487th regulation of the financial market authority (FMA) on the proper collection, control, monitoring and limiting the types of risks pursuant to § 39 para 2 b BWG (credit risk management regulation KI-RMV)
On the basis of § 39 para 4 of the banking law - BWG, BGBl. No. 532/1993, as last amended by Federal Law Gazette I no. 184/2013, is with the consent of the Federal Minister of finance prescribed:
General terms and conditions
§ 1. This regulation serves the implementation of the Directive 2013/36/EC on the access to the activity of credit institutions and the supervision of credit institutions and investment firms, amending Directive 2002/87/EC and repealing directives 2006/48/EC and 2006/49/EC, OJ No. L 176 of the 27.06.2013 p. 338, in Austrian law. It provides the basic requirements for the purposes of the proper acquisition, control, monitoring and limiting the types of risks pursuant to § 39 para 2 b BWG.
Scope of application
Section 2 (1) is this Regulation as far as credit institutions referred to in article 1, paragraph 1 apply to BWG, unless these not according to § 3 BWG or section 30a para 6 Banking Act in conjunction with article 10 of Regulation (EU) No. 575/2013 on supervision requirements for credit institutions and investment firms and for amending the Regulation (EU) No. 648/2012, OJ No. L 176 of the 27.06.2013 S. 1, BWG on an individual basis were exempted from compliance with section 39 paragraph 2.
(2) groups of credit institutions in accordance with section 30 BWG, Institute-related security systems in accordance with article 113 paragraph 7 of the Regulation (EU) No. 575/2013 and who have section 30a BWG Central Organization of a group of credit institutions in accordance with the requirements of this regulation on consolidated to meet base.
(3) § 12 (liquidity risk) applies equally to the Central Institute of a cash bond according to § 27a of the BWG. Central institutions have all risks which may arise from the system of joint liquidity compensation, to include in the liquidity risk management.
(4) this Regulation shall apply as well for CRR investment firms within the meaning of article 4 para 1 No. 2 of the Regulation (EU) No. 575/2013.
General principles for the risk management
3. (1) credit institutions have in section 2 (provisions for the various types of risk) laid down minimum standards for the acquisition, evaluation, control and monitoring of the banking and banking operations risks pursuant to § 39 para 2 BWG adequately taken into account. Credit institutions have to take into account for this purpose on the nature, scope and complexity-driven banking, as well as on the current European practice.
(2) credit institutions are to have that are suitable to avoid interests and conflicts within their organizational structure transparent tasks and accountability deferred.
(3) credit institutions may have documented in writing and coherent strategies of risk and limit systems to have transparent derived from the overall business strategy of the credit institution.
(4) the procedure for the acquisition, evaluation, control and monitoring of the banking and operational risks are regularly to evaluate and update. Banks in particular have capture the risks to ensure the consistency and validity of the data used.
(5) credit institutions have internal processes to dispose that are effective, transparent and comprehensible way.
(6) credit institutions have procedures for the detection, assessment, appropriate and comprehensible to document control and monitoring of the banking and banking operations risks made measures.
(7) the procedure for the acquisition, evaluation, control and monitoring of the banking and operational risks have also specific risk resulting from the individual business model, to cover. Here are the impact of diversification strategies to take into account. The risks arising from the individual business model must be documented properly and comprehensibly.
(8) credit institutions have for recording, assessment, to take into account the results of internal stress test control and monitoring of the banking and operational risks.
§ 4. For this regulation, the following definitions shall apply:
1. credit risk: the risk that is in danger of partial or complete failure of contractually agreed payments;
2. counterparty risk: counterparty risk in accordance with article 272 para. 1 of the Regulation (EU) No. 575/2013;
3. credit risk: credit risk mitigation in accordance with article 4 para 1 No. 57 of Regulation (EU) No. 575/2013;
4. credit risk mitigation residual risk of techniques: the risk that the by the bank credit risk mitigation used bankaufsichtlich recognized techniques are less effective than expected;
5. concentration risk: the risk of possible adverse consequences that concentrations or interactions of similar and different risk factors or risk categories could grow, such as, for example, the risk that arises from loans to same customers, a group of connected clients or customers from the same region or industry or to customers with the same services and goods, the use of credit risk mitigation techniques, and in particular from indirect large exposures;
6 Securitisation: Securitisation within the meaning of article 4 para 1 No. 61 of Regulation (EU) No. 575/2013;
7. securitisation risk: the risk that arises from securitisation transactions in which the credit institution acts as investor, originator or sponsor; This includes also reputational risks as they arise in complex structures or products;
8 market risk: a) the specific and general position risk in interest-related instruments, b) the specific and general position risk in asset values, c) the risk of stock index futures, d) the risk from investment funds, e) the other risks associated with options, f) the commodities risk and g) the risk of foreign currency and gold positions;
9. interest rate risk: the risk of possible changes in interest rates, which affect the transactions recorded in the trading book;
10 operational risk: operational risk within the meaning of article 4 para 1 No. 52 of Regulation (EU) No. 575/2013;
11 debt: Debt within the meaning of article 4 para 1 No. 93 of Regulation (EU) No. 575/2013;
12. risk of excessive debt: the risk of excessive indebtedness within the meaning of article 4 para 1 No. 94 of Regulation (EU) No. 575/2013.
Provisions relating to the various types of risk
Credit and counterparty risk
5. (1) credit institutions have to ensure that lending is based on solid, well-defined criteria. The procedures for the approval, modification, extension and refinancing of loans are traceable to regulate.
(2) credit institutions have internal methods to dispose, by which they can evaluate the credit risk of individual debtors, securities or securitisation positions as well as for the whole portfolio. These internal methods may rely on external credit assessments in particular not solely or automatically. Capital requirements are based on the credit rating of an external rating agency or the fact that there is no rating for a risk position, so this does not exempt credit institutions from the obligation to consider other relevant information to assess the allocation of internal capital into account.
(3) credit institutions have effective systems to set up:
1 portfolio subject to credit risk for the ongoing management and monitoring of the various and positions;
2. for the detection and management of problem loans.
3. for making adequate value adjustments and provisions.
(4) credit institutions have adequately diversify their loan portfolios, taking into account their overall credit strategy. Here they have on their target markets to turn off.
Residual risk from credit risk mitigation techniques
§ 6 credit institutions have written policies and procedures to capture the risk that the inserted recognised credit risk mitigation techniques prove less effective than expected, and control.
§ 7 banks have to cover in particular the following concentration risks by means of written policies and procedures and control:
1. the concentration risk arising from the risk exposure to any single counterparty, including central counterparties, as well as towards groups of connected counterparties;
2. the concentration risk with counterparties, which come from the same economic sector or same region or engage in the same activities or sell the same goods;
3. the concentration risk arising from the use of credit risk mitigation techniques;
4. concentration risk from large indirect credit risks;
5. concentration risk in relation to the investment of assets, financing sources and maturity levels, and 6 the concentration risk of correlated risk factors.
Credit institutions have section 8 (1) to enter the securitization risk by means of appropriate policies and procedures and control. The credit institutions have to ensure that the economic substance of securitization in the risk assessment and the decisions of the Executive Board in its entirety to the expression.
(2) credit institutions, the originator of revolving securitizations with early redemption clauses, have liquidity plans to have, taking into account the impact of a planned as well as an early redemption.
§ 9 (1) credit institutions have to have all major causes and effects of market risks to identify, measure and control policies and procedures.
(2) credit institutions have to provide measures on the risk of a liquidity bottleneck if the short position before the purchase will be charged.
(3) credit institutions have to ensure that the internal capital adequately covers significant market risks which are subject to any capital requirement.
(4) credit institutions, in the calculation of the capital requirements for position risk in accordance with section 3 title IV, Chapter 2 of Regulation (EU) No. 575/2013 offset their positions in one or more shares of a stock index against one or more positions in the stock index futures or any other stock index product, are to have enough internal capital to cover the base risk of losses in the event , that the value of the futures contract or other product not completely synchronously developed with which the underlying shares. Credit institutions are also sufficient internal capital to have, if they hold opposite positions in stock index futures contracts, which do not match the runtime or composition.
(5) credit institutions, article 345 of Regulation (EU) No. 575/2013 using the procedure, have to ensure that they have sufficient internal capital to cover the risk of loss which exists between the time that the commitment to, and the next working day.
Interest rate risk in transactions of the investment book
§ 10 financial institutions have appropriate systems to have the risk of possible changes in interest rates, which affect the transactions recorded in the system log, to be able to identify, measure and control.
Credit institutions have 11 (1) operational risk, including the risk of model, and the hedge against infrequently occurring events with serious consequences with the help of appropriate policies and procedures to evaluate and control. Credit institutions have to set, in writing, what represents an operational risk for the purposes of these principles and procedures. Major claims are to analyse their causes and to document the results.
(2) credit institutions have to dispose, which ensure the continuation of the business activities and the limitation of losses when a serious interruption of emergency and business continuity planning.
12. (1) credit institutions have about strategies, policies, procedures and systems for the identification, measurement, control, and supervision of liquidity risk over an appropriate number of time periods, including within one business day, to have, to ensure that they have adequate liquidity buffer. The strategies, policies, procedures and systems are on the concerned businesses, currencies, adjust branches and law subjects.
(2) the strategies, principles, processes, and systems include among other mechanisms for an adequate allocation of liquidity costs, benefits and risks referred to in paragraph 1.
(3) the strategies, policies, procedures and systems referred to in paragraph 1 have the complexity of adequately to meet the risk profile and the field of activity of the Institute, as well as the risk tolerance set by the management body and reflect the importance of the credit institution in each Member State in which it operates. The governing body has all relevant divisions of the Institute about the risk tolerance to inform.
(4) credit institutions have, taking into account the nature, the scope and the complexity of its business continuously the adequacy of their liquidity risk profiles to make sure and make sure that the relevant risk profile for the functioning and the soundness of the financial system is needed, but not go beyond and thus inappropriate systemic risks (§ 2 Z 41 BWG) generated.
(5) credit institutions have methods for the identification, measurement, to have control and monitoring of funding positions. These methods are the current and expected significant cash flows in and out of assets, liabilities, off-balance sheet positions, including contingent liabilities, as well as the possible impact of reputational risk to include.
(6) credit institutions have between loaded and unloaded assets that are at all times, available in particular in times of crisis, to distinguish. Credit institutions have the risks arising from the reservation of assets (asset encumbrance), to take into account and to set up procedures that represent particular height and development type of asset encumbrance. Credit institutions have the right subject, in which the assets are kept, the State where these are either registered in a register or posted on an account with quite categorical effect, as well as the liquidated of the assets into account. The credit institutions have to monitor how these assets can be mobilised quickly.
(7) credit institutions have the legal, regulatory and operational restrictions relating to potential transfers of liquidity and unencumbered assets between units or entities, both within and outside the EEA to take into account.
(8) credit institutions have different arrangements to reduce liquidity risk, including limit systems and liquidity buffers to withstand various stressful situations. You have to take precautions to ensure an adequately diversified funding structure and access to funding sources. These measures must be checked regularly.
(9) credit institutions have to create stress tests for liquidity positions and on risk mitigants. In these stress tests also off-balance sheet items and other contingent liabilities, including those of securitisation special purpose entities and other special purpose entities, are the credit institution which acts as sponsor or provides material liquidity support, to be included. The assumptions that underlie the decisions concerning the funding position, are regularly, but at least annually to verify.
(10) credit institutions have the potential impact of institution-specific, market-wide and combined stress tests to be considered. Thereby, different time horizons and different severe crisis situations are to be included.
(11) credit institutions have their strategies to evaluate internal principles and limit systems for liquidity risk based on the results of the stress tests according to paragraph 9 and adjust if necessary.
(12) credit institutions have effective emergency concepts which take into account the results of the stress tests according to paragraph 9, to create. The emergency concepts must include concrete implementing measures and be suitable to overcome any liquidity bottlenecks also branch offices in another Member State in the event of a liquidity crisis. The concepts have quantitative assessments of the in the Stressfall in - and outflows of liquid assets to include. These concepts are regularly, but at least annually to check as well as to evaluate on the basis of the results of the stress tests according to paragraph 9, and adjust if necessary. Credit institutions have to implement the necessary operational measures pre-emptively and to test, so that the emergency concepts can be implemented immediately in the event of a crisis. Is the management body to report on the validation of the concepts as well as their update. The governing body has the emergency concepts, to approve their update, as well as the resulting adjustments to the internal policies and procedures.
Risk of excessive indebtedness
Section 13 (1) credit institutions have policies and procedures to identify, to have control and monitoring of the risk of excessive indebtedness.
(2) as indicators of the risk of an excessive debt, they are anyway, according to article 429 of Regulation (EU) No. 575 / 2013 determined debt and mismatches between assets and liabilities to be used. Credit institutions have to be able to stand with regard to the risk of excessive indebtedness of a number of different crisis situations.
(3) credit institutions have preemptively to monitor the risk of excessive debt and by expected for this purpose of this risk, the potential increase or realized losses and the resulting reduction of own resources according to the applicable accounting regulations can come duly to take into account.
Risks that arise from the macro-economic environment
14. (1) credit institutions have appropriate policies and procedures to identify, control and monitoring of risks that can result from changes in the macroeconomic environment to have. Credit institutions have to collect those risks that may result from significant deterioration in the real GDP growth rate, a significant increase in unemployment, the significant change in the rate of inflation, as well as significant deterioration of performance and capital account in States in which the credit institution holds exposures.
(2) credit institutions have to identify macro-economic risks for all of those States, to control and monitor, to which the credit institution holds direct or indirect exposures.
(3) credit institutions have to take into account the volatility of the Institute internal measures within the framework of the procedures referred to in paragraph 1 and to assess their potential impact on the solvency and liquidity of the credit institution. In the context of these reviews also correlations between macroeconomic indicators are appropriate to take account of the development of financial markets and assets of the credit institution. The calculations have to be done by recognized scientific methods.
(4) credit institutions have to incorporate the results of reviews pursuant to paragraph 3 in an appropriate manner in their Institute internal scenario analyses.
Entry into force
§ 15. This Regulation shall enter into force 1 January 2014.
Ettl Kumpf Müller