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

Euroopa Pangandusjärelevalve suunised täiendava makseviivituse riski ja reitingute muutmise riski (IRC) kohta .......................................................................... 1 I peatükk. Sisu, reguleerimisala ja mõisted ................................................... 4 1. Sisu ........................................................................................................... 4 2. Reguleerimisala ja kohaldamistasand ............................................................. 4 3. Mõisted ...................................................................................................... 4 II peatükk. Asutuste IRC modelleerimisele esitatavad nõuded ......................... 4 A. Kohaldamisala ..................................................................................................................................... 4 4. Positsioonid, mille kohta tuleb IRC arvutada ................................................... 4 5. Positsioonid, mille korral IRCd ei arvutata ....................................................... 5 6. Positsioonid aktsiates ja aktsiatel põhinevates tuletisinstrumentides .................. 6 7. Asutuse oma võla positsioonid ...................................................................... 6 8. Alaline osaline kasutamine ............................................................................ 7 B. Individuaalne modelleerimine ................................................................................................... 7 9. Sisereitingutel põhineva meetodiga võrreldav usaldusväärsuse standard ............ 7 10. Kvalitatiivsed kriteeriumid .......................................................................... 7 11. Reitinguallikas ........................................................................................... 7 12. Makseviivituse tõenäosuse ja makseviivitusest tingitud kahjumäärade allikad ... 8 C. Omavaheline seotus ......................................................................................................................... 8 13. Makseviivituse ja reitingute muutmise vahelised korrelatsioonid ...................... 8 14. Koopula eeldused ...................................................................................... 9 15. Süsteemsed riskitegurid ............................................................................. 9 16. Portfelli kontsentratsioon ............................................................................ 9 17. Reitingute muutmise maatriksid ................................................................ 10 18. Riskieelduste konstantne tase üheaastase ajavahemiku jooksul ..................... 11 19. Riskide maandamine ................................................................................ 11 D. Kasumi/kahjumi näitajate hindamine ................................................................................ 12 20. Reitingu muutumise mõju turuhindadele..................................................... 12 21. Kasumi/kahjumi arvutamine ..................................................................... 13 E. Likviidsusperiood ............................................................................................................................. 13 22. Likviidsusperioodi määramise tasand ......................................................... 13 23. Asjakohase likviidsusperioodi määramise põhikriteeriumid ............................ 14 24. Likviidsusperioodide jälgimine – läbivaatamise vajaduse põhinäitajad ............ 15 F. Üldküsimused ..................................................................................................................................... 15 25. Valideerimine .......................................................................................... 15 26. Kasutustest ............................................................................................. 16 27. Dokumentatsioon .................................................................................... 16 28. Eri parameetritel põhinevad IRC-meetodid .................................................. 17 29. Arvutamissagedus ................................................................................... 17 III peatükk. Lõppsätted ja rakendamine ..................................................... 18 30. Rakendamiskuupäev ................................................................................ 18 I peatükk. Sisu, reguleerimisala ja mõisted

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