 IV. Credit Risk Securitisation Framework ........................................................................ 99 A. Scope and definitions of transactions covered under the securitisation framework 99 B. Definitions ................................................................................................................. 100 1. Different roles played by banks ......................................................................... 100 (i) Investing bank .......................................................................................... 100 (ii) Originating bank ....................................................................................... 100 2. General terminology .......................................................................................... 101 (i) Cleanup call ............................................................................................ 101 (ii) Credit enhancement ................................................................................. 101 (iii) Early amortisation .................................................................................... 101 (iv) Excess spread .......................................................................................... 101 (v) Implicit support ......................................................................................... 101 (vi) Special purpose entity (SPE) ................................................................... 102 C. Operational requirements for the recognition of risk transference .......................... 102 1. Operational requirements for traditional securitisations ................................... 102 2. Operational requirements for synthetic securitisations ..................................... 103 3. Operational requirements and treatment of cleanup calls ............................... 103 D. Treatment of securitisation exposures ..................................................................... 104 1. Minimum capital requirement ............................................................................ 104 (i) Deduction ................................................................................................. 104 (ii) Implicit support ......................................................................................... 104 2. Operational requirements for use of external credit assessments .................. 104 3. Standardised approach for securitisation exposures ........................................ 105 (i) Scope ........................................................................................................ 105 (ii) Risk weights ............................................................................................. 105 (iii) Exceptions to general treatment of unrated securitisation exposures .... 106 (iv) Credit conversion factors for offbalance sheet exposures ..................... 107 (v) Recognition of credit risk mitigants .......................................................... 108 (vi) Capital requirement for early amortisation provisions ............................. 109 (vii) Determination of CCFs for controlled early amortisation features .......... 110 (viii) Determination of CCFs for noncontrolled early amortisation features .. 111 4. Internal ratingsbased approach for securitisation exposures .......................... 112 (i) Scope ....................................................................................................... 112 (ii) Definition of KIRB ....................................................................................... 113 (iii) Hierarchy of approaches .......................................................................... 113 (iv) Maximum capital requirement ................................................................. 114 (v) Rating Based Approach (RBA) ................................................................ 114 (vi) Supervisory Formula (SF) ........................................................................ 116 (vii) Liquidity facilities ....................................................................................... 119 (viii) Eligible servicer cash advance facilities ................................................... 119 (ix) Recognition of credit risk mitigants........................................................... 119 (x) Capital requirements for early amortisation provisions ............................ 120 V. Operational Risk ............................................................................................................ 120 A. Definition of operational risk ..................................................................................... 120 B. The Measurement methodologies ........................................................................... 120 1. The Basic Indicator Approach ........................................................................... 121 2. The Standardised Approach ....................................