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

EBA-retningslinjer vedrørende forøget misligholdelses- og migrationsrisiko (IRC) ......................................................................................................... 1 Afsnit I - Emne, anvendelsesområde og definitioner ......................................................... 4

1. Emne ......................................................................................................... 4 2. Institutionelt anvendelsesområde og -niveau .................................................. 4 3. Definitioner................................................................................................. 4 Afsnit II – Krav vedrørende institutters IRC-modellering ................................................ 4

A. Væsentlige anvendelsesområde ............................................................................................... 4 4. Positioner, der skal indgå i beregning af IRC ................................................... 4 5. Positioner, der ikke skal indgå i beregning af IRC ............................................ 5 6. Positioner i aktier og aktiederivater ............................................................... 6 7. Positioner i instituttets egen gæld .................................................................. 6 8. Permanent delvis anvendelse ........................................................................ 7 B. Individual modellering ................................................................................................................... 7 9. Pålidelighedsstandard sammenlignelig med IRB .............................................. 7 10. Kvalitative kriterier .................................................................................... 7 11. Ratingkilder .............................................................................................. 7 12. Kilde til PD'er og LGD'er ............................................................................. 8 C. Indbyrdes afhængighed ................................................................................................................ 8 13. Korrelationer mellem misligholdelses- og migrationsbegivenheder ................... 8 14. Kopula-antagelser...................................................................................... 9 15. Systemiske risikofaktorer ........................................................................... 9 16. Porteføljekoncentration .............................................................................. 9 17. Migrationsmatricer ................................................................................... 10 18. Konstant niveau for antagelse af risiko over den 1-årige kapitalhorisont ......... 10 19. Risikoafdækning ...................................................................................... 11 D. Værdiansættelse af P&L .............................................................................................................. 12 20. Effekt af ændring i rating på markedskurser ............................................... 12 21. Beregning af P&L ..................................................................................... 13 E. Likviditetshorisont .......................................................................................................................... 13 22. Niveau for definition af likviditetshorisonter ................................................ 13 23. Vigtigste kriterier for fastsættelse af den relevante likviditetshorisont ............ 14 24. Overvågning af likviditetshorisonter – nøgleindikatorer på behov for kontrol ... 15 F. Generelle forhold ............................................................................................................................. 15 25. Validering ............................................................................................... 15 26. Brugstest ................................................................................................ 16 27. Dokumentation........................................................................................ 16 28. IRC-metoder baseret på forskellige parametre ............................................ 17 29. Beregningshyppighed ............................................................................... 17 Afsnit III – Endelige bestemmelser og implementering ................................................. 18

30. Anvendelsesdato ..................................................................................... 18 Afsnit I - Emne, anvendelsesområde og definitioner

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