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

Euroopan pankkiviranomaisen ohjeet maksukyvyttömyysriskin ja luottoluokan siirtymäriskin kasvun kattamiseksi vaadittavasta pääomasta (Incremental Risk Charge, IRC) ...................................................................................... 1 I osasto – Asia, soveltamisala ja määritelmät ......................................................................................... 4

1. Asia ........................................................................................................... 4 2. Soveltamisala ja -taso.................................................................................. 4 3. Määritelmät ................................................................................................ 4 II osasto – Laitosten IRC-mallintamista koskevat vaatimukset............................................................... 4

A. Aineellinen soveltamisala ............................................................................................................. 4 4. Positiot, joihin sovelletaan IRC-laskentaa ....................................................... 4 5. Positiot, joihin ei sovelleta IRC-laskentaa ....................................................... 6 6 Oman pääoman ehtoisten välineiden ja niitä koskevien johdannaisten positiot ..... 6 7. Positiot laitoksen omassa velassa .................................................................. 6 8. Pysyvä tapauskohtainen soveltaminen ........................................................... 7 B. Yksittäinen mallintaminen ........................................................................................................... 7 9. Sisäisten luottoluokitusten menetelmää (IRB) vastaava vakausstandardi ............ 7 10. Laadulliset kriteerit .................................................................................... 7 11. Luokitusten lähde ...................................................................................... 7 12. PD- ja LGD-lukujen lähde ........................................................................... 8 C. Keskinäinen riippuvuus .................................................................................................................. 9 13. Maksukyvyttömyyden ja luottoluokan siirtymien väliset korrelaatiot ................. 9 14. Kopulafunktioita koskevat oletukset ............................................................. 9 15. Systeemiset riskitekijät .............................................................................. 9 16. Keskittynyt salkku ................................................................................... 10 17. Siirtymämatriisit ...................................................................................... 10 18. Vakaan riskitason oletus yhden vuoden pääomahorisontin aikana .................. 11 19. Suojaus .................................................................................................. 12 D. Tuloslaskelman arviointi ............................................................................................................. 12 20. Luokitusmuutosten vaikutukset markkinahintoihin ....................................... 12 21. Tuloslaskelman laadinta ........................................................................... 14 E. Likviditeettihorisontti .................................................................................................................... 14 22. Taso, jolla likviditeettihorisontit tulee määrittää ........................................... 14 23. Keskeiset kriteerit asianmukaisen likviditeettihorisontin määrittämiselle ......... 14 24. Likviditeettihorisonttien valvonta – tarkistustarpeen keskeiset indikaattorit ..... 15 F. Yleiset säännökset .......................................................................................................................... 16 25. Validointi ................................................................................................ 16 26. Käytettävyystesti ..................................................................................... 17 27. Dokumentointi ........................................................................................ 17 28. Eri parametreihin perustuvat IRC-menetelmät ............................................. 17 29. Laskentatiheys ........................................................................................ 18 III osasto – Loppumääräykset ja täytäntöönpano ................................................................................ 19

30. Soveltamispäivä ...................................................................................... 19 I osasto – Asia, soveltamisala ja määritelmät

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