兆豐國際商業銀行109年 年報

Annual Report 2020 134 財 務 概 況 134 f. ఩⊖⦼ᶝᮟ໣ബ ר ⋱⊖⦼ᶝᮟȯ g. ⸅ᄮʑ໣ബ ר ⋱⊖⦼⸅ᄮȯ h. ࢊ଄ᅺᆹΒᮢ⥫ᾀᾀ₤ᣅ D ≛ȯ i. ⃻૾૊ӱᅜരᄊӬΒᮢᛧံȯ (3) ᗢ⺨ᄎᾋ ቏⠗ ד ઈ⠗ᅠଃ ߊ ᄇ⸉➄⫏ᮟʠᄮ㋤໣ⵒӠᤀᘍ׶᫧ㅷቅᆹŊᗢ⺨⥿⸉➄⫏ᮟʠᄮ㋤໣ⵒӠȯ ᤀᘍ׶᫧ㅷቅ૽ ߊ ᄇʠ྆ᐻծؐŘ A. Ⲳ€ᙙՒ఩ϟᔋȯ B. ⃻⥫̒ζᓰːᤀ⭁च⫏ᮟ໣ᄇҘ͗᜺˫ᄄˡỬᓜᓰㅮȯ ቏⠗ ד ઈ⠗఩ᗢ⺨ʠ⸉➄⫏ᮟ ר ⋱˜ሷⳖ⠗ʑʠⲲ€ᙙՒŊʏྃ↲ͩሷ〦ᄎᾋⳖ⠗⥔ⲲỄ಍ȯ (4) ㅷቅΒᮢံदʠ⠣⸇ ቏⠗ ד ઈ⠗⸒ଃ⎊׆আ⦓ӬരΒᮢㆺるʏቍㆴ┮࣑Խʠ⸉➄డңŊ͸ྈ 12 ΤሶㅷቅΒᮢံद⸉㆜⠣⸇⥿⸉➄డңʠЈཌ ံदř⸒ଃ⎊׆আ⦓ӬരΒᮢㆺる఩ㆴ┮࣑Խ໣Βᮢᛧံʠ⸉➄డңŊԅྈએ↲ቅ⿵ㅷቅΒᮢံद⸉㆜⠣⸇ȯ A. ࿙ΒᏈՖ ㅷቅΒᮢံदʙ⣬˫ⳮ₎ᑨ᪓ (PD) Ȯⳮ₎ံद᪓ (LGD) ד ⳮ₎ሀる㆜ (EAD) ᾀɿㅮⳖ⠗̒ᾰȯ a. ⳮ₎ᑨ᪓ (PD) Ř ͩ቏⠗ңҙⵒ⥫ᾀ ד ᤀ⥫ᾀⵒ̤Ⳗ⠗Ӡ∌ŊӠӲ̒ᾰȵ 12 Τሶ PD א ᄲȶ ד ȵએ↲ቅ⿵ PD א ᄲȶȯ (a) 12 Τሶ PD א ᄲŘⲿ⳧቏⠗ɺ౺ቅ૪もⳮ₎᪓ᔕ׫⫏ᅆŊ⃻Ԋᵌඖ⫏⤻⦲ዮŊㅷ̒ቍ͗ 12 Τሶ ר ⋱ⳮ₎ʠᑨ ᪓ȯ (b) એ↲ቅ⿵ PD א ᄲŘ࿮ᮢ㈸ ר ड⼍ (Markov Chain) ᅞೣŊⲿ⳧⥫ᾀⱧ⇦ᵪせʠᵪせ᳈ʧᅞೣŊ˫̒ᾰએ↲ቅ⿵ ⳮ₎ᑨ᪓ȯ נ ңकⵒ⥫ᾀⵒ̤ʠⳮ₎ᑨ᪓͸࿮ᮢ⎞ȵЙӾ༼⫏ ד ˅ᆞଃ༆ㆩࠣ˅ᆞȶ᳈׺ʠ̒ᾰᅞೣȯ b. ⳮ₎ံद᪓ (LGD) Ř ͩჇ˺Ȯᚉ⸉ ד ჂΎ໣ᤀჂㅮᲿᾀጻ˴Ⳗ⠗Ӡ∌Ŋʏͩ׳Ӡ∌ʁʠᔕ׫ ߊ ᄇ⃻㊹࿴̒ⳮ₎ံद᪓ȯ c. ⳮ₎ሀる㆜ (EAD) Ř (a) ⠧ҙŘ˫ࢊ଄ᅺⅶ్ㄇ⸉㆜ ( ్ؐʀະᄇӴ෉ ) ⤺ᾰȯ (b) ⠧कŘ⠧क⸉㆜ʧ˫ΒᮢⱧဘ͸ᄲ (CCF) ŊҢʑΒᮢⱧဘ͸ᄲ͸ א ≙ȵ⹾⠗⎊ሷ⫏቏⎞ㆺるඖ⫏ᮟʠ⤺ᾰᅞᘍ ⦦ᆙ ד ⠧ጁŋΒᮢㆺるᐻ᜾ᘍȶʑଃᅠΒᮢⱧဘ͸ᄲʠ⣳῅̒ᾰȯ B. ṠЙӾ༼⫏ ד ˅ᆞଃ༆ㆩࠣ˅ᆞ a. ⳮ₎᪓࿮ᮢकⵒΒᮢ⥫ᾀ⫏ᅆŊʏʈₗҘԊᵌඖ≙⸇ȯ b. ⳮ₎ံद᪓࿮ᮢकⵒΒᮢ⥫ᾀʠ౹ ࠀ ⳮ₎ံद᪓ȯ c. ⳮ₎ሀる㆜Ř (a) Stage 1 ࿮ᮢⅶ్ㄇ⸉㆜ ( ؐະᄇӴ෉ ) ȯ (b) Stage 2 ד Stage 3 ࿮ᮢṠЙӾᅠએ↲ቅ⿵᫠⸉ᙟ⸇ȯ (5) Ԋᵌඖ⫏⤻ʠ≙⸇ A. ࿙ΒᏈՖ ቏⠗ ד ઈ⠗ᅠӱᅜ⸉➄⫏ᮟ⎊׆আ⦓ӬരΒᮢㆺるᆯ ؋ ఩ㆴ┮࣑Խ ד ⠣⸇ㅷቅΒᮢံदᆹŊᲀ૽Ԋᵌඖ⫏⤻ₗҘ≙ ⸇ȯ a. Βᮢㆺるᆯ ؋ ఩ㆴ┮࣑Խ ⲿ⳧⥫ᾀ⩐Ւ ד Ң˟˅ᆞദ͗⫏⤻Ŋ૽઼໸ʠ⪮ՖᨊᗼȮѥЙ⋱ԻȮҝ׮ᗶ᫧ ד ᮟᏈଭቃᾀңԊᵌඖʠ⫏⤻ₗҘ ≙⸇ȯ b. ⠣⸇ㅷቅΒᮢံद ⲿ⳧ PD ד LGD ו ᆤԊᵌඖ⫏⤻≙⸇Ŋ PD Ԋᵌඖ⫏⤻ʠ≙⸇ͩ࿙Βⵒ̤֒Ӡ (a) ңकⵒ⥫ᾀⵒ̤ř (b) Хңҙⵒ ⥫ᾀⵒ̤ř (c) ᤀ⥫ᾀⵒ̤Ř (a) ңकⵒ⥫ᾀⵒ̤Ř࿮ᮢ⎞ȵЙӾ༼⫏ ד ˅ᆞଃ༆ㆩࠣ˅ᆞȶ᳈׺ʠԊᵌඖ⫏⤻≙⸇ᅞೣȯ (b) Хңҙⵒ⥫ᾀⵒ̤Řͩ˺⸉ ד ᚉ⸉ᏈՖⳖ⠗⥫̒Ŋⲿ⳧ א ≙׳ ߡ ણ⠛ᄽ᪇ ד ⳥ᮢ⃥⤺ᅞᘍŊⲅ⨯ഛㅨ቏⠗ᔕ׫ ⳮ₎᪓ʠᄉ〦ⅶ㋤⃻ᠰ ߌ ઈ ( ॖ⃻ᠰໞ⿢᪓ȮदᏈ᪓Ȯ᧎ъ྆ᄲȮӴ᪓Ȯֈ᪓ ד ໼ъ྆ᄲᾀ ) Ŋʏ☼˫⥫̒ⅶ㋤ ⃻ᠰ⩐ջଃ׳⥫ᾀᾀ₤ʠഛㅨŊϝᣅ̒ᾰቍ͗ⳮ₎ᑨ᪓ʠԊᵌඖ⫏⤻⦲ዮȯᔍकŊ቏⠗Ԋᵌඖ⫏⤻⦲ዮծؐ⸒ ଃʃ׺ⅶ㋤⃻ᠰ෼ࣀ⩐ջⳖ⠗ӠኔŊʏྈᤫ෼ࣀᱹᮝ᱿ ר ⋱ඖӠⶪᓏ⸅ŊᮟӛघỚ෼ࣀʠⳮ₎ᑨ᪓Խᓏ౹ ࠀ ϊŊ˫ ו ᆤʃ׺ⅶ㋤⃻ᠰ෼ࣀᱹᮝ᱿ᑨ᪓⎞Βᮢံदએ߱ʠ㄄ℬඖ〦͸ȯ