Change The German Solvency Directive

Original Language Title: Änderung der Solvabilitätsverordnung

Read the untranslated law here: https://www.global-regulation.com/law/austria/2997812/nderung-der-solvabilittsverordnung.html

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460. Regulation of the financial market authority (FMA), which modifies the solvency regulation

On the basis of § 21 d, paragraph 6, section 21f, para 4, § 22 paragraph 7, section 22a, paragraph 7, of section 22 (b) paragraph 10 and 11, article 22d, par. 5, article 22f para 2, of section 22 g paragraph 9 of section 22 h para 7, § 22 k para 4, § 22 l para 4, § 22n para 5, § 22o para 5 and 22 p para 5 of the Banking Act - BWG , BGBl. No. 532/1993, amended by Federal Law Gazette I no. 145/2011, is with the consent of the Federal Minister of finance prescribed:

The solvency regulation - SolvaV, BGBl. II No 374/2006, as last amended by regulation BGBl. II No 272/2011, is amended as follows:

1. in paragraph 5, after paragraph 1, the following paragraph 1a is inserted:

"(1a) without prejudice to paragraph 2, 3 and 4 is exposures to regional authorities in other Member States, denominated in the national currency of this regional authority and are funded in that currency, to assign a weight of 20%."

2. in article 69, paragraph 1 Z 4 is the value "12.5 vH" is replaced by the value "11.25 vH".

3. paragraph 79:

'79 (1) credit institutions have claims in the form of shares in investment funds for the calculation of the weighted amount of the claim and the expected loss amount in each investment funds according to the actual composition of the underlying receivables to disassemble and to take account of this single, if 1 all or a portion of the claims underlying the investment funds are known the credit institution;

2. the criteria referred to in section 24 para 2 are met, and 3. the minimum requirements referred to in §§ 37 to 64 the demands underlying the investment funds are complied with.

Paragraph 3 applies to the portion of the underlying claims of the investment fund, which is not known to the credit institution.

(2) the conditions of paragraph 1 are Nos. 1 and 2 met, but not having para 1 No. 3, the credit institution 1 on all equity exposures included in the Fund pursuant to § 22 para 2 Z 5 BWG is to apply simple weighting approach in accordance with article 77, paragraph 3, which apply to participations, which clearly can be assigned to any of the three risk categories pursuant to article 77, paragraph 3, a weight of 370 per cent and 2. all other underlying exposures the provisions of the credit risk standard approach with the To apply the proviso, that a) claims, to a specific risk weight for claims without rating or the credit quality step with the highest risk weight for a specific asset class, multiply the risk weight by a factor of two, where it may be but not more than 1250 per cent, and b) for all other claims the risk weight by a factor of 1.1 is multiplied, where it shall be not less than 5 vH.

(3) if the requirements pursuant to § 24 para 2 are not fulfilled or not all or only a portion of the claims underlying the share of investment funds are known, the credit institution so have banks on these claims contained in the share of investment funds to apply the simple weighting approach to investments in accordance with article 77, paragraph 3, which claims that clearly can be assigned to any of the three risk categories pursuant to article 77, paragraph 3 , a weight of 370% to apply is. Derogation, credit institutions can use calculations of average weighted exposure amounts of the Investment Fund Unit's underlying claims by third parties and report if the correctness of the calculation and the transfer to the credit institution in an appropriate manner. Where the method referred to in paragraph 2 to apply is."

4. paragraph 160 section 5:

"(5) a credit institution has two or more overlapping securitisation positions, are in the measure as they overlap, to include only the items or parts of a position in the calculation of the weighted exposure amounts that produce the higher weighted exposure amounts. In addition, the credit institution may consider such overlap between the minimum capital requirement for specific risk positions in the trading book and the minimum capital requirement for positions in the non-trading book, provided that the minimum capital requirements for the respective positions can be calculated and compared. Overlap is considered to be the case that the positions completely or partially represent a claim on the same risk, so that only a single claim up to the limit of the intersection. "One of the credit institution itself is for positions in ABCP program ready asked liquidity without support before, may the credit institution to calculate the risk-weighted exposure amount for the ABCP programme use the liquidity facility assigned risk weight, if the liquidity facility is pari passu with the ABCP programme so that form overlapping positions and 100 vH of the ABCP issued in the framework of the programme of the liquidity facility are covered."

5. paragraph 161 paragraph 1 together with the table:

"(1) credit institutions using the standardised approach to credit risk, have the weighted exposure amount of a securitisation or restart securitisation position, for which a credit rating by a recognized credit rating agency is available to determine a weight according to the following table to associate is the exposure value of the position where the assignment in accordance with section 21 has to be b para 6 BWG:"

 



Credit quality step



1



2



3



4

(not for short term ratings)



all others



Verbriefungs-positions



20 vH



50 per cent



100 per cent



350 vH



1 250 vH



Wiederverbriefungs positions



40 vH



100 per cent



225 vH



650 vH



1 250% "6 § 166 paragraph 1 together with the table is:

"Within the framework of the rating-based approach (1) credit institutions have the weighted exposure amount of a securitisation or re rated securitisation position to determine, by the weight multiplied by 1.06 is associated with value of the claim, to allocate it according to the following table, where the assignment of ratings in accordance with § 21 has to be b para 6 BWG:"

 



Credit quality step



Securitisation positions



Restart securitisation positions



Ratings out of short-term credit assessments



Short-term credit assessments



A



B



C



D



E



1



1



7 vH



12 vH



20 vH



20 vH



30 vH



2



8 vH



15 vH



25 vH



25 vH



40 vH



3



10 vH



18 per cent



35 per cent



35 per cent



50 per cent



4



2



12 vH



20 vH



40 vH



65 per cent



5



20 vH



35 per cent



60 per cent



100 per cent



6



35 per cent



50 per cent



100 per cent



150 vH



7



3



60 per cent



75 per cent



150 vH



225 vH



8



100 per cent



200 vH



350 vH



9



250 vH



300 vH



500 vH



10



425 vH



500 vH



650 vH



11



650 vH



750 vH



850 vH



all other credit quality steps and positions without rating



1 250% "is 7 section 166, paragraph 2:

"(2) the weights in column C shall apply if a securitisation position is no restart securitisation position, the effective number of the securitised exposures under six. On the remaining securitisation positions which are no restart securitisation positions, the weights in column B shall apply. Positions of the highest-ranking tranche of securitization, which is no re securitization, are to assign the weights in column A. To restart securitisation positions, the weights in column E are to apply. Positions of the highest-ranking tranche of re securitization, where none of the underlying claims ourselves is a re securitization, are to assign the weights in column D. In assessing whether it is is the most senior tranche of a securitisation or a re securitization, to amounts of interest rate or currency derivative contracts, fees due or similar payments out of account remain."

8 paragraph 166 section 4:

"(4) when calculating the effective number of the securitised exposures are several claims related to a debtor than to treat a single claim. The effective number of exposures is calculated as follows: where EADi is the claim amount of all claims related to the ith obligor. The percentage of the portfolio in connection with the largest exposure, C1, is available, can be calculated as 1/C1."

9 paragraph 5 deleted § 166.

10 § 169 para 1 sentence is:

"Banks have to calculate the weight of a securitisation position within the framework of the supervisory formula method, with the weight and restart securitisation positions not below 20 per cent, all other securitisation positions not below 7% may fall as follows:"

11. in article 169, paragraph 1, is the definition of the variable N:

"N which has the effective number of exposures in accordance with section 166, paragraph 4, to turn off the credit institution in re securitization on the number of securitisation positions in the pool and not on the number of underlying exposures in the original pools from which the underlying securitisation positions come with.

12 § the 180 following no. 3 shall be added: "3. the rating may either partially or completely unfunded support provided by the credit institution itself rely on. In this case the Bank treated the relevant position as a position without rating."

13 paragraph 198:


"§ 198. credit institutions have to evaluate every position associated with the trading book in accordance with § 22n BWG always at market prices whenever possible. The marking to market is the at least daily to adjust position evaluation on the basis of closing prices that are sourced from independent sources."

14 paragraph 199 section 1:

"Have to make a careful marking to model, if a direct valuation at market prices by the credit institution is not possible (1) credit institutions. While the position value has comparison values derived or otherwise, using market data (market risk factor) is calculated to be."

15 § 199 para 2 No. 1 is: "1 who know General Manager the parts of the trading book or other fair value weighted positions for the model prices are used, and are about the inaccuracy that this results in the risk/return reports informed;"

16 § 201 along with heading is as follows:

"Valuation adjustments

Section 201 (1) credit institutions have to take account of valuation adjustments to apply appropriate rules. The rules have in particular valuation adjustments for uncollected credit spreads, early termination, the cost for entering into, the refinancing and the closing of a position, operational risks, to include future administrative costs and model risk. The adequacy and appropriateness of the rules must be checked regularly.

(2) credit institutions have to introduce rules and to maintain, as an adaptation of the current valuation of items, their Liquidität by market conditions or Institute internal reasons is restricted, is to calculate. These adjustments will be made, where appropriate, in addition to the position allowances necessary for accounting purposes and designed to reflect the illiquidity of the position. The rules have also the time needed to positions to hedge, volatility, and the average amount of money / briefs mishaps, the availability of market quotes including the number and identity of market makers (§ 56 para 1 BörseG), the average size and the volatility of in trading volume, market concentration, the aging of positions, the extent in which the valuation is based on models , as well as to take into account the impact of other model risks.

(3) the credit institution has the need for adjustments to check if a valuation model prices or by third parties.

(4) the credit institution has to check whether value adjustments are needed to take account of risks model for complex products."

17 § 202 along with heading is as follows:

"Systems and controls

§ 202. credit institutions have to have adequate systems and controls for the cautious and reliable provision of estimates for the prices of its trading book positions. These systems and controls have to be provided at least: 1 writing set down rules and procedures for the review process, to include in particular clearly defined responsibilities for the different evaluation areas involved sources for market information and the review of their suitability, guidelines for the use of non-observable parameters that reflect the assumptions of the credit institution on the sizes used by market participants to price formation, , frequency of independent valuation, the time for bringing the daily transmission rate, the procedure for valuation adjustments, month send and occasionally voting procedures;

2. clear and independent of the trading area/front office reporting lines for the Department, which is responsible for the assessment; and 3 reporting to the competent business managers."

18 in § 204 section 6, the following sentence is inserted after the first sentence:

"Without prejudice to of sentence 1 the credit institution may decide to replace the nominal value nominal value minus the changes in market value of the credit derivative since deal."

19 § 204 paragraph 6 No. 7 is: "7 is an external rating for an nth-to-default credit derivative, the collateral provider to calculate the minimum capital requirements for specific risk, taking into account the ratings of the derivative and apply the applicable risk weights to securitisation."

20 paragraph 207 paragraph 1:

"The determined pursuant to § 203 paragraph 1 have positions of net resulting from instruments, which are not securitisation positions and given money-market funds in the relevant category of below based on the issuers and debtor, to classify the external or internal credit assessment and maturity and then be multiplied by the corresponding weights (1) credit institutions. The minimum capital requirement for specific risk is the sum of the neutral sign added weighted purchase and sale positions. Credit institutions have to calculate the minimum capital requirement for specific risk for securitisation positions in accordance with paragraph 5a. For the purposes of paragraph 1, par. 1a and paragraph 5a, the credit institution may restrict the product of weight and net position on the maximum possible loss from the risk of default. This upper limit as the change in value (of the credit derivative) can be calculated for a sales position that would result if all underlying reference values would immediately failure risk free.

 



Positions



Minimum capital requirement for specific risk



Debt securities issued or guaranteed by Central States or by central banks, international organisations, multilateral development banks or authorities of the Member States are issued, which would associated within the framework of the credit risk standard approach of the credit quality step 1 or 0% weighted.



0 per cent



Debt securities issued or guaranteed by central Governments or by central banks, international organisations, multilateral development banks or authorities of the Member States issued, 2 or 3 would be associated with the credit quality steps within the framework of the credit risk standard approach;

Debt instruments which are issued or guaranteed that 1 or 2 would be assigned to the credit quality steps within the framework of the credit risk standard approach by institutions;

Debt instruments which are issued or guaranteed, 1, 2 or 3 would be associated with the credit quality steps within the framework of the credit risk standard approach by companies;

Other qualifying items within the meaning of paragraph 6



0.25 per cent (residual term to final maturity ≤ 6 months)

1.00% (6 months < residual term to final maturity ≤ 24 months) 1,60% (residual term to final maturity > 24 months)



Debt instruments which are issued or guaranteed by central Governments or by central banks, international organisations, multilateral development banks, local and regional authorities of the Member States or institutions issued, that 4 or 5 would be assigned to the credit quality steps within the framework of the credit risk standard approach;

Debt instruments which are issued or guaranteed would be assigned to in accordance with the credit quality step 3 standard approach for credit risk by institutions;

Debt instruments which are issued or guaranteed would be assigned to the part of the credit risk standard approach of credit level 4 by company;

Claims for which no rating from a recognized credit rating agency is available.



8 vH



Debt instruments which are issued or guaranteed by central Governments or by central banks, international organisations, multilateral development banks, local and regional authorities of the Member States or institutions issued, which would be assigned to the part of the credit risk standard approach of the credit quality step 6;

Debt instruments which are issued or guaranteed 5 or 6 would be associated with the credit quality steps within the framework of the credit risk standard approach by companies.



12 vH"

21. in paragraph 207, according to paragraph 1, the following paragraph 1a is inserted:

"(1a) Byway of derogation from paragraph 1 a credit institution can determine the greater of the following amounts as the minimum capital requirement for specific risk of correlation trading portfolio: 1 the minimum capital requirement that would only apply to specific risk as a whole, the net long positions of the correlation trading portfolio"

2. the minimum capital requirement for specific risk altogether, which would apply only to the net short positions of the correlation trading portfolio."

22. in paragraph 207, b is inserted after paragraph 1a 1 the following paragraph:

"(1B) the correlation trade portfolio includes securitisation positions and nth-to-default credit derivatives, which meet the following criteria: 1 for the positions it is either to restart securitisation positions, options on securitisation tranches to other derivatives, securitised assets where no pro-rata earnings claims consist of a securitisation tranche;" and 2.

all reference titles are traditional traded indexes on these reference values either to a single reference entity or asset-related instruments as single name credit derivatives, for which there is a sufficiently liquid from buyer and seller perspective market, or they are. A sufficiently liquid from buyer and seller perspective market is presumed to be present, if independent serious purchase and sale deals exist, so that a price with the last sale prices or current competitive serious purchase and sale quotations appropriately related can be determined within one day and at such a price a business in accordance with the customs of the trade can be completed within a relatively short time."

23. in paragraph 207, 1 b the following paragraph 1 c is inserted after paragraph:

"(1C) a position whose Referenz either a 1 based this claim that 8 and 9 BWG could be associated with the asset classes pursuant to § 22a para 4 Z in the non-trading book of a credit institution" or 2 a claim against a special purpose company, may be not part of the correlation trade portfolio. A credit institution can take in its correlation trading portfolio positions, which neither are securitisation positions still nth-to-default credit derivatives, hedge other positions of this portfolio if the instrument or the underlying claims a sufficiently liquid from buyer and seller perspective market in the sense of paragraph 1 lit b. b there is."

24. in paragraph 207, according to paragraph 4, the following paragraph 5a is inserted:

"(5a) for instruments in the trading book, is securitisation positions, the credit institution, its calculated net positions weighted as follows: 1. for securitisation positions, on which in the non-trading book of the same credit institution the standard approach would subject with 8 vH of referred to in § 161 risk weight according to the standard approach;"

2. for securitisation positions, on which in the non-trading book of the same credit institution the internal ratings-based approach would be applied, with 8 per cent of the in paragraph 165 of above risk weight according to the internal ratings-based approach.

For the purposes of he lit. the supervisory formula method only with approval of the FMA by credit institutions may be applied a and b that are not originators and that must apply this approach in its non-trading book to the same securitisation position. PD and LGD estimates included in the supervisory formula method, will, where appropriate, under section 22B BWG or alternatively according to estimates determined in separate approval of the FMA, which rely on an approach within the meaning of § 232 par. 4 Z 1 and which are in line with the quantitative standards for the internal ratings-based approach. Without prejudice to the lit. a and b are securitisation positions, who received a risk weight according to article 22f BWG, if she would be in the non-trading book of the same credit institution, weighted with 8 vH of the risk weight determined in accordance with section 22f BWG. The weighted positions resulting from the application of this paragraph, are added together (regardless of whether it is a buy or a sell position), to calculate the minimum capital requirement for specific risk. By way of derogation from the previous sentence the credit institution lists separately its weighted net buying positions and its weighted NET short positions during a transitional period until 31 December 2013. The higher of the two amounts is considered the minimum capital requirement for specific risk. The credit institution the total sum of its weighted net buying positions and its weighted NET short positions, structured according to the types of underlying assets the FMA however sent."

25 paragraph 209 paragraph 2:

"(2) the minimum capital requirement for specific risk in asset values is 8 vH of Bruttogesamtposition."

26 paragraph 226 paragraph 2:

"(2) enters into a market risk factors in the assessment model of the credit institution, but not its risk-measurement model, so the credit institution of the FMA and Oesterreichische Nationalbank has to demonstrate that this is justified. Also, the risk-measurement model captures the non-linearities of options and other products as well as the correlation risk and basis risk. Proxies used for market risk factor, so this must have mapped well the actual change in the value of the position in the past. Also the following applies to the various types of risk it: 1. In the framework of the model is the yield curve model to calculate; the yield curve per currency is to divide into maturity segments, to the different volatility of interest rates for various durations to accommodate; Generally a risk factor has each time segment to comply with; in complex strategies a greater number of risk factors is required to accurately capture the interest rate risk; in any case, at least six risk factors are in the mathematical modeling to determine the potential risk amounts for the yield curve to incorporate;

2. the model shall contain separate risk factors for the risk of the spread when decisive positions in the intent of the use of this risk is entered; the risk of spread is that the development of interest rates on financial instruments of issuers is not totally correlated."

27 § 227 par. 1 Z 5 is: "5 the data series and intermediate calculations derived from them, which included in the determination of the potential amounts of risk, particularly variances and covariances, are at least monthly, but immediately if necessary to update and ' 28. § 227 par. 1 following no. 7 is added: "7 additionally has to calculate the potential amount of risk of the current portfolio under stress conditions (stressed value-at-risk), with the model parameters for the potential amounts of risk under stressed conditions are determined from historical data of a continuous twelve-month period with significant and significant for the portfolio of the credit institution financial stress the credit institution on the basis of the chosen method of determining the potential risk amounts over a holding period of 10 days for a unilateral 99% confidence level. The selection of this historical data is subject to annual review by the credit institution. The Bank has at least a week to calculate the potential amounts of risk."

29 paragraph 228 paragraph 1:

"(1) are in back-testing the potential risk amounts determined daily by the model ex post with the trading results to compare." Hypothetical trading results, which are based on the hypothetical changes in the portfolio value at unchanged day positions, and used actual daily trading results to be have it. Reviews to determine of the trading result are performed with current market prices. Those elements that distort the trading results, such as commissions, in particular, are except approach to back-testing on actual trading results. Potential risk amounts are the back-testing to be based, which are designed for a duration of positions from one day."

30 paragraph 228 para 3:

"(3) individual exceptions in calculation of multipliers in accordance with article 229, paragraph 1 shall be allowed if this exception not on a poor predictive quality of the model is due. The credit institution can make only this approved exception except approach, if the number of exceptions as a whole, which is located before approval, has found in the table of section 229, para 1 green or yellow zone."

31 paragraph 229 section 1:

(1) which are multipliers in accordance with § 22 p para 2 No. 1 and 2 BWG for each credit institution separately for the first time grant of the model on the basis of the opinion of the Austrian National Bank to set. The multipliers are composed from a minimum value of three, a supplement on the basis of the results of back-testing programme in the interval from zero to one, as well as a surcharge on the basis of the degree of compliance with the conditions for the model approval in accordance with section 21e para 1 No. 1 to 7 BWG ranging from zero to one. In consequence, the multipliers of the credit institution, using the exceptions identified at the back-testing according to the following table at the beginning of the next calendar quarter, and for the duration of thereof are to adapt. The adjustment is the highest number of exceptions in the hypothetical and actual changes of in portfolio value to be based, identified on the basis of the daily back-testing programme for a period of 250 business days during the preceding calendar quarter.

 



Zone



Number of exceptions



Supplement to the multiplier based on the results of back-testing



Green Zone



0



0.00



1



0.00



2



0.00



3



0.00



4



0.00



Yellow Zone



5



0.40



6



0.50



7



0.65



8



0.75



9



0.85



Red zone



10 and above



1.00 "32. is section 229, paragraph 2:

"(2) the highest number of exceptions noted in the preceding calendar quarter pursuant to paragraph 1, as well as the multipliers for the current calendar quarter are notified to the FMA and the Austrian National Bank."

33. paragraph 229 paragraph 5:


"(5) the adjustment of multipliers in accordance with para 1 is to be confirmed by the bank auditors in the annex to the audit report."

34. the following paragraph 5 is added to § the 230:

"(5) credit institutions have also crisis tests, in which scenarios should be recognized, which might constitute a continuation of the credit institution (reverse stress tests)."

35. paragraph 232 par. 2:

"(2) credit institutions have for the calculation of the minimum capital requirement for specific risk carefully to assess the risk of illiquid positions or positions with limited price transparency under realistic market scenarios, where the model has to meet the minimum requirements of data; Proxies may be used only if the available data are not sufficient or not realistically reflect the volatility of a position or a portfolio."

36. paragraph 232 par. 4:

"(4) credit institutions can capture by default and migration risks for interest-related instruments in their internal models refrain from if these risks through the requirements according to Z 1-12 are covered: 1 credit institutions have an approach to the determination of the minimum capital requirement by default and migration risks of trading book positions to go beyond risks, included in determining the value at risk." Credit institutions have to demonstrate that the common approach for the additional risk comparable meets the reliability standards with the internal ratings-based approach; This under the assumption of an unchanged level of risk, and, if necessary, under adaptation to the impact of liquidity, concentrations, hedging and optionality.

2. scope of application: the approach to capture the incremental default and migration risks includes all items that are subject to the minimum capital requirement for specific risk in interest-related instruments, including the positions subject to a minimum own funds requirements for the specific Positionsrisko of 0% in accordance with article 207, paragraph 1, but may not capture securitisation positions and nth-to-default credit derivatives. With appropriate approval of the FMA, the credit institution may decide consistently within the scope of application to include all positions in listed shares and all derivative positions based on publicly traded equity, under the condition that these positions in the risk measurement and risk management of the credit institution are taken into account. The approach has to take into account the impact of correlations between defaults and migrations. Is to not reflect the impact of diversification between defaults and migrations on the one hand and market risk factors on the other.

3 parameter: The approach to capture the additional risks has to measure losses due to outages as well as changes in the 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 sound conceptual framework. The approach to capture the additional risks appropriately reflect issuer concentrations. It mapped and concentrations that may arise under stress conditions across product classes within and across product classes. The approach is based on the assumption that the risk over the one-year forecast horizon remains constant, i.e. that individual items or item groups in the trading book, where the liquidity horizon, failures or rating changes have occurred, so at the end of their liquidity horizon are replaced, that the risk of return to its original level. Alternatively, credit institutions can assume constant positions also consistently over a year.

4. the liquidity horizons are set according to how much time is required to sell the position under stress conditions on the market or secure all major price risks, taking into account in particular the amounts of the position. The liquidity horizons reflect actual practice and the experience of times both systematic and idiosynkratischem stress resistance. The liquidity horizon is determined under conservative assumptions and is so long, that the Act of selling or hedging itself would not significantly influence the price when selling or hedging would take place. A minimum of three months is considered in determining the appropriate liquidity horizon for a position or a position group. The internal regulations of the credit Institute for valuation adjustments and management of obsolete stocks are taken into account in determining the appropriate liquidity horizon for a position or a position group. A credit institution determines liquidity horizons for individual positions, but for item groups, so the criteria for the definition of item groups are set, realistically reflect liquidity differences. The liquidity horizons for concentrated positions are longer, since a longer period is required for the resolution of such positions. In the warehousing of securitisation, the liquidity horizon reflects the period that is required to build the assets under stress conditions on the market, to sell and securitize, or to hedge the risk factors associated.

5. hedging transactions will be considered in the approach of to capture the incremental default and migration risks banks. Buy and sell positions on the same financial instrument can be offset. Hedging or diversification effects in purchase and sale positions on different instruments or different securities of the same debtor as well as purchase and issuer short positions against various may only be considered by explicitly modeled on the various instruments the gross purchase and sale positions. Credit institutions are the effects of significant risks that could occur during the period between expiry of the hedge and liquidity horizon as well as the potential for significant basis risks in hedging strategies due to differences between the instruments with regard to, inter alia, product, rank in the capital structure, internal or external rating, maturity, vintage of original lending (vintage) off. The banks form a hedge only insofar as it is also durable, if the obligor approaches a credit or other event. For trading book positions hedged via dynamic hedging strategies, an adjustment of the hedging instrument within the liquidity horizon of the hedged position can be considered, if the credit institution a) it opted to model the adjustment of the hedge beyond the respective group of trading book positions, consistently across b) proves that the restatement resulted in a better risk measurement, and c) can prove that the markets for instruments , which serve to protect, so liquid are that such an adaptation in stress phases is possible. Any residual risks from dynamic hedging strategies need to be reflected in the minimum capital requirement.

6. the approach to capture the incremental default and migration risks has the non-linear effects of options to take account of structured credit derivatives and other locations with significant non-linear behavior in relation to price changes. The inherent modeling risk of assessment and estimate the risks associated with these products took into account also adequately by the banks to be.

7. the approach to capture the incremental default and migration risks based on data that are objective and up-to-date.

8 validation: on behalf of the independent review of its risk-measurement system and the validation of their internal models have credit institutions with regard to the approach to capture additional default and migration risks to carry out in particular the following: a) validation that their modeling approach for correlations and price changes is suitable for your portfolio, also as regards the selection and weighting of the systematic risk factors.

(b)) implementation of various stress tests, including sensitivity analysis and scenario analysis to the qualitative and quantitative adequacy of the approach, in particular as regards the treatment of concentrations, to assess. These tests are not limited to historical experience;

(c) application of appropriate quantitative validation including the relevant internal modelling benchmarks.

The approach to capture the additional risks has with the internal risk management methods of the credit institution for determining, measuring and managing trade risk in accordance.

9 documentation: credit institutions have their approach for capturing additional default and migration risks so as to document that its correlation and other model assumptions for the FMA and the OeNB are transparent.

10.

Internal based on other parameters approaches: a credit institution for the acquisition of additional default and migration risks applies an approach, which complies with these requirements, but is measurement and control of risks in accordance with the internal mechanisms of the credit institution to determine, although not all in this paragraph so it must be able to demonstrate that the minimum capital requirement calculated using this approach is at least as high as in an approach , which meets all of the requirements referred to in this paragraph. The FMA and the OeNB check at least once a year whether the condition formulated in the preceding sentence is fulfilled.

11 frequency of calculation: the credit institution has the calculations required according to the approach chosen by him to the acquisition of additional risk to carry out at least a week.

12 the FMA recognises para 1a using an internal approach to calculating an additional minimum capital requirements instead of a minimum capital requirement for the correlation trading portfolio pursuant to § 207 unless all the requirements referred to in this paragraph are fulfilled. Such an internal approach must all price risk with a confidence level of 99.9 vH over a forecast horizon of one year adequately capture, which assumed an unchanged level of risk and, if necessary, an adjustment is made to reflect the impact of liquidity, concentrations, hedging and optionality. The credit institution must include all positions at such an approach, which are controlled together with the positions of the correlation trade portfolio, and then let them ignore the approach required under no. 1. This minimum capital requirement for all price risk has to be at least 8 vH of the minimum capital requirements that would arise in a calculation according to § 207 para 1a for all positions that are included in the minimum capital requirement for all price risk. In particular, the following risks adequately to capture are: a) the cumulative risk from the multiple occurrence of failure events, taking account of their order, remove instruments;

(b) the Kreditspreadrisiko, including the gamma and the cross-gamma effects;

(c) the volatility of the implied correlation, including the dependencies between spreads and correlations;

d) the basis risk, including aa) based between the spread of an index and the spreads of the underlying instruments of each debtor; and bb) the base between the implied correlation of index and implicit correlation of tailor-made portfolios;

(e) the volatility of revenue quota in so far as proceeds rates tend to affect installment prices; and f) as far as the internal approach considered dynamic hedging the risk that Hedges are ineffective, and the possible costs of adapting such safeguards.

For the purposes of this section a credit institution have sufficient market data has to have that guarantee, that's the main risk of this risk positions completely captured in its internal approach in accordance with these requirements, that it proves by back-testing or other appropriate methods, that its risk measurements explain the historical price fluctuations of these products in an appropriate way, and that it is able, the positions , for it has approval for inclusion in the minimum capital requirement in accordance with this paragraph to separate, for which it has no such approval. With regard to the portfolio to which this section applies, the credit institution has to apply a series of specific, pre-defined stress scenarios regularly. With these stress scenarios, the effects are assessed by delinquencies in stressful situations changed, proceeds rates, credit spreads and correlations on profit and loss of correlation trading activities. The credit institution has these stress scenarios to be applied at least once a week, and shall report on the results, including comparisons with the minimum capital requirement of a credit institution in accordance with this section at least once every three months the FMA and Oesterreichische Nationalbank. Any case in which the stress tests indicate a significant shortcoming of this minimum capital requirement has to be reported to the FMA and Oesterreichische Nationalbank. The FMA and the OeNB check pursuant to section 70 para 4a BWG the crisis test results based on the need for an additional minimum capital requirement for the correlation trade portfolio. Credit institutions have the minimum capital requirement to capture all price risks to be calculated at least once a week."

37. the § 234 No. 3 lit. (c) is added following word sequence:

"in this case the value to be applied for the potential future credit risk of the credit institution on the amount of premiums is limited, which paid the collateral taker to the credit institution;"

38. paragraph 262 Z 1: '1. until 31 December 2015 may in the calculation of risk-weighted exposure amounts within the meaning of § 4 para 4 exposures to central Governments or central banks of the Member States, which denominated and funded in that currency, in national currency of a Member State the same risk weight as on exposures, which on its own country currency denominated and funded in that currency "that will be applied."

39. paragraph 262 Z 12: '12.
Until December 31, 2012 has retail receivables without a guarantee of a central State over 10 in the meaning of article 75, paragraph 3 unsecured exposure-weighted average loss rate of failure of all residential real estate property % to lie."

40. in article 263, paragraph 1, the phrase is "in the version of Federal Law Gazette I no. 72/2010" by the phrase "as amended by Federal Law Gazette I no. 145/2011" replaced.

41. the existing text of § 264 receives the sales designation (1). The following paragraph 2 is added:

"(2) article 166 par. 5 occurs at the end of the December 30, 2011 override."

42. the following paragraph 4 is added to § the 265:

"(4) § 5 paragraph 1a, section 69, paragraph 1 Z 4, article 79, § 160 section 5, article 161, paragraph 1 along with table, § 166 paragraph 1 together with the table, section 166, paragraph 2, and paragraph" 4, § 169, para 1, § 180 Z 3, § 198, § 199 para 1 and para. 2 No. 1, § 201, including heading, § 202, § 204 paragraph 6, second sentence, and paragraph 6 Z 7, § 207 paragraph 1 together with table, § 207 paragraph 1a to 1c and paragraph 5a, section 209, paragraph 2, article 226, paragraph 2, article 227, paragraph 1 Nos. 5 and 7, article 228, paragraph 1 and 3 , Article 229 paragraph 1 together with the table and paragraph 2 and 5 section 230, para 5, § 232 par. 2 and para 4, § 234 No. 3 lit. "c, § 262 Z 1 and 12 and section 263 para 1 as amended by the regulation BGBl. II Nr 460/2011 enter into force with 31 December 2011."

Ettl Pribil