第2 の柱で決着したバーゼル委員会による 銀行勘定の金利リ …

1 2016 Summer 1 2 IRRBB 1. 2016 4 IRRBB 2015 6 IRRBB 1 Pillar1 2 Pillar2 2 IRRBB 2 IRRBB 2018 2. 2 2014 IRRBB 12 IRRBB 3. IMS IRRBB IRRBB 6 EVE NII 4. EVE Tier1 15 Tier1 15% 5.

2 IRRBB IRRBB ICAAP 2016 Summer 2I BCBS 2016 4 21 Interest Rate Risk in the Banking Book 1 2013 IRRBB 2 Pillar2 IRRBB 2018 IRRBB 2015 6 2 IRRBB 1 Pillar1 IRRBB IRRBB 2 enhanced Pillar2 2 1 IRRBB 2 IRRBB IRRBB II IRRBB IRRBB 1 2 2 2 IRRBB 1 Basel Committee on Banking Supervision, Interest rate risk in the banking book, Standard.

3 April 2016 ( ). 2 Basel Committee on Banking Supervision, Interest rate risk in the banking book, Consultative Document, June 2015. 2015 2016 Summer 3 IRRBB II IRRBB IRRBB 2004 II IRRBB 2 3 2 2004 IRR 15 4 IRR 200 bp 1 5 1 99 5 Tier1 Tier2 20 IRRBB IRR

4 1 1 IRRBB 2 IRRBB IRRBB IRRBB IRRBB 3 II IRRBB 2 IRRBB 1 4 Basel Committee on Banking Supervision, Principles for the Management and Supervision of Interest Rate Risk, July 2004.

5 5 IRR G10 G10 2016 Summer 4 term structure 3 IRRBB IRRBB 1 Annex 1 3 IRRBB credit spread risk in the banking book; CSRBB IRRBB IRRBB CSRBB IRRBB IRRBB IRRBB IRRBB IRRBB IRRBB III IRRBB IRRBB 2014 IRR IRRBB 12 1 IRRBB 1 9 IRRBB IRRBB

6 2016 Summer 5 IRRBB internal capital adequacy assessment process; ICAAP IRRBB 10 12 IRRBB 1 IRRBB IRRBB IRRBB 2 internal measurement system; IMS IRRBB 1 IRRBB CSRBB 2 governing body IRRBB IRRBB IRRBB ALM IR R BB 3 IRRBB IR R BB 4 IRRBB 5 IRRBB 6 IRRBB IRRBB

7 7 IRRBB 8 IRRBB IRRBB 9 IRRBB IC AAP IRRBB 10 IRRBB IRRBB / 11 IRRBB IR R BB IRRBB 12 IRRBB IRRBB / 2016 Summer 6 economic value of equity; EVE net interest income.

8 NII IRRBB IMS a) IRRBB IMS IRRBB 4 6 2 Annex 2 2 6 6 2 2 100bp 200bp 300bp 150bp 200bp 250bp 100bp 2000 2015 16 5 2 bp 2 6 c 6 R 2 c

9 Tk k k midpoint (a) , , 400300400200100250200250200400400 500450500300150300250300250500500 300200300150100150100150100350300 100300400400200200150400200400 100400500500300300200500300500 100200300300150150100300150300 2016 Summer 7(b) 0 6 , , , (c) Slong(tk) = 1-Sshort(tk) (d) , , , 1 (d) , , , , , , 2 6 O/N 20 19 k 10 tk.

10 Tk 100bp + 100bp 100bp tk 100bp + 100bp (1 - ) = + 100bp 100bp tk + 100bp 100bp (1 - ) = 6 4 ICAAP IRRBB 7 6 x = 4 7 2 ICAAP 2016 Summer 8 ICAAP b) IRRBB IMS behavioral option 5 NMD 8 3 3 4 8