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

EBI pamatnostādnes par papildu kapitāla prasību saistību nepildīšanas un migrācijas risku ( IRC ) .......................................................................................................... 1 I sadaļa. Priekšmets, darbības joma un definīcijas ............................................................ 4

1. Priekšmets ................................................................................................. 4 2. Piemērošanas joma un līmenis ...................................................................... 4 3. Definīcijas .................................................................................................. 4 II sadaļa. Prasības par IRC modelēšanu iestādēs ............................................................... 4

A. Būtiskā piemērošanas joma ........................................................................................................ 4 4. Pozīcijas, kam jāaprēķina IRC ....................................................................... 4 5. Pozīcijas, kam nav jāaprēķina IRC ................................................................. 5 6. Kapitāla vērtspapīri un kapitāla vērtspapīru atvasinātie instrumenti ................... 6 7. Pašas iestādes parāda pozīcijas ..................................................................... 6 8. Pastāvīga daļēja izmantošana ....................................................................... 7 B. Individuālā modelēšana ................................................................................................................ 7 9. IRB pielīdzināms piesardzības standarts ......................................................... 7 10. Kvalitātes kritēriji ...................................................................................... 7 11. Reitingu avoti ............................................................................................ 7 12. PD un LGD avoti ........................................................................................ 7 C. Savstarpējā atkarība ....................................................................................................................... 8 13. Saistību nepildīšanas un migrācijas gadījumu korelācija ................................. 8 14. Pieņēmumi par savstarpējo saistību ............................................................. 8 15. Sistēmiski riska faktori ............................................................................... 9 16. Portfeļa koncentrācija................................................................................. 9 17. Migrācijas matricas .................................................................................... 9 18. Pieņēmums par nemainīgu riska līmeni kapitāla rādītājiem gada laikā ............ 10 19. Riska ierobežošana .................................................................................. 11 D. Peļņas un zaudējumu novērtējums ...................................................................................... 12 20. Reitinga izmaiņu ietekme uz tirgus cenām .................................................. 12 21. Peļņas un zaudējumu aprēķināšana ........................................................... 13 E. Likviditātes termiņš ........................................................................................................................ 13 22. Likviditātes termiņu noteikšanas līmenis ..................................................... 13 23. Attiecīgā likviditātes termiņa noteikšanas pamatkritēriji ................................ 13 24. Likviditātes termiņu uzraudzība — galvenie rādītāji, kas liecina, ka jāveic pārskatīšana ................................................................................................. 14 F. Vispārīgi jautājumi .......................................................................................................................... 15 25. Validēšana .............................................................................................. 15 26. Izmantošanas pārbaude ........................................................................... 16 27. Dokumentācija ........................................................................................ 16 28. Uz dažādiem parametriem balstītas IRC pieejas ........................................... 16 29. Aprēķinu biežums .................................................................................... 17 III nodaļa. Nobeiguma noteikumi un īstenošana .............................................................. 17

30. Piemērošanas datums .............................................................................. 17 I sadaļa. Priekšmets, darbības joma un definīcijas

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