+Artikolu 265 Kamp ta’ applikazzjoni u rekwiżiti operattivi għall-Approċċ ta’ Valutazzjoni Interna
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Artikolu 265 Kamp ta’ applikazzjoni u rekwiżiti operattivi għall-Approċċ ta’ Valutazzjoni Interna

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1. Ħarsa ġenerali

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Artikolu 265 1.
L-istituzzjonijiet jistgħu jikkalkulaw l-ammonti ta’ skoperturi ponderati għar-riskju fir-rigward ta’ pożizzjonijiet mhux klassifikati fi programmi ABCP jew tranżazzjonijiet ABCP skont l-Approċċ ta’ Valutazzjoni Interna f’konformità mal-Artikolu 266, meta jiġu ssodisfati l-kondizzjonijiet stabbiliti fil-paragrafu 2 ta’ dan l-Artikolu.

Fejn istituzzjoni tkun irċeviet permess biex tapplika l-Approċċ ta’ Valutazzjoni Interna f’konformità mal-paragrafu 2 ta’ dan l-Artikolu, u pożizzjoni speċifika fi programm ABCP jew tranżazzjoni ABCP taqa’ fl-ambitu kopert minn tali permess, l-istituzzjoni għandha tapplika dak l-Approċċ biex jiġi kkalkulat l-ammont ta’ skoperturi ponderat għar-riskju ta’ dik il-pożizzjoni.
Article 265 2.

The competent authorities shall grant institutions permission to apply the Internal Assessment Approach within a clearly defined scope of application where all of the following conditions are met:

(a) 

all positions in the commercial paper issued from the ABCP programme are rated positions;

(b) 

the internal assessment of the credit quality of the position reflects the publicly available assessment methodology of one or more ECAIs for the rating of securitisation positions backed by underlying exposures of the type securitised;

(c) 

the commercial paper issued from the ABCP programme is predominantly issued to third-party investors;

(d) 

the institution’s internal assessment process is at least as conservative as the publicly available assessments of those ECAIs which have provided an external rating for the commercial paper issued from the ABCP programme, in particular with regard to stress factors and other relevant quantitative elements;

(e) 

the institution’s internal assessment methodology takes into account all relevant publicly available rating methodologies of the ECAIs that rate the commercial paper of the ABCP programme and includes rating grades corresponding to the credit assessments of ECAIs. The institution shall document in its internal records an explanatory statement describing how the requirements set out in this point have been met and shall update such statement on a regular basis;

(f) 

the institution uses the internal assessment methodology for internal risk management purposes, including in its decision-making, management information and internal capital allocation processes;

(g) 

internal or external auditors, an ECAI, or the institution’s internal credit review or risk management function perform regular reviews of the internal assessment process and the quality of the internal assessments of the credit quality of the institution’s exposures to an ABCP programme or ABCP transaction;

(h) 

the institution tracks the performance of its internal ratings over time to evaluate the performance of its internal assessment methodology and makes adjustments, as necessary, to that methodology when the performance of the exposures routinely diverges from that indicated by the internal ratings;

(i) 

the ABCP programme includes underwriting and liability management standards in the form of guidelines to the programme administrator on, at least:

(i) 

the asset eligibility criteria, subject to point (j);

(ii) 

the types and monetary value of the exposures arising from the provision of liquidity facilities and credit enhancements;

(iii) 

the loss distribution between the securitisation positions in the ABCP programme or ABCP transaction;

(iv) 

the legal and economic isolation of the transferred assets from the entity selling the assets;

(j) 

the asset eligibility criteria in the ABCP programme provide for, at least:

(i) 

exclusion of the purchase of assets that are significantly past due or defaulted;

(ii) 

limitation of excessive concentration to individual obligor or geographic area; and

(iii) 

limitation of the tenor of the assets to be purchased;

(k) 

an analysis of the asset seller’s credit risk and business profile is performed including, at least, an assessment of the seller’s:

(i) 

past and expected future financial performance;

(ii) 

current market position and expected future competitiveness;

(iii) 

leverage, cash flow, interest coverage and debt rating; and

(iv) 

underwriting standards, servicing capabilities, and collection processes;

(l) 

the ABCP programme has collection policies and processes that take into account the operational capability and credit quality of the servicer and comprises features that mitigate performance-related risks of the seller and the servicer. For the purposes of this point, performance-related risks may be mitigated through triggers based on the seller or servicer’s current credit quality to prevent commingling of funds in the event of the seller’s or servicer’s default;

(m) 

the aggregated estimate of loss on an asset pool that may be purchased under the ABCP programme takes into account all sources of potential risk, such as credit and dilution risk;

(n) 

where the seller-provided credit enhancement is sized based only on credit-related losses and dilution risk is material for the particular asset pool, the ABCP programme comprises a separate reserve for dilution risk;

(o) 

the size of the required enhancement level in the ABCP programme is calculated taking into account several years of historical information, including losses, delinquencies, dilutions, and the turnover rate of the receivables;

(p) 

the ABCP programme comprises structural features in the purchase of exposures in order to mitigate potential credit deterioration of the underlying portfolio. Such features may include wind-down triggers specific to a pool of exposures;

(q) 

the institution evaluates the characteristics of the underlying asset pool, such as its weighted-average credit score, and identifies any concentrations to an individual obligor or geographic area and the granularity of the asset pool.
Artikolu 265 3.
Meta l-funzjonijiet tal-istituzzjoni għall-verifika interna, ir-reviżjoni tal-kreditu jew il-ġestjoni tar-riskji jwettqu r-reviżjoni prevista fil-punt (g) tal-paragrafu 2, dawn il-funzjonijiet ikunu indipendenti mill-funzjonijiet interni tal-istituzzjoni li jittrattaw ir-relazzjonijiet tal-klijenti u kummerċjali tal-programm ABCP.
Artikolu 265 4.

L-istituzzjonijiet li ngħataw permess sabiex japplikaw l-Approċċ ta’ Valutazzjoni Interna ma għandhomx jirrikorru għall-użu ta’ metodi oħrajn għall-pożizzjonijiet li jaqgħu fil-kamp ta’ applikazzjoni tal-Approċċ ta’ Valutazzjoni Interna, sakemm ma jiġux issodisfati ż-żewġ kundizzjonijiet li ġejjin:

(a) 

l-istituzzjoni wriet għas-sodisfazzjon tal-awtorità kompetenti li l-istituzzjoni għandha raġuni tajba għaliex tagħmel dan;

(b) 

l-istituzzjoni tkun irċeviet il-permess minn qabel tal-awtorità kompetenti.

1.1 Referenzi

1.2 Rekwiżiti identifikati

1.3 Standards relatati

2. Rekwiżiti identifikati

Rekwiżiti

3. Standards relatati

Standards