Change The German Solvency Directive

Original Language Title: Änderung der Solvabilitätsverordnung

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460. Regulation of the Financial Market Supervisory Authority (FMA) amending the Solvency Regulation

In accordance with § 21d (6), § 21f (4), § 22 (7), § 22a (7), § 22b (10) and (11), § 22d (5), § 22f (2), § 22g (9), § 22h (4), § 22k (4), § 22l (4), § 22o (5) and § § 22o (5) and § § 22 (4) § 22g (4). 22p (5) of the Banking Act-BWG, BGBl. No. 532/1993, as last amended by the Federal Law BGBl. I n ° 145/2011, is assigned with the approval of the Federal Minister for Finance:

The Solvency Regulation-SolvaV, BGBl. II No 374/2006, as last amended by the BGBl Regulation. II No 272/2011, shall be amended as follows:

1. In § 5, the following paragraph 1a is inserted:

" (1a) Without prejudice to para. 2, 3 and 4, calls to regional authorities in other Member States denominated in the national currency of this regional authority and which are refinanced in this currency shall be subject to a weighting of 20 vH "

2. In § 69 (1) Z 4, the value shall be: "12,5 vH" by the value "11.25 vH" replaced.

§ 79 reads:

" § 79. (1) Credit institutions shall, in the case of exposures in the form of investment fund shares for the calculation of the weighted exposure amount and the expected loss amount, have each investment fund in accordance with its actual composition in which it is based on , and to take them into account individually, if:

1.

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

2.

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

3.

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

Paragraph 3 shall apply to the part of the underlying exposures of the investment fund which is not known to the credit institution.

(2) If the conditions of paragraph 1 (1) (1) and (2) are fulfilled, the credit institution shall not be subject to the provisions of paragraph 1 (3).

1.

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

2.

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

a)

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

b)

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.

(3) If the requirements laid down in Article 24 (2) are not fulfilled or if the credit institution is not aware of all or only part of the claims on which the investment fund part is based, credit institutions shall have access to them in the investment fund part shall apply the simple weighting approach for shareholdings in accordance with Section 77 (3), whereby a weight of 370 vH shall be applied to claims which cannot be unambiguated to any of the three risk categories in accordance with Section 77 (3). By way of derogation, credit institutions may use and report calculations of the average weighted exposure amounts of claims on the basis of the investment fund part by third parties, if the accuracy of the calculation and the Transfer to the credit institution shall be ensured in an appropriate manner. The method referred to in paragraph 2 shall be applied. '

4. § 160 (5) reads:

" (5) Where a credit institution has two or more overlapping securitisation positions, the extent to which they overlap shall be included in the calculation of the weighted exposure amounts only for the positions or parts of a position which: produce the higher weighted exposure amounts. In addition, the credit institution may take into account such a clash between the minimum requirement for own resources for the specific risk of positions in the trading book and the minimum resource requirement for positions in the non-trading book, provided that the minimum requirements for own resources for the positions in question can be calculated and compared. As an overlap, the case is that the positions are in whole or in part a requirement in relation to the same risk, so that there is only one requirement up to the limit of the overlap. If, for positions in an ABCP programme, a liquidity facility provided by the credit institution itself is available without assistance, the credit institution may, for the purposes of calculating the risk-weighted exposure amount for the ABCP programme, be entitled to: Use the liquidity facility to use risk weight, if the liquidity facility is equal to the ABCP programme, so that overlapping positions are formed and 100 vH of the ABCP issued under the programme shall be Liquidity facility is covered. "

Section 161 (1) together with the table reads as follows:

" (1) Credit institutions using the credit risk standard rate shall identify the weighted exposure amount of a securitisation or re-securitisation position for which a recognised credit rating agency has been rated, by: The exposure value of the position is to be assigned a weight according to the following table, with the assignment according to § 21b (6) of the BWG to take place:

Credit level

1

2

3

4

(Not for Short-term Ratings)

all others

Securitisation positions

20 vH

50 vH

100 vH

350 vH

1 250 vH

Re-securitizing

40 vH

100 vH

225 vH

650 vH

1 250 vH "

6. § 166 (1) together with the table is:

" (1) credit institutions shall, under the rating-based approach, determine the weighted exposure amount of a securitisation or re-securitising position with a rating by assigning the exposure value to the weight multiplied by 1.06; which is to be allocated in accordance with the following table, with the assignment of the ratings to be made in accordance with Section 21b (6) of the BWG:

Credit level

Securitisation positions

Re-securitiesRepositions

Ratings except short-term ratings

Short-term ratings

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 vH

35 vH

35 vH

50 vH

4

2

12 vH

20 vH

40 vH

65 vH

5

20 vH

35 vH

60 vH

100 vH

6

35 vH

50 vH

100 vH

150 vH

7

3

60 vH

75 vH

150 vH

225 vH

8

100 vH

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 levels and non-rated positions

1 250 vH "

Section 166 (2) reads as follows:

" (2) The weights in column C shall be applied if a securitisation position is not a re-securitising position and the effective number of securitised exposures is less than six. The weights in column B shall apply to the remaining securitisation positions which are not re-securitising positions. Positions of the highest-level tranche of securitisation, which is not re-securitization, shall be assigned to the weights in column A. The weights in column E shall be applied to re-securitising positions. Positions of the highest-ranking tranche of re-securitization, in which none of the underlying receivings itself is a re-securitization, are to be assigned to the weights in column D. In assessing whether it is the highest-level tranche of a securitisation or re-securitization, amounts from interest or currency derivative contracts, fees due or similar payments may be disregarded. "

8. § 166 (4) reads:

" (4) In the calculation of the effective number of securitised exposures, a number of claims relating to a debtor shall be treated as a single claim. The effective number of exposures shall be calculated as follows:

where EADi is the exposure level of all claims related to the i-th debtor. If the share in the portfolio is available in the context of the largest requirement, C1, N can be calculated as 1/C1. "

9. § 166 (5).

Section 169 (1) is the following sentence:

" Credit institutions shall calculate the weight of a securitisation position in the context of the prudential formula approach as follows: the weight of re-securitisation positions shall not be less than 20 vH, and for all other securitisation positions not less than 7 vH may be dropped: "

11. In § 169 (1), the definition of the variable N is:

" N the effective number of exposures in accordance with Article 166 (4), whereby the credit institution shall, in the event of re-securitisations, be based 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 have been taken.

12. The following Z 3 is added to § 180:

" 3.

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. "

13. § 198 reads:

" § 198. Credit institutions shall, as far as possible, always evaluate each position assigned to the trading book at market prices in accordance with Section 22n of the BWG. The valuation at market prices shall be the at least daily position assessment on the basis of smooth-setting prices, which shall be obtained from independent sources. "

14. § 199 (1) reads:

Credit institutions shall be subject to a prudent valuation at model prices where a direct assessment at market prices by the credit institution is not possible. In this case, the position value is derived from comparative values or is calculated in a different way using market data (market risk factors). "

Section 199 (2) Z 1 reads as follows:

" 1.

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; "

16. § 201 with headline reads:

" Valuation Adjustments

§ 201. (1) Credit institutions shall apply appropriate rules for the consideration of valuation adjustments. The rules include, in particular, valuation adjustments for non-collected credit spreads, early maturities, costs of entry, refinancing and closing of a position, operational risks, future administrative costs and Include model risks. The adequacy and appropriateness of the rules should be reviewed on a regular basis.

(2) Credit institutions shall establish and maintain rules as to how to calculate an adjustment of the current valuation of positions whose liquidity is limited by market conditions or for internal market reasons. These adjustments shall be made, where appropriate, in addition to the value adjustments of the position required for accounting purposes, and shall be designed to reflect the illiquidity of the position. The rules also have the time needed to secure the positions, volatility and the average amount of money/letter margins, the availability of market quotations including the number and identity of market makers (§ 56 (1) BörseG), the average size and volatility of the trade volume, the market concentration, the ageing of positions, the extent to which the valuation is based on models, as well as the impact of further model risks on consideration.

(3) The credit institution shall review the need for valuation adjustments where an evaluation is carried out at model prices or by third parties.

(4) In the case of complex products, the credit institution shall consider whether value adjustments are necessary in order to take account of possible model risks. "

17. § 202 together with headline reads:

" Systems and controls

§ 202. Credit institutions shall have adequate systems and controls to ensure the prudent and reliable provision of estimates of the prices of their trading book positions. These systems and controls shall at least provide for:

1.

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;

2.

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

3.

a report refund up to the relevant business manager. "

18. In Section 204 (6), the following sentence shall be inserted after the first sentence:

"Without prejudice to the first sentence, the credit institution may decide to replace the nominal value by the nominal value less the changes in the market value of the credit derivative since the end of the transaction."

19. § 204 (6) Z 7 reads:

" 7.

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 "

Article 207 (1) reads as follows:

" (1) Credit institutions shall have the net positions determined in accordance with Section 203 (1), resulting from instruments which are not securitisation positions and the money given on the money market into the respective category of the following Table on the basis of the issuer and debtor, the external or internal credit assessment and the remaining maturity, and then multiply it by the appropriate weights. The minimum resource requirement for the specific position risk results from the sum of the weighted purchase and selling positions, which have been added to the sign-neutral weighted average. Credit institutions shall have to calculate the minimum capital requirement for the specific risk for securitisation positions in accordance with paragraph 5a. For the purposes of paragraph 1, (1a) and (5a), the credit institution may limit the product of weighting and net position to the highest possible loss from the default risk. For a sales position, this upper limit may be calculated as the value change (of the credit derivative) that would arise if all underlying reference values were immediately free of risk.

Locations

Minimum resource requirement for specific position risk

Debt securities issued or guaranteed by central governments, or issued by central banks, international organisations, multilateral development banks or local authorities of the Member States within the framework of the Credit risk standard rate of credit level 1 assigned or weighted with 0 vH.

0 vH

Debt securities issued or guaranteed by central governments, or issued by central banks, international organisations, multilateral development banks or local authorities of the Member States within the framework of the credit risk standard rates 2 or 3 would be allocated to credit risk levels;

Debt securities issued or guaranteed by institutions that would be assigned credit ratings 1 or 2 under the credit risk standard rate;

Debt securities issued or guaranteed by companies that would be assigned credit ratings 1, 2 or 3 under the credit risk standard rate;

Other qualified positions within the meaning of paragraph 6

0.25 vH (residual maturity up to the final maturity ≤ 6 months)

1.00 vH (6 months < residual maturity up to the final maturity ≤ 24 months)

1.60 vH (residual maturity up to final maturity > 24 months)

Debt securities issued or guaranteed by central governments, or issued by central banks, international organisations, multilateral development banks, local authorities of the Member States or institutions which are part of the credit risk standard rates 4 or 5 would be allocated to credit risk levels;

Debt securities issued or guaranteed by institutions that would be allocated in accordance with the standard credit risk level 3 in accordance with the credit risk standard rate;

Debt securities issued or guaranteed by companies which would be allocated under the credit risk standard rate of credit level 4;

Exposures for which a credit rating of a recognised credit rating agency is not available.

8 vH

Debt securities issued or guaranteed by central governments, or issued by central banks, international organisations, multilateral development banks, local authorities of the Member States or institutions which are part of the the standard credit risk standard rate of credit level 6 would be allocated;

Debt securities issued or guaranteed by companies that would be assigned credit rating levels 5 or 6 under the credit risk standard rate.

12 vH

"

21. In § 207, the following paragraph 1 is inserted after paragraph 1:

" (1a) By way of derogation from paragraph 1, a credit institution may determine the greater of the following amounts as a minimum own-resource requirement for the specific risk of the correlation trading portfolio:

1.

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

2.

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. "

22. In § 207, the following paragraph (1b) is inserted:

" (1b) The correlation trading portfolio includes securitisation positions and n th -to-default credit derivatives that meet the following criteria:

1.

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

2.

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. "

23. In § 207, the following subsection (1c) is inserted:

" (1c) A position whose reference is either

1.

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

2.

is a call against a special purpose company,

can not be part of the correlation trading portfolio. A credit institution may include positions in its correlation trading portfolio that do not include securitisation positions or n th -to-default credit derivatives, but to secure other positions of this portfolio, provided that the instrument or the claims on which it is based, a market within the meaning of paragraph 1b (b) which is sufficiently liquid from the buyer and seller's point of view, is available. b exists. "

(24) In § 207, the following paragraph (5a) is inserted:

" (5a) For instruments in the trading book, which are securitisation positions, the credit institution weighs its net calculated net positions as follows:

1.

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;

2.

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.

For the purposes of the lit. (a) and (b) may the prudential formula approach be applied only with the approval of the FMA of credit institutions which are not originators and which may apply this approach in their non-trading book to the same securitisation position. PD and LGD estimates, which are incorporated into the supervisory formula approach, are determined according to § 22b BWG or, alternatively, in the case of separate approval of the FMA according to estimations, which are based on an approach within the meaning of § 232 (4) (1) (1) (1). and which are in line with the quantitative standards for the internal credit rating approach. Without prejudice to the lit. a and b shall be weighted with 8 vH of the risk weight determined in accordance with Section 22f of the Federal Elections Act (BWG) for securitisation positions which received a risk weight in accordance with Section 22f of the Federal Elections Act if they were carried out in the non-trading book of the same credit institution. The weighted positions resulting from the application of this paragraph shall be added (irrespective of whether it is a purchase-or a sales position) to the minimum requirement of own resources for the specific risk. calculating. By way of derogation from the previous sentence, the credit institution shall, during a transitional period until 31 December 2013, separately carry out its weighted net purchase positions and weighted net sales positions. The higher of the two sums is considered to be the minimum requirement of own resources for the specific risk. However, the credit institution shall transmit to the FMA the total sum of its weighted net purchase positions and its weighted net sales positions, broken down by types of underlying exposures. "

Section 209 (2) reads as follows:

"(2) The minimum requirement of own resources for the specific position risk in substance values is 8 vH of the gross overall position."

Section 226 (2) reads as follows:

" (2) If a market risk factor is included in the credit institution's valuation model, but not in its risk-measurement model, the credit institution of the FMA and the Oesterreichische Nationalbank shall demonstrate that this is justified. The risk measurement model also captures the non-linearities of options and other products, as well as the correlation risk and the underlying risk. If proxies are used for market risk factors, they must have shown the actual value change of the position well in the past. The following shall also apply to each of the different types of risk:

1.

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;

2.

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. "

27. § 227 (1) Z 5 reads:

" 5.

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 "

28. The following Z 7 is added to § 227 (1):

" 7.

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. "

29. § 228 (1) reads:

" (1) In the case of a comparison, the potential risk amounts determined on a daily basis by the model are to be compared ex post with the trade results. There are hypothetical trade results based on the hypothetical changes in the portefeuille value at unchanged end-of-day positions, and actual daily trading results. Assessments for the determination of the trade result are to be carried out at current market prices. In the case of a comparison of actual trade results, those elements that distort the trade results, such as commission income, are not possible. The comparison shall be based on potential risk amounts laid down on a holding period of one day's positions. "

30. § 228 (3) reads:

" (3) Individual exceptions in the case of the identification of the multipliers pursuant to § 229 (1) shall be permissible if this exception is not due to a defective forecasting quality of the model. The credit institution may not adopt this approved exception only if the number of exceptions in total, that is to say prior to the authorisation, has been in the green or yellow zone of the table under section 229 (1). "

31. § 229 (1) reads:

" (1) The multipliers pursuant to Section 22p (2) (2) (1) and (2) of the Federal Elections Act shall be determined separately for each credit institution on the basis of the opinion of the Oesterreichische Nationalbank on the basis of the initial approval of the model. The multipliers shall be based on the minimum value of three, one surcharge on the basis of the results of the return comparisons in the interval from zero to one and a supplement due to the degree of fulfilment of the conditions for the model approval in accordance with Section 21e (1) (1) (1) to (7) of the Federal Elections Act (BWG), As a result, the multipliers shall be adjusted by the credit institution, using the exceptions determined in the case of the comparison, in accordance with the following table at the beginning of the next calendar quarter and for the duration of the next quarter. The adjustment shall be based on the highest number of exceptions in the case of the hypothetical and actual changes in the portfolio value which, on the basis of the daily reversals, for a period of 250 business days in the course of the prior to the previous calendar quarter.

Zone

Number of exceptions

Supplement to the multiplier due to the results of the reversals

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. § 229 (2) reads:

"(2) The highest number of exceptions established in the previous calendar quarter as referred to in paragraph 1, and the multipliers for the current calendar quarter, shall be notified immediately to the FMA and the Oesterreichische Nationalbank."

Section 229 (5) reads as follows:

"(5) The adjustment of the multipliers referred to in paragraph 1 shall be confirmed by the bank auditor in the annex to the audit report."

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

"(5) Credit institutions shall also carry out crisis tests in which scenarios are to be identified which may jeopardise the continued existence of the credit institution (reverse stress tests)."

35. § 232 (2) reads:

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

36. § 232 (4) reads:

" (4) Credit institutions may depart from the collection of default and migration risks for interest-related instruments in their internal models, if these risks are covered by the requirements of Z 1 to 12:

1.

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.

2.

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.

3.

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.

4.

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.

5.

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

a)

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

b)

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

c)

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.

6.

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.

7.

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

8.

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:

a)

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;

b)

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;

c)

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

The approach to the collection of additional risks has to be consistent with the internal risk management methods of the credit institution for the identification, measurement and management of commercial risks.

9.

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.

10.

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.

11.

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.

12.

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:

a)

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

b)

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

c)

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

d)

the basic risk, including

aa)

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

bb)

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

e)

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

f)

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

For the purposes of this paragraph, a credit institution shall have sufficient market data to ensure that it fully captures the main risks of these risk positions in its internal approach, in accordance with the said requirements, that it proves that its risk measurements adequately explain the historical price fluctuations of these products, and that it is capable of taking the positions for which it is authorised to adopt the inclusion in the minimum requirement of own resources pursuant to this paragraph, from which , for which it does not have such approval. With regard to the portfolios to which this paragraph applies, the credit institution shall regularly apply a number of specific, predetermined stress scenarios. These stress scenarios are used to assess the impact of failure rates, redemption rates, credit spreads, and correlations on profit and loss of correlation trading activities in stressful situations. The credit institution shall apply these stress scenarios at least once a week and shall report to the FMA and the Oesterreichische Nationalbank at least once a quarter on the results, including comparisons with the Minimum requirements of the credit institution as set out in this paragraph. Any case in which the crisis tests indicate a significant inadequacy of this minimum own resource requirement has to be reported to the FMA and the Oesterreichische Nationalbank in a timely manner. Pursuant to Section 70 (4a) of the BWG, the FMA and the Oesterreichische Nationalbank (Oesterreichische Nationalbank) are examining the need for an additional minimum resource requirement for the correlation trading portfolio based on the crisis test results. Credit institutions shall have to calculate the minimum capital requirement for the collection of all price risks at least once a week. "

37. § 234 Z 3 lit. c is added to the following phrase:

"in such a case, the value to be used for the potential future credit risk of the credit institution shall be limited to the amount of the premiums which the collateral taker has not yet paid to the credit institution;"

38. § 262 Z 1 reads:

" 1.

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. "

39. § 262 Z 12 reads:

" 12.

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. "

40. In § 263 (1), the word order shall be " in the version of the Federal Law BGBl. I No 72/2010 " through the phrase " in the version of the Federal Law BGBl. I No 145/2011 " replaced.

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

"(2) § 166 (5) shall expire on the expiry of 30 December 2011."

(42) The following paragraph 4 is added to § 265:

" (4) § 5 (1a), § 69 (1) Z 4, § 79, § 160 (5), § 161 (1) and the table, § 166 (1) and the table, § 166 (2) and (4), § 169, para. 1, § 180 Z 3, § 198, § 199 (1) and subsection 2 (2) Z 1, § 201, including the title, § 202, § 204 (6), second sentence and paragraph 6 Z 7, § 207 (1) and the table, § 207 (1a) to (1c) and (5a), § 209 (2), § 226 (2), § 227 (1) (5) and (7), § 228 (1) and (3), section 229 (1), including the table and subsection (2) and (5), § 230 (5), § 232 (2) and (4), § 234 Z 3 lit. c, § 262 Z 1 and 12 and section 263 (1) in the version of the BGBl Regulation. II No 460/2011 shall enter into force on 31 December 2011. '

Ettl Pribil