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

Orientările ABE privind cerinţa pentru riscurile adiţionale de nerambursare şi de migrare (IRC) ................................................................................................................ 1 Titlul I - Obiect, domeniu de aplicare şi definiţii……………………………………………………4

1. Obiect ........................................................................................................ 4 2. Domeniul de aplicare instituţional şi nivelul aplicării ......................................... 4 3. Definiţii ...................................................................................................... 4 Titlul II – Cerinţe privind modelarea IRC de către instituţii ............................................ 4

A. Domeniul de aplicare material ................................................................................................... 4 4. Poziţii care se supun calculării IRC ................................................................. 4 5. Poziţii care nu fac obiectul calculării IRC ......................................................... 6 6. Poziţii pe titluri de capital şi poziţii pe instrumente financiare derivate bazate pe titluri de capital ............................................................................................... 6 7. Poziţii pe propriile titluri de creanţă ale instituţiei............................................. 6 8. Utilizare parţială permanentă ........................................................................ 7 B. Modelare individuală ....................................................................................................................... 7 9. Standardul de soliditate comparabil cu RI ....................................................... 7 10. Criterii calitative ........................................................................................ 7 11. Sursa ratingurilor ...................................................................................... 7 12. Sursa probabilităţili de nerambursare şi a pierderii în caz de nerambursare ....... 8 C. Interdependenţă ................................................................................................................................ 9 13. Corelaţii între evenimente de nerambursare şi migrare ................................... 9 14. Ipoteze privind funcţia de tip copula ............................................................. 9 15. Factori de risc sistemic ............................................................................... 9 16. Concentrarea portofoliului ......................................................................... 10 17. Matrice de migrare ................................................................................... 10 18. Nivelul constant al ipotezei privind riscul pe un orizont de capital de un an ..... 11 19. Acoperire (hedging) ................................................................................. 12 D. Evaluarea profitului şi a pierderii .......................................................................................... 12 20. Impactul variaţiei ratingurilor asupra preţurilor pieţei ................................... 12 21. Calcularea profitului şi a pierderii ............................................................... 14 E. Orizontul de lichiditate ................................................................................................................. 14 22. Nivelul la care trebuie definite orizonturile de lichiditate ............................... 14 23. Criteriile principale de stabilire a orizontului de lichiditate relevant ................. 14 24. Monitorizarea orizonturilor de lichiditate - indicatori principali ai necesităţii de revizuire ...................................................................................................... 15 F. Aspecte generale .............................................................................................................................. 16 25. Validare .................................................................................................. 16 26. Test de utilizare ....................................................................................... 17 27. Documentare .......................................................................................... 17 28. Abordări IRC bazate pe diferiţi parametri .................................................... 17 29. Frecvenţa calculării .................................................................................. 18 Titlul III - Dispoziţii finale şi punere în aplicare ................................................................. 19

30. Data aplicării ........................................................................................... 19 Titlul I – Obiect, domeniu de aplicare şi definiţii

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