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

Smernice EBA o kapitalski zahtevi za presežno tveganje neplačila in migracije (IRC) ........................................................................................................................ 1 Naslov I – Predmet urejanja, področje uporabe in opredelitev pojmov ..................... 4

1. Predmet urejanja ........................................................................................ 4 2. Obseg in raven uporabe ............................................................................... 4 3. Opredelitev pojmov ..................................................................................... 4 Naslov II – Zahteve v zvezi z modeliranjem IRC za institucije ..................................... 4

A. Obseg uporabe .................................................................................................................................... 4 4. Pozicije, ki so predmet izračuna IRC .............................................................. 4 5. Pozicije, ki niso predmet izračuna IRC ............................................................ 5 6. Pozicije v lastniških finančnih instrumentih in izvedenih finančnih instrumentih.... 6 7. Pozicije v lastnih dolžniških instrumentih institucije .......................................... 6 8. Stalna izvzetja ............................................................................................ 7 B. Posamezno modeliranje ................................................................................................................ 7 9. Standard zanesljivosti, primerljiv s pristopom na osnovi notranjih bonitetnih ocen (IRB) ............................................................................................................. 7 10. Kvalitativna merila ..................................................................................... 7 11. Vir bonitetnih ocen ..................................................................................... 7 12. Vir verjetnosti neplačila (PD) in izgube ob neplačilu (LGD) .............................. 8 C. Medsebojna odvisnost .................................................................................................................... 8 13. Korelacije med dogodki neplačila in dogodki migracije .................................... 8 14. Predpostavke na podlagi kopule .................................................................. 9 15. Dejavniki sistematičnega tveganja ............................................................... 9 16. Koncentracija portfelja ............................................................................... 9 17. Matrike prehodov ..................................................................................... 10 18. Predpostavka o nespremenjeni ravni tveganja v enoletnem obdobju za izračun kapitala ....................................................................................................... 11 19. Varovanje pred tveganji ........................................................................... 11 D. Vrednotenje dobičkov in izgub ................................................................................................ 12 20. Učinek spremembe bonitetne ocene na tržne cene ....................................... 12 21. Izračun dobičkov in izgub ......................................................................... 13 E. Obdobje likvidnosti ......................................................................................................................... 13 22. Raven, na kateri se določijo obdobja likvidnosti ........................................... 13 23. Ključna merila za določanje ustreznega obdobja likvidnosti ........................... 14 24. Spremljanje obdobij likvidnost – ključni kazalniki potrebe po pregledu ........... 15 F. Splošno ................................................................................................................................................... 15 25. Ovrednotenje .......................................................................................... 15 26. Test uporabnosti ...................................................................................... 16 27. Dokumentacija ........................................................................................ 16 28. Pristopi IRC, ki temeljijo na različnih parametrih .......................................... 17 29. Pogostost izračuna ................................................................................... 17 Naslov III – Končne določbe in izvajanje ............................................................................. 18

30. Datum začetka uporabe ............................................................................ 18 Naslov I – Predmet urejanja, področje uporabe in opredelitev pojmov

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