the credit institution is aware of all or part of the claims on which the investment fund is based;

the criteria are met in accordance with Article 24 (2); and

the minimum requirements in accordance with § § 37 to 64 are also met with the requirements of the investment fund.

apply the simple weight rate in accordance with section 77 (3) of the investment fund in accordance with section 22b (2) of the Federal Elections Act (BWG), whereby on equity positions that none of the three risk categories in accordance with § 77 (3) clearly can be assigned a weight of 370 vH, and

to apply to all other underlying exposures the provisions of the credit risk standard rate, with the proviso that:

in the case of exposures for which a specific risk weight for exposures without a credit rating or the credit quality level with the highest risk weight applies to a particular exposure class, the risk weight shall be multiplied by a factor of two, however, may not be more than 1250 vH, and

in the case of all other claims, the risk weight shall be multiplied by a factor of 1.1 and shall not be less than 5 vH.

The credit rating may not be based, in whole or in part, on any non-security assistance provided by the credit institution itself. In this case, the credit institution shall treat the relevant position as a non-rated position. "

The managers know the parts of the trading book or other items rated at fair value, for which model prices are used, and are above the inaccuracy resulting from the risk/return reports, information; "

Rules and procedures laid down in writing for the evaluation process, including in particular clearly defined responsibilities for the various areas involved in the evaluation, sources of market information and the Verification of their suitability, guidelines for the use of non-observable parameters reflecting the assumptions of the credit institution on the quantities used by market participants for pricing, the frequency of the independent Evaluation, the date for the survey of the daily end prices, the procedure for Valuation adjustments, monthly and case-by-case voting procedures;

clear and independent reporting lines for the department that is responsible for the evaluation; and

a report refund up to the relevant business manager. "

is for an n th -to-default credit derivative to an external credit rating, the guarantor shall calculate the minimum specific risk for the specific risk, taking into account the credit rating of the derivative, and the applicable risk weights for securitisations "

The minimum specific risk for the specific risk as a whole, which would only apply to the net exposures of the correlation trading portfolio;

the minimum requirement of own resources for the specific risk as a whole, which would only apply to the net sales positions of the correlation trading portfolio. "

The items are neither re-securitisation, securitisation, securitisation, other derivatives of securitising exposures in which there are no pro rata claims on the proceeds of a securitisation tranche; and

all reference titles are either a single reference or an asset, such as single name credit derivatives, for which there is a market which is sufficiently liquid from the buyer and seller's point of view, or are conventional instruments; traded indices on these reference values. A market which is sufficiently liquid from the buyer and seller's point of view shall be deemed to exist if independent serious bid and sell offers exist, so that a serious one with the last selling prices or current competitive The purchase and sales quotations can be determined in a reasonable way within one day and, at such a price, a transaction can be carried out within a relatively short period of time in accordance with the trade notes. "

an underlying requirement which, in the non-trading book of a credit institution, could be assigned to the exposure classes pursuant to Article 22a (4) (8) and (9) of the BWG; or

is a call against a special purpose company,

In the case of securitisation positions, to which the standard rate would be applied in the non-trading book of the same credit institution, at 8 vH of the risk weight referred to in § 161, in accordance with the standard approach;

in the case of securitisation positions which would be applied in the non-trading book of the same credit institution of the approach based on internal credit ratings, at 8 vH of the risk weight referred to in § 165, in accordance with the approach based on internal credit ratings.

Within the framework of the model, the yield curve is to be calculated in terms of model; the yield curve per currency is to be divided into maturity segments in order to take into account the different volatility of interest rates for the different maturities ; as a rule, each maturity segment has to be a risk factor; in the case of complex strategies, a greater number of risk factors are required in order to accurately capture the risk of interest rate change; in any case, the model calculation shall be used to determine the risk factor. Identification of potential risk amounts for the yield curve to include at least six risk factors;

the model has to contain separate risk factors for the spread risk when relevant positions have been received in the intent to use this risk; the spread risk is that the development of the interest rates of financial instruments of different issuers is not fully correlated. "

the series of data and intermediate calculations obtained from them, which are included in the identification of the potential risk amounts, in particular variances and covariances, shall be updated at least monthly, but should be updated immediately, if necessary, and "

In addition, on the basis of the method chosen to determine the potential risk amounts over a 10-day holding period, the credit institution shall have the potential risk amount of the current portfolio at a one-sided 99% confidence level. under stress conditions (Stressed Value-at-risk), whereby the model parameters for the potential risk amounts under stress conditions from historical data of an uninterrupted 12-month period with significant and for the portfolio the credit institution's financial stress is determined. The selection of these historical data is subject to the annual review by the credit institution. The credit institution shall have to calculate the potential risk amounts at least weekly. "

Credit institutions shall have an approach to determining the minimum equity requirement of default and migration risks of trading book items that go beyond the risks identified in the determination of the value at risk. Credit institutions shall demonstrate that the approach used for the additional default risk meets the reliability standards comparable to the internal ratings-based approach, subject to the adoption of an unchanged risk level, and, if necessary, to adapt to the effects of liquidity, concentrations, hedging and optionality.

Scope: The approach to the collection of additional default and migration risks includes all positions that are subject to the minimum resource requirement for the specific position risk in interest-related instruments, including the positions which are subject to a minimum requirement of own resources for the specific position risk of 0 vH pursuant to Section 207 (1), but may not cover securitisation positions and nth-to-default credit derivatives. With the appropriate approval of the FMA, the credit institution may decide to include all positions in listed equities and all derivative positions based on listed shares consistently within the scope of application under which the FMA A prerequisite for these positions to be taken into account in the risk measurement and risk management of the credit institution. The approach has to take into account the impact of correlations between failures and migrations. The effect of a diversification between failures and migrations on the one hand and market risk factors on the other hand is not to be taken into account.

Parameters: The approach to capturing the additional risks has to measure losses due to outages as well as changes in internal or external ratings with a one-sided confidence level of 99.9 vH over a forecast horizon of one year. The correlation assumptions are supported by the analysis of objective data in a conceptually sound framework. The approach to the collection of additional risks reflects adequately the issuer's concentration. Concentrations are also shown, which can be created within product classes and across product classes under stress conditions. The approach is based on the assumption that the risk remains constant over the one-year forecasting horizon, d. h. that individual positions or groups of positions in the trading book where there have been any outages or rating changes above the liquidity horizon shall be replaced at the end of their liquidity horizon in such a way that the risk is restored to its original position. Level reached. As an alternative to this, credit institutions can also adopt constant positions throughout the year.

The liquidity horizon shall be determined by the amount of time required to sell the position under stress conditions on the market or to hedge all the significant price risks associated with it, in particular the level of the position to be taken into account. shall be considered. The liquidity horizons reflect the actual practice and experience from times of both systematic and idiosyncratic stress. The liquidity horizon is determined under conservative assumptions and is so long that the act of sale or hedging itself would not significantly affect the price at which the sale or protection would take place. When determining the appropriate liquidity horizon for a position or a position group, a lower limit of three months shall apply. In determining the appropriate liquidity horizon for a position or a group of positions, the internal rules of the credit institution shall be taken into account for valuation adjustments and the management of existing stocks. If a credit institution determines the liquidity horizons not for individual positions but for position groups, the criteria for the definition of position groups shall be determined in such a way that they realistically reflect liquidity differences. The liquidity horizon for concentrated positions is longer, since a longer period of time is required to resolve such positions. In the case of the warehousing of securitisations, the liquidity horizon reflects the period of time needed to build, sell and securitiate the assets under stress conditions on the market, or to establish the related essential assets. Risk factors to be secured.

Hedging transactions can be taken into account in the credit institutions ' approach to the collection of the additional risk of failure and migration. Purchase and sales positions on the same financial instrument can be billed. Security or diversification effects in the case of purchase and sales positions via various instruments or different securities of the same debtor, as well as purchase and selling positions vis-à-vis different issuers, may only be taken into account by explicitly modeling the gross and selling positions through the different instruments. Credit institutions shall form the effects of significant risks that could arise in the period between the expiry of the hedging transaction and the liquidity horizon, as well as the potential for significant underlying risks in the hedging strategies due to of differences between the instruments regarding, among other things, product, rank in the capital structure, internal or external rating, maturity, year of original lending (Vintage). Credit institutions shall only form a hedging transaction, insofar as it can be held even if the debtor is approaching a credit or other event. In the case of trading book positions that are secured through dynamic hedging strategies, an adjustment of the hedging transaction within the liquidity horizon of the secured position may be taken into account when the credit institution

opts to consistently model the adjustment of the backup business across the relevant group of trading book positions,

Points out that the adaptation of adaptation leads to a better risk measurement; and

Points out that the markets for the instruments used for hedging are so liquid that such adjustment is also possible in stress phases. Any residual risks arising from dynamic hedging strategies must be reflected in the minimum own resources requirement.

The approach to the detection of the additional default and migration risks has the nonlinear impact of options, structured credit derivatives and other positions with significant non-linear behavior in relation to price changes To be taken into account. The inherent modelling risk of the valuation and estimation of price risks associated with these products must also be adequately taken into account by the credit institutions.

The approach to capturing the additional default and migration risks is based on data that is objective and up-to-date.

Validation: In the context of the independent audit of their risk measurement system and the validation of their internal models, credit institutions have, in particular, the following with regard to the approach to the collection of additional risk-loss and migration risks to:

Validation that their modelling approach is appropriate for correlations and price changes for their portfolio, including in terms of the selection and weighting of the systematic risk factors;

Conduct various crisis tests, including sensitivity analysis and scenario analysis, to assess the qualitative and quantitative adequacy of the approach, in particular with regard to the treatment of concentrations. These tests will not be limited to historical experience;

Application of appropriate quantitative validation, including the relevant internal modelling benchmarks.

Documentation: Credit institutions have to document their approach to the collection of additional outage and migration risks in such a way that its correlation and other model assumptions for the FMA and the Oesterreichische Nationalbank are transparent.

Internal approaches based on other parameters: A credit institution for the collection of additional default and migration risks shall adopt an approach which does not meet all the requirements set out in this paragraph, but with the internal methods of the credit institution for the identification, measurement and management of risks, it must be able to demonstrate that the minimum resource requirement determined by this approach is at least as high as in the case of an approach which includes all of the of this paragraph shall be met. The FMA and the Oesterreichische Nationalbank shall examine at least once a year whether the condition set out in the preceding sentence is fulfilled.

Frequency of calculation: The credit institution shall carry out the calculations necessary to record the additional risk, at least weekly, in accordance with the approach adopted by the credit institution.

The FMA recognizes the use of an internal approach to the calculation of an additional minimum own resource requirement instead of a minimum own resource requirement for the correlation trading portfolio in accordance with § 207 (1a) 1a, provided that all of these The conditions mentioned above are met. Such an internal approach must adequately cover all price risks with a confidence level of 99.9 vH over a forecast horizon of one year, starting from an unchanged level of risk and, if necessary, an adjustment in order to reflect the effects of liquidity, concentrations, hedging and optionality. The credit institution may, in such an approach, include all positions which are managed together with the positions of the correlation trading portfolio and shall then be disregarded in the approach required under Z 1. This minimum requirement of own resources for all price risks shall be at least 8 vH of the minimum own resources requirement which, in the case of a calculation in accordance with Article 207 (1a), shall apply to all the positions which apply to the minimum requirement for own resources for all price risks would be included. In particular, the following risks shall be adequately recognised:

The cumulative risk from the multiple occurrence of default events, taking into account their order, in tranched instruments;

the credit risk, including the gamma and the cross-gamma effects;

The volatility of implicit correlations, including interdependencies between spreads and correlations;

the basic risk, including

the basis between the spread of an index and the spreads of the instruments of its individual debtors on which it is based; and

the basis between the implicit correlation of an index and the implicit correlation of tailor-made portfolios;

the volatility of the redemption rate, in so far as revenue rates tend to affect trank prices; and

insofar as the internal approach takes account of dynamic hedging operations, the risk of non-compliance and the possible costs of adapting such safeguards.

Until 31 December 2015, the calculation of risk-weighted exposure amounts within the meaning of Article 4 (4) may be applied to exposures to the central or central banks of the Member States which are denominated in the national currency of a Member State and in accordance with Article 4 (4) of the of this currency shall be applied to the same risk weighting as those denominated in its own national currency and which are refinanced in that currency. "

Until 31 December 2012, in the sense of Section 75 (3), the receivedweighted average loss rate shall be above 10 vH in the event of a failure of all retail claims secured by residential property without guarantee of a central state. "