Parameters of the IRB Approach. 1. Class of exposures to central governments and central banks, exposures to institutions or corporate exposures

Transcription

1 Annex 13 Parameers of he IRB Approach I. The PD value 1. Class of exposures o cenral governmens and cenral bans, exposures o insiuions or corporae exposures a) The PD value for an exposure o an insiuion or a corporae exposure is a leas 0.03%; he minimum PD value for an exposure o a cenral governmen and a cenral ban is no se forh. b) For purchased corporae receivables, where he liable eniy is no able o demonsrae ha is esimaes of he PD value mee he requiremens on he use of he IRB Approach se forh in Annex 10 o he Decree, he following procedure is applied when he PD value of such exposures is deermined: 1. for senior purchased receivables, he PD value corresponds o he expeced loss rae divided by he applicable LGD value, 2. for subordinaed purchased receivables, he PD value corresponds o he expeced loss esimaed by he liable eniy. If he liable eniy, subjec o prior approval from he relevan compeen auhoriy, uses is own LGD value esimaes for corporae exposures and is able o decompose is expeced loss esimaes for purchased corporae receivables ino he PD and he LGD values in a reliable manner, i may use he esimaed PD value. c) The PD value of obligors in defaul is 100%. d) Subjec o prior approval from he relevan compeen auhoriy, he liable eniy may reflec he unfunded credi proecion ha mees he condiions for he eligibiliy of credi ris miigaion echniques pursuan o Aricles 102 o 107 and Annex 15 and 16 of his Decree in he PD value. e) If he liable eniy, subjec o prior approval from he relevan compeen auhoriy, becomes eniled o use is own LGD value esimaes for exposures o cenral governmens and cenral bans, insiuions and/or for corporae exposures, i can recognise he unfunded credi proecion under condiions se forh herein for he LGD value in he PD value. f) Wih respec o he diluion ris for purchased corporae receivables, he PD value equals o he esimaed expeced loss for he diluion ris. If he liable eniy, subjec o prior approval from he relevan compeen auhoriy, becomes eniled o use is own LGD value esimaes for corporae exposures and is able o decompose is expeced loss esimaes for he diluion ris of purchased corporae receivables ino he PD and he LGD values in a reliable manner, i may use he esimaed PD value. The liable eniy may ae ino accoun unfunded credi proecion of he credi ris, which is in accordance wih he credi ris miigaion echniques pursuan o Aricles 102 o 107 and Annex 15 and 16 of he Decree. The liable eniy eniled o use is own LGD esimaes in he case of diluion ris wih respec o purchased corporae receivables may recognise unfunded credi proecion using esimaed PD value adjusmen pursuan o II. The LGD Value, paragraph 1(c) hereinafer. 1

2 2. Reail exposure class a) The PD value for reail exposure is a leas 0.03 %. b) The PD value of obligors in defaul is 100 %. If he liable eniy assesses he evens of defaul a he ransacional level for reail exposures, he PD value for exposures in defaul is 100 %. c) Wih respec o he diluion ris of purchased reail receivables, he PD value equals he esimaed expeced loss for he diluion ris. If he liable eniy is able o decompose is esimaed expeced loss for he diluion ris of purchased reail receivables ino he PD and he LGD values in a reliable manner, i may use he esimaed PD value. d) Subjec o prior approval of he relevan compeen auhoriy, he liable eniy may reflec he unfunded credi proecion ha mees he condiions for he eligibiliy of credi ris miigaion echniques pursuan o Aricles 102 o 107 and Annex 15 and 16 of his Decree in he PD value, provided ha i is no refleced in he LGD value. This proecion may be aen ino accoun eiher in respec of a single exposure or a pool of exposures. The liable eniy deermines he adjused PD values o eep he adjused ris weigh of a guaraneed exposure a he same level or higher han he ris weigh of a direc exposure o he unfunded credi proecion provider. 3. Equiy exposure class if he mehod of esimaed PD and LGD value is used The PD value for such exposures is deermined using he mehods applicable o corporae exposures; however, i is a leas a) 0.09 % for exchange raded equiy exposures, if he invesmen is par of a long-erm relaionship wih he Cusomer, b) 0.40 % for oher exchange raded equiy exposures, including oher shor posiions pursuan o Annex 12 o he Decree (liabiliies arising from shor equiy sales and shor posiions in derivaives, if he liable eniy does no creae a rading porfolio and such insrumens are included in he invesmen porfolio), c) 0.09 % for non-exchange equiy exposures, if revenues from he invesmen are based on sound and recurring cash flows ha are no derived from capial gains, d) 1.25 % for all oher equiy exposures, including oher shor posiions pursuan o Annex 12 of he Decree. II. The LGD value 1. Class of exposures o cenral governmens and cenral bans, exposures o insiuions or corporae exposures a) If he liable eniy is no eniled o use is own LGD esimaes, i shall use he following LGD values: 1. a leas 75 % for subordinaed exposures wihou eligible collaeral, 2

3 2. a leas 45 % for oher exposures (oher han subordinaed) wihou eligible collaeral, 3. a leas % for covered bonds pursuan o Annex 4 o he Decree, % for purchased subordinaed corporae receivables, where he liable eniy is no able o demonsrae ha is PD value esimaes mee he requiremens on he use of he IRB Approach specified in Annex 10 o he Decree, 5. a leas 45 % for oher purchased corporae receivables (oher han subordinaed), where he liable eniy is no able o demonsrae ha is PD value esimaes conform o he requiremens on he use of he IRB Approach specified in Annex 10 o he Decree, 6. a leas 75 % for he diluion ris of purchased corporae receivables. b) If he liable eniy, subjec o prior approval from he relevan compeen auhoriy, becomes eniled o use is own LGD value esimaes for corporae exposures and is able o decompose is expeced loss esimaes for purchased corporae receivables ino he PD and he LGD values in a reliable manner, i can use he esimaed LGD value for boh he credi ris and he defaul ris of such receivables. c) If he liable eniy, subjec o prior approval from he relevan compeen auhoriy, becomes eniled o use is own LGD value esimaes for exposures o cenral governmens and cenral bans, insiuions and/or for corporae exposures, i can recognise credi proecion under he following condiions: 1. requiremens on he use of he IRB Approach specified in Annex 10 o he Decree are adhered o, 2. proecion is in line wih he credi ris miigaion echniques pursuan o Aricles 102 o 107 and Annexes 15 and 16 of he Decree 3. he relevan compeen auhoriy graned is approval, and 4. he proecion is aen ino accoun in he PD value or he LGD value. The liable eniy assigns he adjused PD or LGD values o secured exposures o eep he adjused ris weigh of a secured exposure a he same level or higher han he ris weigh of a direc exposure o he unfunded credi proecion provider. d) For he purposes specified in Annex 12 o he Decree, he LGD value of a comparable direc exposure o he unfunded credi proecion provider means eiher he LGD associaed wih an unsecured ransacion oward he unfunded credi proecion provider, or he LGD associaed wih an unsecured ransacion of he obligor, depending on wheher, in he even of a concurren defaul of boh he unfunded credi proecion provider and he obligor during a guaraneed ransacion, available documenaion and he srucure of he guaranee indicae ha he recovered amoun would depend eiher on he financial condiion of he unfunded credi proecion provider or he obligor. 2. Reail exposure class a) The LGD value for he diluion ris of purchased reail receivables is a leas 75 %. b) If he liable eniy is able o decompose is esimaed expeced loss for he diluion ris of purchased reail receivables ino he PD and he LGD values in a reliable manner, i may use he esimaed LGD value for such receivables. 3

4 c) The liable eniy may recognise he unfunded credi proecion in he LGD value, provided ha: 1. requiremens on he use of he IRB Approach specified in Annex 10 o he Decree are adhered o, 2. he proecion is in line wih he credi ris miigaion echniques pursuan o Aricles 102 o 107 and Annexes 15 and 16 of he Decree, 3. he relevan compeen auhoriy graned is approval, and 4. he proecion is no aen ino accoun in he PD value. This proecion may be recognised eiher in suppor of an individual exposure or a pool of exposures. The liable eniy ses forh adjused LGD values o eep he adjused ris weigh of a guaraneed exposure a he same level or higher han he ris weigh of a direc exposure o he unfunded credi proecion provider. d) For he purposes specified in Annex 12 o he Decree, he LGD value of a comparable direc exposure o he unfunded credi proecion provider means eiher he LGD associaed wih an unsecured ransacion oward he unfunded credi proecion provider providing unfunded credi proecion, or he LGD value associaed wih an unsecured ransacion of he obligor, depending on wheher, in he even of a concurren defaul of boh he unfunded credi proecion provider and he obligor during a guaraneed ransacion, available documenaion and he srucure of he guaranee indicae ha he recovered amoun would depend eiher on he financial condiion of he unfunded credi proecion provider or he obligor. 3. Equiy exposure class if he mehod of esimaed PD and LGD values is used a) The LGD value for privae equiy exposures included in sufficienly diversified porfolios is a leas 65 %. b) The LGD value for all oher equiy exposures is a leas 90 %. III. Mauriy (M) 1. Class of exposures o cenral governmens and cenral bans, exposures o insiuions or corporae exposures a) A liable eniy no eniled o use is own LGD value esimaes or is own conversion facors may se forh mauriy (M) for all exposures in a way similar o ha used by a liable eniy eniled o use is own LGD values or own conversion facors. If he liable eniy does no mae use of his opion, i shall apply he following values of mauriy (M): year for exposures from repurchase ransacions or securiies or commodiies lending or borrowing, years for oher exposures. b) If he liable eniy, subjec o prior approval from he relevan compeen auhoriy, becomes eniled o use is own LGD value esimaes or conversion facors for exposures o cenral governmens and cenral bans, insiuions and/or for corporae exposures, i ses forh mauriy (M) for each exposure according o he following rules, wih he mauriy (M) no exceeding 5 years: 4

5 1. for insrumens subjec o he cash flow plan, he mauriy (M) is calculaed using he formula where: CF denoes conracual cash flows a ime CF denoes (principal and ineres paymen agreed in he conrac wih he obligor) denoes ime expressed in years. 2. for derivaives subjec o a maser neing agreemen, he mauriy (M) shall be he weighed average remaining mauriy of he exposure, where M shall be a leas one year. The noional amoun of each exposure shall be used for weighing he mauriy; 3. for exposures from derivaives fully or nearly-fully secured by collaeral and from margin lending ransacions fully or nearly-fully secured by collaeral subjec o a maser neing agreemen, he mauriy (M) shall be he weighed average remaining mauriy of hese exposures, where M shall be a leas 10 days. In he case of repurchase ransacions, loans or borrowings of securiies or commodiies subjec o a maser neing agreemen, he mauriy (M) shall be he weighed average of he remaining mauriies of hese exposures, while his mus be a leas 5 days. The noional amoun of each exposure shall be used for weighing he mauriy; 4. if he liable eniy, subjec o prior approval from he relevan compeen auhoriy, uses is own PD value esimaes for purchased corporae receivables, he mauriy (M) for he drawn amoun of he exposure shall be he weighed average remaining mauriy of he exposure, where M shall be a leas 90 days. The same mauriy (M) shall be used for he undrawn amoun of he provided commimen o purchase receivables, provided ha such a commimen conains a provision on early repaymen or oher covenans proecing he buyer agains a considerable deerioraion of he qualiy of he fuure receivables o be purchased during he erm of he commimen. Should such effecive proecive measures be missing, he mauriy (M) for he undrawn amoun of he exposure shall be calculaed as he sum of he longes-daed poenial receivable pursuan o he purchase agreemen and he residual mauriy of he covenan; however, he mauriy (M) shall always be a leas 90 days. 5. for oher exposures no described above, or if a liable eniy is no able o calculae he mauriy (M) for insrumens subjec o he cash flow plan using he above formula, he mauriy (M) shall correspond o he maximum residual mauriy (in 5

6 years) graned o he obligor unil he full and complee repaymen of all of he obligor s conracual obligaions; however, he mauriy (M) shall always be a leas one year. 6. if he liable eniy is eniled o use he mehod of is inernal EPE model for he calculaion of exposure values pursuan o Annex 8 o he Decree, he mauriy (M) of he exposures o which his mehod is applied by he liable eniy and for which he mauriy of he longes conrac in a given neing se is longer han 1 year shall be deermined using he formula M = min 1year EffeciveEE 1year df EffeciveEE + mauriy > 1year df EE df ;5 where: df denoes he ris-free discoun facor for he fuure ime period, EE denoes he expeced exposure for he fuure ime period, he weighs = -1 allow for he case when fuure exposure is calculaed a daes ha are no equally spaced over ime, EffeciveEE denoes he effecive expeced exposure for he fuure ime period. A liable eniy using he mehod of is inernal EPE model for he calculaion of one-sided credi valuaion adjusmen may, subjec o prior approval from he relevan compeen auhoriy, use he effecive duraion of he loan esimaed (calculaed) in an analogous way as M. Excep for he provisions of paragraphs 7 and 8, he formula described in paragraph 1 above applies o he neing ses where he original mauriy of all conracs is shorer han 1 year. 7. he mauriy (M) is a leas one day in he even of 7.1 derivaives fully or nearly-fully secured by collaeral, 7.2 margin lending ransacions secured fully or nearly-fully by collaeral, or 7.3 repurchase ransacions or securiies/commodiy lending or borrowing provided ha regular daily remargining and revaluaion is necessary according o he documenaion and ha he documenaion includes provisions allowing he promp realizaion or neing of he collaeral in he even of defaul or if remargining is no performed. 8. mauriy (M) is a leas 1 day for claims on he Czech Naional Ban wih a residual mauriy of up o one year. c) For corporae exposures o a person domiciled in a Member Sae, if he consolidaed sales and consolidaed balance shee amoun of such a person is lower han an 6

7 equivalen of EUR 500,000,000, he liable eniy may use he mauriy (M), regardless of wheher i deermines is own esimaes of he LGD value or no, as follows: years for exposures from repurchase ransacions or securiies or commodiies lending or borrowing, years for oher exposures. d) In he even of mauriy mismach, provisions addressing mauriy mismach wihin he scope of credi ris miigaion echniques are followed. 2. Equiy exposure class if he mehod of esimaed PD and LGD values is used Mauriy (M) for any equiy exposure is 5 years. IV. The exposure value (E) 1. Class of exposures o cenral governmens and cenral bans, exposures o insiuions, corporae exposures and reail exposures a) Unless noed oherwise below, he value of on-balance shee exposures, including purchased receivables, corresponds o he boo value excluding value adjusmens (gross exposure value), for seleced exposures adjused o reflec he prudenial filers. b) Prudenial filers neuralising unrealised gains and losses are used for 1. deb insrumens included in he porfolio of financial insrumens available for sale for accouning purposes. The value of such exposures corresponds o he boo value wihou he value adjusmens, furher adjused o reflec revaluaion differences consising of accrued gains and losses from revaluaion a fair value capured direcly in equiy; any negaive revaluaion difference is added o he boo value wihou he value adjusmens, while any posiive revaluaion difference is subraced from he boo value wihou he value adjusmens; 2. financial insrumens described as hedged financial insrumens for accouning purposes wihin he use of he fair value deerminaion mehod. The value of such exposures corresponds o he boo value wihou he value adjusmens, furher adjused o reflec fair value adjusmens due o he hedged ris; accrued losses are added, while accrued gains are subraced. c) The leasing exposure value corresponds o discouned minimum leasing paymens. Prudenial filers are refleced for exposures pursuan o leer b). The minimum leasing paymen includes paymens payable by or recoverable from he lessee during he agreed leasing erm. If he lessee is eniled o purchase he leased asse from he lessor for a very low price a he end of he leasing erm and i can be expeced a he beginning of he agreed leasing erm ha he lessee will exercise his righ, he minimum leasing paymens shall include paymens required for his opion as well. Furhermore, amouns ha are guaraneed o he lessor by he lessee or by an eniy associaed wih he lessee are considered o be par of he minimum leasing paymens by he lessee. d) Exposure value resuling from purchased receivables 1. for he purpose of calculaing he capial requiremen for diluion ris, i corresponds o he boo value wihou value adjusmens, 7

8 2. for he purpose of calculaing he capial requiremen for credi ris, i corresponds o he boo value wihou value adjusmens reduced by he capial requiremens for diluion ris, all ha before he applicaion of credi ris miigaion echniques. Prudenial filers are aen ino accoun for exposures pursuan o leer b) e) The value of exposures o which he liable eniy applies a maser neing agreemen covering repurchase ransacions or securiies or commodiies lending or borrowing is deermined in accordance wih he provisions seing forh credi ris miigaion echniques. f) The value of exposures o which he liable eniy applies balance shee neing is deermined in accordance wih he provisions seing forh credi ris miigaion echniques. g) The exposure value of derivaives pursuan o Annex 7 o he Decree and long selemen ransacions is deermined using he 1. Mar-o-Mare Mehod, 2. Sandardised Mehod or 3. Inernal Model Mehod aing ino accoun he effec of novaion conracs and oher neing agreemens for he purpose of such mehods. The specificaion of he mehods and requiremens on he model are provided in Annex 8 o he Decree. h) The exposure value of repurchase ransacions or securiies or commodiies lending or borrowing and margin lending ransacions is deermined 1. according o he mehods and condiions for aing ino accoun he effecs of funded credi proecion pursuan o Annex 16 o he Decree, or 2. using he Inernal Model Mehod pursuan o Annex 8 o he Decree. i) If he exposure consiss of securiies or commodiies sold, posed or len wihin a repurchase ransacion or securiies or commodiies lending or borrowing, a long selemen ransacion or a margin lending ransacion, he exposure value corresponds o he boo value of such securiies or commodiies. If he Financial Collaeral Comprehensive Mehod is used, he exposure value is adjused using volailiy adjusmens assigned o he relevan securiies or commodiies. j) The value of an exposure o a cenral counerpary is deermined pursuan o Annex 8 o he Decree, if all exposures carried ou via his cenral counerpary by all paricipans in such an agreemen are subjec o full remargining by collaeral on a daily basis. ) For off-balance shee iems, he exposure value corresponds o he commied, bu sill undrawn amoun muliplied by an applicable conversion facor, namely 1. 0 % for undrawn credi commimens ha may be uncondiionally cancelled a any ime and wihou noice or permi he cancellaion of he commimen due o he deerioraing crediworhiness of he beneficiary of he credi commimen, wihou he liable eniy being exposed o a ris of penaly or loss. Reail exposures may be considered uncondiionally cancelable if legal regulaions, in paricular hose regulaing consumer righs, permi heir cancellaion o he full exen. A prerequisie for he applicaion of a conversion facor of 0% is he acive monioring of he obligor s financial siuaion and he abiliy of he liable eniy s 8

9 inernal governance o immediaely deec a deerioraion in he obligor s credi qualiy % for open and confirmed irrevocable documenary leers of credi which are secured by a warran for goods, or hose documenary leers of credi which are secured by a pledge on raded commodiy, and oher self-liquidaing ransacions; 3. For acquired commied undrawn amouns of purchased revolving receivables ha can be immediaely cancelled a any ime wihou noice, he applied conversion facor will be 0 %. In his case, he liable eniy shall acively monior he financial siuaion of he obligor and is inernal conrol mechanisms mus enable he liable eniy o immediaely deec a deerioraion in he credi qualiy of he obligor; % for undrawn commimens of purchased revolving receivables; % for commied undrawn amouns o purchase deb securiies (noe issuance faciliies, NIF) and he commied undrawn revolving underwriing faciliies (RIF) and oher undrawn credi faciliies. If any commimen relaes o an exension of anoher commimen, he lower of he wo conversion facors relaing o he said commimens will be used. The exposure value of oher off-balance shee iems no lised above is deermined according o he provisions for he Sandardized Approach. A liable eniy meeing he requiremens on he use of he IRB Approach may use is own esimaes of conversion facors for he differen producs specified above, subjec o approval of he relevan compeen auhoriy. 2. Equiy exposure class The equiy exposure value corresponds o he boo value of such an exposure. 3. Oher exposures The value of oher exposures corresponds o he boo value of such exposures. 9