| | 商業銀行銀行賬簿利率風險管理指引 |
| | （中國銀行保險監督管理委員會 2018年5月30日修訂） |
| Guidelines for the Management of Interest Rate Risk in the Banking Book of Commercial Banks | | 第一章 總則 |
| (Revised by the China Banking and Insurance Regulatory Commission on May 30, 2018) | | |
| Chapter I General Provisions | | 第一條 為加強商業銀行的銀行賬簿利率風險管理，維護銀行體系安全穩健運行，根據《中華人民共和國銀行業監督管理法》《中華人民共和國商業銀行法》等法律法規，制定本指引。 |
| 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 in accordance with the Banking Supervision Law of the People's Republic of China, the Commercial Bank Law of the People's Republic of China, and other laws and regulations. | | 第二條 本指引適用于中華人民共和國境內依法設立的商業銀行法人機構。 |
| Article 2 These Guidelines apply to the corporate bodies of commercial banks formed in the territory of the People's Republic of China in accordance with the law. | | 第三條 本指引所稱銀行賬簿利率風險指利率水平、期限結構等不利變動導致銀行賬簿經濟價值和整體收益遭受損失的風險，主要包括缺口風險、基准風險和期權性風險。銀行賬簿記錄的是商業銀行未劃入交易賬簿的相關表內外業務。 |
| 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. | | 第四條 商業銀行應將銀行賬簿利率風險納入全面風險管理框架，建立與本行系統重要性、風險狀況和業務複雜程度相適應的銀行賬簿利率風險管理體系，加強對銀行賬簿利率風險的識別、計量、監測、控制和緩釋。 |
| 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. | | 第五條 商業銀行應在法人和並表層面實施銀行賬簿利率風險管理。 |
| 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. | | 第六條 銀行業監督管理機構依法對商業銀行的銀行賬簿利率風險水平和管理體系實施監督管理。 |
| 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. | | 第二章 風險治理 |
| Chapter II Risk Governance | | 第七條 商業銀行應建立完善的銀行賬簿利率風險治理架構，制定包括風險策略、風險偏好、限額體系等在內的風險管理政策框架，並定期對銀行賬簿利率風險管理流程進行評估和完善。 |
| 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. | | 第八條 商業銀行董事會承擔銀行賬簿利率風險管理的最終責任，履行以下職責： |
| | （一）制定銀行賬簿利率風險管理策略，設定風險偏好，並確保風險限額的設立； |
| | （二）審批銀行賬簿利率風險的風險管理政策和流程； |
| | （三）監督高級管理層建立並實施相關限額體系、風險管理政策和流程，確保其與董事會既定的風險管理策略和風險偏好一致； |
| | （四）審議銀行賬簿利率風險報告； |
| | （五）負責銀行賬簿利率風險相關的信息披露； |
| | （六）其他與銀行賬簿利率風險管理相關的職責。 |
| | 董事會可以授權下設的專業委員會履行其銀行賬簿利率風險管理的部分職責。 |
| 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: | | 第九條 商業銀行高級管理層承擔銀行賬簿利率風險管理的實施責任，履行以下職責： |
| | （一）建立銀行賬簿利率風險管理架構，明確相關部門職責分工，制定清晰的執行和問責機制，確保各項政策有效實施； |
| | （二）建立並實施銀行賬簿利率風險限額體系、風險管理政策和流程，包括但不限于風險限額、超限額審批流程、風險報告和評估流程等； |
| | （三）建立銀行賬簿利率風險計量體系，明確利率沖擊情景和關鍵模型假設的管理流程，建立相應的管理信息系統； |
| | （四）建立有效的內控機制； |
| | （五）其他與銀行賬簿利率風險管理相關的職責。 |
| (1) Developing strategies for the management of interest rate risk in the banking book, setting risk appetite, and ensuring the setting of risk limits. | | 第十條 商業銀行應指定專門部門負責銀行賬簿利率風險識別、計量、監測、控制和緩釋，並確保其具備履行職能所需資源。該部門應獨立于業務經營部門（或人員），並直接向高級管理層報告。 |
| (2) Examining and approving the policies and process for the management of interest rate risk in the banking book. | | 第十一條 商業銀行應在綜合考慮銀行風險偏好、風險狀況、宏觀經濟和市場變化等因素基礎上制定清晰的銀行賬簿利率風險管理策略。 |
| (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. | | 第十二條 商業銀行應基于銀行賬簿利率風險對其經濟價值和整體收益的影響制定書面的銀行賬簿利率風險偏好，並及時更新。 |
| (4) Deliberating the reports on the interest rate risk in the banking book. | | 第十三條 商業銀行應實施銀行賬簿利率風險限額管理，確保銀行賬簿利率風險水平與風險偏好一致。銀行賬簿利率風險限額體系應與商業銀行的規模、業務複雜程度、資本充足程度及風險管理能力相匹配，必要時應針對業務部門、投資組合和金融工具類別設定子限額。商業銀行實施銀行賬簿利率風險限額管理應考慮以下因素： |
| | （一）銀行賬簿利率風險限額設置應基于銀行賬簿利率風險計量方法； |
| | （二）如銀行賬簿利率風險限額與特定利率沖擊情景相關聯，相關利率沖擊情景應充分考慮曆史利率波動情況和風險緩釋所需時間等因素； |
| | （三）通過金融衍生品等工具對銀行賬簿利率風險開展避險交易，應針對其盯市風險制定專門的風險限額； |
| | （四）具有重大缺口風險、基准風險或期權性風險敞口的商業銀行應針對相關風險類型設定風險限額； |
| | （五）應建立超限額或臨近限額時的觸發機制，明確報告路徑和報告方式，確保管理層及時關注並采取措施。 |
| (5) Being responsible for the information disclosure relevant to the interest rate risk in the banking book. | | 第十四條 商業銀行開發新產品、對現有產品進行重大改動、拓展新的業務領域，以及開展新的重大投資和避險交易前，應充分識別和評估銀行賬簿利率風險，確保其與風險偏好一致。如評估認定新產品和新業務的銀行賬簿利率風險顯著，應經過測試階段後再全面推開。 |
| (6) Other duties relevant to the management of interest rate risk in the banking book. | | 第十五條 商業銀行應健全內部控制體系，定期評估銀行賬簿利率風險管理流程，確保其有效性、可靠性和合規性。商業銀行應至少每年對銀行賬簿利率風險管理相關內控機制開展評估，及時完善內控制度。 |
| 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. | | |
| 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: | | 第十六條 商業銀行應將銀行賬簿利率風險納入內部審計，向董事會提交審計報告，並及時報送銀行業監督管理機構。 |
| (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. | | 第三章 風險計量和壓力測試 |
| (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. | | 第十七條 商業銀行應采用合理的利率沖擊情景和模型假設，基于經濟價值變動和收益影響計量銀行賬簿利率風險。 |
| (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. | | 第十八條 銀行賬簿利率風險計量應包括銀行承擔風險的具有利率敏感性的銀行賬簿資產、負債，以及相關的表外項目。計量應包括缺口風險、基准風險和期權性風險等。其中，期權性風險包括自動期權風險和客戶行為性期權風險。商業銀行還應盡可能將信用利差風險納入計量範圍。 |
| (4) Establishing an effective internal control mechanism. | | 第十九條 商業銀行應對銀行賬簿資產或負債中余額占比5%以上的幣種單獨計量銀行賬簿利率風險，並可根據自身風險管理需要，對占比低于5%的特定幣種單獨計量銀行賬簿利率風險。 |
| | 商業銀行對不同幣種銀行賬簿利率風險進行加總時應合理考慮相關性因素。 |
| (5) Other duties relevant to the management of interest rate risk in the banking book. | | 第二十條 商業銀行在計量銀行賬簿利率風險時應考慮以下利率沖擊情景： |
| | （一）銀行內部資本充足評估程序中使用的利率沖擊情景； |
| | （二）比前款所述情景更為嚴重的曆史或假設的利率壓力情景； |
| | （三）監管要求的利率沖擊情景，包括但不限于附件5所規定的六種利率沖擊情景。 |
| 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. | | 第二十一條 商業銀行在確定利率沖擊情景和壓力情景時應按照附件2的要求，結合當前利率水平和期限結構、曆史和隱含利率波動性等因素，綜合考慮自身風險特征和來源、風險緩釋措施所需時間、調整風險組合頭寸並承擔損失的能力和意願等情況。 |
| 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. | | 第二十二條 商業銀行應根據銀行賬簿相關產品的期權性條款，分析客戶行為特點，對產品未來現金流做出假設。具有期權性條款的金融產品包括但不限于：具有提前還款權的固定利率貸款、具有提前支取權的定期存款、無到期日存款、浮動利率貸款中的利率頂和利率底等。 |
| 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. | | 第二十三條 商業銀行計量銀行賬簿利率風險時應合理考慮客戶行為假設，包括特定利率沖擊情景，不同產品類型下的客戶屬性、產品屬性和宏觀經濟等因素。基于曆史數據的客戶行為假設可參考附件3。 |
| 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: | | 第二十四條 商業銀行應至少每年對關鍵客戶行為假設進行評估，就其對經濟價值和收益的影響進行敏感性分析，並在市場環境快速變化時提高評估頻率。 |
| (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. | | 第二十五條 商業銀行對實際承擔風險的非標准化債權投資，應按照穿透原則，針對底層資產計量銀行賬簿利率風險。 |
| (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. | | 第二十六條 商業銀行應根據規模、風險狀況和業務複雜程度制定和實施有效的銀行賬簿利率風險壓力測試框架，定期進行壓力測試。壓力測試應覆蓋銀行面臨的所有實質性風險源，並制定應急方案。商業銀行應確定獨立的驗證部門或團隊對壓力測試的有效性進行持續評估，評估原則上不少于每年一次。 |
| (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. | | 第二十七條 商業銀行應根據情況開展反向壓力測試，識別嚴重威脅銀行資本和收益的利率情景。 |
| (4) A commercial bank with major gap risk, basis risk or optionality exposures shall set risk limits on the basis of relevant risk types. | | 第二十八條 商業銀行應將壓力測試結果納入董事會和高管層的決策參考因素，在建立銀行賬簿利率風險限額體系和制定風險管理政策時充分考慮壓力測試結果。 |
| (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. | | 第四章 計量系統和模型管理 |
| 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. | | 第二十九條 商業銀行應建立銀行賬簿利率風險計量系統，為銀行賬簿利率風險全流程管理提供支持。 |
| 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. | | 第三十條 銀行賬簿利率風險計量系統應采用靜態模擬、動態模型等多種方法計量經濟價值和收益變化，有效評估各種利率沖擊情景和壓力情景的潛在影響，識別並計量銀行賬簿利率風險。該系統應能根據監管要求對內部風險參數進行限制或調整。 |
| 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. | | 第三十一條 商業銀行應提高銀行賬簿利率風險計量系統的數據采集自動化水平，及時、准確收集風險信息，對數據管理進行定期評估和完善。 |
| Chapter III Risk Measurement and Stress Testing | | 第三十二條 商業銀行應按照附件4的要求，制定銀行賬簿利率風險計量模型管理政策，明確模型管理和監督職責，規範模型驗證、模型風險評估、模型修訂以及相關內部審計的流程。 |
| 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. | | 第三十三條 商業銀行應做好銀行賬簿利率風險計量的文檔記錄，至少包括以下信息： |
| ．．．．．． | | （一）利率沖擊和壓力情景，包括無風險收益率曲線的選擇和變更、不同收益率曲線間的基差關系、利率沖擊和壓力情景的選取依據、對本行產品定價的預測等； |
| | ．．．．．． |
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