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

Usmernenia EBA ku kapitálovej požiadavke na dodatočné riziká zlyhania a migrácie (IRC) ..................................................................................................................... 1 Hlava I – Predmet úpravy, rozsah pôsobnosti a vymedzenie pojmov ........................ 4

1. Predmet úpravy .......................................................................................... 4 2. Inštitucionálna pôsobnosť a úroveň uplatňovania ............................................. 4 3. Vymedzenie pojmov .................................................................................... 4 Hlava II – Požiadavky týkajúce sa modelovania IRC inštitúcií ....................................... 4

A. Vecný rozsah pôsobnosti .............................................................................................................. 4 4. Pozície podliehajúce výpočtu IRC ................................................................... 4 5. Pozície nepodliehajúce výpočtu IRC ............................................................... 5 6. Pozície v akciách a akciových derivátoch ........................................................ 6 7. Pozície vo vlastnom dlhu inštitúcie ................................................................. 6 8. Stále čiastočné používanie ............................................................................ 6 B. Individuálne modelovanie ............................................................................................................ 7 9. Úroveň spoľahlivosti porovnateľná s IRB ......................................................... 7 10. Kvalitatívne kritériá .................................................................................... 7 11. Zdroj ratingov ........................................................................................... 7 12. Zdroj PD a LGD ......................................................................................... 7 C. Vzájomná závislosť ........................................................................................................................... 8 13. Korelácie medzi udalosťami zlyhania a migrácie ............................................. 8 14. Predpoklady na základe funkcie copula ......................................................... 8 15. Systémové rizikové faktory ......................................................................... 8 16. Koncentrácia portfólia ................................................................................ 9 17. Migračné matice ........................................................................................ 9 18. Konštantná úroveň predpokladu rizika v kapitálovom horizonte jedného roka .. 10 19. Zaistenie ................................................................................................ 11 D. Ocenenie zisku a straty ............................................................................................................... 11 20. Vplyv zmeny ratingu na trhové ceny .......................................................... 11 21. Výpočet zisku a straty .............................................................................. 12 E. Horizont likvidity .............................................................................................................................. 13 22. Úroveň stanovenia horizontu likvidity ......................................................... 13 23. Základné kritériá na stanovenie príslušného horizontu likvidity ...................... 13 24. Monitorovanie horizontov likvidity – základné indikátory potreby preskúmania 14 F. Všeobecné otázky ............................................................................................................................ 14 25. Validácia ................................................................................................. 14 26. Test používania ....................................................................................... 15 27. Dokumentácia ......................................................................................... 15 28. Prístupy IRC založené na rozličných parametroch ........................................ 15 29. Frekvencia výpočtu .................................................................................. 16 Hlava III – Záverečné ustanovenia a vykonanie ............................................................... 17

30. Dátum začiatku uplatňovania .................................................................... 17 Hlava I – Predmet úpravy, rozsah pôsobnosti a vymedzenie pojmov

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