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

Richtsnoer van de EBA ......................................................................................................... 1 over het kapitaalvereiste voor het additioneel wanbetalingsrisico en migratierisico (IRC) .............................................................................................................. 1

1. Onderwerp ................................................................................................. 4 2. Institutioneel toepassingsgebied en niveau van toepassing ............................... 4 3. Definities .................................................................................................... 4 Titel II – Vereisten voor de IRC-modellering door instellingen ..................................... 4

A. Belangrijkste toepassingsgebied ............................................................................................. 4 4. Posities die onderworpen zijn aan berekening van het IRC ................................ 4 5. Posities die niet onderworpen zijn aan berekening van het IRC ......................... 6 6. Posities in aandelen en aandelenderivaten ...................................................... 6 7. Posities in de eigen schuld van de instelling .................................................... 6 8. Permanent gedeeltelijke toepassing ............................................................... 7 B. Individuele modellering ................................................................................................................ 7 9. Deugdelijkheidsnorm vergelijkbaar met IRB .................................................... 7 10. Kwalitatieve criteria ................................................................................... 7 11. Bron van ratings ........................................................................................ 8 12. Bron van PD's en LGD's .............................................................................. 8 C. Onderlinge afhankelijkheid ......................................................................................................... 9 13. Correlaties tussen wanbetaling en migratie ................................................... 9 14. Copula-aannames ...................................................................................... 9 15. Systeemrisicofactoren ................................................................................ 9 16. Portefeuilleconcentratie ............................................................................ 10 17. Migratiematrices ...................................................................................... 10 18. Aanname van een constant risiconiveau over de kapitaalhorizon van één jaar . 11 19. Hedging ................................................................................................. 12 D. Winst-en-verlieswaardering ..................................................................................................... 13 20. Effect van verandering van rating op marktprijzen ....................................... 13 21. Berekening van winst en verlies ................................................................ 14 E. Liquiditeitshorizon .......................................................................................................................... 15 22. Het niveau waarop liquiditeitshorizons gedefinieerd moeten worden ............... 15 23. Hoofdcriteria voor het vaststellen van de desbetreffende liquiditeitshorizon .... 15 24. Het monitoren van liquiditeitshorizons – belangrijkste indicatoren van de noodzaak tot herziening ................................................................................. 16 F. Algemene zaken ................................................................................................................................ 17 25. Validatie ................................................................................................. 17 26. Gebruikstest ........................................................................................... 18 27. Documentatie.......................................................................................... 18 28. IRC-benaderingen op basis van verschillende parameters ............................. 18 29. Berekeningsfrequentie .............................................................................. 19 Titel III – Slotbepalingen en tenuitvoerlegging ................................................................. 20

30. Datum van toepassing .............................................................................. 20 Titel I – Onderwerp, toepassingsgebied en definities

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