Guidelines on the Incremental Default and Migration Risk Charge (IRC) (EBA/GL/2012/03)

Καηεπζπληήξηεο νδεγίεο ΔΑΤ ζρεηηθά κε ηελ θεθαιαηαθή απαίηεζε γηα ηνλ επηπξόζζεην θίλδπλν αζέηεζεο θαη κεηαβνιήο ηεο πηζηνιεπηίθεο αμηνιόγεζεο (IRC) ................................................................................................................. 1

1. Αληηθείκελν ................................................................................................. 5 2. Θεζκηθφ πεδίν εθαξκνγήο θαη επίπεδν εθαξκνγήο ............................................ 5 3. Οξηζκνί ...................................................................................................... 5 Τίηινο II – Απαηηήζεηο φζνλ αθνξά ηελ αλάπηπμε ππνδεηγκάησλ IRC απφ ηα ηδξχκαηα .............................................................................................................................................. 5

Α. Πεδίν εθαξκνγήο ............................................................................................................................... 5 4. Θέζεηο ππνθείκελεο ζε ππνινγηζκφ IRC ........................................................... 5 5. Θέζεηο κε ππνθείκελεο ζε ππνινγηζκφ IRC ...................................................... 7 6. Θέζεηο ζε κεηνρέο θαη παξάγσγα κεηνρψλ ....................................................... 7 7. Θέζεηο ζε ίδηνπο ρξεσζηηθνχο ηίηινπο ............................................................. 7 8. Μφληκε κεξηθή ρξήζε ................................................................................... 8 Β. Γηακόξθωζε επηκέξνπο ππνδεηγκάηωλ ................................................................................. 8 9. Πξφηππν αμηνπηζηίαο ζπγθξίζηκν κε ηελ IRB .................................................... 8 10. Πνηνηηθά θξηηήξηα ....................................................................................... 8 11. Πεγή βαζκψλ πηζηνιεπηηθήο αμηνιφγεζεο ..................................................... 9 12. Πεγή πηζαλνηήησλ αζέηεζεο (PD) θαη πνζνζηηαίσλ δεκηψλ ζε πεξίπησζε αζέηεζεο (LGD) .............................................................................................. 9 Γ. Αιιειεμάξηεζε .................................................................................................................................. 10 13. Σπζρεηίζεηο κεηαμχ γεγνλφησλ αζέηεζεο θαη γεγνλφησλ κεηαβνιήο ηεο πηζηνιεπηηθήο αμηνιφγεζεο ............................................................................. 10 14. Παξαδνρέο copula .................................................................................... 10 15. Παξάγνληεο ζπζηεκηθνχ θηλδχλνπ .............................................................. 10 16. Σπγθέληξσζε ραξηνθπιαθίνπ .................................................................... 11 17. Πίλαθεο κεηαβνιήο ηεο πηζηνιεπηηθήο αμηνιφγεζεο....................................... 11 18. Παξαδνρή ζηαζεξνχο επηπέδνπ θηλδχλνπ θαηά ηνλ θεθαιαηαθφ νξίδνληα ελφο έηνπο ........................................................................................................... 13 19. Αληηζηάζκηζε θηλδχλσλ ............................................................................. 13 Γ. Απνηίκεζε θεξδώλ θαη δεκηώλ ................................................................................................. 14 20. Σπλέπεηεο κεηαβνιήο ηεο πηζηνιεπηηθήο αμηνιφγεζεο ζηηο ηηκέο ηεο αγνξάο ..... 14 21. Υπνινγηζκφο θεξδψλ θαη δεκηψλ ................................................................ 16 Δ. Οξίδνληαο ξεπζηόηεηαο ................................................................................................................. 16 22. Δπίπεδν νξηζκνχ νξηδφλησλ ξεπζηφηεηαο ..................................................... 16 23. Βαζηθά θξηηήξηα θαζνξηζκνχ ηνπ θαηάιιεινπ νξίδνληα ξεπζηφηεηαο ............... 16 24. Παξαθνινχζεζε νξηδφλησλ ξεπζηφηεηαο – βαζηθέο ελδείμεηο ηεο αλαγθαηφηεηαο αλαζεψξεζεο................................................................................................ 17 ΣΤ. Γεληθά ζέκαηα .................................................................................................................................. 18 25. Δπηθχξσζε .............................................................................................. 18 26. Γνθηκαζία ρξήζεο (Use Test) ..................................................................... 19 27. Έγγξαθε Τεθκεξίσζε ............................................................................... 19 28. Μέζνδνη IRC βαζηζκέλεο ζε δηαθνξεηηθέο παξακέηξνπο ................................. 20 29. Σπρλφηεηα ππνινγηζκνχ ........................................................................... 20 Τίηινο III – Τειηθέο δηαηάμεηο θαη εθαξκνγή ........................................................................ 21

30. Ηκεξνκελία εθαξκνγήο ............................................................................ 21 Τίηινο I - Αληηθείκελν, πεδίν εθαξκνγήο θαη νξηζκνί

III. EBA Guidelines on the IRC ......................................................................................... 7 Title I -Subject matter, Scope and Definitions ..................................................................... 9

1. Subject matter ............................................................................................ 9 2. Scope and level of application ....................................................................... 9 3. Definitions .................................................................................................. 9 Title II - Requirements regarding institutions‟ IRC modelling ........................................ 9

A. Scope of Application ........................................................................................................................ 9 4. Positions subject to calculation of the IRC ....................................................... 9 5. Positions not subject to calculation of IRC ..................................................... 10 6. Positions in equity and equity derivatives ...................................................... 11 7. Positions in the institution‟s own debt .......................................................... 11 8. Permanent partial use ................................................................................ 12 B. Individual Modelling ...................................................................................................................... 12 9. Soundness standard comparable to IRB ....................................................... 12 10. Qualitative criteria ................................................................................... 12 11. Source of ratings ..................................................................................... 12 12. Source of PDs and LGDs ........................................................................... 13 C. Interdependence .............................................................................................................................. 13 13. Correlations between default and migration events ...................................... 13 14. Copula assumptions ................................................................................. 14 15. Systemic risk factors ................................................................................ 14 16. Portfolio concentration ............................................................................. 14 17. Migration matrices ................................................................................... 15 18. Constant level of risk assumption over the one-year capital horizon ............... 15 19. Hedging ................................................................................................. 16 D. P&L valuation .................................................................................................................................... 17 20. Impact of rating change on market prices ................................................... 17 21. Computation of P&L ................................................................................. 18 E. Liquidity horizon .............................................................................................................................. 18 22. The level at which to define liquidity horizons .............................................. 18 23. Key criteriafor determining the relevant liquidity horizon .............................. 19 24. Monitoring liquidity horizons - key indicators of the need for review ............... 20 F. General matters ................................................................................................................................ 20 25. Validation ............................................................................................... 20 26. Use Test ................................................................................................. 21 27. Documentation ........................................................................................ 21 28. IRC approaches based on different parameters ............................................ 22 29. Frequency of calculation ........................................................................... 22 Title III-Final Provisions and Implementation .................................................................... 23

30. Date of application ................................................................................... 23

8 Title I - Subject matter, Scope and Definitions