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

EBA riktlinjer om kapitalbaskrav för tillkommande fallissemangs- och migrationsrisk .......................................................................................................................... 1 Avdelning I – Ämne, tillämpningsområde och definitioner ............................... 4 1. Sakområde ................................................................................................. 4 2. Tillämpningsområde och tillämpningsnivå ....................................................... 4 3. Definitioner................................................................................................. 4 Avdelning II – Krav avseende institutens modellering av tillkommande fallissemangs- och migrationsrisk ................................................................ 4 A. Sakområde ............................................................................................................................................. 4 4. Positioner som är föremål för beräkning av tillkommande fallissemangs- och migrationsrisk ................................................................................................. 4 5.Positioner som är inte är föremål för beräkning av tillkommande fallissemangs- och migrationsrisk ........................................................................................... 5 6. Positioner i aktier och aktiederivat ................................................................. 6 7. Positioner i institutets egen skuld .................................................................. 6 8. Permanent partiell användning ...................................................................... 6 B. Individuell modellering .................................................................................................................. 7 9. Fullvärdig standard jämförbar med metoden för intern riskklassificering ............. 7 10. Kvalitativa kriterier .................................................................................... 7 11. Kreditvärderingskällor ................................................................................ 7 12. Källa till fallissemangssannolikheter (PD)och förluster vid fallissemang (LGD) ... 8 C. Interdependens .................................................................................................................................. 8 13. Korrelationer mellan fallissemangs- och migrationshändelser .......................... 8 14. Copula-antaganden .................................................................................... 9 15. Systemiska riskfaktorer .............................................................................. 9 16. Portföljkoncentration .................................................................................. 9 17. Migrationsmatriser ................................................................................... 10 18. Antagande av konstant risknivå under den ettåriga kapitalhorisonten ............. 11 19. Hedging ................................................................................................. 11 D. Värdering av vinst och förlust ................................................................................................. 12 21. Beräkning av vinst och förlust ................................................................... 13 E. Likviditetshorisont .......................................................................................................................... 14 22. Nivån för definition av likviditetshorisonter ................................................. 14 23. Viktiga kriterier för att fastställa relevant likviditetshorisont .......................... 14 24. Övervakning av likviditetshorisonter – viktiga indikatorer för granskningsbehov .................................................................................................................. 15 F. Allmänna aspekter .......................................................................................................................... 16 25. Validering ............................................................................................... 16 26. Användningstest ...................................................................................... 16 27. Dokumentation........................................................................................ 17 29. Beräkningsfrekvens ................................................................................. 18 Avsnitt III – Slutbestämmelser och genomförande ....................................... 18 30. Datum för genomförande .......................................................................... 18 Avdelning I – Ämne, tillämpningsområde och definitioner

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