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

Pursuant to section 21d (6), § 21f (4), § 22 (7), § 22a (7), § 22b (10) and (11), § 22d (5), § 22f (2), § 22g (9), § 22h (7), § 22k (4), § 22l (4), § 22n (5) and § 22o (5) (5) of the Banking Act-BWG, BGBl. No. 532/1993, as last amended by the Federal Law BGBl. I n ° 72/2010, 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 253/2007, shall be amended as follows:

1. In § 2 (3) Z 2 the following sentence is added:

" When using an internal model according to § § 244 to 255, all netting rates with a single counterparty can be treated as a single netting sentence if the simulated negative market values of the individual netting rates at the Estimate of the average market value according to § 245 para. 3 Z 2 shall be set equal to zero. "

2. The heading of § 21 reads:

"Short-term requirements for companies"

3. In § 21, the word order shall be deleted "credit institutions for which a recognised credit rating agency has a credit rating for the central government of the credit institution and" .

4. In accordance with § 28, the following § 28a and title shall be inserted:

" Leasing operations

§ 28a. (1) In the case of leasing transactions, the exposure value corresponds to the discounted minimum lease payments ("cash value"). Minimum leasing payments are payments over the leasing period to which the lessee will be obliged or liable to be bound, and any favourable purchase option, i.e. an option whose exercise seems reasonable to be safe.

(2) Any guaranteed residual value, which meets the requirements of security providers in accordance with § 96 as well as the requirements for personal collateral according to § § 111 to 115, is also included in the minimum lease payments.

(3) The exposure values determined in accordance with paragraphs 1 and 2 shall be classified and weighted according to the respective exposure classes in accordance with Section 22a (4) of the BWG.

(4) If a claim arising from a leasing business is the residual value of a leasing object to which paragraph 2 is not applicable, the risk-weighted exposure amount shall be calculated as follows:

Weighted Exposure Amount = 1/t * 100 vH * Fordering Value

where t is the higher of the two following values: 1 or the nearest number of full years of the remaining lease term. "

5. § 56 (5) reads:

" (5) The requirements of paragraphs 1 to 4 shall not apply to personal securities of institutions, central governments and central banks, as well as to companies which meet the requirements of § 96 (1) Z 7 if the credit institution for claims to these Counterparties use the credit risk standard rate. In this case, the requirements according to § § 100 to 118 are to be fulfilled. "

6. In Article 70 (2) (3), the following sentence shall be inserted after the first half-sentence:

"in the case of repurchase transactions, securities or commodities lending or borrowing transactions subject to a netting framework agreement, M shall be the weighted average remaining maturity of the transactions, where M is at least 5 days;"

7. In § 70 sec. 2 Z 5 the formula is as follows:

8. § 77 (5) last sentence reads:

" The weighted exposure amounts at the level of the equity portfolio may not be less than the total of the minimum weighted exposure amounts prescribed in accordance with the PD/LGD approach as set out in paragraph 4 and the expected minimum weighted exposure amounts Loss amounts, multiplied by 12.5 and calculated on the basis of the PD and LGD values referred to in § § 68 to 72. "

Section 78 (2) reads as follows:

In the case of the residual value of a leasing object, the weighted exposure amount shall be calculated as follows:

Weighted Exposure Amount = 1/t * 100 vH * Fordering Value

where t is the higher of the two following values: 1 or the nearest number of full years of the remaining lease term. "

(10) The following paragraph 3 is added to Article 89:

" (3) If the investment fund is not limited to titles eligible for recognition in accordance with Articles 87 to 88, its shares may be recognised as collateral with the value of eligible assets, and it is assumed that the investment fund shall be until the ceiling allowed under its mandate has been invested in non-recognition-capable assets. In the event that non-eligible assets can assume a negative value on the basis of liabilities or contingent liabilities associated with their property, the credit institution shall calculate the total value of the non-eligible assets. of eligible assets and, in the event of a negative aggregate value, shall withdraw from the value of the assets that are eligible for recognition. "

(11) The following paragraph 3 is added to § 90:

" (3) If the investment fund is not limited to titles pursuant to Section 1 (1) (1) and Articles 87 to 88, its shares may be recognised as collateral with the value of the eligible assets, with the adoption of that the investment fund has invested in non-recognition assets up to the maximum limit allowed under its mandate. In the event that non-eligible assets can assume a negative value on the basis of liabilities or contingent liabilities associated with their property, the credit institution shall calculate the total value of the non-eligible assets. of eligible assets and, in the event of a negative aggregate value, shall withdraw from the value of the assets that are eligible for recognition. "

12. § 109 para. 2 reads:

Credit institutions may, for the purpose of credit risk mitigation, use life assurance pledges or reassurances to the lending credit institution where the following requirements are met:

1.		Life insurance has been pledged or resigned to the lending credit institution;
2.		the life insurer in question has been given the pledge or pledge or the assignment shall be notified and may, as a result of this, pay out amounts due only with the consent of the lending credit institution under the contract;
3.		the lending credit institution has the right to terminate the contract and disburse the repurchase value in the event of a default of the borrower;
4.		the lending credit institution shall be informed of any balance of payments of the policyholder;
5.		the security is provided for the duration of the loan. To the extent that this is not possible because the insurance relationship ends before the end of the credit relationship, the credit institution must ensure that the amount flowing from the insurance contract is up to the end of the term of the credit agreement the credit institution shall serve as security;
6.		the deposit or assignment shall be legally effective and enforceable in all relevant legal systems at the time of the conclusion of the credit agreement;
7.		the repurchase value is declared by the life insurer and is not reducible;
8.		the repurchase value must be paid in a timely manner on request;
9.		the repurchase value shall not be paid without the consent of the credit institution;
10.		the insurance undertaking is subject to Directive 2002/83/EC and Directive 2001 /17/EC or to the supervision of a competent authority of a third country which applies supervisory and regulatory provisions which are at least the same as those in the Community shall comply with the rules applied.

13. In Section 113 (1) Z 3, after the word order "a multilateral development bank" the phrase "or international organisation" inserted.

14. The following paragraph 3 is added to § 129:

" (3) Credit institutions do not simultaneously apply the simple and comprehensive method, except in the case of

1.		step-by-step conversion approved by the FMA in accordance with Article 21a (7) of the Federal Elections Act (BWG) to the approach based on internal ratings,
2.		the determination of the basis of assessment for the credit risk according to the credit risk standard rate approved by the FMA in accordance with Section 22b (9) of the BWG. "

15. In § 130 (2), the following sentence shall be inserted after the first sentence:

"For this purpose, the exposure value of an off-balance-sheet business referred to in Appendix 1 to § 22 BWG shall be 100 vH of its value, whereby Section 22a (2) (2) of the Federal Elections Act (BWG) is to be disregarded."

16. In § 132 (1), the second half-sentence in the definition of the variables E is:

" To this end, credit institutions which calculate the weighted exposure amounts in accordance with the credit risk standard rate shall be required for the exposure value of off-balance-sheet items listed in Appendix 1 to § 22 BWG instead of the non-balance sheet items listed in § Point 22a (2) (2) (2) of the BWG shall apply a value of 100% of the value; "

17. In § 140, the following sentence shall be inserted after the third sentence:

" For this purpose, in calculating the exposure value, the off-balance-sheet item referred to in Article 65 (9) to (11) shall be replaced by a conversion factor or a percentage of 100 vH instead of the conversion factors or percentages referred to in those paragraphs. on the basis of this. "

18. § 144 reads:

" § 144. (1) If the conditions set out in § 109 para. 2 are fulfilled, the part of a claim which is secured according to § 95 Z 2 with the current return value of a life insurance can be weighted as follows:

1.		Credit institutions using the credit risk standard rate shall have to weigh the collateralised forum part in accordance with paragraph 2 above;
2.		Credit institutions using an internal ratings-based approach, but using no LGD estimates of their own, have to assign a LGD of 40 vH to the collateralised forum part;
3.		If the life insurance is in a currency other than the secured claim, the current return value is to be reduced in accordance with § 147, with the collateral value corresponding to the current return value of life insurance.

(2) For the purposes of paragraph 1 (1), the following risk weights shall be used, the risk weight of a priority unsecured call to the insurance undertaking as a basis:

1.		Where a priority unsecured call to the insurance undertaking is to be assigned a risk weight of 20 vH in the credit risk standard rate, the secured forum part shall be weighted at 20 vH;
2.		Where a priority unsecured call to the insurance undertaking is to be assigned a risk weight of 50 vH in the credit risk standard rate, the survey section shall be weighted at 35 vH;
3.		Where a priority unsecured call to the insurance undertaking is to be assigned a risk weight of 100 vH in the credit risk standard rate, the secured forum part shall be weighted at 70 vH;
4.		If a priority unsecured claim to the insurance undertaking is to be assigned a risk weight of 150 vH in the credit risk standard set, the secured forum part shall be weighted at 150 vH. "

19. In § 149 the definition of the variable E is:

" E the exposure value in accordance with Section 22a (2) of the BWG, whereby for this purpose the exposure value of an off-balance-sheet item referred to in Appendix 1 to § 22 BWG is 100 vH of its value. "

20. § 150 reads:

" § 150. (1) Where a credit institution uses the approach based on the internal credit rating to calculate its weighted exposure amounts and expected loss amounts, it may be used for the purposes of determining the exposure value (E) for the purposes of determining the PD according to § § 68 to 72 as PD the PD of the security provider or a PD between that of the borrower and that of the security provider are accepted. This is based on the custom value of the credit protection GA. In the case of subordinated claims and a non-subordinated personal security, the LGD may be accepted as the LGD of a corresponding priority.

(2) For the unsecured part of the exposure value (E), credit institutions shall have as PD the PD of the borrower and, as LGD, the LGD of the underlying debt.

In this case:

E the exposure value in accordance with § 65, whereby for the purposes of paragraph 1, the off-balance-sheet item referred to in Article 65 (9) to (11), instead of the conversion factors or percentages referred to in those paragraphs, is a conversion factor or percentage of 100 vH is to be based on

GA the value determined in accordance with § 147, which shall be adjusted in accordance with § § 151 to 154. "

21. § 156 reads:

" § 156. (1) exposures shall be considered to be effective in the context of a traditional securitisation if the following conditions are met:

1.		A substantial part of the credit risk from the securitised exposures shall be transferred to third parties or a risk weight of 1 250 vH shall be applied to all securitisation positions held at the securitisation, or these securitisation positions shall be applied shall be deducted from the own funds of the credit institution in accordance with Article 23 (13) (13) of the BWG;
2.		from the documents of the securitisation, the economic content of the transaction is shown;
3.		the third party to which the securitised exposures have been transferred shall be a securitisation special company in accordance with § 2 Z 60 BWG;
4.		a legal opinion shall be submitted in which it is confirmed that the originator or his creditors cannot, under any circumstances, resort to the securitised exposures;
5.		securities issued under the transaction do not constitute payment obligations of the originator;
6.		the originator does not retain effective or indirect control over the exposures transferred; in particular, effective control shall be carried out if the originator has the right to buy back the previously transferred claims from the acquirer, in order to realize their profits, or if it is obliged to retake the risks transferred; the maintenance of the receivables management by the originator as well as its obligations in relation to the claims shall not constitute such control over claims;
7.		the documents of the securitisation shall not be subject to the originator's obligation to improve securitisation positions in the event of a deterioration in the credit quality of the securitised exposures or of the forum pool, except for clauses on the early Repayment and
8.		Return options have been agreed only in accordance with the following criteria:
a)			the exercise of the repatriation option is at the discretion of the originator;
b)			the exercise of the repatriation option shall be admissible only if 10% or less of the original value of the securitised exposures are outstanding and
c)			the structure of the repatriation option is not designed to achieve credit enhancement or to avoid the allocation of losses to holders of securitisation tranches.

(2) A substantial part of the credit risk arising from the securitised exposures shall be deemed to be transferred to third parties in accordance with Section 1 (1) (1) (1), if:

1.		the risk-weighted exposure amounts of the mezzanine securitisation position held by the originator at the securitisation shall be at most 50 vH of the risk-weighted exposure amounts of all mezzanine securitisation positions of the securitisation, or
2.		the originator, in the case of a securitisation without a mezzanine securitisation position, holds a maximum of 20 vH of the exposure values of the securitisation positions to which a risk weight of 1 250 vH would be assigned, and he can demonstrate that the exposure value of all Securitisation positions, which would be assigned a risk weight of 1 250 vH, which, according to reasoned estimates, significantly exceeds the expected loss for the securitised exposures.

(3) For the purposes of paragraph 2, "mezzanine securitisation position" shall mean securitisation positions for which a risk weight of less than 1 250 vH is to be applied and which are more subordinated than the highest-level position of the securitisation and as each The securitisation position, depending on the approach chosen, applies:

1.		These are securitisation positions to which the standard rate is applied in accordance with § § 160 to 164, in which case the credit level 1 is assigned to it;
2.		These are securitisation positions to which the approach based on internal credit ratings is applied in accordance with § § 165 to 179, to which credit level 1 or 2 is allocated.

22. § 157 reads:

" § 157. (1) The credit risk arising from exposures under a synthetic securitisation shall be considered to be effective if the following conditions are met:

1.		a substantial part of the credit risk from the securitised exposures has been transferred to a third party by means of collateralisation, or a risk weight of 1 250 vH shall be applied to all securitisation positions held at the securitisation, or Securitisation positions shall be deducted from the own funds of the credit institution in accordance with Section 23 (13) (13) of the BWG;
2.		from the documents of the securitisation, the economic content of the transaction is shown;
3.		the collaterals used for the transfer of credit risk comply with the requirements of Sections 83 to 118, whereby for the purposes of this main item securitisation special companies do not act as suitable providers of personal securities are recognised;
4.		a legal opinion is available in which the legal enforceability of the security instruments is confirmed in all relevant legal systems and
5.		the collaterals used to transfer credit risk do not contain any conditions which:
a)			provide for substantial material thresholds, before they are reached, the security instrument cannot be used in the event of a credit event in the securitised claims;
b)			permit termination of the collateralisation as a result of the deterioration in the credit quality of the underlying exposures;
c)			require the originator to improve securitisation positions, except in the case of early repayment clauses;
d)			as a result of a deterioration in the credit quality of the securitised exposures, the cost of the collateralisation or the interest to be paid to the holders of risk exposures is increased.

(2) A substantial part of the credit risk arising from the securitised exposures shall be deemed to be transferred to third parties in accordance with paragraph 1 (1) (1) if the conditions of § 156 (2) Z 1 or 2 are fulfilled. "

23. In the introduction to § 163 (1), the word sequence shall be deleted. "of 20 vH shall be applied to the nominal value if the original maturity is one year or less, and in the case of a longer initial maturity of the liquidity facility, a conversion factor" .

(24) In § 163 (1) (1) (1), the phrase "Set and Limit" through the phrase "fixed and limited" replaced.

Section 163 (2) reads as follows:

" (2) In order to determine the exposure value, a conversion factor of 0 vH may be applied to the nominal value of a liquidity facility if the requirements of paragraph 1 (1) (1) and (6) are met and if the requirements are fully promulgated and the repayment of the draws of the liquidity facility is primarily against all other claims for payments from the securitised receivments. "

26. § 166 (3) is deleted.

27. § 170 (2) deleted.

28. In § 170 (3), the Z 2 is deleted.

29. § 185 (2), first sentence reads:

"A negative minimum own resource requirement (resulting from a negative operating income) in a business unit can be offset indefinitely with the positive minimum own resources requirement in other business areas."

30. In § 190 (5), the following sentence shall be inserted after the first sentence:

"Loss events affecting the entire credit institution may in exceptional circumstances be assigned to an additional business unit" corporate items "."

31. In accordance with § 194, the following § 194a shall be inserted with the title:

" Classification of Loss Events

§ 194a. The following categories of loss events are to be used for the assignment in accordance with § 190 (5):

Event Category	Definition
Internal fraud	losses due to acts of fraudulent intent, embezzlement of property, circumvention of administrative, legal or internal regulations, with the exception of losses due to discrimination or social and cultural diversity, if at least one internal party is involved
External fraud	Losses arising from acts of fraudulent intent, misappropriation of property or circumvention of legislation by a third party
Employment practices and job security	Losses resulting from acts that violate employment, health or safety regulations or agreements, losses resulting from damages due to bodily injury, loss due to discrimination or social security and cultural diversity
Customers, products and business practices	losses due to unintentional or negligent non-performance of business obligations to certain customers (including fiduciary and adequacy obligations), losses due to the nature or Structure of a Product
Property damage	Losses due to damage or loss of property caused by natural disasters or other events
Business interruptions and system outages	Losses due to business interruptions or system failures
Execution, delivery and process management	Loss due to errors in business management or process management, losses from relationships with business partners and suppliers/providers

32. § 197 (3) reads:

" (3) If a credit institution secures a claim which is not attributable to the trading book, by means of a credit derivative assigned to the trading book, that claim shall be subject to the determination of the amount of the credit derivative provided for in paragraphs 1 and 2 of this Article. If the credit derivative has been purchased by a recognised collateral provider and meets the requirements of § 116 in relation to the receivables to be secured, the minimum mean requirement shall be deemed to be secured only as a guarantee. Without prejudice to § 216 (6) sentence 2, if the credit derivative is taken into account for the determination of the minimum resource requirement of the non-trading book requirement, neither the internal nor the external protection provided by the credit derivative can be used. shall be taken into account in the determination of the minimum resource requirement for the trading book. "

33. In Section 201 (1), the phrase ", operational risks" before the phrase "and model risks" inserted.

Section 204 (7) reads as follows:

" (7) For the party which transfers the credit risk (collateral taker), the calculation of the minimum resource requirement for the general and specific position risk shall be the risk positions, with the exception of the credit linked note, which shall be included in the risk assessment. Reference to the issuer does not create a position of sale in a mirror-image manner to those of the security provider as defined in paragraph 6 ("mirror image principle"). If, at a given point in time, a right of termination exists in connection with a cost-increase clause, it shall be considered as the due date of the security. "

(35) The following paragraph 8 is added to § 204:

" (8) In the case of a credit derivative which can be used as soon as a basket has entered a credit event for the first time and that credit event ends the contract (first-to-default credit derivative), and a credit derivative which is in If a credit event has occurred for a basket for the nth time, and this credit event ends the contract (nth-to-default credit derivative), then instead of the mirror image principle according to paragraph 7, it can be used as follows: to proceed:

1.		Where a credit institution has credit insurance for a number of reference units based on a credit derivative in such a way that the first outage occurring in the case of the relevant values triggers the payment and that credit event the contract is also terminated (first-to-default credit derivative), it is permitted for the institution to present the specific risk for those reference units for which the lowest own-resource requirement for the the specific position risk is to be offset.
2.		If the nth outage among the reference units dissolves the payment in the context of credit insurance (nth-to-default credit protection), the credit institution is only allowed to charge the specific risk, even if for the failures 1 to n-1 a loan guarantee is available, or if n-1 outages have already occurred. In these cases, it is necessary to proceed according to Z 1. "

36. In § 207 (1) the table is:

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 within the framework of the credit risk levels 4 or 5 would be allocated to the standard credit risk; 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 within the framework of the the 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

37. The following sentence is added to section 216 (6):

" Alternatively, credit institutions may, in the calculation of the own resources requirement for the counterparty default risk, all credit derivatives belonging to the trading book which are part of the internal hedging transactions or to the trading book. Protection of the risk of a contract of contrasts has been acquired in a consistent way, if the credit insurance is recognized in accordance with § § 111 to 118. "

38. In § 224, the reference "§ 22p (5) Z 1 to 8 BWG" by reference "§ 22p (5) Z 1 to 7 BWG" replaced.

39. § 233 (2) (2) (2) reads:

" 2.		To the extent that the right to vote is not exercised in accordance with § 216 (6) sentence 2, for credit derivatives which are acquired in order to secure a claim outside the trading book or a receivable with a counterparty risk, and which are not subject to the right to vote in accordance with § 216 (6) sentence 2. the minimum property requirement for the secured receivables in accordance with § § 146 to 150 or in the case of the approval by the FMA pursuant to § 74 para. 1 Z 5 is determined. In this case, a credit institution shall be exempted from the calculation of the own resources requirement for the counterparty default risk for all derivatives outside the trading book, which are intended to secure a claim outside the trading book or to hedge against it. the counterparty default risk has been acquired, if the credit insurance is recognized in accordance with § § 111 to 118 and "

40. § 240 (3) reads:

" (3) Credit institutions shall have a separate hedging rate for each issuer of a reference school title which is based on a credit default swap. In doing so, nth-to-default swaps are treated as follows:

1.		The level of the risk position from a reference school title in a basket on which a nth-to-default swap is based results from the multiplication of the nominal value of the reference debt title with the sensitivity of the value of the nth-to-default derivative related to the change in the credit spreads of the base school title. Contractual agreements with a multiplicatory effect shall be taken into account in the calculation of the nominal value of the reference debt;
2.		for each reference school title in a basket based on a given nth-to-default swap, there is a hedging record; risk positions from different nth-to-default swaps are not aggregated in the same hedging rate;
3.		for each hedging set to be opened for a reference debt of a nth-to-default derivative, reference school titles obtained by a recognised credit rating agency shall be subject to a credit rating corresponding to levels 1 to 3 of credit rating, Multiplier for the counterparty default risk of 0.3 vH and for other debt instruments of 0.6 vH. "

41. In § 263 (1) the word order shall be " in the version of the Federal Law BGBl. I No 141/2006 " through the phrase " in the version of the Federal Law BGBl. I No 72/2010 " replaced.

42. The previous text of § 265 receives the sales designation "(1)" . The following paragraph 2 is added:

" (2) § 2 para. 3 Z 2, § 21 with title, § 28a including title, § 56 para. 5, 70 para. 2 Z 3, § 70 para. 2 Z 5, § 77 para. 5 last sentence, § 78 para. 2, § 89 para. 3, § 90 para. 3, § 109 para. 2, § 113 paragraph 1 Z 3, § 129 para. 3, 130 para. 2, § 132 para. 1, § 140, § 149, § 150, § 156, § 157, § 163 para. 1 (introductory part), § 163 para. 1 Z 1 and para. 2, § 185 para. 2, first sentence, § 190 para. 5, § 194a including title, § 197 para. 3, § 201 para. 1, § 204 para. 7, § 204 paragraph 8, § 207 para. 1, § 216 para. 6, § 224, § 233 (2) (2) (2), § 240 (3), section 263 (1), as amended by the BGBl Regulation. II No. 335/2010 will enter into force on 31 December 2010; § 166 (3), § 170 (2) and (3) (3) (2) will expire on 30 December 2010. "

Ettl Pribil