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

Obecné pokyny Evropského orgánu pro bankovnictví o požadavku k dodatečnému riziku selhání a migrace (IRC) ............................................................. 1 Hlava I – Předmět, oblast působnosti a definice ................................................................. 3

1. Předmět ..................................................................................................... 4 2. Institucionální rozsah a míra působnosti ......................................................... 4 3. Definice ...................................................................................................... 4 Hlava II – Požadavky týkající se modelování IRC v institucích ...................................... 4

A. Podstatný rozsah působnosti ..................................................................................................... 4 4. Pozice, které jsou předmětem výpočtu IRC ..................................................... 4 5. Pozice, které nejsou předmětem výpočtu IRC ................................................. 5 6. Pozice v akciích a akciových derivátech .......................................................... 6 7. Pozice ve vlastním dluhovém nástroji instituce ................................................ 6 8. Trvalé částečné použití ................................................................................. 6 B. Vlastní proces modelování ........................................................................................................... 7 9. Standard spolehlivosti srovnatelný s IRB ........................................................ 7 10. Kvalitativní kritéria .................................................................................... 7 11. Zdroj ratingů ............................................................................................. 7 12. Zdroje PD a LGD ........................................................................................ 7 C. Vzájemná závislost ........................................................................................................................... 8 13. Korelace mezi případy selhání a migrace ...................................................... 8 14. Předpoklady o kopula funkci ........................................................................ 8 15. Systémové rizikové faktory ......................................................................... 9 16. Koncentrace portfolia ................................................................................. 9 17. Migrační matice ......................................................................................... 9 18. Předpoklad konstantní úrovně rizika v kapitálovém horizontu jednoho roku..... 10 19. Zajištění (hedging) .................................................................................. 11 D. Ocenění zisku a ztrát ..................................................................................................................... 12 20. Vliv změny ratingu na tržní ceny ................................................................ 12 21. Výpočet zisku a ztrát ................................................................................ 13 E. Horizont likvidity .............................................................................................................................. 13 22. Úroveň, na které se definují horizonty likvidity ............................................ 13 23. Klíčová kritéria pro určení relevantního horizontu likvidity ............................. 14 24. Monitorování horizontů likvidity – klíčové ukazatele potřeby přezkumu ........... 15 F. Obecné záležitosti ........................................................................................................................... 15 25. Validace ................................................................................................. 15 26. Test použití ............................................................................................. 16 27. Dokumentace .......................................................................................... 16 28. Přístupy k IRC založené na odlišných parametrech ....................................... 16 29. Četnost výpočtů ...................................................................................... 17 Hlava III – Závěrečná ustanovení a provedení .................................................................. 18

30. Datum použití ......................................................................................... 18

Hlava I – Předmět, oblast působnosti a definice

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