+Anness I – Sottokategoriji tar-riskju ta’ kreditu
---+categories assessment areas
---+categories assessment areas
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Anness I – Sottokategoriji tar-riskju ta’ kreditu
It-tabella ta’ hawn taħt tippreżenta lista mhux eżawrjenti ta’ sottokategoriji għar-riskju ta’ kreditu li l-awtoritajiet kompetenti għandhom jikkunsidraw meta jkun rilevanti. Sottokategoriji Referenzi legali/Definizzjonijiet Oqsma tal-valutazzjoni Referenzi legali relatati mal-tar-riskju ta’ oqsma tal-valutazzjoni kreditu | Riskju ta’ Ir-riskju li l-istituzzjoni se ġġarrab konċentrazzjoni telf sinifikanti ta’ kreditu li tal-kreditu jirriżulta minn konċentrazzjoni ta’ skoperturi għal grupp żgħir ta’ mutwatarji, għal sett ta’ mutwatarji b’imġiba simili ta’ inadempjenza jew għal assi finanzjarji korrelatati ħafna u mitigazzjoni tar-riskju ta’ kreditu konċentrat Riskju ta’ kreditu Ir-riskju li l-kontraparti ta’ tal-kontroparti tranżazzjoni tista’ tkun inadempjenti qabel is-saldu finali tal-flussi ta’ flus tat-tranżazzjoni | Konċentrazzjonijiet f’isem wieħed (inkluż klijent jew grupp ta’ klijenti Ir-Regolament (UE) 575/2013: konnessi kif iddefiniti għal skoperturi kbar) Artikoli 129, 170, 171, 184, 207, Konċentrazzjonijiet settorjali 209, 395, 400-401 Konċentrazzjonijiet ġeografiċi Id-Direttiva 2013/36/UE: Konċentrazzjoni tal-prodott Artikoli 81, 98 Konċentrazzjoni ta’ kollateral u garanziji Sorsi moħbija ta’ konċentrazzjoni li jistgħu jimmaterjalizzaw f’kundizzjonijiet ta’ stress, meta l-livell ta’ korrelazzjoni tar-riskju ta’ kreditu jista’ jiżdied meta mqabbel mal-kundizzjonijiet normali Il-kwalità tal-kontropartijiet u s-CVAs rilevanti u l-kumplessità tat- Ir-Regolament (UE) 575/2013: tranżazzjonijiet Artikoli 181, 246, Parti Tlieta, Ir-riskju ta’ korrelazzjoni ħażina li jinħoloq meta l-iskopertura għal Titolu II, Kapitolu 6 kontroparti tkun korrelatata b’mod negattiv mal-kwalità tal-kreditu Id-Direttiva 2013/36/UE: tagħha Artikolu 79 L-iskopertura għar-riskji ta’ kreditu tal-kontroparti u tas-saldu f’termini kemm tal-valuri kurrenti tas-suq kif ukoll tal-ammont nominali, meta mqabbla mal-iskopertura globali ta’ kreditu u mal-fondi proprji Il-proporzjon ta’ tranżazzjonijiet ipproċessati permezz ta’ infrastrutturi tas-suq finanzjarju li jipprovdu saldu ta’ ħlas kontra konsenja Il-proporzjon ta’ tranżazzjonijiet għall-kontropartijiet ċentrali u l-effettività tal-mekkaniżmi ta’ protezzjoni tat-telf għalihom Il-proporzjoni tat-tranżazzjonijiet għall-kontropartijiet ċentrali stabbiliti f’pajjiżi terzi, l-effettività tal-mekkaniżmi ta’ protezzjoni tat-telf għalihom, |
Sottokategoriji Referenzi legali/Definizzjonijiet Oqsma tal-valutazzjoni Referenzi legali relatati mal-tar-riskju ta’ oqsma tal-valutazzjoni kreditu | u kif kwalunkwe skopertura eċċessiva għal CCPs mhux tal-UE tiġi mnaqqsa Il-proporzjon ta’ tranżazzjonijiet OTC ikklerjati mhux ċentralment u l-effettività tal-mekkaniżmi ta’ protezzjoni tat-telf għalihom L-eżistenza, is-sinifikat, l-effettività u l-infurzabbiltà ta’ ftehimiet ta’ netting |
Riskju ta’ saldu u Ir-riskju li jirriżulta fil-każ ta’ Ir-Regolament (UE) 575/2013: konsenja tranżazzjonijiet bi strumenti ta’ Artikoli 1,92, Parti Tlieta, Titolu V dejn, ekwitajiet, muniti barranin u komoditajiet (esklużi tranżazzjonijiet ta’ riakkwist u għoti b’self ta’ titoli jew komoditajiet u teħid b’self ta’ titoli jew komoditajiet) li jibqgħu mhux saldati wara d-data tal-konsenja dovuta tagħhom | Riskju tal-pajjiż Ir-riskju li l-istituzzjoni se ġġarrab telfiet ta’ kreditu assoċjati man-negozju mwettaq f’pajjiż speċifiku minħabba ċirkostanzi u/jew avvenimenti negattivi, inkluż l-impatt ta’ avvenimenti ġeopolitiċi, fil-pajjiż speċifiku | Ir-riskju ta’ deterjorament fil-kwalità tal-iskoperturi ta’ istituzzjoni f’pajjiż speċifiku (inkluż ir-riskju ta’ debituri kollettivi – jiġifieri l-inadempjenza ta’ grupp kbir ta’ debituri), li jirriżulta minn theddid, okkorrenzi, u l-eskalazzjoni ta’ avvenimenti negattivi assoċjati ma’ gwerer, terroriżmu, u tensjonijiet bejn stati u atturi politiċi li jaffettwaw ir-relazzjonijiet internazzjonali Il-grad ta’ konċentrazzjoni fit-tipi kollha ta’ skoperturi għar-riskju tal-pajjiż, inklużi skoperturi sovrani, fi proporzjon mal-portafoll ta’ kreditu tal-istituzzjoni kollha (għal kull obbligant u ammont) Is-saħħa ekonomika u l-istabbiltà tal-pajjiż tal-mutwatarju u r-rekord tiegħu f’termini ta’ ħlas fil-ħin u l-okkorrenza ta’ avvenimenti ta’ inadempjenza serji |
Sottokategoriji Referenzi legali/Definizzjonijiet Oqsma tal-valutazzjoni Referenzi legali relatati mal-tar-riskju ta’ oqsma tal-valutazzjoni kreditu | Riskju ta’ kreditu Ir-riskji li jirriżultaw minn minn tranżazzjonijiet ta’ titolizzazzjoni li titolizzazzjonijiet fir-rigward tagħhom l-istituzzjonijiet ta’ kreditu huma investitur, oriġinatur jew sponsor, inklużi r-riskji reputazzjonali, bħal dawk li jirriżultaw fir-rigward ta’ strutturi jew prodotti kumplessi | Ir-riskju ta’ forom oħra ta’ intervent sovran li jistgħu materjalment ifixklu l-affidabbiltà kreditizja tal-mutwatarji (eż. iffriżar ta’ depożiti, esproprjazzjoni jew tassazzjoni punittiva) Ir-riskju tat-trasferiment marbut mas-self transfruntier f’munita barranija għal self u skoperturi transfruntiera materjali f’muniti barranin L-adegwatezza tal-allokazzjoni tal-iskoperturi ta’ titolizzazzjoni fil- Ir-Regolament (UE) 575/2013: portafoll bankarju u fil-portafoll tan-negozjar u l-konsistenza mal- Artikolu 67, Parti Tlieta, Titolu II, istrateġija ta’ titolizzazzjoni tal-istituzzjoni Kapitolu 5 Il-klassifikazzjoni u l-prestazzjoni tas-segmenti ta’ titolizzazzjoni Id-Direttiva 2013/36/UE: miżmuma mill-istituzzjoni, in-natura, il-kompożizzjoni u l-kwalità tal-assi Artikolu 82 sottostanti Il-konsistenza tat-tnaqqis tal-kapital mat-trasferiment tar-riskju attwali għal titolizzazzjonijiet oriġinati Jekk hemmx distinzjoni ċara bejn l-ammonti miġbuda u dawk mhux miġbuda għal faċilitajiet ta’ likwidità pprovduti lill-veikolu ta’ titolizzazzjoni L-eżistenza ta’ pjanijiet ta’ kontinġenza għall-veikoli ta’ Karti Kummerċjali Garantiti b’Assi ġestiti mill-istituzzjoni f’każ li l-ħruġ ta’ karta kummerċjali ma jkunx possibbli minħabba kundizzjonijiet ta’ likwidità, u l-impatt fuq l-iskopertura totali għar-riskju ta’ kreditu tal-istituzzjoni |
Sottokategoriji Referenzi legali/Definizzjonijiet Oqsma tal-valutazzjoni Referenzi legali relatati mal-tar-riskju ta’ oqsma tal-valutazzjoni kreditu | Riskju ta’ self FX Ir-riskju ta’ kreditu addizzjonali li jirriżulta minn skoperturi għal self FX lil mutwatarji mhux iħħeġġjati bl-imnut u SMEs | Kull relazzjoni mhux lineari bejn ir-riskju tas-suq u r-riskju ta’ kreditu fejn ir-rati tal-kambju jistgħu jkollhom impatt sproporzjonat fuq ir-riskju ta’ kreditu tal-portafoll ta’ self FX ta’ istituzzjoni bħal żieda materjali kemm fil-valur pendenti tad-dejn kif ukoll fil-fluss ta’ pagamenti biex iservu dan id-dejn u żieda fil-valur pendenti tad-dejn meta mqabbel mal-valur tal-assi kollaterali denominati fil-munita domestika | | Riskju ta’ ekwità Ir-riskju ta’ telf fuq strumenti fil-portafoll finanzjarji minħabba bidliet fl-bankarju ekwitajiet imdaħħla fil-portafoll bankarju | Ir-riskju ta’ tnaqqis fil-valur tal-investimenti ta’ ekwità tal-istituzzjoni u Ir-Regolament (UE) 575/2013: jiżguraw li dan ir-riskju jiġi kopert kif xieraq mill-qafas tar-riskju tal- Artikolu 133 istituzzjoni Fejn ikun rilevanti, dwar ir-riskju ta’ parteċipazzjoni fil-parteċipazzjonijiet strateġiċi (kemm fl-assigurazzjoni kif ukoll barra mill-assigurazzjoni) | | Riskju ta’ Ir-riskju ta’ telf minħabba bidliet proprjetà fil-valur tas-suq tal-assi proprji ta’ immobbli proprjetà immobbli jew ta’ strumenti finanzjarji marbuta ma’ assi ta’ proprjetà immobbli | Ir-riskju ta’ tnaqqis fil-valur tal-investimenti immobiljari tal-istituzzjoni Għal proprjetajiet immobbli li huma Fejn rilevanti, il-valur tal-istrumenti finanzjarji marbuta mal-assi proprjetà ta’ istituzzjoni, ir-immobiljari (eż. fondi immobiljari, REITs). Regolament (UE) 575/2013: Artikolu 134(1) - SA Artikolu 156 - IRB | | Riskju ta’ Artikolu 4(53) tas-CRR dilwizzjoni | Ir-riskju ta’ dilwizzjoni għall-portafolli ta’ kreditu kollha li għalihom ma jiġix adottat l-approċċ IRB, u għal dawk li r-riskju ta’ dilwizzjoni tagħhom jitqies immaterjali minn perspettiva tal-portafoll Kif l-iskoperturi li huma immaterjali f’kull portafoll jew klassi tal-iskopertura jiġu meqjusa fil-valutazzjoni tar-riskju ta’ dilwizzjoni aggregata tal-istituzzjoni Fejn ikun rilevanti, jekk il-valutazzjoni tar-riskju ta’ skoperturi għar-riskju ta’ dilwizzjoni fin-negozju akkwirenti għas-sistemi ta’ ħlas tan-negozjant (pereżempju, fil-portafoll ta’ obbligazzjonijiet kontingenti għal pożizzjonijiet ta’ chargeback) hija xierqa u bbażata fuq segmentazzjoni konsistenti tal-pożizzjonijiet sottostanti f’konformità mal-karatteristiċi |
Sottokategoriji Referenzi legali/Definizzjonijiet Oqsma tal-valutazzjoni Referenzi legali relatati mal-tar-riskju ta’ oqsma tal-valutazzjoni kreditu | Riskju tal-mudell Artikolu 4(1), il-punt (52b) tas-CRR (għal mudelli regolatorji approvati) | kuntrattwali ewlenin tagħhom – jiġifieri n-natura tat-tranżazzjonijiet ta’ bejgħ sottostanti, it-twaqqit tal-ħlasijiet ipproċessati, u l-applikazzjoni ta’ mekkaniżmi standard ta’ mitigazzjoni tar-riskju. Monitoraġġ ta’ jekk l-istituzzjoni tkomplix tissodisfa r-rekwiżiti minimi u Id-Direttiva 2013/36/UE: Artikolu 3 tiżgura li r-rekwiżiti relatati tal-fondi proprji ma jkunux sottovalutati Il-valutazzjoni tista’ tkun ibbażata fuq l-għarfien miksub f’azzjonijiet superviżorji oħra, inklużi dawk imwettqa f’konformità mal-Artikolu 101 tad-Direttiva 2013/36/UE |
1. Ħarsa ġenerali
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Regolamentazzjoni |
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categories assessment areas
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| The risk that the institution will incur significant credit losses stemming from a concentration of Credit exposures to a small group of concentration borrowers, to a set of borrowers risk with similar default behaviour or to highly correlated financial assets and concentrated credit risk mitigation | • Single -name concentrations (including a client or group of connected clients as defined for large exposures) • Sectoral concentrations • Geographical concentrations • Product concentration • Collateral and guarantees concentration • Hidden sources of concentration that can materialise under stressed conditions, when the level of credit risk correlation can increase compared to normal conditions • The quality of counterparties and relevant CVAs and the complexity of transactions • The wrong -way risk arising when the exposure to a counterparty is adversely correlated with its credit quality • The exposure to counterparty credit and settlement risks in terms of both current market values and nominal amount, compared to the overall | Regulation (EU) 575/2013: Articles 129, 170, 171, 184, 207, 209, 395, 400-401 Directive 2013/36/EU: Articles 81, 98 | | The risk that the counterparty to a Counterparty transaction could default before credit risk the final settlement of the transaction ’ s cash flows | credit exposure and to own funds • The proportion of transactions processed through financial market infrastructures that provide payment versus delivery settlement • The proportion of transactions to central counterparties and the effectiveness of loss protection mechanisms for them • The proportion of transactions to central counterparties established in third countries the effectiveness of loss protection mechanisms for them, and how any excessive exposure to non-EU CCPs is reduced • The proportion of non -centrally cleared OTC transactions and the effectiveness of loss protection mechanisms for them | Regulation (EU) 575/2013: Articles 181, 246, Part Three, Title II, Chapter 6 Directive 2013/36/EU: Article 79 |
Credit risk sub- Legal references related to the Legal references/Definitions Assessment areas categories assessment areas | • The existence, significance, effectiveness and enforceability of netting agreements | |
The risk arising in the case of transactions with debt instruments, equities, foreign currencies and commodities | Settlement and (excluding repurchase delivery risk transactions and securities or | | Regulation (EU) 575/2013: Articles 1,92, Part Three, Title V |
commodities lending and securities or commodities borrowing) remain unsettled after their due delivery date | The risk that the institution will incur credit losses associated to the business carried out in a specific country due to adverse Country risk circumstances and/or events, including the impact of geopolitical events, in the specific country | • The risk of a deterioration in the quality of an institution’s exposures in a specific country (including collective debtor risk – i.e. the default by a large group of debtors), stemming from threats, occurrences, and the escalation of adverse events associated with wars, terrorism, and tensions among states and political actors affecting international relations • The degree of concentration within all types of exposures to country risk, including sovereign exposures, in proportion to the whole institution’s credit portfolio (per obligor and amount) • The economic strength and stability of the borrower’s country and its track record in terms of punctual payment and occurrence of serious default events • The risk of other forms of sovereign intervention that can materially impair the creditworthiness of borrowers (e.g. deposit freezes, expropriation or punitive taxation) • The transfer risk linked to cross -border foreign currency lending for material cross-border lending and exposures in foreign currencies | |
Credit risk sub- Legal references related to the Legal references/Definitions Assessment areas categories assessment areas | The risks arising from securitisation transactions in relation to which the credit Credit risk from institutions are investor, securitisations originator or sponsor, including reputational risks, such as arise in relation to complex structures or products | • The appropriateness of allocation of securitisation exposures to the banking book and trading book and the consistency with the institution’s securitisation strategy • The rating and the performance of the securitisation tranches held by the institution, the nature, composition and quality of the underlying assets • The consistency of the capital relief with the actual risk transfer for originated securitisations • Whether there is a clear distinction between drawn and undrawn amounts for liquidity facilities provided to the securitisation vehicle • The existence of contingency plans for Asset -Backed Commercial Paper conduits managed by the institution in the event that an issuance of commercial paper is not possible because of liquidity conditions, and the impact on the total credit risk exposure of the institution • Any non -linear relationship between market risk and credit risk where | Regulation (EU) 575/2013: Article 67, Part Three, Title II, Chapter 5 Directive 2013/36/EU: Article 82 | | The additional credit risk arising from FX lending exposures to FX lending risk unhedged retail and SME borrowers | exchange rates may have a disproportional impact on the credit risk of an institution’s FX loans portfolio such as a material increase in both the outstanding value of debt and the flow of payments to service such debt and an increase in the outstanding value of debt compared to the value of collateral assets denominated in the domestic currency • The risk of decline in the value of the institution’s equity investments | | | The risk of loss on financial Equity risk in the instruments from changes in banking book equities posted in the banking book | and ensure that this risk is appropriately captured by the institution’s risk framework • Where relevant, on participation risk in strategic holdings (both insurance and non-insurance) | Regulation (EU) 575/2013: Article 133 |
Credit risk sub- Legal references related to the Legal references/Definitions Assessment areas
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categories assessment areas
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The risk of loss due to changes in For immovable properties owned | the market value of real estate Real estate risk own assets or of financial instruments linked to real estate assets | • The risk of decline in the value of the institution’s real estate by an institution Regulation (EU) investments 575/2013: • Where relevant, the value of financial instruments linked to real estate Article 134(1) - SA assets (e.g. real estate investment trusts, REITs) Article 156 - IRB • Dilution risk for all credit portfolios for which the IRB approach is not adopted, and for those whose dilution risk is deemed immaterial from a portfolio perspective • How exposures that are immaterial within each portfolio or exposure class are factored in the institution’s aggregate dilution risk assessment • Where relevant, whether the risk assessment of exposures to dilution | | Dilution risk Article 4 (53) of the CRR | risk in the acquiring business for merchant payment systems (for example, in the portfolio of contingent liabilities for chargeback positions) is appropriate and based upon a consistent segmentation of the underlying positions in accordance with their key contractual features – i.e. the nature of underlying sales transactions, the timing of processed payments, and the application of standard risk mitigation mechanisms. • Monitor whether the institution continues to fulfil the minimum | | Model risk (for regulatory Article 4(1), point (52b) of the CRR approved models) | requirements and ensure that related own funds requirements are not underestimated Directive 2013/36/EU: Article 3 • The assessment may be based on the insights gained in other supervisory actions, including those carried out in accordance with Article 101 of Directive 2013/36/EU |
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1.1 Referenzi
1.2 Rekwiżiti identifikati
1.3 Standards relatati
2. Rekwiżiti identifikati
3. Standards relatati
- EBA -
EN: Guidelines and other publications of the European Banking Authority (EBA), https://www.eba.europa.eu/. © European Banking Authority. Reproduction is authorised provided the source is acknowledged (EBA legal notice). Divided into sections and converted into the GRCA format, the wording unchanged. Only the versions published by the EBA are authoritative.
DE: Leitlinien und weitere Veröffentlichungen der Europäischen Bankenaufsichtsbehörde (EBA), https://www.eba.europa.eu/. © European Banking Authority. Wiedergabe mit Quellenangabe gestattet (Rechtlicher Hinweis der EBA). In Abschnitte aufgeteilt und in das GRCA-Format umgewandelt, der Wortlaut unverändert. Maßgeblich sind allein die von der EBA veröffentlichten Fassungen.
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