236未經審核之補充財務資料 Unaudited Supplementary Financial Information NANYANG COMMERCIAL BANK 2016 ANNUAL REPORT 年報www.ncb.com.hk1. 信貸、市場及操作風險的監管資 本就信貸風險、市場風險及操作風險計算監管資本的基準已於財務報表附註4.4中描述。本補充財務資料第1至9部分以監管規定的綜合基礎編製。此等監管綜合基礎載於財務報表附註4.4(A)。下表概述於該綜合基礎上計算之信貸、市場及操作風險監管資本。20162015港幣千元港幣千元HK$000HK$000信貸風險Credit risk16,280,47313,388,317市場風險Market risk59,65848,993操作風險Operational risk1,010,377980,40517,350,50814,417,715有關本集團之資本管理及資本比率詳情，請見財務報表附註4.4。1. REGULATORY CAPITAL FOR CREDIT, MARKET AND OPERATIONAL RISKSThe bases of regulatory capital calculation for credit risk, market risk and operational risk are described in Note 4.4 to the Financial Statements.Sections 1 to 9 of the supplementary financial information have been prepared on a consolidated basis for regulatory purposes. The basis of regulatory consolidation is set out in Note 4.4(A) to the Financial Statements.The table below summarises the regulatory capital computed on the same consolidation basis for credit, market, and operational risks.For details of capital management and capital ratios of the Group, please refer to Note 4.4 to the Financial Statements.237www.ncb.com.hk NANYANG COMMERCIAL BANK 2016 ANNUAL REPORT 年報未經審核之補充財務資料 Unaudited Supplementary Financial Information2. 信貸風險資本規定下表列示銀行業 （資本） 規則就各類別和子類別 的信貸風險承擔的資本規定。20162015 港幣千元港幣千元 HK$000HK$000內部評級基準計算法下的風險承擔 所需資本Capital required for exposures under the IRB approach 企業Corporate 監管分類準則計算法下的 專門性借貸Specialised lending under supervisory slotting criteria approach 項目融資 Project finance65,68362,440 中小企業Small-and-medium sized corporates960,4451,103,646 其他企業Other corporates9,340,2966,642,704 銀行Bank 銀行Banks3,682,2423,164,542 證券公司Securities firms8,282 零售Retail 住宅按揭貸款Residential mortgages 個人 Individuals181,081141,256 空殼公司 Property-holding shell companies9,7588,526 合資格循環零售Qualifying revolving retail 其他個人零售Other retail to individuals300,650269,898 零售小企業Small business retail12,84412,840 其他Others 現金項目Cash items 其他項目Other items659,807669,864 信貸估值調整Credit valuation adjustment16,0018,412內部評級基準計算法下的風險承擔 所需資本規定總額Total capital requirements for exposures under the IRB approach15,237,08912,084,128標準 （信貸風險） 計算法下的風險承擔 所需資本Capital required for exposures under the standardised (credit risk) approach 資產負債表內風險承擔On-balance sheet exposures 官方實體Sovereigns26,59845,740 公營單位Public sector entities43,04711,001 銀行Banks662,630 企業Corporates229,952574,545 監管零售Regulatory retail112,843122,207 住宅按揭貸款Residential mortgage loans568,006486,548 不屬逾期的其他風險承擔Other exposures which are not past due25,59422,992 逾期風險承擔Past due exposures8,0068,729資產負債表外風險承擔Off-balance sheet exposures 除證券融資交易及衍生工具 合約外的資產負債表外風險承擔Off-balance sheet exposures other than securities financing transactions and derivative contracts28,43828,727 證券融資交易及衍生工具合約Securities financing transactions and derivative contracts8341,070標準 （信貸風險） 計算法下的風險承擔 所需資本規定總額Total capital requirements for exposures under the standardised (credit risk) approach1,043,3841,304,189信貸風險承擔所需資本規定總額Total capital requirements for credit risk exposures16,280,47313,388,3172. CAPITAL REQUIREMENTS FOR CREDIT RISKThe tables below show the capital requirements for each class and subclass of credit risk exposures as specified in the Banking (Capital) Rules.238 NANYANG COMMERCIAL BANK 2016 ANNUAL REPORT 年報www.ncb.com.hk未經審核之補充財務資料 Unaudited Supplementary Financial Information3. 內部評級基準計算法下的信貸風 險3.1 內部評級系統及風險組成部分為計算監管資本要求，本集團對大部分企業和銀行的 風險承擔使用基礎內部評級基準計算法，對專門性借 貸的項目融資使用監管分類準則計算法，對個人和小 企業的零售風險承擔使用零售內部評級基準計算法。 下表列出本集團各資產分類及子分類之風險承擔 （除 證券化類別風險承擔外） 所採用的資本計算方法。資產分類 Asset class子分類風險承擔 Exposure sub-class資本計算方法 Capital calculation approach企業風險承擔 Corporate exposures監管分類準則計算法下的專門性借貸 （項目融資） Specialised lending under supervisory slotting criteria approach (project finance)監管分類準則計算法 Supervisory Slotting Criteria Approach中小企業 Small-and-medium sized corporates基礎內部評級基準計算法 FIRB Approach其他企業 Other corporates官方實體風險承擔 Sovereign exposures官方實體 Sovereigns標準 （信貸風險） 計算法 Standardised (credit risk) Approach屬官方實體非本地公營單位 Sovereign foreign public sector entities多邊發展銀行 Multilateral development banks銀行風險承擔 Bank exposures銀行 Banks基礎內部評級基準計算法 FIRB Approach證券公司 Securities firms公營單位 （不包括屬官方實體非本地公營單位） Public sector entities (excluding sovereign foreign public sector entities)標準 （信貸風險） 計算法 Standardised (credit risk) Approach零售風險承擔 Retail exposures個人住宅按揭貸款零售內部評級基準計算法 Retail IRB ApproachResidential mortgages to individuals空殼公司住宅按揭貸款 Residential mortgages to property-holding shell companies合資格循環零售 Qualifying revolving retail其他個人零售 Other retail to individuals零售小企業 Small business retail股權風險承擔 Equity exposures標準 （信貸風險） 計算法 Standardised (credit risk) Approach其他風險承擔 Other exposures現金項目 Cash items特定風險權重計算法 Specific Risk-weight Approach其他項目 Other items3. CREDIT RISK UNDER THE INTERNAL RATINGS-BASED APPROACH3.1 The internal rating systems and risk componentsThe Group adopts the FIRB approach to calculate the regulatory capital requirements for most of the corporate and bank exposures, and adopts the supervisory slotting criteria approach to project