在即定信用等級下控制授信額度估算方法

在即定信用等級下控制授信額度估算方法計算公式：客戶在即定信用等級下控制授信額度估算模型：CL=EXKX（1-PD）XPM-D其中：CL：特定銀行對該客戶在即定信用等級下的控制授信額度估算值；E：客戶上年末的有效凈資產(chǎn)=上年末的賬面凈資產(chǎn)XR,R=前3年扣除非正常性損益后的加權（2,3,5為權重）凈資產(chǎn)收益率/6%（當R>1時，取R=1）；K：信用等級調節(jié)系數(shù)，見下表1；PD：信用等級違約率，見下表2；PM：本信用等級遷移徙率，見下表3；D：扣除授信銀行（推薦評級客戶的銀行）貸款后的企業(yè)全部債務=全部債務-在授信銀行的貸款總額；另外，短期授信時，PD、PM取1年期數(shù)據(jù)；長期授信時，按長期授信期限取PD、PM值。1、調節(jié)系數(shù)信用等級AAAAAABBBBBBK0.500.660.8311.21.52、資信信用等級違約率估計值（PD）信用等級1年(%)2年(%)3年(%)4年(%)5年(%)6年(%)7年(%)8年(%)9年(%)AAA0.000.010.060.100.200.350.500.701.40AA+0.010.020.100.150.250.450.700.800.85AA0.020.030.150.200.350.500.751.101.50AA-0.040.200.500.651.001.502.002.202.40A+0.080.220.540.781.201.802.302.502.85A0.100.280.651.001.301.902.402.603.00A-0.120.400.851.201.802.403.203.704.30BBB+0.651.502.101.404.806.107.308.809.80BBB0.681.853.204.405.607.007.708.9010.30BBB-1.003.005.208.2011.1113.7015.8017.5018.70BB+1.304.208.5012.3015.3018.4021.5023.1025.40BB2.306.9012.4017.2021.9026.7030.1033.5036.10BB-4.0011.2019.3026.4032.5038.2042.6646.8050.30B+6.4017.8028.4037.5043.8048.8053.4057.2060.20B18.0035.8048.5056.8863.1068.1071.0073.5075.20B-26.0247.2062.9072.3078.5083.2087.7090.8091.80CCC43.0264.2078.9087.3092.5094.2097.70--

CC61.3080.5090.9097.30-----C85.3097.50-------D100.00__------3、信用等級遷徙矩陣1年期遷徙矩陣從倒AAAAAABBBBBBCCC/CDN.R.AAA88.076.810.600.140.060.000.000.004.33AA0.5987.377.500.570.070.100.020.013.77A0.052.0187.425.540.430.160.030.054.31BBB0.030.193.9184.464.560.840.220.375.41BB0.030.070.375.0976.327.531.021.368.21B0.000.070.240.314.8873.884.426.0810.12CCC/C0.080.000.250.511.369.3246.2730.8511.362年期遷徙矩陣AAA78.6111.981.450.300.120.030.000.007.51AA1.0576.4713.341.410.240.190.010.047.26A0.083.6876.499.581.030.400.070.158.52BBB0.080.387.2471.177.221.850.431.0310.60BB0.020.150.809.1958.0310.681.694.0915.34B0.000.100.440.748.2056.924.8813.5218.21CCC/C0.100.000.491.182.0712.2425.3739.2919.253年期遷徙矩陣AAA70.1316.322.300.500.090.030.000.0310.59AA1.4567.5517.382.220.360.260.020.0910.67A0.134.9068.0011.881.600.670.120.2912.39BBB0.120.609.6360.958.482.460.611.5515.61BB0.030.201.1711.7544.4411.821.807.1421.66B0.010.100.631.369.8339.044.4019.2025.43CCC/C0.120.000.481.192.9813.5715.1242.0224.525年年期遷徙矩陣AAA56.8520.624.261.180.140.140.000.1016.71AA1.9653.9522.663.730.510.430.060.2916.40A0.166.1755.3414.742.401.020.200.5819.39BBB0.201.0012.2946.738.982.840.682.7524.52BB0.030.292.0013.4328.0210.401.5811.2433.01B0.050.110.692.5010.2321.912.8924.8236.81CCC/C0.150.000.312.173.109.445.2645.3634.21注：N.R.表示撤消評級。需要說明的是，控制授信額度是在考慮該企業(yè)已獲得授信規(guī)模的基礎上，對該企業(yè)在某