487. Regulation of the Financial Market Supervisory Authority (FMA) on the proper collection, control, supervision and limitation of the types of risk according to § 39 para. 2b BWG (credit institution risk management regulation-KI-RMV)

Pursuant to Section 39 (4) of the Banking Act-BWG, BGBl. No. 532/1993, as last amended by the Federal Law BGBl. I n ° 184/2013, is assigned with the approval of the Federal Minister for Finance:

Section 1

General provisions

Purpose

§ 1. This Regulation provides for the implementation of Directive 2013 /36/EU on access to the activities of credit institutions and the supervision of credit institutions and investment firms, amending Directive 2002/87/EC and repealing the Directives 2006 /48/EC and 2006 /49/EC, OJ L 124, 20.4.2006, No. OJ L 176 of 27.06.2013 p. 338, in Austrian law. It regulates the minimum requirements for the purpose of the proper collection, control, supervision and limitation of the types of risk according to § 39 paragraph 2b BWG.

Scope

§ 2. (1) This Regulation shall apply to credit institutions in this respect in accordance with Section 1 (1) of the Federal Elections Act, insofar as these do not comply with Article 10 of Regulation (EU) No 575/2013 on prudential requirements for credit institutions and in accordance with Section 3 of the BWG or Article 30a (6) of the BWG. Investment firms and amending Regulation (EU) No 648/2012, OJ L 206, 22.7.2012, p. No. 1., of which compliance with Section 39 (2) of the Federal Elections Act (BWG) has been exempted.

(2) Credit institution groups according to § 30 BWG, institute-related protection systems pursuant to Art. 113 (7) of Regulation (EU) No. 575/2013 and the central organization of a credit institution-association according to § 30a of the Federal Elections Act (BWG) have the requirements of this Regulation on a consolidated basis.

(3) § 12 (liquidity risk) shall also apply to the Central Institute of a Liquidity Association according to § 27a BWG. In this context, central institutions have to include all the risks that may arise from the system of joint liquidity compensation in the liquidity risk management.

(4) This Regulation shall also apply to CRR investment firms within the meaning of Article 4 (1) (2) of Regulation (EU) No 575/2013.

General principles for risk management

§ 3. (1) Credit institutions shall have the minimum requirements laid down in Section 2 (Provisions relating to each type of risk) in the collection, assessment, management and supervision of the banking and banking risks referred to in Article 39 (2) of the Treaty. To take appropriate account of BWG. For this purpose credit institutions shall take account of the nature, scope and complexity of the banking operations carried out and of the current European practices.

(2) Credit institutions shall have, within their organisational structure, transparent tasks of duties and responsibilities which are appropriate to avoid conflicts of interest and competence.

(3) Credit institutions shall have in writing documented and coherent risk strategies and limit systems which may be derived from the general business strategy of the credit institution in a comprehensible way.

(4) The procedures for the collection, assessment, management and supervision of banking and banking risks are to be regularly evaluated and updated. Credit institutions shall ensure the consistency and validity of the data used, in particular in the event of a risk assessment.

(5) Credit institutions have to have internal processes that are effective, transparent and comprehensible.

(6) Credit institutions shall document the measures taken in the context of the procedures for the collection, assessment, management and supervision of banking and banking risks in an appropriate and comprehensible way.

(7) The procedures for the collection, assessment, management and supervision of banking and banking risks also include the specific risk arising from the individual business model. The impact of diversification strategies should also be taken into account. The risks arising from the individual business model are to be documented in an appropriate and comprehensible way.

(8) Credit institutions have to take into account the results of internal stress tests in the collection, assessment, management and supervision of banking and banking risks.

Definitions

§ 4. The following definitions shall apply to this Regulation:

1.		Credit risk: the risk that exists in the risk of a partial or complete failure to pay contractually agreed payments;
2.		Counterparty risk: counterparty default risk within the meaning of Art. 272 (1) of Regulation (EU) No 575/2013;
3.		Credit risk reduction: credit risk reduction within the meaning of Article 4 (1) (57) of Regulation (EU) No 575/2013;
4.		Residual risk from credit risk-reducing techniques: the risk that credit risk mitigation techniques that are recognized by the credit institution are less effective than expected;
5.		Concentration risk: the risk of possible adverse effects that may arise from concentrations or interactions of similar and different risk factors or types of risk, such as the risk of exposure to credit to the same customer, to a group of connected customers or to customers from the same region or industry, or to customers with the same services and goods, from the use of credit risk mitigation techniques and, in particular, from large-scale indirect credit is growing;
6.		Securitisation: securitisation within the meaning of Art. 4 (1) (61) of Regulation (EU) No 575/2013;
7.		Securitisation risk: the risk arising from securitisation transactions in which the credit institution acts as an investor, originator or sponsor; this also includes reputational risks such as those arising from 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 substance values,
c)			the risk from stock-index futures,
d)			the risk from investment fund shares;
e)			the other risks associated with options,
f)			the risk of goods and
g)			the risk from foreign currency and gold positions;
9.		Interest rate change risk: the risk of possible interest rate changes affecting the transactions recorded in the investment diary;
10.		Operational risk: the operational risk within the meaning of Art. 4 (1) (52) of Regulation (EU) No 575/2013;
11.		Debt: indebtedness within the meaning of Article 4 (1) (93) of Regulation (EU) No 575/2013;
12.		Risk of excessive indebtedness: the risk of excessive indebtedness within the meaning of Article 4 (1) (94) of Regulation (EU) No 575/2013.

Section 2

Provisions relating to the different types of risk

Credit and counterparty risk

§ 5. (1) Credit institutions shall ensure that the lending is carried out in accordance with sound, clearly defined criteria. The procedures for the authorisation, modification, renewal and refinancing of loans should be laid down in a comprehensible way.

(2) Credit institutions shall have internal methods to enable them to assess the credit risk both for individual debtors, securities or securitisation positions and for the entire portfolio. In particular, these internal methods may not be based exclusively or automatically on external credit ratings. Where own resources requirements are based on the credit assessment of an external credit rating agency or the absence of a credit rating for a risk position, the credit institutions shall not be exempted from the obligation to do so, and other relevant To consider evaluating the allocation of their internal capital.

(3) Credit institutions shall have effective systems in place:

1.		for the day-to-day management and monitoring of the various credit-risk portfolios and positions;
2.		for the identification and management of problem credits;
3.		for the provision of adequate value adjustments and provisions.

(4) Credit institutions shall appropriately diversify their credit portfolios, taking into account their overall credit strategy. In doing so, they must, in particular, put an end to their markets.

Residual risk from credit risk-inderating techniques

§ 6. Credit institutions shall, by means of written principles and procedures, take the risk that the recognised credit risk mitigation techniques used will prove to be less effective than expected, to be recorded and controlled.

Concentration risk

§ 7. Credit institutions shall, by means of written principles and procedures, collect and control, in particular, the following concentration risks:

1.		The risk of concentration from the risk exposures to each of the counterparties, including central counterparties, and groups of related counterparties;
2.		the concentration risk to counterparties coming from the same economic activity or region or who are carrying out the same activities or selling the same goods;
3.		the risk of concentration arising from the use of credit risk-inderating techniques;
4.		the concentration risk from major indirect credit risks;
5.		the concentration risk in the context of the assessment of assets, sources of financing and due concentration, and
6.		the concentration risk from correlating risk factors.

Securitisation risk

§ 8. (1) Credit institutions shall record and control the securitisation risk by means of appropriate principles and procedures. Credit institutions shall ensure that the economic substance of the securitisation is fully reflected in the risk assessment and the decisions of the management.

(2) Credit institutions which are originators of revolving securitisations with early repayment clauses shall have liquidity plans to take account of the effects of both a scheduled and a premature repayment .

Market risk

§ 9. (1) Credit institutions shall have principles and procedures in place to identify, measure and control all the main causes and effects of market risks.

(2) Credit institutions shall have to provide for measures relating to the risk of a liquidity passport if the sales position is due before the purchase position.

(3) Credit institutions shall ensure that the internal capital adequately covers significant market risks which are not subject to own resources requirements.

(4) credit institutions which, in the calculation of the own resources requirements for the position risk referred to in Part 3, Title IV, Chapter 2 of Regulation (EU) No 575/2013, have their positions in one or more shares of a share index against one or more of the shares in the credit institutions. Offset positions in the stock index-Future or any other stock index product, have sufficient internal capital to cover the base risk of losses in the event that the value of the futures contract or the other product is is not entirely in the same way as the underlying shares. Credit institutions shall also have sufficient internal capital if they hold opposite positions in stock-index futures, the maturity or composition of which do not match.

(5) Credit institutions using the procedure laid down in Article 345 of Regulation (EU) No 575/2013 shall ensure that they have sufficient internal capital to cover the risk of loss between the date on which the obligation to , and the next working day.

Interest rate change risk in the transactions of the investment book

§ 10. Credit institutions shall have appropriate systems to measure, measure and control the risk of possible interest rate changes affecting the transactions recorded in the investment diary.

Operational risk

§ 11. (1) Credit institutions shall assess and control their operational risk, including the model risk, and the hedging of rare events with serious consequences, with the assistance of appropriate principles and procedures. Credit institutions shall specify in writing what constitutes an operational risk for the purposes of these principles and procedures. Important damage cases must be analysed in terms of their causes and the results are to be documented.

(2) Credit institutions shall have emergency and operational continuity plans which, in the event of a serious business interruption, ensure the continuation of operations and the limitation of losses.

Liquidity risk

§ 12. (1) Credit institutions shall have appropriate strategies, principles, procedures and systems for the identification, measurement, control and monitoring of the liquidity risk over a reasonable number of periods, including within a Business stages, to ensure that they have adequate liquidity buffers. The strategies, principles, procedures and systems are to be adapted to the relevant business units, currencies, branches and legal entities.

(2) The strategies, principles, procedures and systems referred to in paragraph 1 shall include, inter alia, mechanisms for the appropriate allocation of liquidity costs, benefits and risks.

(3) The strategies, principles, procedures and systems referred to in paragraph 1 shall be proportionate to the complexity, risk profile and activities of the institution and to the risk tolerance defined by the managing body, and shall have the meaning of credit institution in each Member State in which it operates. The managing body has to inform all relevant business units of the Institute about risk tolerance.

(4) Credit institutions shall, taking into account the nature, scope and complexity of their operations, continuously ensure the adequacy of their liquidity risk profiles and ensure that the respective risk profile for the functioning of the credit institutions is and the soundness of the financial system is required, but not beyond, and thereby generating inappropriate systemic risks (§ 2 Z 41 BWG).

(5) Credit institutions shall have methods for the identification, measurement, control and supervision of refinancing positions. These methods include the current and expected significant cash flows in and out of assets, liabilities, off-balance-sheet items, including contingent liabilities, as well as the potential impact of reputational risk. .

(6) Credit institutions shall be able to distinguish between loaded and unloaded assets, which are available at any time, particularly in times of crisis. Credit institutions have to take into account the risks arising from the reservation of assets (asset encumbrance) and to establish procedures which, in particular, represent the level, development and type of asset encumbrance. Credit institutions shall have the legal entity in which the assets are held, the State in which they are either registered in a register or recorded in an account with a legal effect, and the liquitability of the assets of the institutions. assets to be taken into account. Credit institutions will have to monitor how these assets can be mobilised in a timely manner.

(7) Credit institutions shall have the legal, regulatory and operational restrictions applicable to potential transfers of liquidity and non-polluted assets between entities or entities, both within and outside the EEA, take into account.

(8) Credit institutions shall take various measures to mitigate the liquidity risk, including limit systems and liquidity buffers, in order to cope with different stress situations. They have to make arrangements to ensure a sufficiently diversified refinancing structure and access to refinancing sources. These arrangements shall be reviewed on a regular basis.

(9) Credit institutions shall draw up stress tests for liquidity positions and risk reduction factors. These stress tests shall also include off-balance-sheet items and other contingent liabilities, including those of securitisation purpose companies and other special purpose companies in which the credit institution is a sponsor or material Liquidity assistance shall be included. The assumptions underlying the decisions on the financial position shall be reviewed regularly, but at least annually.

(10) Credit institutions have to take into account the potential impact of institutional, market-wide and combined stress tests. Different time horizons and crisis situations of different severity are to be included.

(11) Credit institutions shall evaluate and, where appropriate, adjust their strategies, internal principles and limit systems for the liquidity risk based on the results of the stress tests as set out in paragraph 9.

(12) Credit institutions shall have effective contingency plans which take account of the results of the stress tests referred to in paragraph 9 above. The emergency plans must include concrete implementing measures and be appropriate to overcome any liquidity squeeze in case of liquidity crises, including in branches in another Member State. The concepts have to include quantitative assessments of the inflow and outflow of liquid funds to be expected in the event of stress. These concepts shall be reviewed on a regular basis, at least annually, and shall be evaluated and, where appropriate, adjusted on the basis of the results of the stress tests referred to in paragraph 9. Credit institutions must implement and test the necessary operational measures in a preventive way so that the emergency concepts can be implemented immediately in the event of a crisis. The management body shall be informed of the review of the concepts and of their updating. The managing body shall approve the emergency plans, their updating and the adaptations of the internal principles and procedures resulting therefrom.

Risk of excessive indebtedness

§ 13. (1) Credit institutions shall have principles and procedures for the identification, management and monitoring of the risk of excessive indebtedness.

(2) In any case, as indicators of the risk of excessive indebtedness, the leverage ratio and incongruence between assets and liabilities determined in accordance with Art. 429 of Regulation (EU) No 575/2013 shall be used. In view of the risk of excessive indebtedness, credit institutions shall be able to withstand a number of different crisis situations.

(3) Credit institutions shall monitor the risk of excessive indebtedness in a preventive manner and, to this end, the potential increase in this risk, to which it is due to expected or realised losses and the resulting reduction in the number of Own resources may be taken into account, depending on the accounting rules in force.

Risks arising from the macroeconomic environment

§ 14. (1) Credit institutions shall have appropriate principles and procedures for the identification, management and monitoring of the risk that may arise from changes in the macroeconomic environment. Credit institutions have to take into account the risks of significant deterioration in the real GDP growth rate, a significant rise in unemployment, a significant change in the rate of inflation, and significant changes in the rate of GDP growth. A deterioration in the performance and capital account in countries where the credit institution holds risk exposures may result.

(2) Credit institutions shall identify, control and monitor macroeconomic risks for all those States against which the credit institution holds direct or indirect risk exposures.

(3) Credit institutions shall, within the framework of the procedures referred to in paragraph 1, take into account the volatility of the internal performance of the institutions and assess their potential effects on the solvency and liquidity position of the credit institution. Within these assessments, correlations between macroeconomic indicators, the development of financial markets and assets of the credit institution must also be taken into consideration. The calculations shall be carried out in accordance with recognised scientific methods.

(4) Credit institutions shall have the results of the assessments referred to in paragraph 3 taken into account in an appropriate manner in their internal scenario analyses.

Section 3

Final provisions

entry into force

§ 15. This Regulation shall enter into force 1. Jänner 2014 in force.

Ettl Kumpfmüller