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Solvabilitätsverordnung-Solvav

Original Language Title: Solvabilitätsverordnung- SolvaV

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374. Regulation of the Financial Markets Authority (FMA) on the implementation of the Banking Act with regard to the solvency of credit institutions (Solvency Regulation-SolvaV)

Pursuant to Section 21d (6), Section 21f (4), § 22 (7), § 22a (5) Z 5, § 22a (7), § 22b (10) and (11), § 22d (5), § 22e (5) and (6), § 22f (2), § 22g (9), § 22h (7), § 22j (2), § 22k (4) and (9), § 22l (4), § 22n (5), § 22o (5), § 22e (4) Paragraph 5 and Section 22p (5) of the Banking Act-BWG-, BGBl. No. 532/1993, as last amended by the Federal Law BGBl. I n ° 141/2006, is being ordered with the approval of the Federal Minister for Finance:

table of contents

Part 1: General provisions

§ 1

Purpose

§ 2

Definitions

Part 2: Credit risk

1. Main item: Credit risk standard rate

1. Section: General provision

§ 3

General provision

2. Section: Weights

§ 4

Requests to central or central banks

§ 5

Requirements for regional authorities and legally recognised
Religious communities

§ 6

Exposures to public authorities, administrative bodies and undertakings without
Gainful character

§ 7

Requirements for multilateral development banks

§ 8

Requirements for international organisations

§ 9

Requirements for institutions

§ 10

Weight allocation for exposures to institutions

§ 11

Exposures to enterprises

§ 12

Retail claims

§ 13

Claims secured by real estate

§ 14

Residential mortgage credit

§ 15

Commercial mortgage credit

§ 16

Overdue receivals

§ 17

High-risk claims

§ 18

Claims in the form of covered debt securities

§ 19

Additional requirements for debentures covered by real estate

§ 20

Weighting of claims in the form of covered debt securities

Section 21

Short-term exposures to credit institutions and companies

Section 22

Claims in the form of investment fund shares

Section 23

Exposures in the form of investment fund shares with a rating

§ 24

Average weight for exposures in the form of investment fund shares

Section 25

Other items

Section 26

Trust assets and debt securities from their own issuance

§ 27

Debt sales, repurchase agreements and outright forward purchases

§ 28

Credit insurance for a receivables basket

Section 3: Use of credit ratings by rating agencies

§ 29

Use of credit ratings by rating agencies

§ 30

General Terms of Use

Section 31

Use of Multiple Ratings

Section 32

Issuers and issuance ratings

§ 33

Short-term ratings for claims

Section 34

Short term ratings for facilities

§ 35

Claims in national currency and in foreign currency

2. Main piece: Approach based on internal ratings

1. Section: General provisions

§ 36

General provision

2. Section: Minimum Requirements

Section 37

Rating systems

§ 38

Structure of rating systems

§ 39

Assignment of requests

§ 40

Integrity of the mapping process

Section 41

Using models

§ 42

Documentation of rating systems

Section 43

Acquired Models

Section 44

Data Management

§ 45

Crisis Tests

Section 46

Failure qualification of the debtor

§ 47

General requirements for own estimates

§ 48

Requirements for PD estimates for claims on central states and
Central banks, institutes and companies

§ 49

Requirements for PD estimates for retail claims

§ 50

Requirements for own LGD estimates

Section 51

Requirements for LGD estimates for requests to central governments and
Central banks, institutes and companies

Section 52

Requirements for LGD estimates for retail claims

Section 53

Requirements for the estimation of conversion factors

§ 54

Requirements for estimates of conversion factors for exposures to
Central governments and central banks, institutes and companies

§ 55

Requirements for estimates of conversion factors for retail claims

§ 56

Requirements for the consideration of personal collateral in the
Parameter estimation

Section 57

Additional requirements for the estimation of the effect of credit derivatives

Section 58

Requirements for purchased receivments

§ 59

Validation of internal estimates

§ 60

Quantitative requirements for internal models for equity positions

Section 61

Qualitative requirements for internal models for equity positions

Section 62

Validation and documentation of internal models for equity positions

§ 63

Responsibility of the managers and requirements for credit risk control

Section 64

Internal Audit Tasks

3. Section: Determination of the exposure value:

Section 65

Determination of the exposure value

Section 66

Exposure value of equity items

Section 67

Exposure value of other assets

Section 4: Risk parameters PD, LGD and M

Section 68

PD estimates for exposures to central governments and central banks, institutes and
Company

Section 69

LGD estimates for exposures to central governments and central banks, institutes and
Company

Section 70

Residual maturity for exposures to central governments and central banks, institutes and
Company

Section 71

PD and LGD estimates for retail claims

Section 72

Participant Line Items by the PD/LGD Method

5. Section: weighted exposure amount and expected loss amount

Section 73

Weighted Exposure Amount and Expected Loss Amount

Section 74

Requirements for central governments and central banks, institutes and companies

§ 75

Retail claims

Section 76

Failed demands

Section 77

Equity Items

Section 78

Other assets

§ 79

Claims in the form of investment fund shares

§ 80

Dilution risk

§ 81

Expected loss amounts

Section 82

Treatment of expected loss amounts

3. Main item: Credit risk reduction

1. Section: Visits

Section 83

Collaterals

Section 84

Netting of balance sheet items

§ 85

Netting framework agreements, repurchase agreements, securities and
Commodity lending operations and other capital market transactions

§ 86

Method-dependent recognition capability of collateral security

§ 87

Financial collateral

Section 88

Debt securities issued by non-rated institutions

§ 89

Investment Fund Parts

§ 90

Additional financial collateral in the use of the comprehensive method

Section 91

Additional recognition capability for the calculations according to the
Ratings-based approach

§ 92

Property collateral

Section 93

Requirements

Section 94

Other collateral

§ 95

Other types of collaterals

§ 96

Backup

Section 97

Double Default

Section 98

Credit derivatives

§ 99

Internal backup operations

2. Section: Minimum Requirements

§ 100

Netting

§ 101

Netting Framework Agreements

Section 102

Financial collateral

Section 103

Property collateral

Section 104

Valuation of real estate security

Section 105

Requirements

Section 106

Value of claims

Section 107

Other collateral

Section 108

Value of other property collateral

Section 109

Other types of collaterals

§ 110

Leasing

Section 111

Requirements for all personal collateral

Section 112

Operational requirements

Section 113

Repatriation of States and other public bodies

Section 114

Additional requirements for personal collateral, which are not credit derivatives

§ 115

Guarantee programmes to be used for the purpose of credit risk reduction

Section 116

Additional requirements for credit derivatives

Section 117

Incongruence

Section 118

Double Default

3. Section: Effect of credit risk reduction

§ 119

General

§ 120

Cash, securities and commodities in the context of a pension business, securities
or goods lending business

Section 121

Credit Linked Notes

§ 122

Netting of balance sheet items

§ 123

Netting framework agreements, repurchase agreements, securities and
Goods borrowing transactions or other capital market transactions

Section 124

Net position of goods and securities

§ 125

Volatility adjustment

§ 126

Volatility adjustment for exchange rate risk

§ 127

Custom request value

§ 128

Internal Model

Section 129

Financial collateral

§ 130

Simple method of taking financial collateral into account

Section 131

Comprehensive method of taking financial collateral into account

Section 132

Volatility adjustment of the value of financial security

§ 133

Scale-up of volatility adjustment

Section 134

Standardized volatility adjustment

§ 135

Volatility adjustments based on own estimates

Section 136

Quantitative requirements for own volatility adaptations

Section 137

Qualitative requirements for own volatility adaptations

§ 138

Renunciation of volatility adjustment

Section 139

Weighted exposure amounts and expected loss amounts for financial
Collateral

§ 140

Other within the framework of the internal credit-rating approach for the purpose of
Credit risk mitigation-usable collaterals

Section 141

Alternative valuation of residential real estate securities

Section 142

Weighted exposure amounts and expected loss amounts for mixed
Security Pools

Section 143

Deposits with third parties

Section 144

Mortgage-based life insurance

§ 145

Collateral according to § 95 Z 3

Section 146

Evaluation of personal collateral

Section 147

Personal securities in other currencies

§ 148

Weighted exposure amounts and expected loss amounts
Securitisation transactions

§ 149

Weighted exposure amounts and expected loss amounts in credit risk-
Default Set

Section 150

Weighted exposure amounts and expected loss amounts in internal credit ratings
based on approach

Section 151

Runtime incongruities

Section 152

Runtime incongruities in financial collateral

Section 153

Runtime incongruities with personal security performance

Section 154

Protection for claims baskets

§ 155

Combined credit risk mitigation at the default rate

4. Main item: securitisation positions

1. Section: Calculation of weighted exposure amounts and expected loss amounts

Section 156

Effective transfer of receivings within the framework of a traditional securitisation

Section 157

Effective transfer of credit risk in the context of a synthetic securitisation

Section 158

Determination of the weighted exposure amount of synthetically securitised
Requirement portfolios according to § 22d para. 2 BWG

Section 159

Treatment of maturity incongruities in the case of synthetic securitisations

§ 160

Determination of the weighted exposure amount-General principles

Section 161

Determination of the weighted exposure amounts in the context of credit risk
Default Set

Section 162

Treatment of securitisation positions in a second-loss tranche or in a
Better tranche in an ABCP programme within the framework of the
Default Set

Section 163

Treatment of non-rated liquidity facilities within the standard rate

Section 164

Reduction of the weighted exposure amounts under the standard rate

Section 165

Calculation of the weighted exposure amount within the framework of the internal credit rating
based on approach

Section 166

Rating-based approach

Section 167

Use of derived ratings within the framework of the internal ratings
Approach

§ 168

Internal assessment of positions in ABCP programmes within the framework of the
Internal Ratings based approach

§ 169

Supervisory formula approach

§ 170

Liquidity Facilities within the Internal Ratings-based Approach

Section 171

Recognition of credit risk reduction on securitisation positions within the framework of the
on internal ratings-based approach

Section 172

Calculation of the minimum property requirement for securitisation positions with
Credit risk reduction in the rating-based approach

Section 173

Calculation of the minimum property requirement for securitisation positions with
Credit risk reduction in the prudential formula approach

§ 174

Reduction of the weighted exposure amounts in the context of the internal ratings
based on approach

§ 175

Calculation of the additional weighted exposure amounts of
Securitisation positions of revolving exposures with an early redemption clause in the
Default Credit Risk Rate

Section 176

Calculation of the additional weighted exposure amounts of securitisation
Positions revolving around revolving exposures with an early redemption clause in the on-internal
Ratings-based approach

Section 177

Securitisation with clause on early repayment, to which no
Dedicated, timely and unconditionally available retail credit limits
are located

Section 178

Conversion factor for other securitisations with pre-term clause
Repayment

§ 179

Maximum minimum property requirement for securitisation positions revolving around
Requirements

Section 2: Use of credit ratings by rating agencies

§ 180

Requirements for ratings

§ 181

Using Ratings

3. Part: Operational Risk

1. Main item: Basic indicator approach

§ 182

Minimum Mean Requirement

Section 183

Authoritiy indicator

Section 184

Basis of the relevant indicator

2. Main piece: standard set

§ 185

Minimum Mean Requirement

Section 186

Business Fields

§ 187

Principles for the assignment of the business fields

3. Main piece: Advanced Measurement Approach

Section 188

Advanced Measurement Approach

§ 189

Quantitative requirements

§ 190

Internal data

Section 191

External data

§ 192

Scenario Analysis

Section 193

Business environment and internal control factors

§ 194

Accounting for insurance and other risk-reducing techniques

4. Part: Risk types according to § 22o para. 2 BWG

1. Main piece: Handelsbuch

1. Section: General

§ 195

Trade View

§ 196

Trading book mapping

§ 197

Internal backup operations

2. Section: Assessment methods

§ 198

Valuation at market prices

§ 199

Model Price Rating

§ 200

Independent pricing review

Section 201

Valuation adjustments or reserves

Section 202

Systems and controls

3. Section: General provisions on the risk of the position

§ 203

Offset of positions and currency translation

Section 204

Treatment of derivatives

§ 205

Exposure risk of repurchase agreements and securities lending

Section 4: Special provisions on position risk

§ 206

General and specific position risk

§ 207

Specific position risk in interest-related instruments

Section 208

General position risk in interest-related instruments

Section 209

Specific and general position risk in substance values

Section 210

General and specific position risk in stock index futures contracts

Section 211

Investment fund shares in the trading book

Section 212

Specific position risk of credit derivatives
Trading Book Items

Section 213

Takeover guarantees

Section 214

Resolution Risk

§ 215

Pre-benefits

Section 216

Counterparty default risk

§ 217

Expected loss amounts for counterparty default risk

2. Main item: option risk

§ 218

General

Section 219

Gammarisiko

Section 220

Vegarisiko

Section 221

Scenario Matrix Method

3. Main item: Location and foreign currency risk

Section 222

Minimum requirements for the risk of goods exposure

Section 223

Minimum capital requirement for foreign currency risk

4. Main piece: Models of the market risk cap

Section 224

General

Section 225

Qualitative Standards

§ 226

Market risk factors

Section 227

Quantitative standards

Section 228

Methods for performing comparisons

Section 229

Methods for the determination of the multiplier

Section 230

Methods for the performance of crisis tests

Section 231

Combination of models and standard methods

§ 232

Criteria for the approval of models for the calculation of the
Minimum mean requirement for the specific position risk and the
additional risk of failure

5. Part: counterparty default risk of derivatives, repurchase transactions, securities and commodities lending operations, long settlement transactions and Lombard transactions

1. Main item: Application specification

Section 233

Application Specification

2. Main item: Market assessment method

Section 234

Market valuation method

3. Main item: Origin risk method

Section 235

Origin risk method

4. Main piece: Standard Method

Section 236

Default method

Section 237

Payment Component

Section 238

Assignment to Risk ositions

Section 239

Level of Risk Position

§ 240

Hedging Set

Section 241

Counterparty default risk multiplier

Section 242

Request value

Section 243

Internal procedures

5. Main piece: Internes model

Section 244

Internal Model

§ 245

Request value

§ 246

Own estimates of scale factor

§ 247

Correlation of market and credit risk factors

§ 248

Netting set with post-call agreement

§ 249

Counterparty Failure Risk Management Organizational Unit

§ 250

Counterparty failure risk control

§ 251

Crisis Tests

§ 252

Internal revision

Section 253

Integration of the model into the risk management system

§ 254

Stability of the model

§ 255

Model Validation

6. Main piece: Contractual netting

§ 256

Contract netting

§ 257

Types of netting agreements and conditions for use

§ 258

Consideration of netting agreements

Section 259

Netting agreements: future potential credit risk

Section 260

Netting agreements: net gross ratio

§ 261

Netting agreements with standard method and internal models

6. Part: transitional and final provisions

§ 262

Transitional provisions

§ 263

References

§ 264

Out-of-Force Trees

Section 265

In-force pedals

Part 1

General provisions

Purpose

§ 1. This Regulation provides for the implementation of Directive 2006 /48/EC of the European Parliament and of the Council on the taking up and pursuit of the business of credit institutions (OJ L 177, 30.7.2006, p. No. 1) and to Directive 2006 /49/EC of the European Parliament and of the Council on the capital adequacy of investment firms and credit institutions (OJ L 177, 30.6.2006, p. No. 201) into Austrian law, to the extent that they are not already included in the Banking Act-BWG, BGBl. No. 532/1993, as last amended by the Federal Law BGBl. I No 141/2006, or other regulations of the FMA. It regulates the calculation of the minimum capital requirement for credit institutions in accordance with § 22 (1) BWG.

Definitions

§ 2. (1) For the purposes of this Regulation:

1.

Central counterparty: a unit which, in the case of contracts between counterparties, is interposed within one or more financial markets, so that it becomes the buyer for each sale and the seller is for each purchase;

2.

Long-settlement transactions: transactions in which a counterparty undertakes to make a security, a commodity, or an amount in foreign currency at an event which, according to the contract, is more than five business days after the transaction is concluded against cash, other financial instruments or goods.

(2) For the purposes of § § 156 to 179 (securitisation positions) are:

1.

Kirb: 8 vH of the weighted exposure amounts that would be calculated according to the internal ratings-based approach to the securitised exposures if they were not securitised, plus the amount of expected losses incurred by these , and shall be calculated in accordance with these provisions;

2.

Return option: contractual option for the originator according to which he can buy back or cancel the securitisation positions before all underlying receivings have been repaid, if the remaining amount of the outstanding claims falls below a certain limit;

3.

Interest surplus: interest and other commission income received in respect of the securitised exposures, less the costs and charges to be paid;

4.

Liquidity facility: securitisation position resulting from a contractual agreement designed to ensure the financing for the timely transfer of payments to investors;

5.

Debt-covered money market paper programme (ABCP programme): securitisation programme, where the securities issued are primarily the form of money market documents with an initial maturity of one year or less.

(3) For the purposes of § § 233 to 261 (counterparty default risk of derivatives, repurchase agreements, securities and commodities lending transactions, long settlement transactions and Lombard transactions) are:

1.

Derivatives: derivatives according to Appendix 2 to § 22 BWG and to credit institutions applying § 22q BWG, all OTC instruments of the trading book;

2.

Netting set: a group of transactions with a single counterparty subject to a legally enforceable bilateral netting agreement, and for which netting is recognized according to § § 256 to 261 and § § 22g to 22h BWG.

Part 2

Credit risk

1. Main item

Default Credit Risk Rate

Section 1

General provision

§ 3. Credit institutions using the credit risk standard rate in accordance with Section 22a of the Federal Elections Act (BWG) shall have the provisions laid down in this main piece for the purpose of determining the minimum requirement for own resources relating to:

1.

the weights and their allocation criteria to the exposure classes in accordance with Section 22a (4) of the BWG and

2.

the use of credit ratings by recognised rating agencies or export insurance agencies to determine the weight

,

Section 2

Weights

Requests to central or central banks

§ 4. (1) exposures to central governments and central banks pursuant to Section 22a (4) (1) of the Federal Elections Act (BWG) shall be assigned a weight of 100 vH.

(2) Claims pursuant to Section 22a (4) (1) of the Federal Elections Act (BWG), for which there is a credit rating of a recognised rating agency, must be assigned a weight according to the following table, whereby the assignment of the ratings to the credit ratings according to Article 21b (6) of the Federal Elections Act (BWG) must be carried out:

Credit level

1

2

3

4

5

6

Weight

0 vH

20 vH

50 vH

100 vH

100 vH

150 vH

(3) Claims for the European Central Bank shall be assigned a weight of 0 vH.

(4) Claims

1.

the Federal Government, the Oesterreichische Nationalbank, or

2.

a Member State or its central bank

shall be assigned a weight of 0 vH if the claims are denominated in the national currency of the respective Member State or of the central bank and are refinanced in that currency.

(5) See the competent authorities of a third country whose supervisory and regulatory provisions are at least equivalent to those of the Community, for exposures to their central government and their central bank, which shall apply to the national currency; that third country are denominated and refinanced in that currency, a lower weight than those referred to in (1) and (2), credit institutions may weigh those claims in the same way.

(6) Claims in accordance with Article 22a (4) (1) of the Federal Elections Act (BWG), for which the rating of an export insurance agency is recognised in accordance with Article 22a (12) of the BWG, must be assigned a weight according to the following table, which is based on the minimum premium allocated to the rating for Derived Export Insurance (MEIP).

MEIP

0

1

2

3

4

5

6

7

Weight

0 vH

0 vH

20 vH

50 vH

100 vH

100 vH

100 vH

150 vH

Requirements for regional authorities and religious communities recognised by law

§ 5. (1) A requirement for regional authorities pursuant to Article 22a (4) (2) of the Federal Elections Act shall be attributed to the same weight as exposures to institutions.

(2) Claims for countries and municipalities shall be assigned the same weight as exposures to the federal government.

(3) requests to regional authorities in other Member States shall be assigned the same weight as exposures to the relevant central states if:

1.

the credit risk of that local authority corresponds to that of the central State or is less;

2.

the local authority has independent tax collection rights; and

3.

Special precautions have been taken to reduce the risk of risk.

(4) Where claims to regional authorities in a third country are treated in the same way as exposures to their central government, the supervisory and regulatory provisions of that State shall be at least equal to those of the European Community , credit institutions may treat exposures to these local authorities in the same way.

(5) Claims for religious communities recognised by law should be treated as requests to regional authorities. Paragraphs 2 and 3 shall not apply.

Exposures to public sector bodies, administrative bodies and non-profit-making enterprises

§ 6. (1) exposures to public authorities, administrative bodies and non-profit-making undertakings shall be assigned a weight of 100 vH.

(2) Claims for public authorities and non-profit-making undertakings pursuant to Section 22a (4) (3) of the Federal Elections Act (BWG) shall be treated as exposures to institutions, with the exception of Section 10 (4) remaining.

(3) A weight of 0 vH may be assigned to public authorities having their registered office in Germany, if the Federal Government has provided an adequate guarantee for this requirement.

(4) Where exposures to public bodies established in another Member State are treated with the permission of the competent authority, such as exposures to institutions or to the relevant central State, credit institutions may make demands on them; treat public bodies in the same way.

(5) In the same way as exposures to institutions, the competent authorities of a third country shall treat exposures to public bodies in that third country in the same way as exposures to credit institutions, if the supervisory and regulatory requirements of the third country are at least equivalent to those of the European Community.

Requirements for multilateral development banks

§ 7. (1) Claims for multilateral development banks pursuant to Article 22a (4) (4) of the BWG, as well as claims made to the Inter-American Investment Company, the Black Sea Trade and Development Bank and the Central American Bank for Economic Development Integration, for which a credit rating of a recognised rating agency is available, must be assigned a weight according to the following table, whereby the assignment of the ratings to the credit ratings according to § 21b (6) BWG has to be made:

Credit level

1

2

3

4

5

6

Weight

20 vH

50 vH

50 vH

100 vH

100 vH

150 vH

(2) If a credit rating of a recognized rating agency is not available for a claim in accordance with paragraph 1, a weight of 50 vH shall be assigned to the claim.

(3) exposures to the following multilateral development banks shall be assigned a weight of 0 vH:

1.

The International Bank for Reconstruction and Development;

2.

the International Financial Corporations;

3.

the Inter-American Development Bank;

4.

the Asian Development Bank;

5.

the African Development Bank;

6.

the Council of the European Development Bank;

7.

the Nordic Investment Bank;

8.

the Caribbean Development Bank;

9.

the European Bank for Reconstruction and Development;

10.

the European Investment Bank;

11.

the European Investment Fund, with the non-paid-up capital of the European Investment Fund being assigned a weight of 20 vH; and

12.

the Multilateral Investment Guarantee Agency.

Requirements for international organisations

§ 8. Requests to international organisations pursuant to Section 22a (5) Z 1 BWG shall be assigned a weight of 0 vH.

Requirements for institutions

§ 9. (1) Claims for institutions pursuant to Section 22a (4) (6) of the Federal Elections Act (BWG) shall be assigned a weight in accordance with § 10, which shall be based on the credit rating of the host state.

(2) exposures to financial institutions pursuant to Art. 4 Z 5 of Directive 2006 /48/EC, having its registered office in another Member State or a third country, shall be weighted in the same way as exposures to institutions where those financial institutions

1.

have been approved and supervised by the competent authorities responsible for the authorisation and supervision of credit institutions; and

2.

are subject to equivalent prudential requirements, such as credit institutions.

(3) exposures to non-rated institutions shall not be assigned a lower weight than exposures to their central state.

Weight allocation for exposures to institutions

§ 10. (1) exposures to institutions shall be assigned a weight corresponding to the level of creditworthiness of the host State in accordance with the following table:

Level of creditworthiness of the State

1

2

3

4

5

6

Weight

20 vH

50 vH

100 vH

100 vH

100 vH

150 vH

(2) exposures to institutions established in a State for which there is no central government rating shall be assigned a weight of 100 vH.

(3) exposures to institutions with an original maturity of three months or less shall be assigned a weight of 20 vH.

(4) exposures to institutions with a residual maturity of three months or less which are denominated in the national currency and are refinanced in that currency shall be assigned a weight which is less than that of the credit rating; respective central states in accordance with § 4 (4) and (5).

(5) Assets in shares or other securities recognized as own-funds items which are issued by institutions shall be assigned a weight of 100 vH, provided that they are not deducted from the own funds in accordance with Section 23 (13) of the BWG.

(6) exposures to institutions in the form of minimum reserves to be held by the credit institution on the basis of conditions imposed by the European Central Bank or the Oesterreichische Nationalbank may be assigned a weight based on claims made to the Federal Government is used when

1.

the reserves referred to in Regulation (EC) No 1745/2003 of the European Central Bank of 12 September 2003, or a regulation subsequently replaced by its body, or in accordance with national requirements laid down in that Regulation in all factual aspects are to be maintained, and

2.

in the event of the insolvency of the institution in which the reserves are held, the reserves shall be repaid in due time to the credit institution and shall not be available for the purpose of covering other liabilities of the institution.

(7) The liquidity reserve held pursuant to section 25 (13) shall be assigned a weight of 0 vH.

Exposures to enterprises

§ 11. (1) Claims for companies according to § 22a (4) Z 7 BWG, for which a credit rating of a recognised rating agency is available, must be assigned a weight in accordance with the following table, whereby the assignment of the ratings to the credit ratings according to Article 21b (6) of the BWG is to be assigned. shall be:

Credit level

1

2

3

4

5

6

Weight

20 vH

50 vH

100 vH

100 vH

150 vH

150 vH

(2) A weight of 100 vH shall be attributed to exposures to undertakings for which no credit rating has been given in accordance with paragraph 1. Where the weight of the central State in whose territory the seat of the undertaking is higher than 100 vH, the higher weight shall be applied.

Retail claims

§ 12. Retail claims pursuant to Section 22a (4) (8) of the Federal Elections Act (BWG) shall be assigned a weight of 75 vH.

Claims secured by real estate

§ 13. Claims or parts of claims pursuant to Section 22a (4) (9) of the Federal Elections Act (BWG), which are completely collateralised by real estate, must be assigned a weight of 100 vH.

Residential mortgage credit

§ 14. (1) Claims and parts of claims fully secured by mortgages on residential properties and which are currently or will be used or leased by the owner shall be assigned a weight of 35 vH, if:

1.

the value of the property does not depend substantially on the creditworthiness of the debtor; this requirement also includes situations in which only macroeconomic factors are both the value of the property and the performance of the property. influence borrowers;

2.

the risk of the borrower does not depend essentially on the profitability of the underlying property or the project, but on the borrower's ability to repay the liabilities from other sources; as such, the borrower's risk is Repayment does not depend substantially on cash flows generated from the underlying property;

3.

the minimum requirements laid down in § 103 and the valuation rules in accordance with § 104 are fulfilled; and

4.

the value of the property exceeds the exposure value with a significant difference in amount.

(2) Under the conditions laid down in paragraph 1 (1) (1) to (4), the weight referred to in paragraph 1 shall also be attributed to exposures arising from real estate leasing operations concerning residential properties and in respect of which these residential properties are to be used throughout the period of the Leasing contracts remain the property of the lessee.

(3) In the case of claims arising from mortgages on residential property situated in the country, and in the case of claims arising from real estate leasing transactions concerning domestic residential property situated in the country, the requirements of paragraph 1 shall be: The condition referred to in paragraph 1 Z 2 is not fulfilled.

(4) exposures fully secured by mortgages on residential property in the territory of another Member State, as well as claims made in real estate leases relating to residential property situated in another Member State; may be weighted without the condition of the condition referred to in paragraph 1 (1) (2) with 35 vH if the competent authorities in the Member State concerned abroit from compliance with that condition.

Commercial mortgage credit

§ 15. (1) In the case of claims or parts of claims which are completely secured by mortgages on domestic offices or other commercial properties (commercial real estate), under the conditions set out in Article 14 (1) (1) and (3), the part of the Claim a weight of 50 vH, which does not exceed 50 vH of the market value of the property or 60 vH of the investment value of the property, if this value is lower. A weight of 100 vH is to be attributed to the part of the requirement which exceeds the upper limit.

(2) Provided that the conditions laid down in § 14 (1) (1) and (3) are fulfilled and the credit institution's claim is fully secured by its ownership of the property, it shall be subject to claims from real estate leasing transactions, commercial real estate in the case of the credit institution which is the lessor, the weight referred to in paragraph 1 shall apply during the whole period of the leasing contract in respect of which such property remains the property of the credit institution which is the lessor.

(3) Claims in accordance with paragraph 1, which are fully secured by mortgages on commercial real estate in another Member State, or claims pursuant to paragraph 2 relating to commercial real estate in another Member State, may be made by 50% of the total amount of the claims referred to in paragraph 2. are weighted if and in so far as such treatment is permitted in the Member State concerned.

(4) Claims fully secured by mortgages on commercial real estate in the territory of another Member State, as well as claims made in real estate leasing transactions in a commercial property situated in another Member State may also be weighted without the condition of the condition referred to in Article 14 (1) (2) (2), with 50 vH, if the competent authorities in the Member State concerned are not satisfied with the compliance with this condition.

Overdue receivals

§ 16. (1) The following weight shall be attributed to the unsecured part of an essential overdue requirement in accordance with Section 22a (4) Z 10 of the BWG:

1.

100 vH if the value adjustments are at least 20 vH of the value of the unsecured part of the receivables before deduction of value adjustments or the claim is completely secured by collaterals according to § 22h (1) BWG, the specific Minimum requirements in accordance with § § 100 to 118 are not fulfilled, the credit institution shall have secured the adequate quality of the collateralisation by strict operational conditions and the value adjustments shall be at least 15 vH of the claim before the deduction of the value adjustments;

2.

in all other cases 150 vH.

(2) In any case, a liability shall be deemed to be essential within the meaning of section 22a (4) (10) of the Federal Elections Act if the sum of all overdue credit rates, including open expenses and interest rates, and the total amount of credit limits due, and the total amount of credit crate due, and the total amount of credit crate Exceeding of the customer's overdraft limits is greater than 2.5 vH the sum of all the overdraft frames announced to the customer has been adjusted for currency fluctuations and the amount of 250 euros has been exceeded.

(3) In order to determine the secured part of a overdue receivability, the same surveys may be used as for the purposes of credit risk reduction.

(4) In the case of overdue claims which are secured by residential property, those exposures weighted at 35 vH shall be assigned a weight of 50 vH if the value adjustments at least 20 vH of these exposures before deduction of Value adjustments result, and otherwise a weight of 100 vH after deduction of value adjustments. Overdue claims, which are secured by commercial real estate, must be assigned a weight of 100 vH.

High-risk claims

§ 17. (1) exposures with a high credit risk in accordance with Section 22a (5) (4) of the Federal Elections Act (BWG) as well as claims in the form of high-risk investment fund parts shall be provided with a weight of 150 vH.

(2) The following weights may be assigned to non-overdue claims, which have a weight of 150 vH in accordance with Sections 4 to 28 and (1) and which have been determined for the value adjustments:

1.

100 vH if the value adjustments are at least 20 vH of the exposure value before deduction of value adjustments; and

2.

50 vH if the value adjustments are at least 50 vH of the exposure value before deduction of value adjustments.

Claims in the form of covered debt securities

§ 18. (1) covered bonds are bonds in accordance with Section 20 (3) Z 7 Investment Fund Act-InvFG 1993, BGBl. No 532, which are covered by one of the following claims:

1.

Exposures to

a)

the Confederation or central governments of the Member States;

b)

countries, municipalities or public authorities, as well as regional governments or local authorities or public authorities in the Member States;

c)

central governments and central banks of third countries, multilateral development banks or international organizations of credit rating 1 in the credit risk standard rate, or at least the credit rating level 2 in the credit risk standard rate and the claims shall not exceed 20 vH of the nominal amount of the outstanding covered debt securities of the expenditure institution; or

d)

Regional governments or local authorities in third countries or other public bodies, provided that they are weighted in accordance with Article 5 (4) or (6) (5), such as exposures to institutions or central governments and central banks, and Credit level 1, or at least the credit rating level 2 in the credit risk standard rate, and not exceeding the exposures 20 vH of the nominal amount of the outstanding covered debt securities of the expenditure institution

or for which they are liable.

2.

exposures to institutions assigned to the credit rating level 1 in the credit risk standard rate to the extent that the aggregate claim does not exceed 15 vH of the nominal amount of the outstanding covered bonds issued by the issuing credit institution; Claims arising from the transmission and management of payments made by the debtors or the redemption proceeds of loans secured by real estate to the holders of covered bonds shall not be used in the case of this limit. be considered;

3.

short-term exposures to institutions with a maturity of up to 100 days allocated at least to the credit level 2 in the credit risk base rate;

4.

mortgages on residential properties up to the value of 80% of the value of the immovable property, or up to the value of the loan amount of the mortgages, including all the primary mortgage rights, if this value is lower;

5.

mortgages on commercial real estate up to a value of 60% of the value of the real estate as collateral, or up to the value of the loan amount of the mortgages, including all the primary mortgage rights, if this value is lower; and

6.

Deposit rights on ships, provided that the total amount of these lien, including all higher-ranking pledge rights, does not exceed 60 vH of the value of the vessels pledged.

(2) For the purposes of paragraph 1, the collateralisation shall also cover cases in which the assets described in paragraph 1 (1) (1) to (6), under the applicable legislation, are reserved exclusively for the protection of the debtor holders against losses. shall be determined.

Additional requirements for debentures covered by real estate

§ 19. Credit institutions shall comply with the minimum requirements in accordance with § 103 and the valuation rules in accordance with § 104 for the collateralisation of covered debt securities with real estate.

Weighting of claims in the form of covered debt securities

§ 20. The weighting of covered debt securities shall be based on the weight applicable to higher-level uncovered exposures to the issuing credit institution concerned. The weights are to be determined in accordance with the following table:

Weight of the request to the Institute

20 vH

50 vH

100 vH

150 vH

Weight of covered debt securities

10 vH

20 vH

50 vH

100 vH

Short-term exposures to credit institutions and companies

§ 21. Short-term exposures to credit institutions for whose central government there is a corresponding credit rating of a recognised rating agency, and companies according to Article 22a (4) (14) of the BWG, for which a corresponding credit rating of a recognised rating agency is to be assigned a weight according to the following table, whereby the assignment of the ratings to the creditworthiness levels according to Article 21b (6) of the Federal Elections Act (BWG) has to be made:

Credit level

1

2

3

4

5

6

Weight

20 vH

50 vH

100 vH

150 vH

150 vH

150 vH

Claims in the form of investment fund shares

§ 22. Claims in the form of investment fund shares pursuant to section 22a (4) (15) of the Federal Elections Act (BWG) shall be assigned a weight of 100 vH.

Exposures in the form of investment fund shares with a rating

§ 23. Exposures in the form of investment fund shares for which there is a credit rating of a recognised rating agency shall be assigned a weight according to the following table, with the assignment of the ratings to the credit ratings according to Article 21b (6) of the BWG. has:

Credit level

1

2

3

4

5

6

Weight

20 vH

50 vH

100 vH

100 vH

150 vH

150 vH

Average weight for exposures in the form of investment fund shares

§ 24. If the conditions set out in paragraph 2 are fulfilled, credit institutions may, on the basis of the underlying exposures of an investment fund, calculate an average weight for the investment fund in accordance with this main item if the credit institution has the following: the investment fund's requirements or the following assumptions shall be used in determining the weight of:

1.

An investment fund shall invest in the risk categories with the highest minimum own resources requirement until the relevant ceiling applicable to it has been reached and

2.

in descending order to the next higher risk categories, until the maximum limit for total investment has been exhausted.

(2) Conditions for the application of paragraph 1 are:

1.

The investment fund shall be managed by a credit institution in accordance with Article 1 (1) Z 13 or a company in a Member State subject to supervision or the investment fund shall be managed by a company established in a third country which shall: is subject to State supervision equivalent to that provided for in Community law, and cooperation between the competent authorities is sufficiently secure;

2.

the prospectus or equivalent documents of the investment fund shall contain information on:

a)

the categories of assets to which the investment fund may invest; and

b)

the relative limits and the methodology for the calculation of any limits on investment and

3.

the investment fund shall report on its business activities at least once a year so that an assessment of its assets and liabilities, as well as income and transactions, is possible during the reporting period.

Other items

§ 25. (1) Credit institutions shall assign the following weights to other items in accordance with Article 22a (4) Z 16 of the BWG:

1.

0 vH for

a)

cash balances in euros and in valids in freely convertible foreign currency, gemmed precious metals, insofar as they are domestic or foreign legal tender; and

b)

Gold held by the credit institution itself or by the Community administration, insofar as it is covered by corresponding gold liabilities;

c)

asset items to be deducted from own resources;

2.

20 vH for the values in the train and

3.

100 vH for

a)

property, plant and equipment;

b)

Accounting management posts for which the credit institution is unable to determine the contractual partner.

(2) The stocks of shares and other holdings shall be assigned a weight of at least 100 vH, provided that they are not deducted from the own funds or fall under § 17 (1).

Trust assets and debt securities from their own issuance

§ 26. Trust assets, insofar as the credit institution carries only the risk of being held, as well as debt securities from its own issuance shall be assigned a weight of 0 vH.

Debt sales, repurchase agreements and outright forward purchases

§ 27. In the case of receivables sales, repurchase agreements and outright transactions, the weight of the assets in question shall be applied.

Credit insurance for a receivables basket

§ 28. (1) If a credit institution establishes a credit protection for a receivables basket in such a way that the nth failure occurring in these claims triggers the payment and that credit event also terminates the contract, the weights shall be determined in accordance with the § § 22c to 22f BWG in respect of securitisation positions if a credit rating of a recognised rating agency is available for the collateralisation.

(2) If a credit rating of a recognised credit rating agency is not available for the collateralisation, the weighted exposure amount shall be determined as follows:

1.

The weights of the exposures contained in the basket shall be aggregated up to a maximum of 1 250 vH and multiplied by the nominal amount secured by the derivative; in the case of aggregation, the n-1 exposures shall be excluded; and

2.

the n-1 exposures to be taken out of the aggregation shall be determined on the basis that each of these exposures will result in a lower weighted exposure amount than the weighted exposure amount of each of the exposures received in the aggregation.

Section 3

Use of credit ratings by rating agencies

§ 29. Credit institutions which use a credit rating of one or more recognised rating agencies in order to determine the weights to be applied under the credit risk standard rate shall, in the use of these ratings, comply with the provisions of this Section .

General Terms of Use

§ 30. (1) If the ratings issued by a recognised rating agency are used, these ratings shall be consistently and consistently applied over time.

(2) Where credit ratings of a recognised credit rating agency issued in respect of a particular exposure class are used, these ratings shall be applied consistently to all claims belonging to that class of exposure.

(3) Credit institutions may only use credit ratings of a recognised credit rating agency if they cover both the capital and interest rate requirements.

Use of Multiple Ratings

§ 31. (1) where a credit institution has a recognised credit rating agency in accordance with § 30 of the credit rating of a recognised credit rating agency, and if the credit institution has a single credit rating of a recognised credit rating agency, that credit rating shall be used for the purpose of determining the credit institution's credit rating. to apply weight to be used.

(2) For a claim, two ratings of recognised rating agencies, which correspond to different weights, shall be assigned to the higher weight requirement.

If there are more than two ratings of recognised credit rating agencies in respect of a claim, the two ratings shall be used, which shall lead to the lowest weights. Where:

1.

If the two lowest weights are different, the higher weight of the two is to be applied and

2.

the two lowest weights are identical, this weight must be used.

Issuers and issuance ratings

§ 32. If a credit rating is available for a particular emission programme or facility to which the claim to be weighted is part, that credit rating shall be used for the determination of the weight to be applied to that claim.

(2) Where there is no directly applicable credit rating in accordance with paragraph 1 for the claim, but a credit rating for a given emission programme or a specific facility to which that claim does not belong, or where a general credit rating is available for: the issuer is present, this rating shall be used when it becomes a

1.

higher weight than for a non-rated exposure, or

2.

the lower weight and the claim in question shall be equal to or higher than the emission programme, the facility or the priority unsecured exposures of this issuer.

(3) The application of the provisions relating to claims in the form of covered bonds in accordance with § § 18 to 20 shall remain unaffected.

(4) The credit ratings for issuers of a group of companies may not be used as credit ratings for other issuers in the same group of companies.

Short-term ratings for claims

§ 33. (1) Short-term credit ratings may only be used for short-term claims and for off-balance-sheet transactions in relation to institutions and companies.

(2) Short-term credit ratings may only be used for the claim covered by this short-term credit rating. Weights for other requirements must not be derived from this.

Short term ratings for facilities

§ 34. (1) A facility for which a short-term credit rating is available shall have a weight of 150 vH, notwithstanding § 33, it shall apply to all unsecured, unsecured long-and short-term exposures to that debtor.

(2) A facility for which a short-term credit rating is available shall have a weight of 50 vH, notwithstanding § 33, to all non-tanned short-term exposures shall be subject to a weight of at least 100 vH.

Claims in national currency and in foreign currency

§ 35. A credit rating for a claim which is denominated in the debtor's national currency shall not be used for the weighting of a claim denominated in a foreign currency to the same debtor.

2. Main piece

Approach based on internal ratings

Section 1

General provision

§ 36. Credit institutions using the internal credit rating approach have, in the calculation of the weighted exposure amounts and the expected loss amounts for the exposure classes in accordance with Article 22b (2) of the BWG and for the dilution risk in the case of the minimum requirements laid down in this main item, the requirements for the determination of the exposure value and the expected loss amount, and for the risk parameter failure probability, loss rate in case of failure and effective residual maturity.

Section 2

Minimum requirements

Rating systems

§ 37. The credit risk management and credit risk assessment systems used by the credit institution shall be sound, to ensure system integrity and, in any case, to meet the following requirements:

1.

The rating systems used ensure a meaningful assessment of debtor and business-specific characteristics, meaningful risk differentiation, and precise and consistent quantitative risk estimates;

2.

the internal rating classification and the own estimates of the risk parameters that are used play an essential role in credit risk management, in the decision-making process, in the credit transfer decision, the evaluation procedure the capital adequacy according to § 39a BWG and the risk management system in accordance with § 39 BWG;

3.

all data relevant for the reliable credit risk measurement and credit risk management are collected and stored; and

4.

the rating systems and their structure are documented and validated.

Structure of rating systems

§ 38. (1) A rating system shall include all methods, processes, controls, data collection and data processing systems used to assess credit risks, to assign exposures to rating classes or pools, and to quantify outage and Loss estimates for certain types of receivables are used. In the case of credit rating systems, the credit institution shall have the following requirements:

1.

Where the credit institution applies a number of different credit rating systems, it shall document the criteria for the assignment of a debtor or a transaction to a credit rating system and shall apply it in a manner that allows the risk profile of a debtor to be assigned to the credit institution. adequately reflecting the debtor or the transaction; and

2.

the allocation criteria and procedures shall be checked at regular intervals to determine whether they are still appropriate for the respective portfolio and the current external conditions.

(2) Credit institutions that use direct estimates of the risk parameters may view them as rating levels on a continuous rating scale.

(3) A rating system for claims pursuant to Section 22b (2) (2) (1) to (3) of the Federal Elections Act must also fulfil the following requirements:

1.

Account shall be taken of both the risk characteristics of the debtor and those of the business;

2.

it shall include a debtor rating scale exclusively reflecting the quantification of the default risk of the debtor; a debtor class shall be the rating in the debtor rating scale of the rating system on the basis of a specified and defined quantity of rating criteria from which the estimates of failure probability are derived and meets the following requirements:

a)

the debtor rating scale shall include at least seven classes for non-defaulted debtors and a class of debtors in the default;

b)

the ratio of the different classes of debtors to each other shall be documented by specifying in each case the level of default risk corresponding to the corresponding rating class and the criteria on the basis of which the level of default risk shall be determined , and

c)

where portfolios of the credit institution are concentrated on a given market segment and a certain risk of default, a sufficient number of debtor classes shall be formed within that range in order to achieve an excessive concentration to avoid debtors in certain classes; in the case of significant concentrations in a debtor class, empirical evidence should prove that this class of debtors has a sufficiently narrow PD bandwidth and that the risk of default of all the debtor of this class is within that range, and

3.

in the case of the use of own LGD estimates, a rating system shall include a facility rating scale which only reflects the LGD-related transaction characteristics; a facility class is a rating in the facility rating scale of the Rating systems based on a specified and defined set of rating criteria, from which own estimates of LGD are derived; facility classes have to meet the following requirements:

a)

individual classes of facilities are defined, the definition of which has to include a description of the way in which the claim is assigned to the class, and a description of the criteria by which the level of risk is taken over the categories, and

b)

In the case of significant concentrations in a facility class, empirical evidence shows that this class of facilities includes a sufficiently narrow LGD bandwidth and that the risk of all the requirements of this class lies within this range.

(4) In the calculation of the weighted exposure amounts of special financing pursuant to section 74 (3), paragraph 3 is to be applied with the proviso that the debtor rating scale does not exclusively quantify the existing receivables of these claims. A debtor's risk of default is reflected and at least four classes are provided for non-failed debtors and at least one class of debtors in the default.

(5) A rating system for claims pursuant to § 22b para. 2 Z 4 BWG has the following additional requirements to be met:

1.

Both the debtor and the transaction risk are reflected and all relevant debtor and business characteristics are recorded;

2.

the level of risk differentiation shall ensure that the number of exposures in a given class or pool of forders is sufficient to provide a meaningful quantification and validation of the loss characteristics at the level of the class or pool; excessive concentrations of exposures and debtors in the classes or pools should be avoided;

3.

the procedure for assigning exposures to classes or pools allows for a meaningful differentiation of the risks, leads to a summary of sufficiently similar claims and allows for a precise and consistent estimate of the risks Loss properties at the level of the class or pool; in the case of purchased receivments, the summary of these exposures reflects the seller's lending practices and the heterogeneity of its customer structure; and

4.

in the allocation of exposures to classes or pools, the following risk determination factors shall be taken into account:

a)

The risk characteristics of the debtor;

b)

the risk characteristics of the business, including product and survey types; and

c)

the default status if it is an essential risk-determining factor in the claim in question.

Assignment of requests

§ 39. (1) Credit institutions shall have defined definitions, processes and criteria for the allocation of exposures to the classes or pools of a rating system which ensure that:

1.

the classes or pools used are sufficiently detailed to enable the persons responsible for the assignment of the credit ratings to be debtors or facilities representing comparable risks in the business divisions, departments and To associate regions with the same class or pool in a consistent manner;

2.

the rating process is documented in a comprehensible manner, so that the assignment of the claims for third parties is comprehensible and can be assessed for their appropriateness, and

3.

the criteria used are consistent with the internal lending guidelines and the internal rules for dealing with debtors and facilities with problem-related problems.

(2) Credit institutions have to take into account all relevant information when assigning debtors and facilities to a class or pool. The information shall be up-to-date and shall enable the credit institution to make a forecast with regard to the future development of the claim. The less information available to the credit institution, the more cautious in the allocation of exposures to debtors or facilities classes and pools. If a credit institution draws an external credit rating as the first indication of the allocation of an internal credit rating, it shall ensure that other relevant information is also taken into account.

(3) In the case of the assignment of exposures pursuant to § 22b (2) (1) to (3) of the BWG, credit institutions also have

1.

to assign each debtor to a debtor class in the credit transfer process;

2.

assign each exposure of a facility class to the use of own estimates of LGD and conversion factors;

3.

in the case of special financing for which the weighted exposure amount is calculated in accordance with Section 74 (3), to assign each individual requirement of a class according to § 38 (4);

4.

any natural or legal person and a partnership with which the credit institution holds a request to individually advise, with appropriate provisions for the treatment of individual debtors and groups of connected clients; and

5.

To assign claims to the same debtor of the same debtor class; exceptional cases in which different exposures to the same debtor may be subject to different ratings are:

a)

in the event of a transfer risk, if the claims are denominated in the national currency or a foreign currency;

b)

the consideration of personal security in the form of an adjustment of the debtor's rating;

c)

cases in which consumer protection provisions, banking secrecy, data protection provisions or other legislation prohibit the exchange of customer data; and

d)

in the case of special financing for individual transactions.

(4) In the context of the credit approval process, credit institutions shall assign each claim in accordance with § 22b para. 2 Z 4 BWG to a class or a pool.

(5) In the modification of credit rating results, credit institutions have to document in which cases the inputs and results of the assignment process to classes and pools may be altered by human judgment and by whom such Changes are to be approved. The credit institution shall document the amendments and those responsible for them. The credit institutions shall analyse and assess the development of the exposures whose rating has been amended in respect of all responsible employees.

Integrity of the mapping process

§ 40. (1) In the case of claims pursuant to Section 22b (2) (1) to (3) of the Federal Elections Act, credit institutions shall comply with the following

1.

An independent body within the credit institution which has no direct interest in the granting of credit shall carry out or approve the assignment of the exposures to the rating classes and their periodic review;

2.

the ratings shall be updated at least once a year, with high-risk debtors and high-risk exposures to be reviewed at shorter intervals, and the rating allocation should be updated as soon as possible Essential information on the debtor or the claim shall be disclosed, and

3.

there are effective procedures for obtaining and updating relevant information on debtor characteristics that affect the PD and on business characteristics that affect the LGD and conversion factors.

(2) In the case of claims pursuant to Section 22b (2) (4) of the BWG, the following requirements shall be met:

1.

The debtor and facilitation ratings shall be updated at least once a year and the loss characteristics and the default status of each of the risk pools shall be reviewed and

2.

at least once a year shall be checked on the basis of a representative sample of the status of each claim within each pool and, where appropriate, to update the assignment.

Using models

§ 41. Credit institutions that use models or other automatic procedures for the allocation of exposures to obligor or facility classes shall meet the following requirements:

1.

The model has proven to have a good predictive power and the minimum requirement of own resources is not distorted by its use;

2.

the variables to be included in the model form an objectively justified and effective basis for model predictions;

3.

the model does not contain any significant distortions;

4.

there are procedures for checking the data received in the model, which shall include an assessment of the accuracy, completeness and appropriateness of the data;

5.

the data used for the development of the model shall be representative of the credit institution's current debtor and receivables structure;

6.

the model shall be validated annually, including monitoring of the forecast quality and stability of the model, a review of the model specification and a comparison of the model results with the actual results;

7.

the model shall be supplemented by any additional relevant information, in particular qualitative factors, which are not covered by the model; the rules as to how this information is combined with the model results shall be document and

8.

the model is to be monitored to check the model-based rating assignments, detect and limit errors caused by model weaknesses, and ensure that the models are used correctly.

Documentation of rating systems

§ 42. Credit institutions have to document in terms of rating systems:

1.

The structure and functioning of the rating systems used, the documentation containing information on compliance with the minimum requirements in accordance with § § 37 to 64 and a description of the following areas:

a)

portfolio differentiation;

b)

the rating criteria;

c)

the responsibilities of the authorities responsible for the rating of debtors and claims; and

d)

the intervals for updating the rating allocations and the monitoring of the rating process by the higher management;

2.

the reasons for the selection of the rating criteria used by analysis;

3.

all major changes in the rating process, in particular the changes made to the rating process since the last review by the FMA;

4.

the organisation of the allocation of credit ratings, including the allocation process and the internal monitoring structures;

5.

the internal default and loss definitions used, including proof of compliance of these definitions with Section 22b (5) Z 2 of the BWG and

6.

The methodology of the statistical models used, the documentation must include:

a)

a detailed description of the theory, assumptions and the mathematical and empirical basis for the allocation of failure estimates to the rating classes, individual debtors, credit or pools, and the data sources used for the the estimation of the model;

b)

a comprehensive and strict statistical process, including out-of-time and out-of-sample tests for the validation of the model and

c)

Notes on all circumstances under which the model is not working efficiently.

Acquired Models

§ 43. Credit institutions using a model based on approaches developed by third parties have demonstrably themselves to comply with all the requirements for rating systems and to produce the documentation.

Data Management

§ 44. (1) Credit institutions shall record and store the following data regarding their internal ratings for claims pursuant to Section 22b (2) of the Z 1 to 3 BWG:

1.

The full credit rating history of the debtors and the guarantors permitted for the purposes of credit risk reduction;

2.

the award data of the ratings;

3.

the core data and methods used for the derivation of the ratings;

4.

the name of the person responsible for the assignment of the credit rating;

5.

the defaulted debtors and claims;

6.

the date and circumstances of such outages; and

7.

the data on the PD and actual failure rates in the rating classes, as well as the migration flows between the rating classes.

(2) Credit institutions which do not use own estimates for LGD and conversion factors shall, in addition to paragraph 1, have data on the comparisons of the actual LGD with the values in accordance with § 69 and the actual conversion factors with the values In accordance with § 65 (9), to be recorded and stored.

(3) Credit institutions using own estimates for LGD and conversion factors shall, in addition to paragraph 1, collect and store the following data:

1.

The gapless data histories of the rating ratings, which are part of each rating scale, as well as LGD and conversion factor estimates;

2.

the date on which the ratings were allocated and the estimates were carried out;

3.

the core data and methods used for the derivation of the facility ratings and the LGD and conversion factor estimates;

4.

the name of the person from which the facility rating was awarded and the person from which the estimates of the loss rates and the conversion factor were drawn up;

5.

the data on the estimated and actual LGD and conversion factors for each particular claim;

6.

the data on the LGD of the exposure before and after the valuation of personal collateral, if the credit institution considers the credit risk reduction of these surveys to the LGD; and

7.

the data on the loss components for each individual request.

(4) Credit institutions have to collect and store the following data regarding their internal ratings for claims pursuant to Section 22b, Section 2, Z 4 BWG:

1.

The data used in the allocation of exposures to classes or pools;

2.

the data on the estimated PD, LGD and conversion factors for credit rating classes or forum pools;

3.

the defaulted debtors and claims;

4.

in the event of a failed claim, the data on the classes or pools to which the claims were allocated during the year preceding the outage, and on the actual values of the LGD and the conversion factor; and

5.

the data on the LGD in the case of qualified revolving retail claims.

(5) Credit institutions shall, in accordance with § § 26 and 26a BWG, record and store all data relating to their internal ratings.

Crisis Tests

§ 45. (1) Credit institutions shall have appropriate crisis tests to assess the appropriateness of their own resources with a view to fulfilling the minimum requirement of own resources in accordance with Article 22 (1) of the BWG. The crisis tests shall also include possible events and future changes in the economic context which may have a negative impact on the value of the claims, including the ability of the Credit institution shall be assessed to withstand such negative influences.

(2) Credit institutions shall regularly carry out crisis tests in order to assess the influence of certain conditions on the minimum property requirement for credit risk in accordance with Section 22 (1) Z 1 of the Federal Elections Act. The crisis test has to be meaningful and appropriate and at least to take account of the influence of light recessionary scenarios. Credit institutions have to assess the migration flows between the ratings in the crisis-test scenarios. The portfolios studied within the framework of the crisis tests shall comprise the vast majority of the credit institution's claims. Credit institutions applying to determine the weighted exposure amounts § 74 (1) Z 5 shall have the effect of a deterioration in creditworthiness of security providers, in particular the effect of the fact that the guarantors have the requirements. for the purpose of the credit risk reduction, to take account of.

Failure qualification of the debtor

§ 46. (1) The susceptibility pursuant to Section 22b (5) Z 2 lit. a BWG commences with the day on which the debtor has exceeded a limit known to him, a lower limit than the current claim has been brought to his notice or he has received an unauthorised credit has taken place. The overmaturity of claims from credit card transactions begins with the earliest due date.

(2) A liability shall then be deemed to be essential within the meaning of Section 22b (5) Z 2 lit. a BWG if, on the basis of all claims and credit limits due, the sum of all overdue credit rates, including open expenses and interest rates and overshootings of the customer's overdraft framework, is greater than 2.5 vH of the sum of all The customer has been subject to an overdraft budget for currency fluctuations and a total amount of EUR 250.

(3) Credit institutions shall make appropriate adjustments in the use of external data which do not conform to the default definition in accordance with Section 22b, Section 5, Z 2 of the BWG itself, in order to ensure a broad agreement with this default definition. .

(4) If there is no longer any of the criteria in accordance with Article 22b (5) (2) of the Federal Elections Act (BWG) in the case of a claim which has been deemed to have been cancelled, the credit institution shall assess the debtor or the facility in the same way as a non-failed claim. If, at a later date, a criterion pursuant to Section 22b (5) Z 2 of the Federal Elections Act (BWG) is again available, a new failure shall be assumed.

(5) Credit institutions may, for exposures to debtors established in another Member State, be replaced by Section 22b (5) Z 2 lit. a BWG shall apply that number of days of reference established by the competent authority.

General requirements for own estimates

§ 47. (1) Credit institutions shall carry out the own estimates of the risk parameters PD, LGD, conversion factor and expected loss using all relevant data, information and methods. In particular, the institute's own estimates

1.

be based on both historical experience and empirical results;

2.

be based not exclusively on valuation assumptions;

3.

to be plausible and plausible and to be based on the essential determinants of the respective risk parameters, and

4.

even more cautious, the less data is available.

(2) Credit institutions have the ability to break down loss-of-experience values related to default, LGD, conversion factor and loss in the use of estimates of expected loss according to the factors that the The main determinants of the respective risk parameters are represented. The estimates are representative of the long-term experience.

(3) Credit institutions shall have to take into account any changes in the lending practice or in the process of recovery of collateral within the observation periods according to § § 48 Z 8, 49 Z 4, 51, 52, 54 and 55. The estimates shall take into account the effects of technical progress, new data and other information as soon as they are available. Credit institutions shall assess their estimates as soon as new information is available, but at least once a year.

(4) The totality of claims based on the data used for the estimations, as well as the credit terms and other relevant features applicable at the time of the data collection, shall have the current credit structure. as well as to the current requirements and standards of the credit institution. The economic conditions and the market environment from the time to which the data relate have also to be attributed to the current and foreseeable circumstances. The number of exposures included in the sample and the survey period used shall be calculated in such a way that the estimate is accurate and sound.

(5) In the case of purchased receivments, the buying credit institution shall, in its estimates, take into account all relevant information available to it in relation to the quality of the underlying exposures, including the information provided by the Vendor or external source data for comparable pools. The information provided by the seller shall be assessed.

(6) Credit institutions have the estimates to strike a margin of safety which is related to the expected error span. If the methods and data are less satisfactory, and the expected error span is greater, the safety margin should be increased accordingly.

(7) Where the credit institution uses different estimates for the calculation of the weighted exposure amounts and for internal purposes, it shall document this and demonstrate the appropriateness of the estimates.

(8) Credit institutions may resort to inter-institutional datapools where:

1.

the credit rating systems and criteria of the other credit institutions in the pool are comparable to their own;

2.

the pool for the portfolio for which the pooled data is used is representative and

3.

it uses the pooled data consistently for its estimates for a longer period of time.

(9) Credit institutions which have recourse to cross-institutional datapools shall remain responsible for the integrity of their rating systems and shall demonstrate that sufficient knowledge of the credit rating systems used is available to the Institute's institutions. and the rating process is effectively monitored and audited.

Requirements for PD estimates for exposures to central governments and central banks, institutes and companies

§ 48. In the case of exposures in accordance with Section 22b (2) (1) to (3) of the Federal Elections Act, credit institutions shall comply with the following requirements for PD estimates

1.

The PD for each debtor's classes shall be estimated on the basis of the long-term averages of the annual failure rates;

2.

in the case of purchased corporate receivments, the expected loss for each debtor class may be estimated on the basis of the long-term averages of the annual actual failure rates;

3.

where estimates of long-term average PD and LGD for purchased business claims are derived from an estimate of the expected loss and a reasonable estimate of PD or LGD, the estimate of total losses shall be calculated according to the In this provision and in § 50, the PD and LGD shall be estimated and the result shall be in accordance with the LGD definition in accordance with § 50 Z 1;

4.

The PD estimation procedures are to be applied only in combination with more detailed analyses, together with the results of the various procedures and adjustments made on the basis of the limitations of procedures and information. , the importance of assumptions shall be taken into account;

5.

where PD estimates are based on their own failure experience, it is necessary to demonstrate in analyses that the estimates are the credit terms and, where appropriate, existing differences between the rating system and the credit rating system. take account of current credit rating systems; if the credit award guidelines or credit rating systems change, the PD estimate shall be subject to a correspondingly higher safety margin;

6.

where internal debtor classes are linked to the credit rating scale of recognised credit rating agencies or similar organisations, or assigned to such a rating scale, and subsequently observed for the debtor classes of the external organisation Default rates assigned to internal debtors, the assignment of the internal rating criteria is compared with the rating criteria of the external organization and a comparison of the internal and external ratings of each of the two evaluated borrowers; distortions or inconsistencies in the The criteria of the external organisation based on the data used for the purposes of risk classification shall be aligned solely with the credit risk; and do not reflect the business characteristics; the credit institution shall carry out a comparison of the default definitions used in accordance with Section 22b (5) (2) of the Federal Elections Act (BWG) and shall document the bases of such assignment;

7.

where statistical models are used to estimate the probability of default, the simple average of the estimated default probabilities of the individual debtors in a given risk class may be used as PD; the estimate of the probability of default for the individual debtors; statistical models used in the probability of failure shall comply with the requirements laid down in section 41; and

8.

whether the credit institution uses external, internal or pooled data sources, or a combination thereof for its PD estimates, the length of the underlying observation period of at least one data source has at least five years; if the observation period of a data source includes a longer period of time and the relevant data are relevant, this longer observation period shall be used by the credit institution; this shall also apply to the PD/LGD approach for participations in accordance with § 72.

Requirements for PD estimates for retail claims

§ 49. In the case of exposures pursuant to Section 22b (2) (4) of the BWG, credit institutions shall meet the following requirements for PD estimates:

1.

The PD for each debtor class or pool shall be estimated on the basis of the long-term averages of the annual failure rates, or shall be derived from the actual losses and appropriate LGD estimates;

2.

the internal data for the allocation of exposures to classes or pools shall be used as the primary source of information for the estimation of the loss characteristics; external and internal reference data may be used for purchased retail receiving; where all relevant sources of information are to be used for comparative purposes; otherwise, external data, including pooled data or statistical models, may only be used if there is a close link between:

a)

the credit institution's own procedures for the allocation of exposures to classes or pools and the procedures used by the external data source; and

b)

the internal risk profile of the credit institution and the composition of the external data;

3.

the credit institution shall forward estimates of long-term average PD and LGD from an estimate of total losses and a reasonable estimate of PD or LGD, the estimate of total losses shall be made in accordance with § § 32 to 64 and with be compatible with the requirements laid down in § 50;

4.

irrespective of whether the credit institution uses external, internal or pooled data sources or a combination thereof for its estimates of total losses, the length of the underlying observation period shall be from at least one data source for a period of at least five years; if the observation period of a data source includes a longer period of time and the relevant data are relevant, this longer period of observation shall be used by the credit institution; historical data do not have to be taken into account by the same weight if the more recent data has been shown to have a better forecasting power, and

5.

Credit institutions shall identify and analyse the probable changes in the risk parameters over the term of the exposure.

Requirements for own LGD estimates

§ 50. Credit institutions shall have the following requirements for the use of own LGD estimates:

1.

The LGD for each of the facility classes or pools shall be based on the average LGD observed in each facility class or pool by using all the failed claims recorded within the data sources. estimating;

2.

Use LGD estimates that are appropriate for a recession if these estimates are more conservative than the long-term average; is a rating system designed to maintain constant LGD estimates over time for the individual classes and pools, the estimates of the risk parameters for each class and pool shall be adjusted in such a way as to limit the impact of an economic downturn on the minimum requirement for own resources;

3.

the scope of any dependencies between the risk of the debtor and the risk of the collateral or the security provider must be taken into account; significant dependencies shall be taken into account in a cautious manner;

4.

Currency incongruities between the underlying requirement and the collateralisation shall be taken into account in a cautious manner;

5.

the estimated market value shall be taken into account, but shall also be used to calculate that the credit institution may not be able to access the collateralisation rapidly and to devalue;

6.

When taking account of surveys, credit institutions shall establish internal requirements for collateral management, legal certainty and risk management, which are in accordance with § § 100 to 118;

7.

Additional securities shall be used for the determination of the counterparty default risk within the framework of the standard method in accordance with § § 236 to 243 or an internal model according to § § 244 to 255, are amounts resulting from these additional collateral are expected not to be taken into account in the LGD estimates;

8.

in the case of outstanding receivables, the total sum of the most accurate estimates of the expected losses from each individual claim shall be taken taking into account the current economic conditions, the exposure status and the possibility of to attract additional unexpected losses during the recovery period as a basis for LGD estimates; and

9.

non-paid default fees shall be added to the loss or claim to the extent to which the credit institution has already accounted for the loss or loss of interest.

Requirements for LGD estimates for exposures to central governments and central banks, institutes and companies

§ 51. For the LGD estimates of exposures pursuant to Section 22b (2) (1) to (3) of the Federal Elections Act (BWG), the length of the underlying observation period shall be at least seven years from at least one data source. If the available observation period covers a longer period of time than seven years and the relevant data are relevant, the credit institution shall use this longer period of observation.

Requirements for LGD estimates for retail claims

§ 52. Credit institutions have to comply with the following additional requirements for their own LGD estimates for exposures in accordance with Section 22b (2) Z 4 of the Federal Elections Act (BWG):

1.

The own estimates of LGDs can also be derived from actual losses and appropriate PD estimates;

2.

any future take-up may be taken into account either in the conversion factors or in the LGD estimates;

3.

external and internal reference data can be used to estimate the LGD in the case of purchased retail receivments; and

4.

the data on which LGD estimates are based shall be based on an observation period of at least five years; historical data shall not be taken into account with the same weight if the more up-to-date data are demonstrably a have better forecasting power.

Requirements for the estimation of conversion factors

§ 53. Credit institutions have to comply with the following requirements for their own estimates of conversion factors:

1.

The conversion factors for each facility class or pool are based on the average expected conversion factors for each of the facility classes or pools, using all the data sources observed within the data sources. Estimate outages;

2.

whereas it is necessary to use estimates which are appropriate for an economic downturn if these estimates are more prudent than the long-term average; a credit rating system in the course of time provides constant conversion factor estimates for the individual classes and pools, the estimates of the risk parameters for each class or pool shall be adjusted in such a way as to limit the impact of an economic downturn to the minimum requirement of own resources;

3.

in the estimation of the conversion factors, account shall be taken of the possibility of additional taking into account by the debtor until and after the occurrence of the failure;

4.

the conversion factor estimate shall be subject to a higher safety margin if there is a strong positive correlation between the default frequency and the size of the conversion factor;

5.

in the estimation of conversion factors, credit institutions shall have to take into account their internal rules and strategies used to monitor account management and payment transactions; account should be taken of the extent to which credit institutions are able and willing to prevent further credit claims in situations similar to those in the event of a failure;

6.

Credit institutions shall have adequate systems and procedures for the monitoring of credit consumption on a daily basis; these shall have the monitoring of the amounts of the facilities, the current use of promised lines and the to include changes in the use of each debtor and class; and

7.

, different conversion factor estimates are used for the calculation of weighted exposure amounts and for internal purposes, this should be documented and the adequacy of the estimates can be demonstrated.

Requirements for estimates of conversion factors for exposures to central governments and central banks, institutions and enterprises

§ 54. For exposures pursuant to Section 22b (2) (2) (1) to (3) of the Federal Elections Act (BWG), the underlying data shall be obtained from at least one data source for an observation period of at least seven If the available observation period covers a longer period of time than seven years and the relevant data are relevant, the credit institution shall use this longer period of observation.

Requirements for estimates of conversion factors for retail claims

§ 55. The following requirements must be met for claims pursuant to § 22b para. 2 Z 4 BWG:

1.

Any future take-up may be taken into account either in the estimates of the conversion factors or in the LGD estimates, and

2.

the data used for the estimates of the conversion factors shall be based on an observation period of at least five years; historical data shall not be taken into account with the same weight if the more up-to-date data demonstrably have a better prognosis.

Requirements for the consideration of personal collateral in parameter estimation

§ 56. (1) Credit institutions shall have clearly defined criteria for the types of collateral providers to be taken into account in the calculation of the weighted exposure amounts.

(2) The requirements of § § 39 and 40 for the assignment of the claim and the integrity of the assignment have to be used for recognised security providers.

(3) Personal security shall be

1.

in writing;

2.

Unündable by the security provider;

3.

until the full performance of the debt is effective, and

4.

to be legally enforceable in relation to the security provider.

Personal collateral, the use of which is subject to conditions, may then be used for the purpose of credit risk reduction, if the credit institution can demonstrate that the allocation criteria for classes or pools are possible Take due account of the deterioration of the collateralisation.

(4) Credit institutions shall have clearly defined criteria for the adjustment of classes, pools or LGD estimates, or in the case of exposures in accordance with § 22b para. 2 Z 4 BWG and qualified purchased receivments for the process of allocation of Requests for classes or pools to be able to represent the influence of personal collateral in the calculation of the weighted exposure amounts. These criteria have to comply with the minimum requirements of § § 39 and 40. In particular,

1.

to be plausible and plausible;

2.

the ability and willingness of the guarantor to comply with his personal security obligations and to take account of the probable dates of the payments;

3.

take into account the degree of correlation between the ability of the guarantor to repay the credit and the solvency of the debtor; and

4.

comply with the extent of any remaining residual risk to the debtor.

(5) Credit institutions that use the credit risk standard rate for exposures in accordance with § 22b (2) (2) (1) (2) and (2) shall not apply paragraphs 1 to 4. In this case, the requirements according to § § 100 to 118 are to be fulfilled.

(6) In the case of personal securities for claims pursuant to Section 22b (2) (4) of the Federal Elections Act (BWG), the requirements set out in paragraphs 1 to 4 shall also apply to the assignment of exposures to classes or pools and to the estimation of the PD.

Additional requirements for the estimation of the effect of credit derivatives

§ 57. (1) Credit institutions shall apply in the event of incongruities between the underlying obligation and the reference obligation of the credit derivative or the obligation used to determine the entry of a credit event (§ 117). In the case of claims pursuant to Section 22b (2) (4) of the Federal Elections Act (BWG) as well as qualified purchased receivments which fall under Section 22b (2) (4) of the Federal Elections Act (BWG), § 117 shall apply to the assignment of claims to classes or pools.

(2) The adjustment criteria shall take account of the structure of payment of the credit derivative and take into account in a cautious manner the influence which it has on the amount and timing of the compensation. Credit institutions shall take account of the extent to which other types of residual risk remain.

Requirements for purchased receivments

§ 58. (1) Credit institutions shall ensure ownership of the claim and the control of the cash receipts through the transaction. If the debtor makes payments directly to the seller or receivables manager, credit institutions have to regularly convince themselves that the payments are complete and in accordance with the contractual agreement to the purchasing credit institution will be forwarded. A receivables manager is a body that manages a pool of purchased receivables or the underlying credit claims on a daily basis. By means of appropriate procedures, credit institutions shall ensure that ownership of claims and cash inputs is protected against claims arising from insolvency proceedings and any other legal claims which may result from the ability of the credit institution to: are likely to significantly delay the recovery or assignment of claims or the continued exercise of control over the cash inputs.

(2) Credit institutions shall monitor the quality of the purchased receivables and the financial position of the seller and the receivables manager. In particular, credit institutions

1.

to assess the correlations between the quality of the purchased receivables and the financial position of the seller and the receivables manager, and to have internal rules and procedures that provide adequate protection against the effects of of such correlations, including the assignment of each seller and any receivables manager to an internal rating;

2.

on appropriate rules and procedures in order to be able to assess the suitability of sellers and receivables managers; periodic reviews of sellers and receivables managers shall be carried out in order to ensure the accuracy of their reports; check, detect fraud and operational weaknesses, and review the quality of the seller's lending practices, as well as the selection rules and procedures of the receivables manager, and the results of the review document;

3.

assess the characteristics of the pool of purchased receivables, including any overdraft, experience with regard to arrears, unrecoverable receivables and value adjustments on unrecoverable claims by the the seller, the payment terms and any countercurrent accounts;

4.

have effective rules and procedures in order to be able to observe, on an aggregated basis, debtor concentrations within a pool and across various pools of purchased received; and

5.

ensure that immediate and sufficiently detailed reports of the maturity structure and dilution of the claims are submitted by the receivables manager, in order to ensure consistency with the selection criteria and the requirements of the To ensure payment guidelines for purchased receivings and to be able to effectively monitor and assess the seller's sales conditions and the dilution.

(3) Credit institutions shall have systems and procedures in place to anticipate deterioration in the financial position of the seller and the quality of the receivables, and to counteract the problems. There are clear and effective rules, procedures and computerised systems for the monitoring of infringements, as well as procedures for the initiation of legal proceedings and the handling of problem-related requests for receivedor receivingrights.

(4) Credit institutions shall have clear and effective rules and procedures governing the supervision of purchased receivings, credit guarantees and payments. In writing, it shall be necessary to determine all the essential elements of the debt purchase programme, including advance payments, appropriate collaterals, required documentation, concentration limits, and the Treatment of money inputs. All relevant factors, including the financial position of the seller and the receivables manager, the risk concentrations and trends in the development of the quality of the purchased receivables and the customer's customer base are be properly considered. The internal systems have to ensure that advance payments are made only against precisely specific surveys and with accurate documentation.

(5) Credit institutions shall have effective internal procedures in order to assess compliance with the rules and procedures referred to in paragraphs 1 to 4.

Validation of internal estimates

§ 59. (1) Credit institutions shall have robust systems for validating the forecasting and consistency of the rating systems, the rating process and the estimation of all relevant risk parameters. The internal validation process must lead to a meaningful and consistent assessment of the performance of the internal rating and risk estimation systems, and must be carried out at least once a year.

(2) The actual failure rates of each debtor class are to be compared with the corresponding PD estimates. If the actual failure rates are outside the estimate band width applied to the class concerned, the reasons for the deviation shall be analysed in detail. When using own estimates of LGD or conversion factors, a corresponding analysis should also be carried out on these estimates. The comparisons have to be based on historical time series that are as far back as possible. The methods and data used in these comparisons shall be documented and the documentation shall be updated at least once a year.

(3) Credit institutions shall also have other quantitative and qualitative validation instruments and comparisons with relevant external data sources. The data used for the analysis shall be applicable to the relevant portfolio, shall be updated regularly and shall cover a relevant period of observation. For the institute's internal assessment of the forecast quality and performance of its own rating system, it is necessary to take as long a period as possible.

(4) Credit institutions shall use the methods and data used for the validation in a consistent manner in accordance with a written approach. To document changes in the assessment and validation methods and the validation data, including the data sources and the time periods used.

(5) Credit institutions shall have appropriate standards in the event that the deviations of the realised PD, LGD, conversion factors, as well as the use of estimates of the expected losses of the total losses from the expected values be so significant that the validity of the estimations is called into question. These standards have to take account of economic cycles and similar systemic fluctuations in default values. Where significant deviations are observed, credit institutions shall use the estimates accordingly in order to take account of the realised loss and loss values.

Quantitative requirements for internal models for equity positions

§ 60. Credit institutions using an internal model in accordance with Section 77 (5) for the calculation of the weighted exposure amounts for shareholdings pursuant to Section 22b (2) Z 5 of the Federal Elections Act (BWG) shall meet the following requirements:

1.

The estimate of the loss potential is stable against unfavourable market movements relevant to the long-term risk profile of the institute-specific equity positions;

2.

the data used for the derivation of yield distributions shall be as far back as possible in the past and the risk profile of the institution-specific equity exposures shall be accurately reflected;

3.

the data used have to be provided in order to provide cautious, statistically reliable and robust estimates of losses, based not only on subjective or judgling considerations;

4.

the understated shock is shown to be a cautious estimate of the losses that may occur over the relevant long-term market or economic cycle;

5.

The empirical analysis of the available data is to be combined with adjustments due to different factors in order to achieve realistic and conservative model results; in the development of value-at-risk models according to § 77 para. 5 to the estimate potential quarterly losses may be used by credit institutions to use quarterly data or data with a shorter time horizon, which are converted into quarterly data using analytically appropriate and empirically verified methods; such an approach has be applied cautiously and in a consistent manner over time, and is be adequately documented; if relevant data are available only to a limited extent, appropriate security margins shall be allocated;

6.

the model must adequately reflect all the risks inherent in the return on investment, including the general and specific price risk of the equity portfolio, and the model has appropriate historical price fluctuations to explain the magnitude and the changes in the composition of possible concentrations and to be stable in relation to adverse market circumstances; the composition of the data used for estimation shall be as wide as possible; the exposure risk position of the credit institution, or to be comparable at least to them;

7.

the model is appropriate for the risk profile and the complexity of the investment portfolio of the credit institution; where significant stocks are held whose value development is highly non-linear due to their nature, the model has the appropriate to the risks associated with such instruments;

8.

the allocation of individual positions to approximate values, market indices and risk factors is plausible, plausible and conceptually sound;

9.

Empirical analyses show that the choice of risk factors is appropriate and that both the general and the specific risk are covered;

10.

the estimates of the yield volatility of investment in equity have to take into account all relevant and available data, information and methods, including internal data or external data reviewed by an independent body, including: you can use pooled data, and

11.

Credit institutions have a strict and comprehensive crisis test programme.

Qualitative requirements for internal models for equity positions

§ 61. Credit institutions shall determine the integrity of the model and its development in the development and use of an internal model for equity expowers in accordance with Section 77 (5) of the Rules of Procedure, the procedures and the controls. In any case, these have to include:

1.

Full integration of the model into internal reporting and management of the equity portfolio not held in the trading book; the models are fully integrated into the daily risk management of the credit institution, in particular: to be involved in the measurement and assessment of the yield of the equity portfolio, as well as in the capital adequacy assessment procedures in accordance with Section 39a of the BWG;

2.

adequate systems and procedures for the monitoring of investment imits and involvement in shareholdings must be made;

3.

the bodies responsible for the development and application of the model shall be independent of the bodies responsible for the management of the individual shareholdings;

4.

the directors have to allocate sufficient human resources to the organisational unit responsible for the model development with the necessary qualification and competence, and

5.

Credit institutions shall have management systems, procedures and control functions which shall be subject to a periodic independent review of all the components of the internal model development process, including the approval of In any case, model changes, the expert assessment of the model inputs and the verification of the model results, shall be made to include:

a)

the accuracy, completeness and appropriateness of the model inputs and results;

b)

the detection and limitation of possible errors due to known model weaknesses and

c)

the identification of possible unknown model weaknesses.

Validation and documentation of internal models for equity positions

§ 62. (1) Credit institutions shall have a robust system for the validation of the accuracy and consistency of the internal model in accordance with Section 77 (5) and its inputs. All essential components of the model and the model development process, including the responsibilities of those involved in the development, acceptance and review of the model, as well as the validation, must be documented.

(2) Credit institutions shall use the internal validation process to assess and improve the performance of the model and the processes in a consistent and meaningful way.

(3) The methods and data used for quantitative validation shall be consistent with a comprehensive, in-written approach. Quantitative validation shall be carried out at least once a year. To document changes in the assessment and validation methods and the validation data, including the data sources and the time periods used.

(4) Credit institutions shall compare the actual deposit returns identified on the basis of the realised and unrealised gains and losses with the model estimates. In these comparisons, historical data which extend over as long a period as possible are to be used. The methods and data used for such comparisons shall be documented and shall be updated at least annually.

(5) Credit institutions shall use other quantitative validation tools as well as comparisons with external data sources as part of the validation. The analysis has to be based on data which is applicable to the relevant portfolio, is regularly updated and covers a relevant observation period. For the institute's internal evaluation of the performance of its own model, it is necessary to take as long a period as possible.

(6) Credit institutions shall have sound rules in the event that the comparison of actual investment returns with the model estimates puts into question the validity of the estimates or the models themselves. These rules have to take account of economic cycles and similar systemic fluctuations in the number of deposits. All adjustments made by the credit institution to the model shall be documented and shall comply with the rules for model validation.

Responsibility of the managers and requirements for credit risk control

§ 63. (1) The Managing Director or an expert panel established on the part of the Executive Board shall, together with the senior management, approve all the essential aspects of the rating and estimation procedures and shall have the systems used and the systems used. to understand the resulting reports.

(2) The principal changes or deviations from the internal rules shall be communicated to the business managers.

(3) Managing directors shall ensure that credit rating systems function properly. The body responsible for the credit risk monitoring shall regularly inform the managers of the performance of the rating process, the areas in need of improvement and the progress of the work on the rectification of identified weaknesses. .

(4) Analysis of the credit risk profile of the credit institution based on internal credit ratings shall be an integral part of the reporting system to the directors. The reports shall at least provide information on the risk profiles per class or pool, the migration flows between classes or pools, the estimates of the relevant parameters per class or pool, and the comparison of the actual Failure rates and own estimates of LGD and conversion factors with the expectations and crisis test results to be given. The reporting intervals shall be based on the meaning and nature of the information.

(5) The body responsible for credit risk monitoring pursuant to Section 21a (1) Z 5 of the Federal Elections Act (BWG) shall be independent of the personnel and management functions responsible for the opening and extension of positions, and shall be directly responsible for the higher management is subject to management. It is responsible for the design, implementation, monitoring and performance of the rating systems. It shall regularly draw up and analyse reports on the results of the rating systems.

(6) In any event, the tasks of the credit risk monitoring body shall include:

1.

The study and monitoring of classes and pools;

2.

the preparation and evaluation of summary reports on the rating systems;

3.

the implementation of procedures to verify that class and pool definitions are applied in a consistent manner in all areas of the enterprise and regions;

4.

the review and documentation of changes to the rating process, stating the reasons for the changes;

5.

the review of the rating criteria as to whether they continue to be meaningful for risk assessment; changes in the rating process, the criteria or the individual rating parameters are documented;

6.

the participation in the selection and design, implementation and validation of the models used in the rating process;

7.

the supervision and supervision of the models used in the rating process, and

8.

the continuous review and improvement of the models used in the rating process.

(7) Credit institutions that use pooled data in accordance with Section 47 (9) may outsource the following tasks to appropriate third parties:

1.

The provision of relevant information for the investigation and monitoring of classes and pools;

2.

the compilation of summary reports on credit institutions ' rating systems;

3.

the review of the rating criteria as to whether they continue to be meaningful for risk assessment;

4.

the documentation of changes in the rating process, the criteria or the individual rating parameters; and

5.

the provision of relevant information for the continuous review and improvement of the models used in the rating process.

If tasks are to be outsourced to third parties, the scope of the information, presentation and registration rights and the obligation to make available documents in the national territory shall be subject to § 60 (3) BWG.

Internal Audit Tasks

§ 64. The examination by means of the internal audit pursuant to § 42 paragraph 4 Z 6 BWG must be carried out at least annually and in any case to include all relevant processes and compliance with the minimum requirements according to § § 37 to 63.

Section 3

Determination of the exposure value

§ 65. (1) The exposure value for claims pursuant to § 22b para. 2 Z 1 to 4 BWG is equal to the value of the bilanual demand before deduction of value adjustments. This shall also apply to assets purchased at a price other than the amount due. In the case of purchased assets, the difference between the amount due and the net book value in the balance sheet of the credit institution shall be deemed to be a blow if the claim is greater, and as a premium if it is smaller.

(2) In the case of repurchase transactions and securities or commodities lending or borrowing transactions which are the subject of netting framework agreements, the exposure value shall be calculated in accordance with the provisions on credit risk reduction.

(3) In the event of netting of recognised credit and deposits, the credit institution shall calculate the exposure value in accordance with the provisions on credit risk mitigation.

(4) In the case of leasing exposures, the exposure value shall be equal to the lowest minimum leasing payment. 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. Any guaranteed residual value, which meets the requirements of security providers according to § 96 as well as the requirements according to § § 111 to 115, must be included in the minimum leasing payments.

(5) In the case of derivatives according to Appendix 2 to § 22 BWG, the exposure value shall be determined by means of one of the methods pursuant to Section 22 (5) BWG.

(6) The receivable value of purchased receivables shall be the outstanding amount minus the minimum requirement of own resources for dilution risk prior to the application of credit risk mitigation techniques, as determined in accordance with § 80.

(7) In the case of exposures in the form of securities or goods which are sold, deposited or lent in the framework of a pension or securities or commodities lending or borrowing transaction, long settlement transactions and Lombards, the The value of the securities or goods determined in accordance with Section 22 of the BWG. Credit institutions that use the comprehensive method to take financial collateral into account shall have the exposure value to increase the volatility adjustment determined. The exposure value of pension, securities or commodities lending transactions, long settlement transactions and Lombard transactions can be claimed either in accordance with the methods set out in § § 233 to 261 or using an internal model according to § 128.

(8) In the case of receivables to a central counterparty in accordance with § 233, the exposure value shall be equal to zero if these receivables with all affiliated participants are fully collateralised on a daily basis.

(9) In the following cases, the exposure value of the pledged amount, but not used, shall be multiplied by the conversion factor referred to below:

1.

In the case of credit lines which are unconditionally cancelled at any time by the credit institution without prior notification or which provide for an automatic termination in the event of a deterioration of the borrower's creditworthiness, a conversion factor of 0 vH , provided that the credit institution actively monitors the financial situation of the debtor and the internal control systems are designed in such a way that a deterioration of the debtor's creditworthiness is immediately detectable; not in claim retail credit lines may be considered to be absolutely discreditable if the Contractual terms and conditions allow the credit institution to act according to the Consumer Protection Act-KSchG, BGBl. No 140/1979 and related legislation; in the case of undertakings not in use, revolving purchased receivments which are strictly discernible or which are not subject to undertakings by the credit institution without any prior notification may be automatically cancelled at any time, a conversion factor of 0 vH shall apply if the credit institutions actively monitor the financial situation of the debtor and their internal control systems are to be designed in such a way that: a deterioration of the debtor's creditworthiness is immediately detectable;

2.

on short-term trading credits resulting from the transfer of goods, a conversion factor of 20 vH shall be applied by the opening and affirmative credit institution;

3.

other credit lines, Note Issuance Facilities (NIFs) and Revolving Underwriting Facilities (RUFs) shall be subject to a conversion factor of 75 vH; and

4.

Credit institutions using own estimates of conversion factors in accordance with § 34 may use own estimates of the conversion factors for each of the cases referred to in the Z 1 to 3; own estimates for one of those in the Z 1 The use of these shall be consistent with the use of these cases.

(10) If a commitment is made to the prolongation of a pledge previously granted, the lower of the conversion factors applicable to the two commitments shall be used.

(11) In the case of all other off-balance-sheet transactions in accordance with paragraphs 1 to 9, the exposure value shall be equal to the following percentage of its value, with the allocation to the risk categories in accordance with Appendix 1 to Section 22 of the BWG:

1.

100 vH for high-risk items;

2.

50 vH for medium-risk items;

3.

20 vH for medium/low risk items; and

4.

0 vH for low-risk items.

Exposure value of equity items

§ 66. The exposure value of a participating position according to § 22b para. 2 Z 5 BWG is equivalent to the value shown in the annual financial statements. The exposure value of a holding may be calculated as follows:

1.

In the case of shareholdings recognised at fair value, where changes in value are directly effective and have an impact on own resources, the exposure value shall be equal to the fair value shown in the balance sheet;

2.

in the case of shareholdings recognised at fair value, where value changes are not directly effective, but which, instead of being included in a tax-adjusted own resource, the exposure value shall be equal to that in the balance of fair value and fair value

3.

in the case of shareholdings accounted for by acquisition costs or the least-value principle, the exposure value corresponds to the acquisition costs or market values shown in the balance sheet.

Exposure value of other assets

§ 67. The receivables value of other assets pursuant to § 22b para. 2 Z 7 BWG is the value shown in the annual accounts.

Section 4

The risk parameters PD, LGD and M

PD estimates for exposures to central governments and central banks, institutes and companies

§ 68. (1) In the case of PD estimates for exposures in accordance with Section 22b (2) (1) to (3) of the Federal Elections Act (BWG), credit institutions must meet

1.

The PD of a claim to a company or institute shall be at least 0.03 vH;

2.

in the case of purchased corporate receivments, where the credit institution cannot demonstrate that its PD estimates meet the minimum requirements, the PD

a)

in the case of priority claims on purchased business claims, as the expected loss estimated by the credit institution, divided by the LGD of these exposures;

b)

in the case of subordinated claims on purchased business claims, as the expected loss estimated by the credit institution;

c)

Credit institutions using own LGD estimates for exposures in accordance with § 22b para. 2 Z 3 BWG may use their own PD estimates if the estimates of expected loss for purchased corporate receivments are reliable in PD and LGD can be resolved;

3.

the PD of debtors in default in accordance with § 22b para. 5 Z 2 BWG shall be 100 vH and

4.

personal collateral can be taken into account in the PD in compliance with the requirements of § § 83 to 118.

(2) Credit institutions may take into account personal collateral by adapting the PD when using own LGD estimates for exposures in accordance with § 22b para. 2 Z 1 to 3 BWG.

(3) Credit institutions have to equate the PD of the estimate of expected loss for dilution risk for the dilution risk of purchased corporate receivings. When using own LGD estimates for exposures in accordance with § 22b para. 2 Z 3 BWG, credit institutions may use their own PD estimates if the estimates of expected loss for the dilution risk of purchased corporate receivings can be reliably resolved in PD and LGD. Credit institutions may take into account personal collateral in the estimation of the PD in accordance with the provisions on credit risk mitigation. When using own LGD estimates for the purposes of § 80, personal security can be taken into account by applying § 69 (3).

LGD-Estimates for exposures to central governments and central banks, institutes and enterprises

§ 69. (1) Credit institutions shall have the following LGD values for exposures in accordance with Section 22b (2) of the Z 1 to 3 BWG:

1.

For priority claims without permitted collateralisation for the purpose of credit risk reduction 45 vH;

2.

for subordinated exposures without permitted collaterals for the purpose of credit risk reduction 75 vH;

3.

related and personal collateral can be taken into account in the LGD in accordance with the provisions on credit risk mitigation;

4.

a LGD value of 12.5 vH may be applied to cover covered bonds in accordance with § 18;

5.

for purchased priority business claims, for which the minimum requirements for the PD estimate according to § 49 are not met, 45 vH;

6.

for purchased subordinated business claims, for which the minimum requirements for the PD estimate according to § 49 are not met, 100 vH and

7.

For the dilution risk of purchased corporate receivings 75 vH.

(2) Credit institutions using own LGD estimates for exposures in accordance with § 22b para. 2 Z 3 BWG may use their own LGD estimate for the dilution and default risk for purchased business claims if the estimates of the the expected loss of purchased business claims can be reliably resolved in PD and LGD.

(3) Credit institutions using own LGD estimates for exposures in accordance with § 22b para. 2 Z 1 to 3 BWG may take into account personal collateral by adjusting the PD or LGD estimates if the minimum requirements according to § § 37 to 64 are fulfilled. Exposures secured by a personal security shall not be assigned in the manner adapted to PD or LGD such that the adjusted weight would be lower than the weight of a comparable direct claim to the security provider.

(4) For the calculation of the weighted exposure amount in accordance with Article 74 (1) Z 5, the LGD corresponds to a comparable direct claim to the guarantor either of the LGD for an unsecured facility of the guarantor or for the collateral for the the debtor's facility, depending on whether, in the event that the collateral provider and the debtor fail during the term of the secured transaction, the information available and the structure of personal security shall be based on the indicate that the amount of the recovered amount is from the financial position of the guarantor or the debtor.

Residual maturity for exposures to central governments and central banks, institutes and companies

§ 70. (1) Credit institutions shall have an effective residual maturity of 2.5 years for exposures in accordance with Section 22b (2) of the Z 1 to 3 BWG. Claims arising from repurchase transactions and securities or commodities lending operations falling under Section 22b (2) (2) (1) to (3) of the Federal Elections Act (BWG) shall be subject to an effective residual maturity of 0.5 years.

(2) Credit institutions using own LGD and own conversion factors for exposures in accordance with § 22b para. 2 Z 1 to 3 BWG shall determine the effective residual maturity (M) for each of these exposures in accordance with Z 1 to 6 as follows, the maximum value being the maximum value of the total value of the remaining term (M) for M is five years:

1.

For an instrument with a fixed zins and eradication plan, M shall be calculated according to the following formula:

where CF T the contractual cash flow shall be the nominal amount, interest and fees paid by the debtor in period t;

2.

in the case of derivatives subject to a netting framework agreement, M shall be the weighted average residual maturity of the claim, where M shall be at least one year; for the weighting of the maturity, the nominal amount of the claim shall be: a single transaction;

3.

for claims arising out of fully or almost fully hedged derivative transactions according to Appendix 2 to § 22 BWG as well as fully or almost fully secured Lombard shops subject to a netting framework agreement, M shall be the the weighted average residual maturity of the transactions, where M is at least 10 days; for the weighting of the maturity, the respective nominal amount of the individual transaction shall be taken up;

4.

for purchased business claims in which the credit institution uses its own PD estimates, M shall be equal to the weighted average maturity of the purchased receivings, where M shall be at least 90 days ; the same value of M shall also be used for unused amounts in the context of a purchase agreement, provided that the facility contains effective contract components, trigger for early repayment or other characteristics which: the buying-in credit institution over the entire period of the facility significant deterioration in the quality of future receiving; if such effective hedging is lacking, M shall be the sum of the unused amounts as the sum of the most long-term possible receivment covered by the purchase agreement and the to calculate the remaining maturity of the facility, where M has to be at least 90 days;

5.

where an internal model is used in accordance with § § 242 to 253, claims for which the method is followed and for which the duration of the contract, which has the longest running time represented by the netting set, is more than one year is to calculate M as follows:

where dfk tk is the risk-free abortion factor for the future period, Δ tk the length of the time interval tk-1 to tk, EEk the average market value according to § 243 para. 3 Z 2 and EffectiveEEk the maximum average market value referred to in § 243 para. 3 Z 3; credit institutions that are used to calculate a one-sided Adjustment of credit score using an internal model may use as M the effective credit period estimated on the basis of such a model; finds paragraph 4 of the application, applies to all netting rates in which all contracts have an original maturity date of not more than one year, the formula in accordance with Z 1; a credit institution shall calculate the the weighted exposure amount in accordance with Section 70 (1) Z 5 is M the effective credit period, but at least one year and

6.

in the case of all other claims in accordance with Section 22b (2) (1) to (3) of the Federal Elections Act or if a credit institution M cannot calculate in accordance with Z 1, M shall be set equal to the maximum period of time in years which the debtor has to fulfil in full compliance with his contractual obligations obligations, but at least one year.

(3) Credit institutions shall determine the effective remaining term in accordance with paragraph 1 in the case of exposures:

1.

Enterprises established in a Member State, as well as consolidated annual turnover and consolidated balance sheet total of less than EUR 500 million, and

2.

Companies based in a Member State that invest primarily in real estate, and a consolidated annual turnover and consolidated balance sheet total of less than one billion euros.

(4) Credit institutions that use own LGD estimates for exposures in accordance with § 22b para. 2 Z 1 to 3 BWG shall have M with at least equal to 1 day for:

1.

Wholly or almost fully hedged derivative transactions according to Appendix 2 to § 22 BWG;

2.

Fully or almost fully secured Lombard shops;

3.

Repurchase transactions, securities or commodities lending or borrowing transactions;

provided that the documentation requires daily additional payments and a daily re-evaluation, and provisions are agreed upon which, in the event of a failure or outstanding additional payments, are to be used for the conversion or settlement of the securities .

(5) Credit institutions shall have to take account of maturity incongruities in accordance with § § 151 to 153.

PD and LGD estimates for retail claims

§ 71. (1) Credit institutions have to meet the following requirements in the case of PD-Estimate for exposures in accordance with Section 22b (2) Z 4 of the BWG:

1.

The PD of a claim shall be at least 0.03 vH;

2.

for debtors in default in accordance with Section 22b (5) (2) of the Federal Elections Act (BWG) or in the case of an approach starting from facilities for exceptional claims pursuant to § 22b (5) (2) of the Federal Elections Act (BWG), the PD is 100 vH

3.

For the dilution risk of purchased receivings, the PD shall be equated to the estimate of expected loss for dilution risk; may credit institutions buy estimates of expected loss for dilution risk In PD and LGD, the PD and LGD can be used to resolve the requirements, and the PD can be used instead.

4.

Personal security may be taken into account by adapting the PD in accordance with paragraph 3 if the use of the collateralisation for the purposes of credit risk reduction is permitted.

(2) Credit institutions have to set a LGD value of 75 vH for the dilution risk for purchased receivings pursuant to § 22b para. 2 Z 4 BWG; credit institutions, the estimates of the expected loss for the dilution risk of purchased receivments can be reliably resolved in PD and LGD, the own LGD estimates can be used for the dilution risk.

(3) Credit institutions may take into account personal collateral by adjusting the PD and LGD estimates in compliance with the requirements of § 52 for a single claim or for a forum pool. Exposures secured by means of personal collateral are to be attributed to adapted PD or LGD in such a way that the adjusted weight is at least as high as the weight of a comparable direct claim to the security provider.

(4) For the purposes of the calculation of the weighted exposure amount in accordance with Article 75 (2), the LGD shall be equivalent to a comparable direct claim to the guarantor either of the LGD of an unsecured claim to the collateral provider or of an unsecured request. Claim to the debtor, depending on whether, in the event that the collateral provider and the debtor fail during the term of the secured transaction, the information available and the structure of personal security thereon shall be: indicate that the amount of the recovered amount shall be from the financial position of the The security provider or the debtor depends.

Participant Line Items by the PD/LGD Method

§ 72. If the credit institution for equity positions uses the PD/LGD method,

1.

to determine the PD in accordance with § 68, with the following minimum values to be complied with:

a)

0.09 vH for exchange-traded equity positions if the participation is received within the framework of a long-standing customer relationship, and for non-exchange-traded equity positions in which the proceeds on ordinary periodic cash flows and are not based on course gains;

b)

0,40 vH for exchange-traded equity positions, including other short positions pursuant to § 77 (3) Z 5 and

c)

1.25 vH for all other equity positions, including other short positions in accordance with § 77 (3) Z 5;

2.

the LGD with 90 vH and in the case of private equity positions in sufficiently diversified portfolios of 65 vH; and

3.

M shall be set at five years.

Section 5

Weighted Exposure Amount and Expected Loss Amount

§ 73. Credit institutions shall individually calculate the weighted exposure amount for each claim. The exposure value shall be determined in accordance with § § 65 to 67, the risk parameter failure probability, loss rate in case of failure and effective residual maturity according to § § 68 to 72 and then to be used in the formulas according to § § 74 to 82.

Requirements for central governments and central banks, institutes and companies

§ 74. (1) For claims pursuant to Section 22b (2) (1) to (3) of the Federal Elections Act (BWG), in which no default of the debtor pursuant to Section 22b (5) Z 2 of the BWG is available, the weighted exposure amount shall be calculated as follows:

1.

The correlation (R) is to be determined as follows:

,

where ex is the exponential function with the Eulerian number e to the base;

2.

the maturity factor b is to be determined according to the following formula:

Runtime Factor (b) = (0.11852-0,05478 × ln (PD)) 2 ,

where ln (y) denotes the natural logarithm of y;

3.

then the weight (RW) is to be determined using the results for the values of correlation and the maturity factor as follows:

where:

N (x) the distribution function of the default normal distribution

G (z) the inverse of the distribution function of the standard normal distribution

4.

subsequently, the weighted exposure amount shall be determined as follows:

Weighted Exposure Amount = RW × Request Value; and

5.

in the case of claims which meet the requirements of § 97 and § 118, the weighted exposure amount can be calculated as follows:

Weighted Exposure Amount = RW × Formal Value × (0.15 + 160 × PDpp)

where:

Ppp the probability of failure of the backup

RW the weight calculated according to Z 3, with the following parameters to be used:

a)

the probability of default of the debtor;

b)

the loss rate to be equal to that of a comparable direct claim to the collateral provider; and

c)

the maturity factor (b), which is to be calculated according to Z 2 using the lower PD of the debtor or the security provider.

(2) In the case of exposures to undertakings, with a consolidated annual turnover of less than EUR 50 million, the credit institution may, in order to calculate the weighted exposure amount, the correlation formula referred to in paragraph 1 (1) (1) with the following formula: replacing:

where S denotes the consolidated annual turnover of all companies in the group in millions of euros and can only assume values between five and 50. If the consolidated annual turnover is less than EUR 5 million, a turnover of five million euros will be used. In the case of purchased receivments, the consolidated annual turnover shall be calculated from the weighted average of the individual exposures of the pool. The consolidated annual turnover shall be replaced by the balance sheet total of the consolidated group, if the balance sheet total as an indicator is more meaningful than the consolidated annual turnover.

(3) Claims from special financing for which no PD estimates are available in accordance with Section 68 (1) shall be assigned a weight according to the following table.

Residual runtime

Category 1

Category 2

Category 3

Category 4

Outstanding claims in accordance with § 22b (5) (2) of the BWG

Less than 2.5 years

50 vH

70 vH

115 vH

250 vH

0 vH

2.5 years or more

70 vH

90 vH

115 vH

250 vH

0 vH

(4) Credit institutions shall take into account the following factors in the weighting of exposures arising from special financing according to paragraph 3:

1.

financial power;

2.

the political and legal framework;

3.

the transaction and receivables characteristics;

4.

the strength of the creditor or institution, taking into account any income from public-private partnerships, and

5.

Backups.

The assignment to categories 1 to 4 within the framework of paragraph 3 is to be carried out with the help of a risk-based allocation scheme.

(5) Credit institutions may assign a weight of 50 vH as well as exposures of category 2 in accordance with paragraph 3 to a weight of 70 vH if their risk characteristics are significantly more positive than for the requirements of category 1 in accordance with paragraph 3. respective category is required in the mapping scheme in question.

(6) Credit institutions shall comply with the minimum requirements in accordance with § 58 in respect of purchased receivets to undertakings. In the case of purchased receivments to companies which meet the requirements in accordance with § 75 para. 6, the credit institution may apply the risk quantification standards for retail claims in accordance with § § 49, 52 and 55 if the application of the Risk quantification standards for exposures to companies would represent a disproportionately high cost.

(7) Credit institutions may, in the case of purchased receivings to companies, repay the purchase price reductions, collaterals or partial collaterals by personal collateral, which shall be a first-loss hedge against default losses, To offer dilution losses or both, treat as first-loss positions within the scope of § § 156 to 179.

(8) If a credit institution provides a credit protection for a receivables basket in such a way that the nth failure occurring in these claims triggers the payment and this credit event also terminates the contract, the weights are in accordance with § § 156 bis 179 if a credit rating of a recognised rating agency is available for this credit protection. In the absence of a credit rating from a recognised credit rating agency, the weighted exposure amount shall be determined as follows:

1.

The weights of the exposures contained in the basket shall be aggregated, with the sum of the expected loss amount of 12.5-fold and the weighted exposure amount not exceeding 12 ,5 times the nominal amount secured by the credit derivative ; in the case of aggregation, the n-1 exposures shall be excluded; and

2.

the n-1 exposures to be taken out of the aggregation shall be determined on the basis that each of these exposures will result in a lower weighted exposure amount than the weighted exposure amount of each of the exposures received in the aggregation.

Retail claims

§ 75. (1) Credit institutions shall calculate the weighted exposure amount as follows for exposures in accordance with Section 22b (2) (4) of the Federal Elections Act (BWG) in which no default of the debtor pursuant to Section 22b (5) (2) of the BWG is available:

1.

The correlation (R) is to be determined as follows:

,

where e X the exponential function with the Eulerian number e to the base;

2.

then the weight (RW) is to be determined by using the result for the value of correlation as follows:

where:

N (x) the distribution function of the standard normal distribution;

G (z) the inverse distribution function of standard normal distribution;

3.

subsequently, the weighted exposure amount shall be determined as follows:

(2) The weighted exposure amount for claims to small and medium-sized enterprises in accordance with § 22b para. 2 Z 4 BWG, which meets the requirements in accordance with § § 97 and 118, can be calculated in accordance with § 74 paragraph 1 Z 5.

(3) For claims pursuant to Section 22b (2) (4) of the Federal Elections Act (BWG), which are secured by real estate, a value of R = 0.15 shall be used for the correlation.

(4) For exposures in accordance with § 22b para. 2 Z 4 BWG, a value of R = 0.04 shall be used for the correlation if:

1.

the claims consist solely of natural persons;

2.

the loans are revolving, unsecured and as long as they are not used at any time and necessarily can be cancelled by the credit institution;

3.

the maximum permissible requirement for an individual in the sub-portfolio amounts to a maximum of EUR 100,000;

4.

the treatment referred to in this paragraph is applied only to portfolios which have a low volatility volatility compared to the average loss rate, especially in the low PD areas, and

5.

the treatment corresponds to the underlying risk characteristics of the sub-portfolio.

In the case of a collateralised credit limit in connection with a salary account, the request for the unsecured condition in accordance with Z 2 does not have to be fulfilled. In this case, the recovery proceeds from this security shall not be taken into account in the LGD estimate.

(5) For purchased retail receivables, the weighted exposure amount shall be calculated in accordance with paragraph 1 if:

1.

the minimum requirements laid down in § 58 are met;

2.

the claims have been bought by a third party, which does not have any social links, and the credit institution's claim to the debtor does not include any claims on the basis of which the claim is made by the credit institution. Credit institution directly or indirectly involved;

3.

the receivables have arisen within the framework of a transaction between receivables seller and debtor, which is closed at market conditions, whereby internal bank accounts receivable and claims for settlement accounts between firms which have been closed in mutual purchasing and sales relations, must not be considered;

4.

the buying-in credit institution has a right to all income from the purchased receivments or a pro rata claim on these returns; and

5.

the portfolio of bought-in retail claims is sufficiently diversified.

(6) In the case of purchased retail claims, credit institutions may repay purchase price reductions, collateral or partial collateral by personal collateral, which may be a first-loss hedge against default losses, dilution losses or offer both, as first-loss positions according to § § 156 to 179.

(7) In the case of mixed pools of purchased retail exposures, credit institutions shall use the correlation values referred to in paragraphs 1 to 4 for the correlation to those for the weighting from which the highest weight results when the buying-in Credit institution secured by immovable property secured receivedreceivedand qualified revolving retail claims in accordance with paragraph 4 cannot separate from other retail claims.

(8) Credit institutions have the FMA and the Oesterreichische Nationalbank annually until 31 December at the latest the loss rates of the qualifying revolving retail claims in accordance with Section 4, the mortgage-secured retail claims in accordance with (2) and all other retail claims in writing.

Failed demands

§ 76. For unusual claims pursuant to Section 22b (5) (2) of the Federal Elections Act (BWG)

1.

Where the credit institution uses the LGD value in accordance with § 69, the weighted exposure amount shall be equal to zero and

2.

The credit institution itself uses estimated LGD values,

Where EL BE the credit institution ' s estimate of the expected losses arising from the claim in accordance with § 81.

Equity Items

§ 77. (1) Credit institutions may calculate the weighted exposure amounts for shareholdings in accordance with Section 22b (2) Z 5 of the BWG in accordance with the simple weight approach as set out in paragraph 3, the PD/LGD approach in accordance with paragraph 4, or using an internal model in accordance with paragraph 5. Credit institutions can use different approaches to equity positions on different portfolios, when different approaches are applied internally and the relevant decisions are consistent, comprehensible and not are motivated to achieve a lower minimum own-resource requirement. Credit institutions may take into account personal collateral in accordance with the provisions on credit risk mitigation.

(2) Credit institutions may determine the weighted exposure amount for equity exposures to companies that are providers of ancillary services in accordance with § 78.

(3) Credit institutions shall take the following steps in the use of the simple weighting approach:

1.

For private equity positions in sufficiently diversified portfolios, a weight of 190 vH shall be applied;

2.

for exchange-traded equity positions, a weight of 290 vH shall be applied;

3.

a weight of 370 vH shall be applied to all other equity expots;

4.

the weighted exposure amount shall be as follows:

5.

Credit institutions may offset short positions and derivatives that are not held in the trading book with long positions in the same share if these instruments are explicitly used as hedge positions for certain holdings and provide protection for at least one additional year; other short positions shall be treated as long positions, with the corresponding weight being applied to the absolute value of each position; in the case of maturity incongruities, the same shall be the same as Method to be used as for claims to companies pursuant to § 22b para. 2 Z 3 BWG.

(4) Credit institutions have to calculate the weighted exposure amounts in accordance with Section 74 (1) when using the PD/LGD approach. If the credit institution does not have sufficient information to apply the default definition in accordance with Section 22b (5) Z 2 BWG, a scaling factor of 1.5 shall be applied to the weights. At the level of each claim, the expected loss amount and the weighted exposure amount in the form shall be limited in the form that the sum of the expected loss amount multiplied by 12.5 and the weighted exposure amount shall be limited to the expected loss amount. does not exceed the 12 ,5-fold exposure value.

(5) If a value-at-risk model is used to calculate the weighted exposure amounts for equity exposures, the weighted exposure amounts shall be in accordance with the potential loss from the credit institution's equity exposures. The potential loss is based on the difference between quarterly earnings rates and a reasonable risk-free interest rate at a one-sided confidence level of 99 vH on the basis of a long-term series of time series for the Risk factors, multiplied by 12.5, to be determined. The weighted exposure amounts at the level of the individual exposures may not be less than the sum of the minimum weighted exposure amounts prescribed in accordance with the PD/LGD approach as set out in paragraph 4 and the corresponding expected Loss amounts, multiplied by 12.5 and calculated on the basis of the PD and LGD values referred to in § § 68 to 72.

Other assets

§ 78. (1) For other assets pursuant to Section 22b (2) (7) of the Federal Elections Act (BWG), the weighted exposure amount shall be equal to the exposure value.

(2) In the case of the residual value of a leasing object, the weighted exposure amount shall be calculated as follows, taking into account the requirement for each year:

where t is equal to the number of years of lease rest period.

Claims in the form of investment fund shares

§ 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 , and to take them into account individually, if:

1.

the credit institution shall be aware of all 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.

(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)

the exposures are assigned to the corresponding exposure class and receive the weight of a level above the level of credit that would normally be assigned to them; and

b)

Exposures which are assigned to the worst credit ratings and would thus be given a weight of 150 vH, are given a weight of 200 vH.

(3) If the requirements laid down in Article 24 (2) are not fulfilled or if the credit institution is not aware of all the claims on which the investment fund part is based, credit institutions shall have the right to all the claims contained in the investment fund part to apply a 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 § 77 (3). By way of derogation, credit institutions may use calculations of the average weighted exposure amounts of claims on the part of third parties underlying the investment fund part 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 apply.

Dilution risk

§ 80. Credit institutions have to calculate the weighted exposure amount for the dilution risk of purchased receivables to companies according to § 22b para. 2 Z 3 BWG and purchased retail claims in accordance with § 22b para. 2 Z 4 BWG according to § 77 para. 1. The exposure value is to be determined in accordance with § § 65 to 67 and the risk parameters PD and LGD are to be determined in accordance with § § 68 to 72. The effective remaining time M shall be set equal to one year. If the dilution risk of a claim is insignificant, it does not need to be taken into account.

Expected loss amounts

§ 81. (1) Credit institutions shall determine the exposure value in accordance with § § 65 to 67 and the risk parameters PD and LGD in accordance with § § 68 to 72 in order to calculate the expected loss amounts.

(2) The expected loss amount for exposures in accordance with § 22b para. 2 Z 1 to 4 BWG shall be calculated as follows:

1.

EL = PD × LGD, and

2.

Expected loss amount = EL × exposure value;

3.

where own estimates of LGD are used, the expected loss of the expected loss of expected losses in respect of such claims shall be the same as the expected loss of claims;

4.

in the case of exposures for which the weighted exposure amount is calculated in accordance with Article 74 (1) Z 5, an expected loss amount shall be zero; and

5.

in the case of failed claims in accordance with Section 22b (5) (2) of the Federal Elections Act (BWG), the expected loss amount corresponds to the credit institution's best estimate for the expected loss from the failed demand.

(3) The expected loss for claims arising from special financing for which the credit institution determines the weighted exposure amount in accordance with section 74 (3) shall be determined in accordance with the following table.

Residual runtime

Category 1

Category 2

Category 3

Category 4

Outstanding claims in accordance with § 22b (5) (2) of the BWG

Less than 2.5 years

0 vH

0.4 vH

2.8 vH

8 vH

50 vH

2.5 years or more

0 vH

0.8 vH

2.8 vH

8 vH

50 vH

(4) Credit institutions which calculate the weighted exposure amount according to the simple weighting approach in accordance with Section 77 (3) shall calculate the expected loss amount for the sharedholding position as follows:

1.

Expected loss amount = EL × exposure value;

2.

the expected loss for private equity positions in sufficiently diversified portfolios and for exchange-traded equity positions is 0.8 vH, and

3.

the expected loss for all remaining equity positions is 2.4 vH.

Credit institutions which calculate the weighted exposure amounts in accordance with the PD/LGD approach in accordance with Section 77 (4) shall calculate the expected loss amount for the equity position in accordance with Section 2 (2) (2) (1) and (2).

(6) Credit institutions which calculate the weighted exposure amount according to an internal model in accordance with Section 77 (5) shall have the expected loss amount of the equity position to be zero.

(7) Credit institutions shall have to calculate the expected loss amount for the dilution risk of purchased exposures in accordance with paragraph 2 (1) and (2) (2).

(8) Credit institutions shall apply Article 79 in the case of exposures in the form of investment fund shares for the calculation of the expected loss amount.

Treatment of expected loss amounts

§ 82. The sum of the expected loss amounts calculated in accordance with Article 81 (2), (3), (7) and (8) shall be deducted from the sum of the value adjustments and provisions made for the corresponding claims. Surcharges at the time of the purchase are to be treated as value adjustments in accordance with § 68 (1). Expected loss amounts for securitised receivables, as well as value adjustments and provisions relating to these claims, shall not be included in this calculation.

3. Main piece

Credit risk mitigation

Section 1

Collaterals

§ 83. Credit institutions may use the surveyings recognised in this section for the purposes of credit risk mitigation in accordance with § 22g to 22h BWG, subject to the minimum requirements laid down in § 22g (4) and (5) BWG.

1. Subsection

Collateral security and netting

Netting of balance sheet items

§ 84. Credit institutions may use the balance sheet netting of mutual claims of the credit institution and the counterparty exclusively in the case of mutual cash balances for the purpose of credit risk reduction. Only in the case of loans and deposits of the lending credit institution, the weighted exposure amounts and the expected loss amounts may be changed on the basis of an agreement on netting of balance sheet positions.

Netting framework agreements relating to repurchase transactions, securities and borrowing transactions and other capital market transactions

§ 85. Credit institutions applying the comprehensive method of taking into account financial collateral may be subject to the effects of bilateral netting framework agreements, repurchase transactions, securities and commodities lending and securities transactions, and securities and commodities lending and securities lending, securities and commodities lending and securities lending, securities and commodities lending and securities lending, Goods lending transactions and other capital market transactions involving a contractual partner shall be taken into account when, without prejudice to Sections 214 and 216, the collateral and securities borrowed under such agreements or securities or securities or securities issued under such agreements shall be considered to be Were the conditions required in accordance with § § 87 to 89.

Method-dependent recognition capability of collateral security

§ 86. Where credit risk reduction is based on the right of the credit institution to recovery or retention of assets, the admissibility of the use of assets shall depend on the credit risk reduction

1.

whether the weighted exposure amounts and the expected loss amounts are calculated in accordance with the credit risk standard rate or the application based on internal credit ratings;

2.

whether the simple or comprehensive method is applied in terms of taking financial guarantees into account; and

3.

in the case of pension and securities transactions, in addition to whether the transaction is recorded in the trading book or not.

Financial collateral

§ 87. (1) Credit institutions may use the following financial collateral in all approaches and methods as collateral for the purpose of credit risk reduction:

1.

Cash deposits with the lending credit institution or cash-related instruments held by that credit institution;

2.

debt securities issued by central governments or central banks which have received a credit rating issued by a recognised credit rating or export insurance agency under the credit risk standard rate of at least 4 credit risk shall be equated;

3.

debt securities issued by institutions which have received a credit rating equivalent to a credit risk level of at least 3 under the credit risk standard rate of a credit rating agency recognised by a recognised credit rating agency;

4.

debt securities issued by other issuers who have received a credit rating equivalent to a credit rating of at least 3 under the credit risk standard rate, by a recognised credit rating agency;

5.

bonds issued by a recognised credit rating agency with a short-term credit rating shall be equated within the credit risk standard set of short-term exposures with a credit level of at least 3;

6.

shares or convertible bonds, which are listed on an index of a regulated market recognized in accordance with § 20b of the InvFG and meet the requirements of Section 209 (2) (2) (2) and (2).

7.

Gold.

(2) As debt securities issued by central governments or central banks pursuant to Section 1 (2), the following shall also apply:

1.

Debt securities issued by regional authorities whose debt securities are treated as exposures to the central government in the context of the credit risk standard rate;

2.

Debt securities issued by public bodies under the credit risk standard rate, such as exposures to central governments;

3.

Debt securities issued by multilateral development banks, to which a weight of 0 vH is to be attributed under the credit risk standard rate, and

4.

Debt securities issued by international organisations to which a weight of 0 vH is to be attributed within the credit risk standard rate.

(3) As debt securities issued by institutions pursuant to paragraph 1 Z 3, the following shall also apply:

1.

Debt securities issued by regional authorities, which are not treated as exposures to the central government under the standard credit risk standard rate;

2.

Debt securities issued by public authorities whose debt securities are treated as exposures to institutions under the credit risk standard rate, and

3.

Debt securities issued by multilateral development banks, which are not assigned a weight of 0 vH under the credit risk standard rate.

Debt securities issued by non-rated institutions

§ 88. Credit institutions may use debt securities issued by institutions for which there is no credit rating of a recognised credit rating agency, as collateral for the purpose of credit risk reduction, if:

1.

they are listed on a recognised stock exchange;

2.

they are to be used as a priority;

3.

all the same-ranking and redressed titles of the Institute have received a rating from a recognised rating agency which is assigned at least to the credit rating level 3 within the credit risk standard rate;

4.

the creditor credit institution does not have any evidence that a lower credit rating than that referred to in Z 3 would be justified for the debentrate and

5.

the liquidity of the debentance is proven to be sufficient for the purposes of credit risk mitigation.

(2) If two credit ratings of recognised credit rating agencies are available for a security, the credit institution shall use the worse of both with respect to paragraph 1 (1) (2) to (5). Where there are more than two ratings of recognised credit rating agencies in respect of a security, the two ratings shall be used which lead to the lowest weights. If the two lowest weights are different, the higher of the two weights shall apply.

Investment Fund Parts

§ 89. (1) Credit institutions may use investment fund shares in all approaches and methods as collateral for the purpose of credit risk mitigation, if:

1.

their rate is determined on a daily basis and

2.

the investment fund may only invest in titles which are recognised in accordance with § § 87 and 88.

(2) Where the investments permitted in an investment fund are hedging through derivatives or where such protection is possible, the possibility of using the investment fund part for the purposes of credit risk mitigation shall not be the case. against.

Additional financial collateral in the use of the comprehensive method

§ 90. (1) Credit institutions which use the comprehensive method of taking financial guarantees into account may, in addition to the collateral referred to in Articles 87 to 89, the following financial collateral as collateral for the purpose of: Use credit risk mitigation:

1.

shares or convertible bonds which are not included in a main index but are traded on a recognised stock exchange;

2.

Investment fund shares if:

a)

their rate is determined on a daily basis and

b)

the investment fund may only invest in titles according to Z 1 and titles which may be used in accordance with § § 87 and 88.

(2) Where the investments allowed in an investment fund are hedging through derivatives or where such protection is possible, this shall be the possibility of using the investment fund part for the purposes of credit risk mitigation in accordance with Paragraph 1 Z 2 shall not be accepted.

Additional recognition capability for the calculations based on the internal ratings-based approach

§ 91. Credit institutions which calculate the weighted exposure amounts and the expected loss amounts with an approach based on internal credit ratings may also take into account the collateralisation according to § § 92 to 94.

Property collateral

§ 92. (1) Credit institutions may use, for the purpose of credit risk mitigation, residential property used or leased by the owner itself, as well as commercial real estate as collateral, if:

1.

the value of the property is not materially dependent on the creditworthiness of the debtor; this requirement does not include situations in which only macroeconomic factors include both the value of the property and the ability of the borrower to influence and

2.

the risk of the borrower does not depend essentially on the profitability of the property or the project, but on the debtor's ability to repay its debt from other sources; as such, the repayment is not essential from the cash Depending on the flow generated from the underlying property.

(2) The requirement of paragraph 1 (1) (2) shall not apply to residential real estate situated in the country. For residential property situated in the territory of other Member States, the requirement laid down in paragraph 1 (1) (2) shall not apply if the competent authority of the Member State concerned is to comply with this requirement.

(3) The requirement of paragraph 1 Z 2 does not apply to commercial real estate situated in Germany. For commercial real estate situated in the territory of other Member States, the requirement laid down in paragraph 1 (1) (2) shall not apply where the competent authority of the Member State is to comply with the requirements of this requirement.

(4) In the case of residential real estate and commercial real estate situated in a third country, Section 1 (2) shall not apply if the legal order of the relevant third country provides for the corresponding implementation of Directive 2006 /48/EC and if the legal order of the relevant third country provides for the application of the law. Compliance with this requirement will be waited.

Requirements

§ 93. Credit institutions may use claims arising from business-related transactions or from transactions with an initial maturity of not more than one year for the purpose of credit risk reduction, with those exposures with securitisations, Sub-participations or credit derivatives, or amounts owed by affiliated companies, shall be disregarded.

Other collateral

§ 94. (1) Credit institutions may use as other collateral for the purpose of credit risk reduction:

1.

motor vehicles;

2.

ships;

3.

aircraft;

4.

railway trains;

5.

raw materials;

6.

Machinery and

7.

Container.

(2) The items referred to in paragraph 1 may only be used as a collateralization for the purpose of credit risk reduction if:

1.

exist for the rapid and economic exploitation of the security of liquid markets;

2.

generally accepted market prices for security exist and these are publicly available;

3.

the credit institution can demonstrate that there is no evidence that the net price obtained in the recovery of the security will differ materially from the market prices referred to in Z 2; and

4.

the fulfilment of these requirements is adequately documented and justified.

Other types of collaterals

§ 95. Credit institutions may use as collateral for the purpose of credit risk reduction:

1.

cash deposits pledged or dismissed by the credit institution to a third institution or to cash-like instruments which are held by that institution if they are not kept within the framework of a deposit contract;

2.

Life insurance pledged and dismissed to the lending credit institution; and

3.

securities issued by third parties who have to buy them back on request.

2. Subsection

Personal collateral

Backup

§ 96. (1) Credit institutions may use, independently of the approach chosen, personal collateral of the following providers for the purpose of credit risk reduction:

1.

central governments and central banks;

2.

regional authorities;

3.

multilateral development banks;

4.

international organisations, where a weight of 0 vH is attributed to the exposures against them under the standard credit risk standard rate;

5.

public authorities where the exposures addressed to them are treated as exposures to institutions or central governments in the context of the standard credit risk standard rate;

6.

Institutions and

7.

other undertakings, including parent companies and subsidiaries, and related undertakings of the credit institution which:

a)

have received a credit rating from a recognised credit rating agency which is assigned, under the credit risk standard rate, at least to the credit rating level 2; or

b)

in the case of credit institutions which determine the weighted exposure amounts and expected loss amounts with an approach based on an internal credit rating, do not have a credit rating of a recognised credit rating agency and, according to the internal credit rating, , with a default probability corresponding to the default probability associated with the credit rating of a recognised credit rating agency that is at least the credit rating level 2 under the credit risk standard rate is assigned.

Credit institutions that determine the weighted exposure amounts and expected loss amounts using an internal credit rating approach may only be able to secure a security provider's personal collateral for the purpose of credit risk reduction. if an internal rating has been established for the collateral provider, subject to compliance with the minimum requirements according to § § 37 to 64.

Credit institutions may use personal securities of financial institutions in accordance with Art. 4 Z 5 of Directive 2006 /48/EC for the purpose of credit risk reduction when those financial institutions

1.

have been approved and supervised by the competent authorities responsible for the authorisation and supervision of credit institutions; and

2.

are subject to equivalent prudential requirements, such as credit institutions.

Double Default

§ 97. (1) Credit institutions may use personal collateral for the purposes of section 74 (1) (5) of the following security providers:

1.

institutions;

2.

Insurance and reinsurance undertakings in accordance with § 2 of the Insurance Supervision Act-VAG-BGBl. No 569/1978, as last amended by BGBl. I No 104/2006 and

3.

Export credit agencies.

(2) Credit institutions may use personal collateral for the purposes of Section 74 (1) Z 5 only if the collateral provider

1.

has sufficient expertise in the award of personal collateral;

2.

is subject to supervision of credit institutions at least equivalent to supervision or, at the time of personal security, has a credit rating of a recognised credit rating agency which is subject to the supervision of the credit risk standard rate at least equivalent to credit level 3;

3.

at the time of personal security, a credit rating with a PD corresponding to at least credit level 2 within the credit risk standard rate, and

4.

at any time with a credit rating with a PD corresponding to at least the credit rating level 3 within the credit risk standard rate.

(3) In the event of a personal security of an export credit agency, the security shall not be secured by express liability by the central government.

Credit derivatives

§ 98. (1) Credit institutions may use the following types of credit derivatives as well as instruments which are composed of such credit derivatives or have the same economic effect for the purpose of credit risk reduction:

1.

credit default swaps;

2.

Total Return Swaps and

3.

Credit Linked Notes, as far as these are subject to cash.

(2) Credit institutions may use the value of a credit protection by means of a total return swap in the case of a net payment from the swap as a net income only for the purpose of the credit risk reduction if the credit risk reduction is the opposite value loss of the secured demand is shown.

Internal backup operations

§ 99. Credit institutions may use internal hedging transactions in accordance with § 195 for the purposes of credit risk reduction if the credit risk transferred to the trading book is transferred to one or more third parties. Where the transfer complies with the conditions laid down in this Regulation, the provisions applicable to personal collateral shall be applied in order to determine the weighted exposure amount and the expected loss amount.

Section 2

Minimum requirements

1. Subsection

Minimum requirements for netting and netting framework agreements

Netting

§ 100. Credit institutions may agree to netting balance sheet items for the purpose of credit risk reduction, with the exception of netting framework agreements for repurchase transactions, securities and commodities lending or borrowing transactions and other Capital market transactions, if the following requirements are met:

1.

They must also be legally enforceable and legally enforceable in all relevant legal systems in the event of insolvency of the counterparty;

2.

the credit institution shall be in a position to determine the assets and liabilities covered by the netting framework agreement at any time;

3.

the credit institution shall monitor and control the risks associated with the termination of the collateralisation; and

4.

the credit institution shall monitor and control the exposures in question on a net basis.

Netting Framework Agreements

§ 101. Credit institutions may use, for the purpose of credit risk reduction, netting framework agreements relating to repurchase transactions, securities and commodities lending transactions, securities lending and goods lending transactions and other capital market transactions, if: the following requirements are met:

1.

They must also be legally enforceable and legally enforceable in all relevant legal systems in the event of insolvency of the counterparty;

2.

the non-failing party has the right, in the event of a failure, including the insolvency of the counterparty, to terminate or to offset without delay all transactions covered by the agreement;

3.

a netting of the profits and losses from the transactions calculated under the framework agreement is possible, so that one party owes a single sum to the other and

4.

the minimum requirements laid down in § 102 are fulfilled.

2. Subsection

Minimum requirements for other collateral security

Financial collateral

§ 102. (1) Credit institutions may use financial collateral and gold for the purpose of credit risk reduction, if the following requirements are met:

1.

There shall be no substantial positive correlation between the creditworthiness of the debtor and the value of the collateralisation; securities issued by the debtor or by a related undertaking shall not be used for the purpose of credit risk reduction; does not apply to covered debt securities issued by the debtor himself in accordance with § § 18 and 19, if these are recognised as collateral for repurchase transactions;

2.

the credit institution has to comply with all contractual and legal requirements for enforceability of the security law in the applicable legal system and shall take all necessary steps to this end;

3.

the credit institution shall be satisfied by adequate legal checks on the enforceability of the collateral agreement in all relevant jurisdictions and, if necessary, to repeat this examination in order to provide a continuous ensure enforceability;

4.

the collateral arrangements must be adequately documented and provide for binding agreements for the immediate recovery of the collateral;

5.

the credit institution has to rely on sound procedures and processes to manage the risks arising from the use of collateral; and

6.

the credit institution shall have documented rules and procedures to identify the types of collateral to which they are to be accepted.

(2) Credit institutions shall identify the market value of the collateralisation and re-evaluate them on a regular basis. This revaluation shall take place at least once every six months and whenever the credit institution has reason to believe that the market value has fallen significantly.

(3) If the security referred to in paragraph 1 is held by a third party, a separate custody of the collateralization must be contractually agreed.

(4) In addition to paragraphs 1 to 3, for recognition of financial collateral within the framework of the simple method, the remaining maturity of the collateralisation shall be at least equal to the remaining maturity of the claim.

Property collateral

§ 103. (1) Credit institutions may use real estate collateral for the purpose of credit risk reduction, if the following requirements are met:

1.

The security law must be legally enforceable in all relevant legal systems at the time of the conclusion of the conclusion of the credit agreement and must be registered in good time and in good time;

2.

the security law laid down in the agreements must be legally effective and comply with all the legal requirements for the establishment of the security law;

3.

the collateral arrangement and the legal procedure underlying it must enable the credit institution to exploit the security within a reasonable period of time;

4.

the value of the commercial property must be reviewed at least once a year, that of the residential property at least every three years; if the markets are subject to severe fluctuations, the review must take place more frequently;

5.

the credit institution shall document the types of residential and commercial property which are accepted as collaterals, together with the relevant principles for lending, and

6.

the credit institution must have procedures in place to monitor whether the property accepted as collateral is adequately insured against damage.

(2) Credit institutions may use statistical methods to verify the value of a property in accordance with paragraph 1 (4) and to determine the need for a re-evaluation. If there is evidence that the property may have lost much of its value in relation to the general market prices, the review of the property valuation shall be carried out by an independent expert. An independent expert shall have the qualifications, skills and experience required to carry out such an assessment, and shall be independent of the credit award decision. In the case of credit exceeding three million euros or 5 vH of the credit institution's own funds, credit institutions shall have the property valuation verified by an independent expert at least every three years.

Valuation of real estate security

§ 104. (1) The property shall be evaluated by an independent expert at the most at the market value. In Member States whose laws, regulations and administrative provisions lay down stricter requirements for the assessment of the value of the property, the property may, instead, be valued at most by an independent expert at the value of the investment.

(2) The value of the security shall be the market or insult value, which may be due to the results of the review provided for in section 103 (1) (4) and any priority claims. The market or supply value is to be documented in a comprehensible way. The market value shall be the estimated amount to which the property on the day of valuation shall be subject to appropriate marketing under normal market conditions, by the parties in the knowledge of the facts, prudently and without compulsive business of the Possession of a willing seller is likely to pass into the possession of a buyer willing to buy. The value of the asset is the value of the property, which shall be subject to a prudent assessment of its future marketability, taking into account its durable characteristics, normal and local market conditions, current use, and appropriate alternative uses. Speculative elements are disregarded in determining the value of the insult.

Requirements

§ 105. (1) Credit institutions may use exposures for the purpose of credit risk reduction if the following requirements are met:

1.

The legal agreement on the provision of security is absolutely necessary and has the creditor's claim to the proceeds to be guaranteed;

2.

the credit institution shall take all the necessary steps to meet the usual requirements for enforceability of the security rights;

3.

there are framework conditions which give the credit institution a first-tier security claim, with statutory preferential rights being disregarded in the assessment of the independence of the credit institution;

4.

the credit institution has to be convinced of the enforceability of the collateral arrangement in all relevant legal systems;

5.

the collateral arrangement is adequately documented and allows for a clear and sound procedure for the immediate recovery of security;

6.

the credit institution's processes must ensure that all the necessary legal conditions are satisfied to establish the borrower's insolvency and to ensure the immediate recovery of the security;

7.

the credit institution shall have the right to sell, transfer or otherwise exploit the claims without the consent of the borrower in the event of a payment difficulties or default of the borrower;

8.

the credit institution shall have a reliable method of determining the credit risk of the exposures; in doing so, the undertaking, the sector and the types of the debtor's clients must be analysed; credit institution in determining the credit risk of the customer to the debtor's information, its lending practice shall be reviewed for its solidity and credibility;

9.

the extent of the coverage of the basis of assessment (C* *) to be used for the calculation of the weighted exposure amounts in accordance with § 140 on the value of the pledged receivables has to take account of all major factors, including: the cost of the debt, the concentration within each pledge pool pledged and the possible concentration risks in the credit institution's total credit balance, which are not covered by the general risk management of the credit institution;

10.

the credit institution has to continuously monitor the claims and regularly check whether credit requirements and other legal requirements have been met;

11.

the claims pledged or assigned by a debtor have been sufficiently diversified and not excessively correlated with the debtor; there is a high correlation between the claims and the risks associated with the determination of to take into account security charges for the exposure amount of the forum pool as a whole; and

12.

the credit institution must have a documented procedure for the collection of receivables in the event of payment difficulties; the institutions required to do so shall be available, even if the debtor is normally responsible for the debt collection; is.

(2) Claims of third parties connected with the debtor, in particular those of subsidiaries and employees, shall not be recognized as a risk reducing.

Value of claims

§ 106. For the purposes of the calculation of the weighted exposure amounts and the expected loss amounts, the exposure value shall be the amount of the exposure.

Other collateral

§ 107. Credit institutions may use other types of collateral for the purpose of credit risk reduction if the following requirements are met:

1.

The safeguards agreement must be legally enforceable and legally enforceable in all relevant jurisdictions and enable the credit institution to exploit the security within a reasonable period of time;

2.

the security law must be first-class, with the assessment of the strangleness of the right to be taken into account by the statutory right of preference;

3.

the value of the security shall be monitored at least once a year; if the markets are subject to severe fluctuations, the review shall take place more frequently;

4.

the credit agreement or related collateral agreements shall contain a detailed description of the collateral and comprehensive information on the nature and frequency of the re-evaluation;

5.

the types of collateral accepted by the credit institution and the principles and practices which it applies in determining the level of security appropriate for the amount of the credit have clearly been taken from the internal credit transfer rules and procedures;

6.

the lending principles must, in relation to the transaction structure, contain, in proportion to the amount of the credit, adequate requirements for the collateral which:

a)

the possibility of a rapid recovery of security;

b)

the ability to objectively establish a price or market value;

c)

the probability at which this price can be easily achieved and

d)

the volatility or a representative variable relating to the volatility of the collateral value;

7.

the initial and re-evaluation must take full account of any impairment or obsolescence of the collateral, taking into account the factor of time in particular in the case of fashion or time-dependent collateral;

8.

the credit institution must have the right to examine the item of security material; the credit institution must have procedures for the exercise of its right to material consideration; and

9.

the credit institution shall have procedures to monitor whether the subject-matter accepted as collateral is adequately insured against damage.

Value of other property collateral

§ 108. Credit institutions shall assess the security item at market value. The market value shall be the estimated amount to which the security on the day of valuation shall be the property of a buyer willing to buy under a transaction which is normal at market terms and which is the property of a seller willing to sell the goods is going over.

Other types of collaterals

§ 109. (1) Credit institutions may use cash deposits with a third institution for the purpose of credit risk reduction and cash-related instruments held by it if the following requirements are met:

1.

The borrower's claim to the third party institution has been pledged or ceded to the lending credit institution, and the pledge is legally enforceable in all relevant legal systems;

2.

the third institute has been informed of the pledge or assignment;

3.

the third institution may, on the basis of this communication, make payments exclusively to the lending credit institution or payments to other parties only with the consent of the lending credit institution; and

4.

The pledge or assignment is unlimited and irrevocable.

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.

The life insurance undertaking concerned shall be a collateral provider in accordance with § 96;

2.

life insurance has been pledged or resigned to the lending credit institution;

3.

the life insurance undertaking concerned has been informed of the pledge or assignment and may, on the basis of the pledge or assignment thereof, pay out amounts due only with the consent of the lending credit institution;

4.

the repurchase value of the insurance is not reducible;

5.

the lending credit institution shall have the right to terminate the insurance contract and to disburse the repurchase value without delay in the event of a default of the borrower;

6.

the lending credit institution shall be informed of any balance of payments of the policyholder;

7.

the duration of the collateralisation shall cover the entire duration of the credit; if the insurance relationship ends before the end of the credit relationship, the credit institution shall ensure that the amount flowing from the insurance contract until the end of the loan period shall be: the credit institution shall act as collateral at the end of the term of the credit agreement; and

8.

the right of security is legally enforceable and legally enforceable in all relevant legal systems at the time of the conclusion of the credit agreement.

Leasing

§ 110. Credit institutions may view exposures from leasing operations as viewed through the leasing object when

1.

the requirements according to § § 103 to 108 are satisfied according to the type of leasing object;

2.

the lessor with regard to the intended use of the leased asset, its age and its planned useful life, has sound risk management, including adequate monitoring of the value of security;

3.

exists a legal framework which ensures the ownership of the lessor on the leasing object and its ability to exercise ownership without delay; and

4.

unless already determined in the calculation of the LGD, the difference between the value of the untilted amount and the market value of the security does not exceed the credit risk-reducing effect of the leasing object.

3. Subsection

Minimum personal safety requirements

Requirements for all personal collateral

§ 111. Credit institutions may use personal collateral for the purpose of credit risk reduction if the following requirements are met:

1.

The collateralisation shall be direct;

2.

the scope of the survey is clearly defined;

3.

the collateralisation is legally enforceable and legally enforceable in all relevant legal systems at the time of the conclusion of the credit agreement; and

4.

the collateralisation contract does not contain a condition which is subject to the direct influence of the creditor, and the

a)

the guarantor would allow the unilateral termination of the credit insurance;

b)

in the event of a deterioration in the credit quality of the secured claim, the actual cost of the collateralisation would be increased;

c)

the guarantor, in the event that the original debtor does not comply with his payment obligations, could be protected from having to pay immediately, or

d)

could allow the collateral provider to shorten the duration of the collateralisation.

Operational requirements

§ 112. (1) Credit institutions shall have systems in place to control risk concentrations due to the use of personal securities.

(2) Credit institutions have the interaction of the strategy pursued in the use of personal collateral on the one hand and the management of the overall risk profile on the other hand to be shown in a comprehensible way.

Repatriation of States and other public bodies

§ 113. (1) If a claim is secured by a personal security, which shall in turn be backed up by a return guarantee

1.

a central government or a central bank;

2.

a regional authority or a public body whose debt is dealt with under the credit risk standard rate, such as exposures to the central government to which it is to be assigned;

3.

a multilateral development bank, which receives zero weight under the credit risk standard rate; or

4.

a public body whose debt securities are treated as exposures to credit institutions in the context of the credit risk standard rate

, this requirement may be dealt with under the conditions laid down in paragraph 2 above, as if it were secured by a personal security of one of the above-mentioned bodies.

(2) For the purposes of paragraph 1, the following requirements shall apply:

1.

the return guarantee shall cover all credit risks of the claim;

2.

Direct personal security and the return guarantee must comply with the requirements set out in § § 111, 112 and 114, with the exception that the return guarantee must not be immediate and

3.

the credit institution can prove the effectiveness of the collateralisation at any time, and there is no evidence that the return guarantee is less valuable than a direct liability of the body concerned.

(3) Credit institutions may treat claims for which a return guarantee is available to a body other than the one referred to in paragraph 1 above, in accordance with paragraph 1, if the return guarantee of the claim itself directly by one of the bodies referred to in paragraph 1 , and the requirements laid down in paragraph 2 have been met.

Additional requirements for personal collateral, which are not credit derivatives

§ 114. (1) Credit institutions may use personal securities which are not credit derivatives for the purpose of credit risk reduction if, in addition to § § 111 and 112, the following requirements are met:

1.

In accordance with the liability which triggers the liability or the default of payment of the counterparty, the lending credit institution shall have the right to use the guarantor immediately for all the payments which he/she has secured within the framework of the the requirement to stand out;

2.

the payment by the creditor shall not be subject to the condition that the lending credit institution must first demand the amount due from the debtor;

3.

the personal security is a commitment made in writing by the security provider; and

4.

Personal security shall include all types of payments made by the debtor within the framework of the claim; if certain types of payment are excluded from personal security, the recognised amount of collateralisation shall be accordingly This is the case.

(2) In the case of personal collateral for the purpose of covering mortgage loans for residential purposes, the requirements laid down in Section 1 (2) and (111) (4) (4) must be required. c is only fulfilled within a total period of 24 months.

Guarantee programmes to be used for the purpose of credit risk reduction

§ 115. In the case of personal collateral provided within the framework of guarantee schemes recognised for this purpose by a competent authority of a Member State or the bodies referred to in Article 113 (1), or for which a return guarantee shall be provided for: of these bodies, the requirements laid down in Article 114 (1) (1) (1) and (2) shall be met if:

1.

the lending credit institution has a claim against the collateral provider on an immediate provisional payment proportional to the cover by personal security, the amount of which shall be determined by a sound estimate of the economic losses incurred by the credit institution the lending credit institution is likely to be established, including the losses caused by the cessation of interest and other payments to which the borrower is obliged to pay, or

2.

protect personal security against losses, including losses caused by the cessation of interest and other payments to which the borrower is committed, and this is such a treatment justifies.

Additional requirements for credit derivatives

§ 116. Credit institutions may use a credit derivative for the purpose of credit risk reduction if, in addition to § § 111 and 112, the following requirements are met:

1.

In any case, the credit events agreed upon in the contract shall include:

a)

the failure to provide the payments due in accordance with the terms of the underlying asset at the time of the failure;

b)

the insolvency, insolvency or inability of the debtor to service his or her debts or his written declaration, generally no longer to be able to pay debts due, and similar events and

c)

the restructuring of the underlying debt, combined with a cancellation or payment of the loan sum, interest or fees resulting in a loss on the part of the creditor;

2.

in the case of credit derivatives which make it possible to compensate for cash, there must be a sound assessment procedure for reliable loss estimates, and for the assessment of the underlying asset after the credit event, a clearly defined period of time must be be given;

3.

if the performance of the contract requires the security holder's right and ability to transfer the underlying assets to the security provider, it shall be clear from the terms of the underlying asset that a if necessary, the necessary consent to such a transfer cannot be denied without reasonable grounds;

4.

it has to be clearly defined who decides whether a credit event has occurred, and that this decision must not be the sole responsibility of the guarantor; and

5.

the buyer of the collateralisation must have the right to inform the collateral provider of the occurrence of a credit event.

(2) The credit events agreed in the contract do not restructure the underlying assets within the meaning of paragraph 1 (1) (c). c, the collateralization may, subject to a reduction of the recognized value in accordance with § 146 for the purpose of the Credit risk mitigation is used.

Incongruence

§ 117. Incongruence between the underlying assets and the reference assets of the credit derivative, or between the underlying asset and the asset, to determine whether or not a credit event has occurred shall be permitted only if:

1.

the reference activity (the asset), which determines whether a credit event has occurred, is equal to or adjusted to the underlying asset, and

2.

the underlying assets and the reference assets (the assets), which determine whether a credit event has occurred, have the same legal person as pledges, and legally enforceable mutual loss or loss; or Pre-maturity clauses.

Double Default

§ 118. Credit institutions may use personal securities for the purposes of Section 74 (1) Z 5 if the following requirements are met:

1.

The underlying obligation is a request to:

a)

a company pursuant to Section 22b (2) (3) of the Federal Elections Act (BWG) with the exception of insurance and reinsurance undertakings in accordance with § 2 VAG;

b)

a regional government, a local authority or a public body which is not treated as a requirement for a central government under the approach based on an internal credit rating; or

c)

a retail request to a small or medium-sized company in accordance with § 22b para. 2 Z 4 BWG;

2.

the credited debtor does not belong to the same exposure class as the collateral provider;

3.

the claim is secured by one of the following instruments:

a)

Derivatives related to individual addresses without security or to individual addresses;

b)

Claim basket products where the first failure of the receivables contained in the basket triggers the payment, with section 74 (1) Z 5 applied to the claim in the receivables basket, which has the lowest weighted exposure amount;

c)

Claim basket products in which the nth outage of the claims contained in the basket triggers the payment, whereby this protection can only be taken into account for the purposes of section 74 (1) Z 5, if also one for the purposes of the (n-1) the values in the basket have already been excluded; in this case, § 74 (1) (5) applies to that receivable in the receivables basket, which is the lowest weighted exposure amount;

4.

Personal safety meets the requirements of § § 111, 112, 114, 116 and 117;

5.

the weight assigned to the claim before the application of Section 74 (1) Z 5 does not take into account any aspect of personal security;

6.

the credit institution shall be entitled to payment of the guarantor without having to initiate legal proceedings before the counterparty to pay the payment;

7.

the credit institution shall be satisfied with the willingness of the creditor to pay for it;

8.

the acquired personal security shall cover all losses incurred in the collateralised receivingdue to credit events determined in the contract;

9.

if a personal security is agreed in the form that the collateral provider undertakes to perform a loan, bond or contingent obligation, legal certainty must exist in respect of this service; intends to provide a credit institution with a different liability instead of the underlying requirement, it shall be made sure that this liability is sufficiently liquid so as to ensure that the credit institution may have the opportunity to: to acquire the liability for the purpose of contractual delivery;

10.

the safeguards agreement shall be concluded in writing;

11.

the credit institution shall have procedures to establish an excessive correlation risk between the creditworthiness of the collateral provider and the collateral borrower, which is based on the fact that their business result is based on common factors , which go beyond the systematic risk factor, and

12.

for the protection of the dilution risk of purchased receivables, the seller of the purchased receivable may not belong to the same exposure class as the collateral provider.

Section 3

Effect of credit risk reduction

1. Subsection

General

§ 119. If the conditions are met in accordance with § § 83 to 118, credit institutions may use the weighted exposure amounts according to the credit risk standard rate and the weighted exposure amounts and expected loss amounts in accordance with the on-board credit rating approach based on this section.

Cash, securities and commodities in the context of a repurchase, securities or commodities lending business

§ 120. Cash, securities or goods acquired, borrowed or received in the course of a repurchase, securities or commodities lending business or a securities or commodities lending business shall be treated as a collateralisation. The effect of the credit risk reduction shall be based on the provisions laid down for the appropriate collateralisation.

Credit Linked Notes

§ 121. Assets in Credit Linked Notes issued by the lending credit institution may be treated like cash collateral.

Netting of balance sheet items

§ 122. Loans and deposits with the lending credit institution, where a bilancial netting is permitted, may be treated as cash collateral.

2. Subsection

Netting Framework Agreements

Netting framework agreements relating to repurchase transactions, securities and commodities lending or other capital market transactions

§ 123. (1) Credit institutions may have the fully adjusted exposure value of a claim (E*), the netting framework agreement applicable for the purpose of credit risk mitigation, for repurchase transactions, securities and commodities lending or other borrowing operations or other Under the appropriate application of the comprehensive method for financial collateral, capital market transactions shall be calculated in accordance with § § § 131 to 139, insofar as nothing else is determined in § § 124 to 127. Alternatively, the credit institution may use an internal model in accordance with § 128 in the case of the transactions mentioned, in so far as it is not a derivative, and in the case of Lombard loans which fall under a bilateral netting framework agreement.

(2) For the purpose of calculating weighted exposure amounts with an approach based on internal credit ratings, the fully adjusted exposure value (E*) shall be the exposure value of the claim to the counterparty in accordance with § § 124 to 128, which shall be made up of the transactions under the netting framework agreement. If an internal model is used for the determination of the minimum resource requirement in accordance with § 128, the model results of the preceding trading day shall be used for this purpose.

Net position of goods and securities

§ 124. (1) The net position of securities or commodities is determined by the fact that the total value of the securities or goods sold, sold or delivered under the netting framework agreement is the same as the total value of the securities or goods provided under the terms of the The agreement shall be deducted from any securities or goods of this type which have been acquired, acquired or received. Securities of the same type are securities issued by the same issuer on the same day, having the same maturity, subject to the same terms and conditions, and for which the same period of recovery is shall apply in accordance with § § 132 to 138.

(2) The net position for each currency other than the clearing currency of the netting framework agreement shall be determined by the fact that the total value of the sold, sold or delivered under the netting framework agreement shall be determined by the total value of the netting framework agreement. securities denominating in the currency in question plus the amount in cash borrowed or transferred within the framework of the agreement in that currency, the total value of the acquired, acquired or received, and/or received, securities denominated in this currency, plus the amount in cash, The agreement in this currency has been borrowed or withdrawn.

Volatility adjustment

§ 125. The volatility adjustment appropriate for a particular type of securities or cash position shall be applied to the positive or negative net position for securities of this type.

Volatility adjustment for exchange rate risk

§ 126. Credit institutions shall apply the volatility adjustment for the exchange rate risk (fx) to the positive or negative net position in each currency other than the clearing currency of the netting framework agreement.

Custom request value

§ 127. Credit institutions shall calculate the adjusted exposure value E* as follows:

where:

E If the weighted exposure amounts are calculated in accordance with the credit risk standard rate, the exposure value of each individual requirement under the agreement, which would be used in the absence of the collateralisation, if the weighted exposure amounts to the credit risk exposure are calculated Exposure amounts and expected loss amounts shall be calculated in accordance with the provisions of the internal rate-based approach, the exposure value of each of the individual claims under the agreement, which shall be the case in the absence of the collateralisation. Application

C the value of the securities or goods borrowed, acquired or received in respect of each of those claims, or of the cash borrowed or received in respect of each of these claims;

Efx the positive or negative net position in a currency other than the settlement currency of the agreement, which is determined in accordance with Section 124 (2)

Hsec the volatility adjustment appropriate for a particular type of security

Hfx Exchange rate volatility adjustment

E* the fully adjusted exposure value.

Internal Model

§ 128. (1) credit institutions using an internal model in accordance with Section 22g (8) of the BWG for the calculation of the fully adjusted exposure value (E*) resulting from the application of an annutive netting framework agreement for pension transactions; In any case, the criteria laid down in paragraphs 2 to 7 shall be met by value paper or commodities lending or capital market transactions which are not derivatives. The internal models may also be used for Lombard loans if they are covered by a bilateral framework agreement which meets the requirements of § § 258 to 261.

(2) Credit institutions shall apply the internal model consistently to all counterparties and transferable securities, except for non-essential portfolios where volatility adjustments can be made in accordance with § § 123 to 127.

(4) The systems with which the risks of transactions falling under the netting framework agreement are controlled must be conceptually sound and be applied correctly. In any case, the model must meet the requirements of § 254 (4) and (5) and § 255, as well as the following qualitative requirements:

1.

The internal risk measurement model used to identify the potential price volatility is embedded in daily risk management and serves as the basis for reporting risks to the higher management of the credit institution;

2.

the credit institution has its own organisational unit for risk monitoring, which is independent of the trading departments and which reports directly to the senior management; this organisational unit is responsible for the design and implementation of the Risk management of the credit institution responsible, prepared and analysed daily reports on the results of the risk measurement model and on the measures to be taken with regard to position limitations;

3.

the day-to-day reports drawn up by this organisational unit shall be reviewed by a management level with sufficient powers to enforce the reduction of outdated positions and the overall risk;

4.

the credit institution employs in this organisational unit a sufficient number of qualified staff trained for the application of complex models;

5.

the credit institution shall have procedures to comply with the written internal principles for the risk measurement system and to ensure that the relevant controls are carried out;

6.

the models of the credit institution have in the past ensured a sufficiently precise risk measurement, which can be demonstrated by comparison of the results with the data of at least one year;

7.

the credit institution shall conduct periodic tests in the framework of a crisis test programme, the results of which shall be reviewed by senior management and shall be taken into account in the established principles and limits;

8.

the internal audit has to regularly check the risk measurement system, which includes the activities of the organisational unit according to Z 1 as well as the trading departments; and

9.

the internal audit will subject the risk management to an audit at least once a year.

(5) The models used must comply with the following quantitative requirements:

1.

The calculation shall be carried out at least once a day;

2.

there is a one-sided confidence level of 99 vH;

3.

the adoption of a five-day recovery period, except in the case of transactions other than securities and securities lending operations, for which a recovery period of 10 days is used;

4.

an effective historical observation period of at least one year, except in cases where a shorter observation period is justified by a significant increase in price volatility and

5.

the data shall be updated at least every three months.

(6) Credit institutions may use empirical correlations in their internal model within each risk category and across categories, if the system used to measure correlations is sound.

(7) When using an internal model, the fully adjusted exposure value (E*) shall be calculated according to the following formula, using the model results of the preceding trading day:

where:

E If the weighted exposure amounts are calculated in accordance with the credit risk standard rate, the exposure value of each individual requirement under the agreement, which would be used in the absence of the collateralisation, if the weighted exposure amounts to the credit risk exposure are calculated Exposure amounts and expected loss amounts shall be calculated in accordance with the provisions of the internal rate-based approach, the exposure value of each of the individual claims under the agreement, which shall be the case in the absence of the collateralisation. Application

C the current value of the securities borrowed, acquired or received in respect of each of these claims, or of cash borrowed or received in respect of each of these claims;

3. Subsection

Other collateral security

Financial collateral

§ 129. Credit institutions using the credit risk standard rate for the calculation of the weighted exposure amounts may choose either the simple method or the comprehensive method for taking financial collateral into account.

(2) Credit institutions using the internal credit rating approach have consistently applied the comprehensive methodology.

Simple method of taking financial collateral into account

§ 130. (1) In the case of the use of the simple method, the financial collateral which can be used for the purpose of credit risk reduction shall be set at the market value in accordance with section 102 (1) to (3).

(2) The weight that would be assigned under the credit risk standard rate in the event of the lender's immediate exposure to the collateral provider shall be that applicable by the market value of the credit risk reduction Collateralization of covered forum parts allocated. The weight of the secured part shall be at least 20 vH, to the extent that it is not specified in paragraphs 3 to 5 above. The remaining part of the claim shall be given the weight to be applied in accordance with the provisions of the credit risk standard rate for an unsecured claim to the counterparty.

(3) In the case of pension and securities lending operations, the secured part of the claim from transactions in accordance with § 138 shall receive a weight of 0 vH. If the counterparty is not an essential operator in accordance with section 138 (1) Z 7, a weight of 10 vH shall be applied.

(4) In the case of OTC instruments with a daily market valuation secured by cash or cash-like instruments and the exposure value of which is determined daily in accordance with § § 233 to 261, a weight for the secured part of the exposure shall be: of 0 vH if there is no currency incongruity. Are the transactions through debt securities

1.

of central or central banks;

2.

of local authorities which are treated in accordance with the credit risk standard rate such as exposures to the central government;

3.

multilateral development banks to which, according to the credit risk standard rate, a weight of 0 vH is to be attributed; or

4.

international organisations to which, according to the credit risk standard rate, a weight of 0 vH is to be attributed;

, a weight of 10 vH shall be set for the secured part of the claim.

(5) For other exposures, a weight of 0 vH may be assigned to the secured part of the claim, if the claim and the security are to be the same currency and the security

1.

consists of a cash deposit or a cash-like instrument, or

2.

consists of debt securities as referred to in paragraph 4 (1) to (4) to which, according to the credit risk standard rate, a weight of 0 vH is to be attributed and to whose market value a markdown of 20 vH is made.

Comprehensive method of taking financial collateral into account

Section 131. (1) Where a credit institution uses the comprehensive method to take account of financial collateral, the market value of the financial collateral shall be subject to volatility adjustment, with currency incongruities shall be duly taken into account.

(2) In the case of OTC instruments which fall under a netting framework agreement recognised for the purpose of credit risk reduction, an additional adjustment for exchange rate volatility shall be made if security is to a different currency than that of the Settlement currency. Where transactions under a recognised netting framework agreement are carried out in several different currencies, a single volatility adjustment shall be made for the exchange rate volatility of this transaction.

Volatility adjustment of the value of financial security

§ 132. Credit institutions shall, with the exception of transactions subject to netting framework agreements recognised for the purpose of credit risk reduction, have the volatility adjusted value of the security to be taken into account in accordance with the following formula: calculate:

1.

CVA = C × (1-HC-Hfx),

2.

the volatility adjusted value of the exposure to be taken into account shall be calculated according to the following formula:

E VA = E x (1 + H E ), in the case of OTC instruments: E VA = E,

3.

so that the fully adjusted exposure value, which takes account both of volatility and the risk-reducing effects of security, is calculated as follows:

E* = max { 0, [ E VA -C VAM ] },

where:

E the exposure value to be used in accordance with the credit risk standard rate or the internal credit rating approach would be unsecured; for that purpose, credit institutions which have the weighted exposure amounts in accordance with the Calculate the provisions of the credit risk standard rate for the exposure value of the off-balance sheet items listed in Appendix 1 to § 22 BWG instead of the percentage shares 100 vH of the value referred to in section 22a (2) of the BWG; as well credit institutions which have the weighted exposure amounts in accordance with the The calculation of the exposure value of the items listed in § 65 (9) to (11) shall, instead of the conversion factors or percentages referred to in these numbers, calculate a conversion factor of 100 VH.

E VA the volatility adjusted exposure value

CVA the volatility adjusted value of security

CVAM CVA plus further adaptations for any maturity incongruities in accordance with § § 151 to 153

DB The amount of volatility adjustment calculated according to § § 132 to 138 of the requirement (E)

HC The volatility adjustment calculated in accordance with § § 132 to 138 of the

Hfx The volatility adjustment calculated in accordance with § § 132 to 138 of the currency incongruence

E* the fully adjusted exposure value, which takes account of the volatility and the risk-reducing effect of security.

(2) Credit institutions may calculate volatility adjustments either based on the standardized volatility adjustment in accordance with § 134, or based on own estimates according to § 135. Where a credit institution uses the method based on its own estimates, it shall apply to all financial collateral, with the exception of non-essential portfolios. Where security is composed of several titles recognised for the purpose of the credit risk reduction, the total volatility adjustment shall be the weighted sum of the volatility adjustments for each individual title of the collateralisation. The total volatility is calculated as follows:

where:

A I the share of the title in the collateralisation

H I the volatility adjustment determined for the relevant title.

Scale-up of volatility adjustment

§ 133. If a re-evaluation is less than once a day, credit institutions have a correspondingly greater volatility adjustment by scaling up the volatility adjustment based on a daily revaluation according to § § 134 and 135 with the help of the to the following formula:

where:

H the pre-volatility adjustment

Standardized volatility adjustment

§ 134. (1) Credit institutions shall carry out the volatility adjustments referred to in the following tables, subject to a daily revaluation, the levels of creditworthiness resulting from allocation under the standard credit risk standard rate. In the case of collateralised lending, the period of recovery shall be 20 trading days, in the case of repurchase transactions, provided that they are not linked to the transfer of goods or guaranteed ownership of such goods, and to securities lending operations five Trading days and other capital market transactions 10 trading days.

Credit rating linked to the rating of a short-term debt-related debt

Volatility adjustment for debt securities of issuers mentioned in § 87 (1) Z 2 with a short-term rating

Volatility adjustment for debt securities of issuers listed in § 87 (1) (3) and (Z) 4 with a short-term rating

Verwer-tungszeit-raum 20 Tage (vH)

Verwer-tungszeit-raum 10 Tage (vH)

Verwer-tungszeit-raum 5 Tage (vH)

Verwer-tungszeit-raum 20 Tage (vH)

Verwer-tungszeit-raum 10 Tage (vH)

Verwer-tungszeit-raum 5 Tage (vH)

1

0.707

0.5

0.354

1,414

1

0.707

2-3

1,414

1

0.707

2,828

2

1,414

Other types of collateral and receivings

Recovery period 20 days (vH)

Recovery period 10 days (vH)

Recovery period

5 days (vH)

Main Index Shares, Main Index-convertible bonds

21,213

15

10,607

Other shares traded on a recognised stock exchange or convertible bonds

35,355

25

17,678

Cash

0

0

0

Gold

21,213

15

10,607

Volatility adjustments for currency incongruities

Recovery period 20 days (vH)

Recovery period 10 days (vH)

Recovery period 5 days (vH)

11,314

8

5,657

Credit institutions shall have the same volatility adjustment in the case of securities or commodities which are not usable for the purpose of credit risk reduction and which are sold or lent in the framework of a pension or securities lending or lending business. as in the case of shares which are not listed in a main index but are listed on a recognised stock exchange.

Credit institutions shall, for the purposes of credit risk reduction, have to carry out a volatility adjustment corresponding to the weighted average of volatility adjustments taking account of the volatility adjustment in accordance with paragraph 1 of this Article is to be applied to the assets in which the Fund has invested. Where the assets in which the Fund has invested are unknown to the credit institution, the volatility adjustment shall be equal to the maximum value which would apply to each title in which the Fund may invest.

(4) In the case of debt securities issued by institutions for which a credit rating is not available and which may be used for the purpose of credit risk reduction in accordance with Article 88 (1), the same volatility adjustment shall be carried out as in the case of securities of institutions; or Companies whose rating is equated with grades 2 or 3 of credit ratings.

Volatility adjustments based on own estimates

§ 135. (1) Credit institutions may use their own estimates in calculating volatility adjustments if the credit institution meets the quantitative criteria in accordance with § 136 and the qualitative criteria according to § 137.

(2) The volatility adjustments for each of the debt securities deemed to be worse than investment grade by a recognised credit rating agency and for other financial collateral which may be used for the purpose of credit risk reduction shall be: Identify individual titles.

(3) In the case of debt securities which are classified as investment grade or better by a recognised credit rating agency, the credit institution may carry out volatility estimates for each securities category. The credit institution shall, in the case of the definition of the categories of securities,

1.

the nature of the issuer;

2.

the rating of the securities and

3.

the remaining term and the modified duration of the securities

To be taken into account. Volatility estimates must be representative of the securities that the credit institution has included in a category.

(4) Credit institutions shall not take into account correlations between the unsecured demand, the security and the exchange rates in the estimation of the volatility of security or the currency incongruence.

Quantitative requirements for own volatility adaptations

§ 136. (1) Credit institutions shall base the estimation of volatility adjustments on a one-sided confidence level of 99 vH.

(2) In the case of collateralised lending, a recovery period of 20 trading days is in principle, in the case of repurchase transactions, provided that they are not linked to the transfer of goods or guaranteed property rights to such goods; and Securities lending operations of five trading days and other capital market transactions of ten trading days.

(3) Credit institutions shall be able to estimate volatility adjustments on the basis of a shorter or longer period than the recovery periods specified in paragraph 2, in which case the transaction in question shall be of the following formula: The recovery period (TN) shall be reduced or reduced in accordance with paragraph 2:

where:

(4) Credit institutions have to take sufficient account of the lack of liquidity of assets of lower quality. If there are doubts as to the liquidity of a collateralisation, the period of recovery shall be extended. Credit institutions have to determine whether the data underestimates the potential volatility of financial security. If such a case is identified, appropriate crisis tests shall be carried out.

(5) The historical observation period for the determination of volatility adjustments shall be at least one year. In the case of credit institutions using a weighting scheme or other methods, the effective observation period shall be at least one year. In this case, the weighted average time delay of each observation shall not be less than six months. In the event of a significant increase in price volatility, the credit institution shall calculate the volatility adjustment on the basis of a correspondingly shorter observation period.

(6) Credit institutions shall update the data on a regular basis, but at least every three months, and review them in the event of any substantial change in market prices. Volatility adjustments will be recalculated at least every three months.

Qualitative requirements for own volatility adaptations

§ 137. (1) Credit institutions have to use volatility estimates in daily risk management, including in terms of its internal risk limits. Where the period of recovery used by the credit institution in its daily risk management is longer than that set for the transaction type in question, the volatility adjustments of the credit institution with the formula shall be: § 133.

Credit institutions shall have procedures to ensure compliance with the principles set out in writing for the estimation of volatility adjustments, the integration of these estimates into risk management and the monitoring of such estimates.

(3) The entire system which the credit institution applies to estimate volatility adjustments shall be subjected to an audit on a regular basis, at least once a year, in the context of the internal audit. This review shall include at least the following aspects:

1.

the embedding of the estimated volatility adjustments in daily risk management;

2.

the validation of any substantial change in the estimation procedure;

3.

the consistency, timeliness and reliability of the data sources on which the credit institution is based in the estimation of volatility adjustments, including the independence of those sources; and

4.

the accuracy and appropriateness of the volatility assumptions.

Renunciation of volatility adjustment

§ 138. (1) If a credit institution uses the comprehensive method to determine the adjusted exposure value (E*) for pension and securities lending operations, a volatility adjustment of 0 vH may be adopted if:

1.

the claim and the collateralisation of cash or debt securities issued by central governments or central banks within the meaning of Article 87 (1) (2) of the Treaty, which receive a standard rate of 0 vH in the credit risk standard rate and denominated in the same currency;

2.

the duration of the transaction is no more than one day, or both the exposure and the collateralisation are valued daily at market prices and are subject to a daily duty of follow-up;

3.

the contract shall take into account the fact that, between the last revaluation, the contract partner must be given a visit, and the sale of the security may not exceed four trading days;

4.

the business is handled via a billing system that is suitable for the type of business;

5.

the documents used for the contract are the standard documents customary for such transactions;

6.

there is a written and timely notice of termination in the event that the contracting party does not comply with its obligation to deliver securities or cash or its performance of an after-payment or in other cases Wise, and

7.

The contract partner is one of the following essential market participants:

a)

Issuers in accordance with § 87 (1) (2), whose titles have a weight of 0 vH in accordance with the credit risk standard rate;

b)

institutions;

c)

other entities in the financial sector whose debt securities are subject to a weighting of 20 VH in accordance with the credit risk standard rate, or which should be credit institutions which have the weighted exposure amounts and expected loss amounts in accordance with identify the approach based on internal credit ratings-do not have a credit rating of a recognised credit rating agency and are classified internally with the same default probability as recognised rating agencies in credit ratings, which by the competent authorities in accordance with the provisions relating to the weighting of exposures to undertakings according to the credit risk standard rate with a credit rating level of at least 2;

d)

recognised investment funds;

e)

regulated pension funds and

f)

recognised clearing bodies.

(2) The treatment referred to in paragraph 1 shall be admissible if a competent authority of a Member State accepts the treatment provided for in paragraph 1 for pension or securities lending transactions with securities issued by its own central State. has been declared.

Weighted exposure amounts and expected loss amounts for financial collateral

§ 139. (1) For credit institutions using the credit risk standard rate for the calculation of the weighted exposure amounts, the exposure value (E) shall be the adjusted exposure value (E*) calculated in accordance with § 132. In the case of off-balance-sheet transactions according to Appendix 1 to § 22 BWG, the adjusted exposure value (E*) shall be equal to the exposure value before the conversion factor is applied in accordance with Article 22a (2) Z 2 BWG.

(2) For credit institutions using the weighted exposure amounts based on the internal credit rating approach, the LGD shall, for this purpose, be the effective loss rate in the event of a failure (LGD*) calculated according to the following formula: is:

where:

LGD the loss rate in the event of failure, which would apply to the claim in accordance with § § 36 to 82, would be unsecured

E the exposure value calculated in accordance with section 132

E* the adjusted exposure value according to § 132.

Other surveys to be used within the framework of the internal credit rating approach for credit risk mitigation

§ 140. For the purpose of calculating the weighted exposure amount for others in the context of the use of the internal credit rating based approach according to § § 92 to 94, the loss rate in case of failure (LGD) corresponds to the effective loss ratio in case of failure (LGD*). If the ratio of the value of the collateralisation to the exposure value (C/E) exceeds the value specified in the following table under C* *, LGD* shall be equal to the value specified in the following table. If the ratio of the value of the collateralisation to the exposure value is less than the value established under C*, LGD* corresponds to the loss rate determined in accordance with § § 36 to 82 for an unsecured exposure to such counterparty. If the ratio C/E is between the values of C* and C* *, then two requirements must be formed, one of the two being given the required degree of collateralisation C* *.

LGD* for priority claims

LGD* in the case of subordinated claims

Minimum survey level required (C*)

Minimum survey level required (C* *)

Requirements

35 vH

65 vH

0 vH

125 vH

Residential and commercial mmo-bilis

35 vH

65 vH

30 vH

140 vH

Other collateral

40 vH

70 vH

30 vH

140 vH

Alternative valuation of real estate collateral

§ 141. (1) Credit institutions may assign a weight of 50 vH to the part of a claim secured entirely by residential real estate or commercial real estate located in the country.

(2) The competent authority of another Member State shall allow treatment within the meaning of the first paragraph in respect of residential and commercial real estate situated in its territory, the credit institution may also be able to visit paragraph 1 on its full account. Apply part of the claims secured by residential or commercial mobile workers located in that Member State.

Weighted exposure amounts and expected loss amounts for mixed collateral pools

Section 142. Where a credit institution uses the weighted exposure amounts and expected loss amounts to the approach based on internal credit ratings, the credit institution shall, in the event of a claim, be used both by financial collateral and by Other surveys according to § § 92 to 94 are secured, the effective loss rate in case of failure (LGD*) of the LGD. In this connection, the volatility adjusted value of the demand in accordance with section 132 (1) is to be split into different shares, each subject to a collateralisation. LGD* shall be calculated separately for each portion of the receivment subject to a collateralisation. For the unsecured part of the claim, LGD* corresponds to the LGD determined in accordance with § § 32 to 82 for an unsecured debt request to the debtor.

Deposits with third parties

§ 143. For the purpose of the credit risk reduction, admissible deposits with a third party institution pursuant to § 95 Z 1 are to be treated as a personal security of a third institution.

Mortgage-based life insurance

§ 144. For the purpose of the credit risk reduction, pledges of life assurance pursuant to § 95 Z 2 shall be treated as a personal security of the insurance undertaking concerned, the value of the security being the repurchase value of the insurance undertaking. Insurance.

Collateral according to § 95 Z 3

§ 145. For the purposes of credit risk reduction in accordance with Article 95 (3) (3), the titles in question may be covered by third party institutions which are repurchased on request, such as a personal security of that third institution, where the value of the collateralisation

1.

in the case of a buy-back at the nominal value, this amount as collateralisation value and

2.

in the case of a buyback to the market value, the amount determined as collateral value under the appropriate application of the debentures procedure in accordance with Section 88

shall be used.

4. Subsection

Personal collateral

Evaluation of personal collateral

§ 146. (1) Credit institutions shall, as collateral value of a personal security which may be used for the purpose of credit risk reduction, assume the amount to which the collateral provider has committed itself in the event that the borrower is responsible for the case. , does not comply with its payment obligation or enters another agreed credit event.

(2) Where a credit derivative is used for the purpose of credit risk reduction in accordance with § 98, in which the restructuring of the underlying claim, combined with a waiver or a stoning of the loan sum, interest or fees, that leads to a loss event for the lender, does not apply as a credit event,

1.

the value calculated in accordance with paragraph 1 shall be reduced by 40 vH if the amount to be paid by the collateral provider is not in excess of the exposure value; or

2.

the amount calculated in accordance with paragraph 1 may be up to 60 vH of the exposure value if the amount to which the security provider undertakes to pay exceeds the exposure value.

Personal securities in other currencies

§ 147. Where personal security is granted in a currency other than that of the credit itself, the collateralisation value shall be reduced by a volatility adjustment in accordance with the following formula:

where:

G* the value adjusted to any foreign currency risks

G the collateral value of the security referred to in § 146

H fx the volatility adjustment for currency incongruities between the credit insurance and the underlying debt.

Credit institutions shall carry out the volatility adjustment by means of the standardized volatility adjustment in accordance with § 134 or the volatility adjustment based on own estimates according to § 135.

Weighted exposure amounts and expected loss amounts for securitisation transactions

§ 148. If a credit institution transfers part of its credit risk in one or more tranches, the securitisation provisions shall be applied in accordance with § § 156 to 178. Where thresholds are determined below which no payments are to be made in the event of a loss, they shall be equated with the retained first-loss positions and shall be regarded as a risk transfer in tranches.

Weighted exposure amounts and expected loss amounts in the credit risk standard rate

Section 149. (1) Where a credit institution uses the credit risk standard rate in order to calculate its weighted exposure amounts, the weighted exposure amounts shall be calculated for this purpose as follows:

1.

If the amount secured by a personal security is greater than or equal to the exposure amount, the weight of the guarantor shall be set instead of the weight of the debtor; the amount of the secured amount GA shall be determined in accordance with the value determined in accordance with § 147, which shall be adjusted in accordance with § § 151 to 153; and

2.

if the amount secured is less than the amount of the exposure and the secured and non-secured part is equal to the weighted exposure amount according to the following formula:

where:

E the exposure value

G A the value determined in accordance with § 147, which shall be adjusted in accordance with § § 151 to 154

R the weight of exposures to the debtor determined in accordance with the credit risk standard rate

g the weight of exposures to the security provider determined in accordance with the credit risk standard rate.

(2) Claims or parts of claims may be treated in accordance with Section 4 (4) and (5) if:

1.

there is a guarantee of the central government or of the central bank, and

2.

this guarantee is on the national currency of the borrower and is secured in this currency.

Weighted exposure amounts and expected loss amounts in the internal ratings-based approach

§ 150. (1) Where a credit institution uses the approach based on internal ratings to calculate its weighted exposure amounts and expected loss amounts, it may be used for the secured part of the claim for the purposes of determining the PD in accordance with § § 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. 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 claim, credit institutions shall have as PD the PD of the borrower and, as LGD, the LGD of the underlying debt.

5. Subsection

Consideration of runtime incongruities

Runtime incongruities

§ 151. (1) If the remaining period of the collateralisation is shorter than the remaining maturity of the exposure (maturity incongruency) to be secured, the collateralisation may not be used for the purpose of credit risk reduction if:

1.

the period of origin of the collateralisation shall be less than one year;

2.

the requirement to be secured is a short-term requirement in which, in accordance with Section 70 (4), a lower limit of one day instead of one year is to be adopted for the effective remaining period;

3.

the inspection has a residual maturity of less than three months and the duration is shorter than the duration of the claim to be secured; or

4.

it is a financial guarantee and the credit institution applies the simple method in accordance with § 130.

(2) The effective duration of the claim to be secured shall be equal to the period after which the debtor has to comply with his obligation at the latest, but not more than five years. Without prejudice to paragraph 3, the duration of the collateralisation shall correspond to the period up to the earliest possible date of cancellation or termination of the collateralisation.

(3) If a possibility of termination is available to the security provider, the duration of the collateralisation corresponds to the period up to the earliest possible date of termination of the security provider. If the collateral taker is entitled to a right of termination and the provisions of the contract provide an incentive for the collateral taker to terminate the hedging transaction prematurely, the period of validity of the collateralisation of the period until the earliest possible date shall be as long as possible. Date of announcement of the collateral taker. In all other cases, the possibility of dismissal in the assessment of the duration of the collateralisation shall not be taken into consideration.

(4) If the possibility exists that a credit derivative ends before the expiry of the tolerance periods required for the determination of a failure on account of default in payment of the underlying obligation, the credit derivative is determined in accordance with paragraphs 2 and 3. The duration of the inspection shall be reduced by the duration of the tolerance period.

Runtime incongruities in financial collateral

§ 152. Where the credit institution uses the comprehensive method of evaluating financial collateral which may be used for the purpose of credit risk reduction, the maturity of the claim and the security of the adjusted value of the financial collateral shall be the maturity of the maturity of the credit risk. Safety as follows:

where:

C VA the volatility adjusted value of the financial security pursuant to § 132 (1) or the exposure amount if it is lower

T the remaining number of years up to the maturity date of the claim or five years as determined in accordance with section 151 (2) to (4), if this value is lower

T the remaining number of years up to the maturity date of security or T, as determined in accordance with section 151 (2) to (4), if this value is lower

t * equal to 0.25.

The value of the security C that is adapted to the runtime incongruence VAM is C VA to the formula for the fully adjusted value of the claim (E*) pursuant to § 132 (1).

Runtime incongruities with personal security performance

§ 153. In the case of maturity incongruities of personal collateral permitted for the purpose of credit risk reduction, the duration of the claim and of the security with regard to the adjusted security value shall be taken into account as follows:

where:

G A G* adjusted for runtime incongruence

G* the amount of personal security referred to in § 146 or in the case of a currency incongruity pursuant to § 147;

T the remaining number of years up to the maturity date of security or T, as determined in accordance with Article 151 (2) to (4), where this value is lower;

T the remaining number of years up to the maturity date of the claim or five years, as determined in accordance with Article 151 (2) to (4), if the value is lower;

t * equal to 0.25.

The value of safety adjusted in this way (G A ) is to be used as the value of the protection for the purposes according to § § 146 to 150.

6. Subsection

Protection for claims baskets

§ 154. (1) If an insurance cover for a receivables basket is acquired in such a way that the first outage occurring in these claims already triggers the payment and that credit event ends the contract, the credit institution may Amount of receivables and, where appropriate, the expected loss amount of the receivable, which, without the credit insurance, result in the lowest weighted exposure amount according to the credit risk standard rate or the internal ratings-based approach , in accordance with the provisions of this Regulation, if the amount of the exposure does not exceed the value of the collateralisation.

(2) Where an insurance cover for a receivables basket is acquired in such a way that the n-th outage occurring in such claims triggers the payment, the credit institution may provide hedging in the calculation of the weighted exposure amounts; and if necessary, take into account the expected loss amounts in accordance with paragraph 1 only if the protection has also been acquired for the outages 1 to n-1 or if n-1 failures have already occurred. In such cases, the procedure shall be followed in accordance with paragraph 1, with corresponding adaptations for n-ter-failure products.

7. Subsection

Combined credit risk mitigation at the default rate

§ 155. Where a credit institution which calculates the weighted exposure amounts in accordance with the credit risk standard rate for one and the same exposure of several types of credit risk-reducing techniques, the requirement for each credit institution shall be the individual, each by to divide up a credit risk-reducing technique, and to determine the weighted exposure amount for each share in accordance with the credit risk standard rate.

(2) If a collateralisation granted by a single security provider is composed of parts of different duration, paragraph 1 shall be applied mutatily.

4. Main piece

Securitisation positions

Section 1

Calculation of weighted exposure amounts and expected loss amounts

Effective transfer of receivings within the framework of a traditional securitisation

§ 156. Exposures shall be considered as effective in traditional securitisation, if:

1.

a substantial part of the credit risk has been transferred from the securitised exposures to a third party;

2.

the documents of the securitisation show the economic content of the transaction;

3.

a legal opinion confirming that the originator or his creditor cannot under any circumstances be able to rely on the securitised exposures;

4.

securities issued under the transaction do not constitute payment obligations of the originator;

5.

the originator does not retain the 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 from the acquirer the previously transferred claims, 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;

6.

the documents of the securitisation do not provide for the originator's obligation to improve securitisation positions in the event of a deterioration in the credit quality of the securitised exposures or the debt pool, with the exception of clauses relating to the early days of the securitisation Repayment and

7.

Return options have been agreed exclusively 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.

Effective transfer of credit risk in the context of a synthetic securitisation

§ 157. The credit risk arising from exposures under a synthetic securitisation shall be deemed to be effective if:

1.

a substantial part of the credit risk from the securitised exposures has been transferred to a third party by means of collateralisation;

2.

the documents of the securitisation show the economic content of the transaction;

3.

the collaterals used for the transfer of credit risk comply with the requirements of § § 83 to 118, whereby for the purposes of this item securitisation special companies do not act as appropriate providers of personal securities are recognised;

4.

a legal opinion which confirms the legal enforceability of the security instruments in all the relevant legal systems; and

5.

the collaterals used for the transfer of 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.

Determination of the weighted exposure amount of synthetic-securitised receivables portfolios in accordance with § 22d para. 2 BWG

§ 158. (1) The originator of a synthetic securitisation has, in the determination of the weighted exposure amounts for securitised exposures in which the conditions according to § 157 are fulfilled, the calculation methods in accordance with § § 161 to 178 under To apply maturity incongruities in accordance with § 160. For credit institutions which calculate the weighted exposure amounts and expected loss amounts according to an approach based on internal credit ratings, the expected loss amount for these exposures shall be zero.

(2) The originator shall have the weighted exposure amounts in respect of all securitisation tranches in accordance with the provisions of this item as well as the provisions relating to the recognition of credit risk mitigation in accordance with § § 83 to 118 identifying.

Treatment of maturity incongruities in the case of synthetic securitisations

§ 159. The originator of a synthetic securitisation has in the calculation of the weighted exposure amounts in accordance with § 158 (1) maturity incongruities between the collateralisation by which the tranche formation is reached and the securitised exposures such as shall be taken into account:

1.

The maturity of the credit collateralisation shall be determined in accordance with the provisions on credit risk reduction in accordance with § § 83 to 155, the longest maturity of the positions being to be applied, but not more than five years, and

2.

the originator shall calculate the weighted exposure amounts in accordance with § § 160 to 164 each maturity incongruence, which is assigned a weight of 1 250 vH, to be disregarded in the calculation of the weighted exposure amounts for tranches, and for all other tranches, the weighted exposure amount adjusted by the maturity incongruence shall be calculated as follows:

where:

RW* the weighted exposure amounts within the meaning of Article 22 (1) (1) of the BWG

RW (Ass) the weighted exposure amounts for exposures, assuming that they have not been securised, calculated on a pro rata basis

RW (SP) the weighted exposure amounts as calculated in accordance with § 158 (1), assuming that there is no maturity incongruency

T the maturity of the underlying exposures, expressed in years;

T the maturity of the credit collateralisation, expressed in years

t * = 0.25.

Determination of the weighted exposure amount-General principles

§ 160. (1) In order to determine the weighted exposure amount of a securitisation position, credit institutions shall assign a weight to the exposure value of the position resulting from the credit rating of a recognised credit rating agency or in accordance with sections 161 to 178 of the credit rating agency's position. is determined. The weighted exposure amounts of a securitisation position shall be calculated by applying the relevant weight to the exposure value of the position.

(2) Subject to paragraph 3

1.

the exposure value of a securitisation position shown in the balance sheet shall be its balance sheet value, provided that a credit institution calculates the weighted exposure amounts in accordance with sections 161 to 164 of this Article;

2.

the exposure value of a securitisation position shown in the balance sheet shall be measured as the gross amount before value adjustments, provided that a credit institution calculates the weighted exposure amounts in accordance with § § 165 to 173; and

3.

the exposure value of a bilingable securitisation position shall be its nominal value multiplied by the conversion factor determined in that main item; unless otherwise determined, the conversion factor shall be 100 vH.

(3) The exposure value of a securitisation position resulting from a derivative according to Appendix 2 to § 22 BWG shall be determined in accordance with § § 231 to 259.

(4) If a securitisation position is the subject of a security in rem, the exposure value of this position may be amended in accordance with § § 83 to 155.

(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 to the position or parts of a position which the Produce higher weighted exposure amounts. 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.

Determination of the weighted exposure amounts in the credit risk standard rate

Section 161. (1) Credit institutions that use the credit risk standard rate shall have the weighted exposure amount of a position for which a credit rating of a recognised credit rating agency is available, by weighing the exposure value of the position in accordance with The following tables are to be assigned to the following tables, the assignment according to § 21b (6) of the BWG to be

Short-term rating positions

Credit level

1

2

3

All others

Weight

20 vH

50 vH

100 vH

1 250 vH

Positions without short-term rating

Credit level

1

2

3

4

5 and below

Weight

20 vH

50 vH

100 vH

350 vH

1 250 vH

(2) If a credit rating of a recognised credit rating agency is not available for a position and the credit institution is aware of the composition of the pool of securitised exposures at any time, it may be used to calculate the weighted exposure amount of a position. the weighted average weight to be applied to the securitised exposures in accordance with the provisions of the credit risk standard rate, if the credit institution hielte the exposures multiplied by a Concentration coefficients. The concentration coefficient shall be equal to the sum of the nominal values of all tranches divided by the sum of the nominal values of the subordinated or equivalent tranches in respect of the tranche in which the position is held, including this Tranche himself. The resulting weight may not be higher than 1 250 vH or be less than the weight to be applied to any tranche that has been given priority.

(3) If a credit rating of a recognised rating agency is not available for a position, and paragraph 2 does not apply, the position shall be assigned a weight of 1 250 vH.

(4) Credit institutions as originators or sponsors may limit the weighted exposure amounts for securitisation positions to the level of the weighted exposure amounts that would be used for the exposures if they are not securitised would have been. In this case, a weight of 150 vH is to be assigned to all overdue claims and demands with a high risk.

Treatment of securitisation positions in a second-loss tranche or in a better-placed tranche in an ABCP programme within the framework of the standard rate

§ 162. A weight may be applied to securitisation exposures equal to the higher of 100 vH and the highest applicable to one of the securitised exposures, to be applied within the standard credit risk standard rate, if:

1.

the securitisation position is the subject of a tranche, which is economically in a second-loss position or a better position at the securitisation, and the first-loss tranche is a significant credit enhancement for the second-loss tranche Represents;

2.

the quality of the securitisation position corresponds to a classification as an investment grade or better, and

3.

the securitisation position is held by a credit institution that does not hold a position in the first-loss tranche.

Treatment of non-rated liquidity facilities within the standard rate

§ 163. (1) In order to determine the exposure value of a liquidity facility, a conversion factor of 20 vH may be applied to the nominal value if the original maturity is one year or less, and in the case of a longer original maturity the liquidity facility shall be applied a conversion factor of 50 vH to the nominal value if:

1.

the documentation of the liquidity facility clearly define and limit the circumstances under which it may be used;

2.

the liquidity facility may not be drawn in order to provide credit support in order to cover losses that have already been incurred at the time of drawing;

3.

the liquidity facility will not be used to provide permanent or regular financing for securitisation;

4.

the repayment of draws from the liquidity facility is not subordinated to the claims of investors who are not entitled to any claims arising from interest rate or currency derivatives, fees or other such payments ;

5.

the repayments of draws from the liquidity facility shall not be subject to a stundation agreement or waiver;

6.

the liquidity facility can no longer be drawn after all the applicable credit improvements benefiting the liquidity facility are used up and

7.

the liquidity facility contains a provision which, according to the amount that can be drawn, is automatically reduced to the amount already defaulted; for these purposes, a claim shall be deemed to have been deemed to have been dismissed if § 22b (5) (2) (2) (2) (2) (2) (2) (2) BWG is satisfied or in the event that a pool of securitised exposures is made up of instruments with credit ratings of a recognised credit rating agency and the liquidity facility is terminated if the average quality of the pool falls below investment grade.

(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) to (6) are met and

1.

it can only be drawn in the event of a general disturbance of the market, or

2.

it is unconditionally cancelled and the repayment of the draws of the liquidity facility is, as a matter of priority, before all other claims for payments from the securitised receivments.

(3) Credit institutions shall have the highest weight to apply to any of the securitised exposures in the context of the credit risk standard rate, if these exposures were to be held by themselves.

Reduction of the weighted exposure amounts under the standard rate

§ 164. Credit institutions which, according to § 23 (13) Z 4d BWG, deduct the underlying exposure amounts from the own funds, have to reduce the maximum weighted exposure amount in accordance with § 161 (4) by 1 250 vH of the deducted amount.

Calculation of the weighted exposure amount within the framework of the internal rating based approach

§ 165. (1) Credit institutions shall calculate the weighted exposure amount of securitisation positions within the framework of the internal rating based approach in accordance with § § 166 to 173.

(2) For a position with a credit rating of a recognised credit rating agency and for a position for which a derived credit rating may be used, the rating-based approach shall be applied in accordance with § 166.

(3) For a position without a credit rating of a recognised rating agency, the prudential formula approach shall be applied in accordance with § 169 if the internal assessment approach for ABCP programmes is not permitted in accordance with § 168.

(4) If the credit institution is neither originator nor sponsor, it shall indicate the intended use of the FMA's supervisory formula approach.

(5) Credit institutions shall assign a weight of 1 250 vH as originator or sponsor non-rated positions for which a derived credit rating is not to be used, if the calculation of Kirb is not appropriate and the conditions set out in § 168 (1) do not exist.

(6) Credit institutions which are neither originator nor sponsor shall assign a weight of 1 250 vH to positions without a credit rating for which a derived rating is not to be used, unless the prudential formula approach is used and the Conditions according to § 168 (1) do not exist.

Rating-based approach

§ 166. Credit institutions shall, under the rate-based approach, identify the weighted exposure amount of a credit securitisation position by assigning the exposure value to the weight multiplied by 1.06, which shall be determined in accordance with the following: The allocation of the ratings pursuant to Section 21b (6) of the Federal Elections Act (BWG) is to be allocated:

Short-term rating positions

Credit level

Weight

A

B

C

1

7 vH

12 vH

20 vH

2

12 vH

20 vH

35 vH

3

60 vH

75 vH

75 vH

All other credit levels

1 250 vH

1 250 vH

1 250 vH

Positions without short-term rating

Credit Levels

Weight

A

B

C

1

7 vH

12 vH

20 vH

2

8 vH

15 vH

25 vH

3

10 vH

18 vH

35 vH

4

12 vH

20 vH

35 vH

5

20 vH

35 vH

35 vH

6

35 vH

50 vH

50 vH

7

60 vH

75 vH

75 vH

8

100 vH

100 vH

100 vH

9

250 vH

250 vH

250 vH

10

425 vH

425 vH

425 vH

11

650 vH

650 vH

650 vH

below 11

1 250 vH

1 250 vH

1 250 vH

(2) The positions of the highest-level tranche of securitisation shall be assigned to the weights in column A. When assessing whether the tranche is the highest-level tranche, amounts from interest or currency derivative contracts, fees due or other similar payments may be disregarded.

(3) The positions of the highest-level tranche of a securitisation can then be assigned a weight of 6 vH if this tranche is in all respects higher than another tranche of the securitisation, the positions of which according to paragraph 1 are a weight of 7 vH , and

1.

this is justified on the basis of the absorption capacity of the downstream tranches of the securitisation and

2.

the position has either a credit rating of a recognised credit rating agency corresponding to the credit rating level 1 in the above tables or, if there is no credit rating, the requirements according to § 167 are met, with reference positions being Positions in the downstream tranche are to be understood to be assigned a weight of 7 vH.

(4) Items of a securitisation whose effective number of securitised exposures are less than six shall be assigned a weight of column C. In calculating 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 EEAS I the exposure level of all claims related to the i-th debtor. In the case of a re-securitisation of securitisation positions, the number of securitisation positions in the pool shall be dissent. If the share in the portfolio is available in the context of the largest requirement, C1, N can be calculated as 1/C1.

(5) All other positions shall be assigned a weight in accordance with the B column.

(6) Credit institutions may apply for securitisation exposures under the rating-based approach in accordance with § § 171 and 172 credit risk-reducing techniques.

Use of derived ratings within the framework of the internal-ratings-based approach

§ 167. Credit institutions shall transfer a derived credit rating to a non-rated position of a recognised credit rating agency if:

1.

the reference positions are subordinated in all respects to the securitisation tranche without a rating;

2.

the maturity of the reference positions corresponds to the maturity of the non-rated position or occurs later; and

3.

A derived credit rating is updated on a current basis to take account of the changes in the rating in the reference positions.

The derived credit rating shall be in accordance with the rating of the positions with a rating (reference position), which are the priority positions which are, in all respects, subordinate to the non-rated position.

Internal rate of assessment for positions in ABCP programmes within the framework of the internal rating based approach

§ 168. (1) Credit institutions may, in an ABCP programme, transfer an internally derived rating to a non-rated position of a recognised rating agency in accordance with paragraph 2 if the following requirements are met:

1.

The positions in the Commercial Paper issued by the ABCP programme are positions with a rating;

2.

the internal assessment of the credit quality of the position corresponds to the publicly available method of assessment of at least one recognised credit rating agency for securities held by exposures such as those on which the securitisation is based, are subject to;

3.

the recognised rating agencies used in accordance with Z 2 include those rating agencies which have issued a rating for the commercial paper issued by the programme; quantitative elements, in particular stress factors, which are used in the design of the where a specific credit quality is used, it must be at least as prudent as those used in the relevant rating method of the relevant rating agencies;

4.

in the development of its internal assessment method, a credit institution shall take into account the relevant published credit rating methods of the recognised credit rating agencies, which issue a rating for the commercial paper of the ABCP programme; these to be documented and to be updated regularly in accordance with Z 7;

5.

the credit institution's internal method of assessment shall contain credit rating levels, with a close link between the credit institution and the credit rating of recognised credit rating agencies; this link must be documented;

6.

the internal design method flows into the internal risk management processes of the credit institution;

7.

a qualified body, independent of the ABCP programme, and independent from the relevant customer relations, has regular checks on the internal design process and the quality of the internal assessment of the credit quality of the receivments the credit institution in the framework of an ABCP programme;

8.

the credit institution shall monitor the development of its internal credit ratings over time, assess the quality of its internal assessment methodology and, where appropriate, make any necessary adjustments;

9.

the ABCP programme includes credit award criteria in the form of credit and investment lines; when deciding on an asset purchase, the programme manager must take the form of the assets to be acquired, the nature and the monetary value of the claims arising from: the provision of liquidity facilities and credit improvements, as well as the distribution of losses, the legal and economic isolation of the assets transferred from the assets divested in the assets, and a Credit analysis of the risk profile of the asset seller, such as an analysis of the past and expected future financial developments, the current market position, expected future competitiveness, debt level, cash flows, interest rate coverage and debtor ratings; an examination of the credit award criteria, the customer service skills and the seller's collection procedures;

10.

the credit award criteria of the ABCP programme must establish minimum recognition criteria for assets. In particular,

a)

the purchase of assets which are highly overdue or have been excluded;

b)

an excessive concentration is restricted to a single debtor or to a single geographical area, and

c)

the duration of the assets to be acquired is limited;

11.

the ABCP programme has to have collection strategies and processes which take into account the operational capacity and credit quality of the custodian of the received;

12.

the programme has to mitigate the risk of sellers and servicers by means of various methods;

13.

the aggregated loss estimate of an asset pool to be acquired under an ABCP programme shall take into account all sources of potential risks, in particular credit and dilution risk; if the risk of dilution by the seller , where credit improvement is based on credit-related losses only, a separate provision should be made for the risk of dilution, provided that it is significant for a particular pool of forders; Determination of the required level of credit enhancement are included in the programme to review historical information for several years, including losses, losses, dilutions and the turnover frequency of the claims; and

14.

the ABCP programme has structural characteristics, such as termination clauses, to be integrated into the acquisition of receivings, so as to reduce the risk of a possible deterioration in the credit of the underlying portfolio.

(2) Credit institutions shall assign a credit rating to a position without a credit rating to a recognised credit rating agency as an internal derived credit rating in accordance with paragraph 1 of this Article. The assigned credit rating shall be in accordance with the credit ratings according to this rating class. Where the associated credit rating at the beginning of the securitisation corresponds to the level of investment grade or better, it is equivalent to the rating of a recognised credit rating agency with regard to the calculation of the weighted exposure amounts.

Supervisory formula approach

§ 169. (1) Credit institutions shall assign to a securitisation position, within the framework of the supervisory formula approach, the weight of the respective higher value of 7 vH and the weight calculated as follows:

where:

where:

where:

τ = 1000,

and ω = 20 and further means:

Beta [x; a, b] the cumulative beta distribution with the parameters a and b, evaluated at the point x;

T the ratio of the nominal value of the tranche to the sum of the amounts receivable of the receivables that have been securitised. In this sense, the exposure value of a derivative according to Appendix 2 to § 22 BWG, in which the current re-entry costs do not have a positive sign, is the potential future credit claim, as calculated in accordance with § § 231 to 259 ;

Kirbr the ratio of Kirb to the sum of the receivables of receivables that have been securised. Kirbr is expressed in decimal form;

L the ratio of the nominal value of all tranches, which are subordinated to the tranche in which the position is held, to the sum of the amounts receivable of the receivables that have been securitised. Capitalised future income may not be included in the calculation of L. Amounts outstanding by counterparties in relation to derivatives pursuant to Appendix 2 to Section 22 of the Federal Elections Act, which represent more subordinated tranches in relation to the said tranche, may be used in the calculation of the level of credit improvement in respect of their current levels of credit. Re-coverage costs (excluding potential future credit claims);

N the effective number of claims in accordance with § 166 (4).

(2) The weighted average loss rate in the event of a failure (ELGD) shall be calculated as follows:

where LGDi represents the average LGD in relation to all the claims against the i-th debtor and the LGD is to be determined within the framework of the internal credit-rating approach. In the case of a re-securitisation of a securitisation, an LGD of 100 vH shall be applied to the securitised positions. If the default and dilution risk for purchased receivings are treated at a securitisation in an aggregated way, the LGD input is considered to be a weighted average of 100 vH of the LGD for the credit risk and 75 vH of the LGD for the To calculate dilution risk. The weightings should be treated as an independent minimum own-resource requirement for credit and dilution risk.

(3) Power of the exposure value of the largest securitised receivable, C1, not more than 3 vH of the sum of the amounts receivable from the securitised exposures, then the credit institution may set up a LGD of 50 vH for the purpose of the prudential formula approach as well as N with either

or

C M is the ratio of the sum of the exposure values of the highest m exposures to the sum of the exposure amounts of the securitised receivables. The amount of m used may be determined by the credit institution. If the securitizations also include retail claims, h can be set to zero and v is set to zero.

(4) Credit institutions may apply credit risk reductions for securitisation positions within the scope of the supervisory formula approach in accordance with § § 171 and 173.

Liquidity Facilities within the Internal Ratings-based Approach

§ 170. Credit institutions using the internal ratings based approach to calculate the weighted exposure amounts and the expected loss amounts may, in order to calculate the exposure value, be able to calculate a conversion factor of 0 vH to the Apply the nominal amount of a liquidity facility if the requirements according to § 163 para. 2 are met.

Credit institutions using the internal ratings based approach to calculate the weighted exposure amounts and the expected loss amounts may, in order to calculate the exposure value, have a conversion factor of 20 vH to the Apply the nominal amount of a liquidity facility if it can only be drawn in the event of a general market disruption and if the requirements are met in accordance with § 163 para. 1.

(3) Credit institutions may exceptionally, in the event of the calculation of the weighted exposure amounts for the securitised exposures in the form as if they were not securitised, not be appropriate:

1.

a liquidity facility that is a non-rated position, which, if it had not been securitised, would be applied to one of the securitised exposures as part of the credit risk standard rate;

2.

in order to determine the exposure value of the position, apply a conversion factor of 20 vH to the nominal amount if the requirements set out in paragraph 2 are met and

3.

in order to determine the exposure value, apply a conversion factor of 50 vH to the nominal amount of the liquidity facility, if the liquidity facility has an initial maturity of one year or less.

(4) In all other cases, a conversion factor of 100 VH shall be applied to the nominal amount of the liquidity facility in order to determine the exposure value.

Recognition of credit risk reduction on securitisation positions within the framework of the internal credit rating approach

§ 171. Credit institutions may, in the calculation of the weighted exposure amounts in the context of the approach based on internal credit ratings, take into account real and personal collateral in accordance with § § 83 to 155.

Calculation of the minimum property requirement for securitisation positions with credit risk reduction in the rating-based approach

§ 172. Credit institutions which calculate the weighted exposure amount on the basis of the rating-based approach may be eligible for the exposure value and the weighted exposure amount for a securitisation position, for which the exposure amount is Credit risk mitigation may be used, according to § § 83 to 155 and subject to the credit risk standard rate.

Calculation of the minimum property requirement for securitisation positions with credit risk reduction in the supervisory formula approach

§ 173. Credit institutions which calculate the weighted exposure amount on the basis of the prudential formula approach may determine the actual weight of the position by determining the weighted exposure amount of the position by the The request value of the position is divided and then multiplied by 100.

(2) In the case of complete collateralisation by means of collateral security, the weighted exposure amount of the securitisation position shall be multiplied by the exposure value of the position (E*) adjusted by the security in rem with the actual exposure value. Weight calculated in accordance with paragraph 1.

(3) In the case of complete collateralisation by means of a personal security performance, the weighted exposure amount of the securitisation position shall be calculated by multiplying the GA in accordance with Section 149 by the weight of the security provider. This amount shall be added to the amount resulting from the multiplication of the actual weight referred to in paragraph 1 with the reduction of the exposure amount of the securitisation position reduced by GA.

(4) In the case of partial collateralisation, credit institutions may apply the provisions in accordance with paragraphs 1 to 3 if the collateralisation covers the first loss or losses on a proportional basis in the securitisation position. In the other cases, credit institutions have to treat the securitisation position as two or more positions, the uncovered part being considered to be a position with the lower credit quality. Credit institutions shall apply for the calculation of the weighted exposure amount of this heading § 169, subject to the condition that:

1.

in the case of a security in rem T to e * and in the case of a personal security T to T-g, e * shall mean the ratio of E* to the total nominal amount of the underlying pool, where E* shall be the sum of the total nominal amount of the underlying pool, in accordance with § § 83 to 155 and under On the basis of the provisions of the credit risk standard rate, the default adjusted exposure value of the securitisation position is, assuming that the amount of the securitisation position is E; g designates the ratio of the nominal amount of the securitisation position to the Credit collateralisation to the sum of the exposure amounts of the securitised receivables and

2.

in the case of a personal security, the weight of the guarantor shall be applied to the part of the position which does not fall below the adjusted value T.

Reduction of weighted exposure amounts within the framework of the internal credit rating approach

§ 174. Credit institutions that use the weighted exposure amounts and the expected loss amounts to use the internal credit rating approach may be subject to the weighted exposure amount of a securitisation position to which a weight of 1 250 vH, the amount of the value adjustments it has made in respect of the securitised claims shall be withdrawn. If the value adjustments are taken into account for this purpose, it shall not be taken into account in the calculation of the expected loss amounts in accordance with Section 81 (8).

Credit institutions that use the weighted exposure amounts and the expected loss amounts to use the internal credit rating approach may be eligible for the weighted exposure amount of a securitisation position by 1 250 vH of the amount any value adjustments made with regard to this position.

(3) If the exposure value of a securitisation position is deducted from the own funds in accordance with Section 23 (13) (c) 4d of the Federal Elections Act (BWG), then:

1.

the exposure value of the position shall be derived from the weighted exposure amounts, taking into account deductions in accordance with section 1 and 2 (2);

2.

in the calculation of the exposure value, a security in rem which can be used for the purpose of credit risk reduction shall be taken into account in a consistent manner in accordance with § § 171 to 173; and

3.

on the basis of the apparent formula approach, the position is treated as two positions, with L equal to Kirbr for the priority of the two positions, if L < Kirbr and [L + T] > Kirbr.

(4) Credit institutions as originators or as sponsors or other credit institutions which can calculate Kirb shall have the weighted exposure amounts in respect of securitisation positions only up to the level of those weighted exposure amounts. , which would result from the assumption that the securitised assets would not have been securitised and would be included in the balance sheet of the credit institution plus the expected loss amounts of those exposures. Credit institutions which calculate the exposure value as referred to in paragraph 3 shall reduce the maximum weighted exposure amount by 1 250 vH of the amount referred to in paragraph 3.

Calculation of additional weighted exposure amounts of securitisation positions of revolving exposures with early redemption clause in the credit risk standard rate

§ 175. (1) Credit institutions as originators for securitisation transactions pursuant to Section 22e (1) of the BWG have an additional weighted exposure amount in respect of the sum of the positions held in shares of the investors and the positions in shares of the Calculate originators. If these are calculated as part of the credit risk standard rate, the following shall be:

1.

the shares of investors in the exposure value of the fictitious part of the pool of drawn amounts, less the proportion of the originator and

2.

the proportion of the originator is the percentage of all payments resulting from the collection of the exposure value and interest and from other related amounts not available for payment to investors or sponsors; the the percentage of the exposure value of the total pool which has been included in the structure, as a percentage of the exposure value of the originator, shall result in the fictitious amount of the exposure of a part of the pool sold at the time of securitisation Amounts; the proportion of the originator may not be subordinated to the shares of the investors be.

(2) The exposures of the credit institution as originator from its rights in respect of the proportion of the originator shall be treated as a pro rata claim against the securitised exposures as if they had not been securitised.

Calculation of the additional weighted exposure amounts of securitisation positions of revolving exposures with an early redemption clause in the internal ratings-based approach

§ 176. (1) In the case of credit institutions as originators for securitisation transactions pursuant to Section 22e (1) of the BWG, credit institutions shall have an additional weighted exposure amount in respect of the positions held in shares of the investors and to the positions held in shares of the originators calculate and calculate it within the framework of the internal ratings-based approach,

1.

the shares of investors not covered by Z 2 lit. a falling exposure value of the fictitious portion of the pool of the drawn amounts, plus the amount not covered by Z 2 lit. (b) the exposure value of the fictitious part of the pool of non-deducted amounts of credit lines, the amounts of which have been sold at the securitisation; and

2.

the proportion of the originator the sum of

a)

the fictitious exposure value of a portion of the pool in the securitisation, which is determined as follows; the percentage of all payments resulting from the collection of the exposure amount and the interest, and come from other related amounts which are not available for payment to investors or sponsors; the percentage of the total pool exposure amount corresponding to that percentage, which has been entered into the structure, gives the percentage of the total pool of the total pool of funds allocated to the total pool of funds. fictitious amount of exposure of a part of the pool sold at the securitisation amounts drawn, plus

b)

the exposure value of the part of the pool of non-drawn amounts of the credit lines whose drawn amounts have been sold into the securitisation and is determined as follows: the percentage of the total amount of these undrawn amounts is equal to the percentage of the exposure value described under Z 1 in relation to the fictitious exposure value of a portion of the pool of amounts drawn up during the securitisation.

(2) The proportion of the originator may not be subordinated to the shares of investors.

(3) exposures of the credit institution as originator from its rights in respect of the first summane of the originator's own portion of the originator according to paragraph 1 Z 2 lit. a are to be treated as a pro rata claim against the securitised receivables, on the assumption that they would not have been securitised into an amount. Pro-rata claims of the credit institution as originator in relation to the non-drawn amounts of the credit lines, the amounts of which have been sold in the securitisation, shall be set at an amount equal to the second sum of the credit institution's own share. of the originator referred to in paragraph 1 Z 2 lit. b corresponds.

Securitisation with clause on early repayment, which are based on non-assigned retail credit limits, which are unconditionally and unconditionally available

Section 177. (1) Credit institutions shall compare the three-month average of the interest surplus with the interest surplus level from which the net interest surplus will be withheld if securitisations with a pre-repayment clause for non-interest -linked, strictly and without notice, retail loans, and the early repayment is triggered by the level of the net interest surplus which falls to a specified level. This retention point for net interest surpluses shall be the amount of realised interest surpluses from the exposures contained in the securitised portfolio, when it reaches or falls below interest surpluses no longer on the originator or on the originator Third parties will be left in the securitised portfolio, but will remain in the securitised portfolio to compensate for future failures in the securitised portfolio.

(2) If the securitisation does not provide for a retention of the net interest surplus, credit institutions shall adopt the reference level for the retention with a value of 4.5 vH above the level of the interest surplus at which the early repayment is triggered.

(3) Credit institutions shall determine the conversion factor to be applied by the current three-month average of the interest surplus on the basis of the following table.

Securitisations subject to a controlled early repayment clause

Securitisations subject to a non-controlled early repayment clause

Three-month average of interest surplus

Conversion factor

Conversion factor

Above Level A

0 vH

0 vH

Level A

1 vH

5 vH

Level B

2 vH

15 vH

Level C

10 vH

50 vH

Level D

20 vH

100 vH

Level E

40 vH

100 vH

where:

Level A: net interest rate of less than 133.33 vH of the reference level for the retention of the interest surplus, but greater than or equal to 100 vH of the reference level for the retention;

Level B: net interest rate of less than 100 vH of the reference level for the retention of the interest surplus, but greater than or equal to 75 vH of the reference level for the retention;

Level C: net interest rate of less than 75 vH of the reference level for the retention of the interest surplus, but greater than or equal to 50 vH of the reference level for the retention;

Level D: interest rate surplus of less than 50 vH of the reference level for the retention of the interest surplus, but greater than or equal to 25 vH of the reference level for the retention; and

Level E: Interest rate surplus of less than 25 vH of the reference level for the retention of the net interest surplus.

Conversion factor for other securitisations with early repayment clause

§ 178. (1) Credit institutions shall apply a conversion factor of 90 vH to securitisations subject to a controlled clause on early repayment for revolving exposures. A clause on early repayment shall be deemed to be controlled if:

1.

the credit institution has an adequate capital and liquidity plan as originator in order to ensure that, in the event of early repayment, it has sufficient capital and liquidity;

2.

during the duration of the transaction, an ongoing proportional division between the share of the originator and the share of investors in respect of the payment of interest, redemption, costs, losses and recovery earnings, based on the balance of the shall be made at one or more reference points in the course of each month;

3.

the period during which the early repayment takes place is such that, for at least 90 vH, the amounts of the securitised exposures outstanding at the beginning of the early repayment phase may be expected either to be repaid or to be paid for the securitisation transaction shall be deemed to have failed and

4.

the repayment does not take place faster than if it were to be repaid in a linear manner over the repayment period in accordance with Z 3.

Credit institutions shall apply a conversion factor of 100 vH to securitisations which are subject to an uncontrolled clause on early repayment for revolving exposures.

Maximum minimum property requirement for securitisation positions of revolving exposures

§ 179. (1) Credit institutions as originators shall have a maximum of one weighting for the sum of the additional weighted exposure amount in accordance with Section 22e of the Federal Elections Act in respect of positions in shares of investors and on positions in shares of originators Amount of receivable amount of the larger of the two amounts pursuant to Z 1 and 2 shall be taken into account:

1.

The additional weighted exposure amount in accordance with Section 22e (1) of the Federal Elections Act in relation to positions held in shares of investors or

2.

the weighted exposure amounts calculated in respect of the positions held in shares of investors by a credit institution as originator under the assumption that this fictitious part of the total pool of the towed or non-drawn Amounts of credit lines whose withdrawn amounts have been sold at securitisation would not have been securitised.

(2) Credit institutions shall, in the calculation of the maximum amount referred to in paragraph 1, have disregarded the deduction of net profits in accordance with Section 23 (1) (2) of the BWG.

Section 2

Use of credit ratings by rating agencies

Requirements for ratings

§ 180. In the calculation of the weighted exposure amounts in accordance with § § 156 to 179, a rating by a recognised rating agency shall comply with the following requirements:

1.

There is no incongruity between the types of payments included in the credit rating and those payments made to the credit institution or the credit institution group under the contract to which the said securitisation position is , and

2.

the rating is publicly available on the market; ratings shall be deemed to be publicly available only if they

a)

have been published within the framework of a publicly accessible forum and have been incorporated into the transition matrix of the recognised rating agency; and

b)

be made available not only to a limited circle of companies.

Using Ratings

§ 181. Credit institutions may designate one or more recognised credit rating agencies whose credit ratings or ratings are used in the calculation of the weighted exposure amounts of securitisation positions.

(2) Credit institutions shall apply the rating of benanned rating agencies consistently to their securitisation positions.

(3) Credit institutions may not credit a recognised credit rating agency for its securitisation positions in individual tranches and the rating of another recognised credit rating agency for securitisation positions in other tranches within the same tranche Use structure that has received a rating by the first recognised rating agency.

(4) Where a securitisation position has been given two ratings by recognised rating agencies, the less favourable rating shall apply.

(5) Where a securitisation position has received more than two ratings by recognised rating agencies, the two most favourable ratings shall be used. If there are differences between the two most favourable ratings, the less favourable rating should be based on.

(6) If a credit collateralisation permitted under the credit risk reduction provisions is provided directly for a securitisation special company, this collateralisation was carried out in the rating of a position by a notified recognised rating agency. The weight associated with this rating may be used. If the use of the collateralization for the purpose of the loan reduction is inadmissible, the rating shall not be recognized. In the event that the collateralisation is not carried out for a securitisation special company, but directly for a securitisation position, the rating is not recognised.

Part 3

Operational risk

1. Main item

Basic indicator approach

Minimum Mean Requirement

§ 182. For credit institutions using the basic indicator approach, the minimum requirement of own resources for operational risk is 15 vH of the relevant indicator in accordance with Section 22j (2) of the Federal Elections Act.

Authoritiy indicator

§ 183. The relevant indicator is the three-year average of the operating income.

Basis of the relevant indicator

§ 184. (1) The three-year average shall be calculated on the basis of the final figures for the last financial year and of the previous financial years. As long as no verified figures are available, the use of estimates shall be permitted.

(2) If, in one of the observation periods, the operating income is negative or equal to zero, this value shall not be included in the calculation of the three-year average. The relevant indicator is the sum of the positive values divided by the number of positive values.

(3) The operating income is the sum of the items in the profit and loss account of credit institutions in accordance with Annex 2 to § 43 part 2 Z 1 to 7 BWG. In this addition, each value appears with its positive or negative sign. Credit institutions which draw up the consolidated financial statements in accordance with internationally recognized accounting principles in accordance with Section 59a of the Federal Elections Act may provide the relevant indicator on the basis of those data relating to the positions in Annex 2 to Section 43, Part 2, Z 1 to 7 of the BWG will come next, calculate.

(4) The calculation shall be carried out before deducting the provisions, risk provisions and operating expenses. Operating expenditure shall also include charges for the outsourcing of services provided by third parties, which shall:

1.

neither a mother nor a subsidiary of the credit institution is nor a subsidiary of a parent company, which is also the parent company of the credit institution, nor

2.

a credit institution according to § 1 BWG or in accordance with Article 4 Z 1 of Directive 2006 /48/EC.

(5) Not to be included in the calculation:

1.

Realised gains or losses arising from the sale of items not attributable to the trading book;

2.

exceptional or irregular yields; and

3.

Income from insurance activities.

When revaluations of trading book positions are recorded in the profit and loss account, they may be included in the calculation. In the case of the application of Section 56 (5) of the Federal Elections Act (BWG), the revaluations recorded in the profit and loss account must be included.

2. Main piece

Default Set

Minimum Mean Requirement

§ 185. Credit institutions using the standard rate to determine the minimum resource requirement for operational risk shall have the relevant indicator for each individual business unit in accordance with Section 186 and the three-year average of the To determine the operating income separately in accordance with § 184 (1) and (3) to (5).

(2) A negative minimum own-resource requirement in a business field can be fully offset. If the sum of the operating income of one year divided according to § 186 on the business units and weighted by the percentages is negative, the contribution to the counter of the average for this year shall be set at zero for this year.

(3) Credit institutions using an alternative indicator in accordance with Article 22k (8) of the BWG in order to determine the minimum resource requirement for the operational risk for the business segments Private customer business and corporate customer business shall be deemed to have been Indicator to apply 0.035 times the three-year average of the total annual nominal amount of loans and credits referred to in paragraph 2.

Business Fields

§ 186. The following activities and percentages are to be attributed to the business units according to § 22k paragraph 3 BWG:

Business Field

Activities

Percentage

Corporate Finance/Consulting (Corporate Finance)

Issuers and/or placement of financial instruments with a firm takeover obligation

18 vH

Services related to emissions trading

Investment advice

Advice to companies regarding capital structure, business strategy and related issues, as well as advisory and other services related to mergers and acquisitions

Investment Research and financial analysis as well as other types of general recommendations on transactions with financial instruments

Trading (Trading and Sales)

Own Trade

18 vH

Money brokerage

Receipt and transfer of orders in connection with one or more financial instruments

Order fulfillment for customers

Placement of financial instruments without a firm takeover obligation

Operation of Multilateral Trading Facilities

Securities Commission business (Retail Brokerage)

Receipt and transfer of orders in connection with one or more financial instruments

12 vH

Order fulfillment for customers

Placement of financial instruments without a firm takeover obligation

Corporate Banking (Commercial Banking)

Collection of deposits and other refundable funds

15 vH

Credit granted

Leasing

Guarantees and commitments

Retail banking (Retail Banking)

Collection of deposits and other refundable funds

12 vH

Credit granted

Leasing

Guarantees and commitments

Payment and settlement

Cash transfer benefits

18 vH

Payment and administration of means of payment

Depot and trust stores (Agency Services)

Safekeeping and management of financial instruments for the account of customers and related services such as cash management and collateral management

15 vH

Asset management (Asset Management)

Portfolio Management

12 vH

Investment Fund Part Management

Other types of asset management

Principles for the assignment of the business fields

§ 187. (1) Credit institutions which use the standard approach shall have specific rules and criteria to assign their business activities and the relevant indicator to the business units in accordance with Section 22k (3) of the BWG. These rules and criteria must be documented, at least annually subject to independent review and, where appropriate, adjusted.

(2) The Head of Business of the credit institution shall be responsible for the following allocation principles of the activities relating to the individual business fields:

1.

All activities are assigned to a business field without overlap and exhaustively;

2.

Any activity which cannot easily be assigned to a business unit, but which is a complementary function to an activity according to § 186, is assigned to the business field which it supports. If more than one business unit is supported by the complementary activity, a traceable criterion for allocation will be applied;

3.

if an activity cannot be attributed to a particular business area, the business field with the highest percentage according to § 186 shall be used. This business field also applies to the associated supporting functions;

4.

Internal accounting methods are used to divide the relevant indicator into the business units, costs generated in one business unit that can be attributed to another business unit will be charged to this other business unit. transfer and

5.

the allocation of activities to the business units for the determination of the minimum own resource requirement for operational risk is consistent with the criteria used for credit and market risk.

(3) In the case of the business units of retail banking and corporate banking, the loans and loans shall comprise the total amount of the amounts used in the relevant credit portfolios. In the business segment Corporate Banking, the securities held outside the trading book shall also be included.

3. Main piece

Advanced Measurement Approach

§ 188. Credit institutions using an advanced measurement approach in accordance with Section 22l of the Federal Elections Act (BWG) have to comply with the requirements of § § 189 to 193 for the proper risk assessment.

Quantitative requirements

§ 189. (1) Credit institutions shall include the expected and unexpected losses in the calculation of the minimum resource requirement, unless the expected loss is already adequately due to the internal business practices collected. The measurement of the operational risk has to record potentially serious events on the verge of distribution and achieve a standard of stability comparable to a confidence level of 99.9 vH over a holding period of one year. is.

(2) In order to comply with the soundness standard referred to in paragraph 1, the operational risk measurement system shall include the following elements:

1.

Internal data according to § 190;

2.

External data according to § 191;

3.

Scenario analysis according to § 192 and

4.

Factors for consideration of the business environment and internal control systems according to § 193.

Credit institutions shall have a correspondingly documented approach to the weighting of these four elements in their system for measuring the operational risk.

(3) The operational risk measurement system shall be used to record the main risk drivers influencing the margins of the loss distributions.

(4) Correlations of the operational losses between individual estimates of operational risks may only be taken into account if the system used to measure correlations is sound and the uncertainty in the estimate of correlations, especially in stress phases. The correlation assumptions shall be validated on the basis of appropriate quantitative and qualitative methods.

(5) The risk measurement system shall be consistent internally and shall include a multiple counting of qualitative assessments or risk mitigation techniques.

Internal data

§ 190. (1) The internal loss data of credit institutions shall cover all the essential activities and risks of all relevant subsystems and geographical locations. Activities and hazards can only be considered if they do not have a significant impact on the overall risk assessment, either individually or in combination. For internal loss events, adequate bagatell limits are set.

(2) In the first application of an advanced measurement approach, the internal measurement of the operational risk shall be based on an observation period covering at least three years. This period shall be extended annually by one year until the relevant data are available for a period of five years.

(3) In addition to the information on gross losses, the loss database shall also include information on the date of the loss of losses and any reflows of gross losses, descriptions of drivers and causes of the loss event. to be included.

(4) For the collection of loss data of events in central functions or from activities relating to more than one business area, as well as for events which are followed by one another in time but are connected to one another, specific Criteria to be met.

(5) Credit institutions shall assign their historical internal loss data according to documented and objective criteria to the business fields and to the defined event categories. Losses due to operational risks related to credit risks and which have been included in an internal credit risk database in the past shall be recorded in the database on operational risks and shall be separately reported. . Such losses shall not be subject to a minimum requirement of own resources for operational risks, as long as they continue to be treated as a credit risk for the calculation of the minimum own-resource requirement. Losses due to operational risks associated with market risks shall be included in the calculation of the minimum own resource requirement for operational risks.

(6) There are written documented procedures in order to assess the ongoing materiality of historical loss data. It should also be taken into account in which situations, to what extent and by whom discretionary decisions, scale or other adjustments can be made.

External data

§ 191. (1) The measurement system of a credit institution for operational risks shall have relevant external data to be used.

(2) Credit institutions shall, in a systematic process, determine the situations in which external data are used and determine the methodology for the processing of the data in their measurement system.

(3) Credit institutions shall document the conditions and procedures for the use of external data and shall, at least annually, subject them to an independent review.

Scenario Analysis

§ 192. Credit institutions shall, on the basis of knowledgeable assessments, use scenario analyses in conjunction with external data to assess their vulnerability to very serious risk events. These assessments shall be validated over time and adjusted, if necessary, on the basis of comparisons with the actual loss of experience, in order to ensure the validity of the results.

Business environment and internal control factors

§ 193. (1) The risk assessment methodology of credit institutions shall cover the relevant factors of the business environment and of the internal control system that may influence the operational risk profile.

(2) The sensitivity of the risk estimates with regard to changes in these factors and their relative weighting shall be fully justified. In addition to the detection of risk changes on the basis of modified risk assessments, the risk assessment methodology has increased the potential risk increase due to increased complexity in the activities or on the basis of an increase in risk. Cover business volume.

(3) Credit institutions shall have to document the risk assessment methodology and subject them to a regular independent review.

(4) Credit institutions have to reassess the process and results by comparison with the actual internal loss experience as well as the relevant external data.

Accounting for insurance companies and other risk-reducing techniques

§ 194. (1) Credit institutions may use an insurance contract or other risk-reducing technique in the calculation of the minimum requirement of own resources for operational risk under the advanced approach as a risk-reducing risk In accordance with Section 22l (2) of the Federal Elections Act (BWG), if there is evidence of a significant risk reduction effect and if the insurance and the insurance framework of the credit institution fulfil the following conditions:

1.

The insurance contract shall have an original maturity of at least one year;

2.

in the case of insurance contracts with a residual maturity of less than one year, an appropriate security reduction shall be made in order to take account of the decreasing remaining term of the contract, up to a limit of 100 vH for contracts With a residual maturity of 90 days or less;

3.

the insurance contract has a minimum notice period of 90 days;

4.

the insurance contract does not include any exclusion clauses or limitations in the event of a supervisory intervention, or clauses that prevent a credit institution from failing to have the credit institution, its bulk manager or any person with -related tasks for damages or expenses incurred by the credit institution, with the exception of events which have occurred after the opening of a bankruptcy procedure, if the insurance contract has been subject to fines, Penalties, damages or similar payments made by the credit institutions, are excluded for supervisory intervention;

5.

for the calculation of the risk-reducing effect of insurance, the coverage shall be in a comprehensible and consistent relationship to the probability of loss and loss of loss, as in the case of the calculation of the risk Minimum resource requirements for operational risk are used;

6.

the insurance has to be granted by a third party, or in the event that the insurance is provided by captives or affiliated companies, the insured risk shall be transferred by reinsurance, which in turn shall be the subject of the Approval requirements according to § 2 VAG are fulfilled and

7.

the framework for the recognition of insurance contracts shall be justified and documented.

(2) In any event, the methodology for the consideration of insurance contracts shall take account of the following factors by means of deductions or setbacks:

1.

The remaining term of the insurance contract, provided that it is less than one year, in accordance with paragraph 1 (2);

2.

the periods of notice applicable to the insurance contract, provided that they are less than one year; and

3.

the insecurity of payment and incongruities in the risks covered by the insurance contracts.

Part 4

Types of risk according to § 22o (2) BWG

1. Main item

Trading book

Section 1

General

Trade View

§ 195. Credit institutions holding positions for commercial purposes shall comply with the following requirements:

1.

There shall be a trade strategy approved and documented by the business managers for these positions, which shall also include the expected duration of the holding;

2.

there are regulations and procedures for the active control of the positions which, in any case, the requirements according to lit. a to e have to be fulfilled:

a)

the positions are received at a trading table;

b)

Position limits should be defined and their adequacy should be regularly monitored with regard to the established trade strategy;

c)

Traders can enter and control independent positions within the limits of the specified limit and the defined strategy;

d)

reporting of positions to management shall be an integral part of the credit institution's risk management system; and

e)

Positions shall be monitored using market information sources with a view to their marketability or the possibility of hedgating the positions or risks of individual components of the positions; in particular, this assessment shall be carried out by: The quality and availability of market information for the valuation process, the volume of sales in the market and the size of the positions that are tradable in the market, and

3.

there are clearly defined rules of conduct and procedures for monitoring the positions held by the credit institution, in accordance with the trade strategy, including the monitoring of turnover.

Trading book mapping

§ 196. (1) Credit institutions shall have appropriate principles and processes to identify the positions to be attributed to the trading book for the calculation of the minimum resource requirement. The observance of these principles and processes must be documented and monitored regularly.

(2) Credit institutions shall have clear procedures and procedures for the management of the entire trading book, in particular:

1.

the activities which are regarded as trading and for the calculation of the minimum resource requirement as part of the trading book;

2.

the extent to which a position can be assessed on a daily basis at market prices, with reference to an active market which is sufficiently liquid from the buyer and seller's point of view;

3.

the extent to which a position evaluated at model prices

a)

all significant risks of the position can be identified,

b)

all significant risks of the position can be secured by means of instruments for which there is an active market which is sufficiently liquider from the buyer and seller, and

c)

Reliable estimates of the most important assumptions and parameters used in the evaluation model can be derived;

4.

the extent to which credit institutions are able and obliged to carry out assessments for positions which can be validated externally in a consistent manner;

5.

the extent to which the credit institution is hampered by legal restrictions or technical requirements to carry out a short-term divestment or hedging of the position;

6.

the extent to which the credit institution is in a position and is obliged to actively manage the position within its trading activities; and

7.

the extent to which the credit institution is able to transfer risks or positions between the trading book and the non-trading book and the criteria for such rebookings.

(3) Credit institutions may treat positions as shares or debt instruments in accordance with Article 23 (3) (3) (3) and (4) of the BWG if the credit institution is an active market maker in these positions and if the credit institution has adequate systems and controls for trading in such positions. Eligible regulatory capital instruments.

(4) Credit institutions may, by means of futures trading, and similar transactions not shown in the trading book, in the determination of the minimum capital requirement in the trading book when all securities and similar transactions of this type are treated in such a way. For the purposes of this provision, trading in related securities transactions or similar transactions shall be those which satisfy the requirement in accordance with Section 22n (2) of the BWG and § 195, and where both sides of the transaction are either consist of cash payments or securities which are eligible for consideration in the trading book. Irrespective of where they are allocated, all securities and similar transactions shall be subject to the counterparty default risk in the non-trading book.

Internal backup operations

§ 197. (1) An internal hedging business shall be a position serving the credit institution for the substantial or complete hedging of one or more non-trading book positions. Positions resulting from the internal security business are to be attributed to the trading book if they are held with commercial intent, which satisfy the conditions in accordance with § 195, the valuation rules according to § § 198 to 202 are complied with and

1.

the internal hedging transaction is not primarily used to reduce the minimum requirement for own resources;

2.

the internal security business is adequately documented and is subject to specific internal approval and a review process;

3.

the internal security business is carried out on market conditions;

4.

the market risk resulting from internal hedging is dynamically controlled in the trading book within the permitted limit; and

5.

the internal security business is monitored by means of appropriate procedures.

(2) The allocation in accordance with paragraph 1 shall have no effect on the determination of the minimum property requirement applicable to the non-trading book side of the internal security business.

(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, this requirement for the determination of the minimum requirement of own resources shall be deemed to be secured only if the credit derivative has been purchased by a recognised collateral provider and meets the requirements of § 116 in relation to the claim to be secured. 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 hedging of the credit derivative can be taken into account in the determination of the credit Minimum mean requirement for the trading book is taken into account.

Section 2

Assessment methods

Valuation at market prices

§ 198. Credit institutions shall assess each position assigned to the trading book at market prices at least on a daily basis in accordance with Section 22n of the BWG. The position assessment has to be based on smooth-setting prices, which are obtained from independent sources.

Model Price Rating

§ 199. (1) Credit institutions shall carry out an evaluation at model prices if a direct valuation 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 another way using market data (market risk factors).

(2) Credit institutions shall meet the following requirements in the assessment of model prices:

1.

The managers know the parts of the trading book for which model prices are used and are informed of the inaccuracy resulting from the risk/return reports;

2.

Market data used for the evaluation of model prices must, where possible, come from the same sources as market prices in accordance with § 198; the appropriateness of the model parameters and the market data used for the evaluation of a particular model. position is to be checked regularly;

3.

Credit institutions shall have access to the market valuation methods of financial instruments or goods where they are available;

4.

a model developed by the credit institution itself must be based on appropriate assumptions; these assumptions must have been reviewed and assessed by sufficiently qualified entities not involved in the development process of the valuation model; , the development or acceptance of the model shall be carried out independently of the commercial division; the review of the evaluation model shall be carried out by an independent body and shall in particular have the technical and technical implementation of the model and the evaluation of the underlying mathematical formulae;

5.

Credit institutions shall have adequate procedures for the control of changes to the model; a security copy of the model prior to the change has been retained and used in the introduction of the change to be used to review the assessments verify;

6.

risk management has to know the weaknesses of the chosen models and to take appropriate account of the results of the evaluation; and

7.

the evaluation procedure shall be reviewed regularly with regard to the sufficient accuracy of the results of the model; this review shall, in particular, assess the continuous appropriateness of the underlying assumptions, a profit- and loss analysis in relation to changes in the relevant risk factors and a comparison of the actual smooth-setting prices with the model results.

Independent pricing review

§ 200. In addition to the daily market or model valuation, credit institutions shall have, where appropriate, more frequent, depending on the type of trading business, a price check with regard to the adequacy and independence of the credit institutions. To carry out an assessment to be carried out by a body independent of the trade (Front Office). If no independent market sources are available or the sources for pricing are subjective, credit institutions shall carry out a prudent valuation that shall take into account valuation reserves. The daily market valuation can be carried out by traders.

Valuation adjustments or reserves

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

(2) For positions whose liquidity is limited by market conditions or for internal reasons, the rules laid down in paragraph 1 also have the time required to secure positions, volatility and the average. Amount of money/letter margins, the availability of market quotations including the number and identity of market makers (§ 56 para. 1 BörseG), the average size and volatility of the trade volume, the market concentration, the ageing of positions, the extent to which the evaluation is based on models, and the The impact of further model risks should be taken into account.

(3) The credit institution shall review the need for valuation adjustments or reserves if an assessment is made at model prices or by third parties.

(4) The credit institution shall withdraw from own funds valuation adjustments or reserves in the current financial year, which result in significant losses, in accordance with Section 23 (13) (2) of the Federal Elections Act (BWG).

(5) The credit institution shall have profits and not significant losses arising from valuation adjustments or reserves;

1.

to be included in the calculation of net trading book profits, or

2.

to add, add or withdraw the supplementary own resources which, within the meaning of this paragraph, are intended to lay down the minimum requirement of own resources for market risks.

(6) If the valuation adjustments and reserves exceed those in accordance with the relevant accounting rules, the overshooting part shall be dealt with in accordance with paragraph 4 if these result in significant losses, and in all other cases, to apply the overshooting part (5).

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.

in writing, rules and procedures for the evaluation process;

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.

Section 3

General provisions on position risk

Offset of positions and currency translation

§ 203. (1) The surplus of the purchasing positions of the credit institution over its sales positions as well as the selling positions on the purchasing positions in the same substance values, debt securities, convertible bonds in accordance with section 174 (1) of the German Stock Corporation Act 1965. AktG, BGBl. N ° 98/1965 in the version BGBl. I n ° 120/2005, financial futuries, options and warrants is its net position in each of these instruments. In the calculation of the net position by the credit institution, the positions in derivative instruments shall be treated as positions of the underlying or the fictitious securities in accordance with the procedures set out in § 204 (1) to (4).

(2) In accordance with Section 174 (1) of the German Stock Corporation Act (AktG) convertible bonds are to be recorded as substance value positions and can be charged against shares in which the conversion right exists, if:

1.

The period up to that date on which shares may be converted for the first time, is less than three months, or, if a change has already been made, the period until the next possible conversion is less than one year; and

2.

the convertible bond is traded at a premium of less than 10 vH; the premium is calculated from the market price of the convertible bond minus the market price of the share to which can be converted, expressed as a percentage of the market price of the stock. Market price of the share.

(3) In order to calculate the general position risk, credit institutions may set up similar buying and selling positions in instruments derived from interest-dependent base instruments (derivative interest positions), if the following requirements are met: (Matched-Pairs-Approach):

1.

The positions shall be denominated in the same currency;

2.

the reference rates for positions in interest-rate instruments or the nominal interest rates at positions in interest-fixed instruments shall be covered; the coverage shall be equal if the reference rates of interest for interest-rate instruments or the Nominal interest rates for interest-rate instruments deviate by a maximum of 15 basis points from each other;

3.

the next interest-rate setting dates for interest-rate instruments or the remaining maturities of interest-fixed instruments correspond to one another within the following limits:

a)

in the case of periods of less than one month: the same day;

b)

in the case of a period of one month to one year: seven days;

c)

for periods of more than one year: 30 days.

(4) Credit institutions shall identify the net positions in the original currency. After that, the net positions are to be converted into euros for the respective foreign exchange rate.

Treatment of derivatives

§ 204. (1) Credit institutions shall have, in order to determine the position risk, interest-rate contracts, forward-rate agreements and forward-rate transactions in relation to the purchase or sale of debt instruments as a combination of purchase and purchase; and To handle sales positions. In this case, the following steps shall be taken according to Z 1

1.

A purchase position in a Zinstermin contract is a combination of a borrowing due on the delivery date of the futures contract and the holding of an asset with a maturity date corresponding to that of the basic instrument or the the underlying fictitious position;

2.

A sold-interest mine is to be treated as a purchase position with a maturity date corresponding to the settlement date plus the contract period, and to treat as a sales position with a maturity date to which the sale position is the settlement date;

3.

A term for the purchase of a debt instrument shall be treated as a combination of a borrowing due on the delivery date and a (kassa) purchase position in the debt instrument itself.

(2) Swaps are to be treated as fictitious balance-sheet instruments.

(3) Options, unless they are dealt with under the scenario matrix method, shall be treated as positions whose value corresponds to the value of the underlying instrument after it is used for the calculation of the position risk with its Delta factor multiplied. This also applies to warrants. The positions calculated may be offset against any opposite position in the same underlying security or derivative instrument.

(4) Credit institutions shall apply recognised procedures to cover the other risks associated with options (gamma and Vega risk), and shall be based on the calculation of the minimum own-resource requirement.

(5) In the determination of the sensitivities (delta, gamma and Vegafactor) referred to in paragraphs 3 and 4, the credit institutions for similar options are subject to empirical mathematical procedures in accordance with market conditions. to use appropriate computerised options assessment models. These models are to be reported to the FMA and the Oesterreichische Nationalbank without delay, with a detailed and comprehensive description.

(6) The credit institution shall be based on the nominal value of the credit derivative contract for credit derivatives. For the determination of the minimum resource requirement of the specific position risk, the term of the credit derivative shall be used, with the exception of the total return swaps, and shall not be the maturity of the liability. In the determination of the minimum resource requirement for the general and specific position risk of the party taking over the credit risk (security provider), the positions shall be determined as follows:

1.

a total return swap represents a purchase position with respect to the reference position, for which the minimum requirement for own resources is to be determined for the general and the specific position risk and a sales position in the form of a fictitious the government bond with a maturity up to the next interest rate date for which the minimum resource requirement for general position risk is to be determined;

2.

in the case of a credit default swap, the specific position risk for a synthetic purchase position in relation to a liability in the reference position shall be determined; if the product is subject to bonuses or interest payments, these cash shall be: To represent flows as fictitious positions in a government bond, with the corresponding fixed interest rate or variable interest rate; alternatively, a purchase position in the credit derivative can be accepted if a credit default swap is rated , and the requirements for a qualified debt instrument in accordance with § 207 (3) are fulfilled;

3.

A single name Credit Linked Note presents a purchase position in the form of a bond with the issuer of the credit linked note, for which the general and specific position risk is to be placed, and a synthetic purchasing position referred to the liability of the reference unit for which the specific position risk is to be placed; alternatively, only the specific position risk for a purchase position of the note can be determined, if the single name Credit Linked Note a credit rating and the requirements for a qualified debt securities in accordance with § 207 (3) are fulfilled;

4.

A Multiple Name Credit Linked Note, which provides a pro-rata security, is presented in relation to the specific position risk in addition to the purchase position of the note as a position in each reference unit, with the nominal value of the contract to the individual positions in accordance with their share of the total nominal value of the contract; this proportion shall be determined as the ratio of the nominal value of the liability of a reference unit to the nominal value of the contract whole basket. Where more than one liability of a reference unit may be selected, the liability with the highest risk weight shall determine the specific position risk; in this case, the maturity of the credit derivative contract and not the maturity shall be determined. , as an alternative, if a Multiple Credit Linked Note has an external credit rating and it meets the conditions for a qualifying debt under Article 207 (3), it may be used to determine the specific position risk of a single purchase position in relation to the issuer of the credit the linked note;

5.

a first-asset-to-default credit derivative is a position at the level of the nominal value in relation to a liability to each reference unit of the credit derivative; is the minimum resource requirement for the specific credit derivative Position risk for this position is higher than the maximum credit event payment, the maximum amount of payment may be used as a minimum own resource requirement for the specific position risk of a first-asset-to-default credit derivative ,

6.

one n th -An asset-to-default credit derivative positions a position at the level of the nominal value in relation to a liability to any reference unit of the credit derivative belonging to the basket, minus the n-1 liabilities Reference units that provide the lowest minimum resource requirement for the specific position risk; is the minimum resource requirement for the specific position risk for this position higher than the maximum amount of the maximum Credit event payment, the maximum amount of payment may be Minimum mean requirement for the specific position risk of an n th -asset-to-default credit derivatives are used; and

7.

is for a first-asset-to-default credit derivative or an n th -An asset-to-default credit derivative is a credit rating and the requirements for a qualified debt instrument in accordance with § 207 (3) are met, the minimum requirement of own resources may be calculated for the specific position risk, which is the rating of the Derivative.

(7) For the party that 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 Reference to the issuer does not create a position of sale in a mirror-inverted manner to those of the guarantor referred to in paragraph 6. If, at a given point in time, a right of termination exists in connection with a cost increase clause, it shall be regarded as the due date of the security. For a credit derivative which can be used as soon as a credit event has entered a credit event for the nth time and that credit event terminates the contract, the credit institution may, as a collateral taker, have the specific Calculate the position risk with the minimum requirement of own resources for the specific position risk.

Exposure risk of repurchase agreements and securities lending

§ 205. In the case of repurchase transactions and securities lending transactions in the trading book, credit institutions shall have the securities and claims on transferable securities in the transferable or lending side in the calculation of the general and specific position risk.

Section 4

Special provisions concerning the risk of exposure

General and specific position risk

§ 206. The position risk in interest-related instruments and substance values includes the specific and the general position risk. Where:

1.

The specific position risk is the risk of a price change of a security on the basis of factors attributable to the issuer or, in the case of a derivative instrument, to the issuer of the underlying instrument, and

2.

the general exposure risk is the risk of a price change of a position that is

a)

Interest-rate-related instruments for a change in interest rate levels and

b)

Substantial values are due to a general movement in the stock market, and these factors are not related to the specific characteristics of individual securities.

Specific position risk in interest-related instruments

§ 207. (1) Credit institutions shall have the net positions determined in accordance with Section 203 (1) and the funds provided on the money market into the respective category of the following table on the basis of the issuer and debtor, the external or internal To classify the credit score and the remaining term, 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.

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 or 2 under the credit risk standard rate;

Other qualified positions within the meaning of paragraph 6

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 that would be assigned credit ratings 3 or 4 under the credit risk standard rate;

Claims for which there is no credit rating of a recognised rating agency.

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

(2) Credit institutions shall have the option to identify the specific position risk:

1.

purchasing and selling positions in their own emissions,

2.

deposits received in the money market,

3.

the refinancing of positions of the trading book; and

4.

Derivatives based on basic instruments without issuers.

(3) Credit institutions using the internal credit rating approach may use an internal credit rating for the assignment of issuers and debtors to a credit rating class in order to carry out a weight distribution in accordance with paragraph 1, provided that the PD of the internal credit rating is less than or equal to that of the PD corresponding to the credit rating class in question for exposures to enterprises in accordance with the credit risk standard rate.

(4) Credit institutions shall have debt securities issued by non-qualifying issuers to assign a weight of 8 vH or 12 vH in the calculation of the specific position risk in accordance with paragraph 1.

(5) For securitisation positions which:

1.

shall be subject to a capital withdrawal pursuant to Section 23 (14) (8) of the BWG; or

2.

risk-weighted according to § 161 with 1 250 vH;

the minimum requirement for own resources should not be lower than if Z 1 or 2 were applied. For non-routed liquidity facilities, the own resources requirement may not be less than that which follows in accordance with § § 156 to 179.

(6) Other qualified positions as referred to in paragraph 1 are:

1.

purchasing and selling positions for which a credit rating of a recognised credit rating agency is available, which is at least investment grade within the credit risk standard rate;

2.

purchasing and selling positions, the probability of failure of which, based on the solvency of the issuer, is not greater than that of the positions referred to in Z 1, in the context of the approach based on the internal credit rating;

3.

Purchase and sales positions for which a credit rating of a recognised rating agency is not available and which meet the following conditions:

a)

they are sufficiently liquid;

b)

its investment quality is at least equivalent to that of the positions referred to in Z 1;

c)

they are traded on a recognised stock exchange according to § 2 Z 32 BWG and

4.

Purchase and sales positions issued by institutions that meet the following conditions:

a)

they are sufficiently liquid and

b)

its investment quality is at least equivalent to that of the positions referred to in Z 1; and

5.

securities issued by credit institutions, the credit quality of which would be equivalent to at least credit level 2 in accordance with the credit risk standard rate, and subject to prudential and regulatory requirements applicable to those of the Community; are at least equivalent.

General position risk in interest-related instruments

§ 208. (1) Credit institutions shall calculate the general position risk in interest-related instruments in accordance with paragraph 3, or on the basis of the modified duration in accordance with paragraph 4.

(2) The minimum own resources requirement shall be calculated separately for each currency.

(3) If the general position risk is determined in time-related terms, the procedure comprises three basic steps. First, all positions according to their duration are to be weighted according to Z 1. In the second step, the positions are to be compensated for when weighted positions with opposite signs are opposite each other within the same transit time band. In the third step, a position compensation takes place in the zones when the weighted positions with opposite signs fall into different transit time bands, the extent of the compensation depending on whether the two positions in the zones are in the form of a two-phase position compensation. the same zone (zone: group of maturity bands) or fall into different zones. In particular, credit institutions shall act as follows:

1.

Credit institutions shall classify their net positions in the corresponding maturity bands of the table in accordance with Z 4; in the case of interest-fixed interest-related instruments, the remaining maturity and, in the case of interest-related interest-related instruments, the period up to the next, the credit institution must also distinguish between interest-related instruments with a nominal interest rate of 3 vH or more and those with a nominal interest rate of less than 3 vH, and in accordance with the nominal interest rate, the second or third column of the table in accordance with Z 4, multiplied by each interest-rate instrument with the weight indicated in the fourth column of the table in accordance with Z 4 for the maturity band concerned;

2.

then, for each maturity band, credit institutions shall determine the sum of the weighted purchasing positions and the sum of the weighted sales positions; the weighted purchasing position within a given maturity band by the weighted sales position is the balanced weighted position in that tape, while the remaining purchase or sales position represents the unmatched weighted position for the same maturity band; then the total balance of the weighted weighted positions of all Calculate the maturity bands;

3.

Calculation of the positions in the respective zones:

a)

credit institutions shall calculate the total amounts of unmatched weighted purchasing positions for each maturity band in each of the zones of the table in accordance with Z 4, in order to maintain the unmatched weighted purchasing position for each zone;

b)

credit institutions shall calculate the total amounts of unmatched weighted sales positions for each maturity band in each of the zones of the table in accordance with Z 4, in order to maintain the unmatched weighted sales position for each zone;

c)

that part of the unmatched weighted purchasing positions of a zone which is offset by the unmatched weighted sales position for the same zone, is the balanced weighted position of that zone;

d)

that part of the unmatched weighted purchasing position or the unmatched weighted sales position of a zone that does not come after lit. c is the unbalanced weighted position of this zone;

4.

the following zones and maturity bands shall be provided:

Zones

Runtime tapes

Weight
(in vH)

Assumed interest rate change (in vH)

Nominal interest rate of 3 vH or more

Nominal interest rate less than 3 vH

Column

(1)

Column

(2)

Column

(3)

Column

(4)

Column

(5)

Zone

One

up to 1 month

over 1 up to 3 months

over 3 up to 6 months

over 6 up to 12 months

up to 1 month

over 1 up to 3 months

over 3 up to 6 months

over 6 up to 12 months

0.00

0.20

0.40

0.70

-

1.00

1.00

1.00

Zone

Two

over 1 up to 2 years

over 2 up to 3 years

over 3 up to 4 years

over 1.0 up to 1.9 years

over 1.9 up to 2.8 years

over 2.8 up to 3.6years

1.25

1.75

2.25

0.90

0.80

0.75

Zone

Three

over 4 up to 5 years

over 5 up to 7 years

over 7 up to 10 years

over 10 up to 15 years

over 15 up to 20 years

over 20 years

over 3.6 up to 4.3 years

over 4.3 up to 5,7 years

5,7 to 7,3 years

over 7,3 up to 9,3 years

over 9,3 to 10,6 years

from 10.6 to 12.0 years

From 12.0 to 20.0 years

over 20.0 years

2.75

3.25

3.75

4.50

5.25

6.00

8.00

12.50

0.75

0.70

0.65

0.60

0.60

0.60

0.60

0.60

5.

then the amount of the unmatched weighted buying or selling position in zone one which is offset by the unmatched weighted sale or purchase position in zone two shall be calculated; this shall be determined in accordance with Z 9 as weighted weighted position between zones one and two; then the same arithmetic operation is performed for that part of the unmatched weighted position in zone two that is left and the unmatched weighted position Position in Zone Three carried out to balance the weighted position between zones Two and Three;

6.

Credit institutions may reverse the order in accordance with Z 5 and first calculate the weighted weighted position between Zone two and three before calculating the corresponding position for zones one and two;

7.

the balance of the unmatched weighted position in zone one shall be balanced by the residual amount for zone three, after the latter zone has been balanced with zone two, in order to achieve the balanced weighted position between zones one and the other three to be identified;

8.

the remaining positions from the three separate compensation accounts under Z 5 to 7 shall be added;

9.

the minimum requirement of own resources shall be calculated as the sum of the positions referred to in lit. a to g:

a)

10 vH of the sum of the balanced weighted positions in all maturity bands,

b)

40 vH of the balanced weighted position in Zone One,

c)

30 vH of the balanced weighted position in zone two,

d)

30 vH of the balanced weighted position in Zone Three,

e)

40 vH of the balanced weighted positions between zones one and two and between zones two and three (according to Z 5),

f)

150 vH of the balanced weighted position between zones one and three and

g)

100 vH of the remaining balance of unmatched weighted positions.

(4) Where the general position risk in interest-related instruments is determined according to a system based on the duration of the duration, credit institutions shall act in a uniform manner as follows:

1.

Credit institutions shall, on the basis of the market price of the individual instruments with fixed interest, calculate their final maturity return, which shall at the same time correspond to the internal rate of interest of the instrument; for instruments with variable interest rates is to calculate, on the basis of the market price of each instrument, its yield on the assumption that the capital becomes due as soon as the interest rate for the subsequent period may be changed;

2.

Thereafter, credit institutions shall calculate the modified duration of each instrument according to the following formula:

Duration (D):

where:

R the final return on maturity (according to Z 1)

C T the cash payments in the period t

M the total remaining term (according to Z 1);

3.

These instruments must then be assigned to the respective zones of the following table, based on the modified duration of the instruments:

Zone

Modified Duration

Assumed interest rate change (in vH)

1

0-1.0

1.0

2

over 1,0-3,6

0.85

3

over 3.6

0.7

4.

subsequently, the duration-weighted position of each instrument shall be determined by multiplying its market price by the modified duration and by the change in interest rate adopted for the zone concerned;

5.

Credit institutions shall determine their durations weighted purchase positions and their durations weighted sales positions within each zone; the amount of the durations weighted purchase positions against the amount of the durationweighted sales positions within each zone shall be the balanced durations-weighted position for that zone, and the non-balanced duration-weighted position shall be calculated for each zone, followed by the procedure for non-equilibrium the weighted positions referred to in paragraphs 3, Z 5 to 8;

6.

the minimum requirement of own resources shall be calculated as the sum of the positions referred to in lit. a to d:

a)

2 vH of the balanced duration-weighted position for each zone,

b)

40 vH of the balanced durations weighted positions between zone one and zone two as well as between zone two and zone three,

c)

150 vH of the balanced duration-weighted position between Zone One and Zone Three and

d)

100 vH of the residual amount of the unbalanced durations weighted positions.

Specific and general position risk in substance values

§ 209. (1) Credit institutions shall add all the net and net sales positions determined in accordance with § 203 into substance values. The sum of the two resulting figures gives the gross overall position of the credit institution. The net total position is, separately for each national stock market, the sign-neutral difference between net and net sales position in substance values.

(2) The minimum requirement of own resources for the specific position risk in substance values is 4 vH of the overall gross position. This percentage is reduced to 2 vH for those substance values which meet all of the following requirements:

1.

The substance values are derived from a company that has issued exchange-traded debt securities that are less than 8 vH in the specific position risk;

2.

the substance values must be highly liquid; the highly liquid shall be subject to substance values contained in an index of the most traded titles published by a recognised stock exchange;

3.

the substance values may not present a particular risk due to the issuer's lack of creditworthiness, and

4.

no single position shall exceed 5 vH of the total value of the portfolio in substance values of the credit institution; this percentage shall be increased for individual items to 10 vH, provided that the total value of these positions 50 vH of the total portfolio does not exceed the values of the substance.

(3) The minimum requirement of own resources for the general exposure risk in substance values shall be 8 vH of the net total positions determined in accordance with paragraph 1.

General and specific position risk in stock index futures contracts

§ 210. (1) Share index futures and the deluded countervalues of stock index futures contract options and share index options, all of which are referred to below as stock index futures, may be included in the individual substance values of the index or be treated as a separate item. An offsetting of opposite positions in stock index futures contracts is permitted for identical indices and for agreement of maturity. The consistency of the term shall be within the following limits:

1.

in the case of periods of less than one month: the same day;

2.

for periods of between one month and one year: seven days and

3.

for more than one year: 30 days.

(2) If stock index futures contracts are broken down into the individual substance value positions, they can be offset against opposite positions in the same substance values. The minimum requirement of own resources for the risk that the value of the stock-index futures contract does not evolve completely in the same way as the underlying substance value is 0.5 vH, which is balanced after the index has been broken down. Location.

(3) Where a stock index futures contract is treated as a separate substance value position, the minimum requirement of own resources for the general and specific position risk shall be calculated in accordance with § 209. By way of derogation, if the specific position risk is determined, those stock-index futures contracts shall not be used which have the ATX (Austrian Traded Index) trading index of the Vienna Stock Exchange or indices as a basic instrument, which shall be based at least on the basis of 20 values traded on a recognised stock exchange. These stock-index futures contracts shall only be included in the net total positions.

Investment fund shares in the trading book

§ 211. (1) Credit institutions shall determine the minimum requirement for own funds in accordance with para. 2 to 9 for investment fund shares which meet the requirements for the assignment to the trading book in accordance with Section 22n of the BWG.

(2) The minimum resource requirement for the general and specific position risk for an investment fund share is 32 vH of the market value of the investment fund part. The minimum requirement of own resources for the general and specific position risk as well as for the foreign currency risk shall be no more than 40 vH of that amount. For credit institutions which calculate the minimum requirement of own resources for the general and specific position risk referred to in paragraphs 4 to 6, the sum of the amounts thus determined shall not be subject to the minimum requirement for own resources referred to in sentence 1. .

(3) The formation of net positions between the positions on which the investment fund is based and other positions of the credit institution is not permitted, insofar as nothing else is determined.

(4) Credit institutions may calculate the minimum requirement of own resources for the general and specific position risk referred to in paragraphs 6 to 8, if:

1.

the investment shares are issued by a company established in an EEA Member State;

2.

the prospectus of the investment assets or an equivalent document shall include the following information:

a)

all categories of assets to which investment assets may be invested;

b)

where investment limits exist for investment in certain categories of property, the relative limits and the methods used to calculate those limits;

c)

if leverage (leverage) is allowed, the maximum allowed lever and

d)

where investments in OTC instruments or repurchase transactions are permitted similar transactions, a strategy to limit the risk of counterparty loss arising therefrom,

3.

a half-yearly and annual report on investment assets, on the basis of which the assets and liabilities, income and business activities can be assessed during the reporting period;

4.

the investment shares shall be repayable on a daily basis and at the request of the investor from the assets of the investment assets;

5.

the investment property is separate from the assets of the company; and

6.

the credit institution shall ensure an appropriate risk assessment of the investment assets.

(5) The minimum requirement of own resources for the general and specific risk of exposure of investment fund shares from third countries may be calculated in accordance with paragraphs 6 to 8 if the requirements set out in paragraph 4 (2) to (6) are met and if the requirements for Investment fund has given its consent.

(6) If the credit institution is aware of the actual composition of the investment property in which it is involved through an investment fund part, the minimum requirement of own resources for the general and specific position risk is defined in accordance with § § 203 to be determined on the basis of the actual composition of the investment assets, up to 210 or with the approval of the FMA in accordance with Section 22p of the BWG. An offset between the positions in assets on which the investment fund share is based and other positions held by the credit institution shall be allowed, provided that the credit institution has a sufficient number of assets. Investment fund shares to ensure a redemption in exchange for the underlying assets.

(7) Credit institutions may require the minimum requirement of own resources for the general and specific position risk according to § § 203 to 210 or with the approval of the FMA pursuant to Section 22p of the Federal Elections Act, on the basis of the composition of the externally generated index or of a determine the fixed basket of shares or debt instruments if:

1.

the objective of the investment assets is to emulate the composition and the performance of an externally generated index or a fixed basket of shares or debt securities (Exchange Traded Fund); and

2.

the correlation coefficient between the daily price movements of the investment share and the index or basket of shares or debt instruments to be followed up by the investment component over a minimum period of six months at least 0.9 ; the correlation coefficient shall be calculated on the basis of daily yields between the Exchange Traded Fund and the index or basket of shares or debt instruments which it reflects.

(8) Where a credit institution is not aware of the actual composition of the investment capital on a daily basis, the credit institution may, in accordance with § § 203 to 210 or with the minimum requirement of own resources for the general and specific position risk, be Approval of the FMA according to § 22p of the Federal Elections Act in the following way:

1.

Investment assets shall first be invested in the category of property, up to the maximum permitted in the prospectus or an equivalent document, which shall be the minimum requirement of own resources for the general and specific position risk; then this step should be repeated in descending order until the maximum overall position limit is reached; the positions in the investment fund share will be like a direct investment in the adopted positions and

2.

if a leverage effect is allowed, it shall be taken into account by taking the positions in the investment fund part in proportion to the maximum risk in relation to the accepted investment components which, in accordance with the provisions of the prospectus or equivalent, are equivalent to those of the Document specified ceilings shall be increased.

(9) Credit institutions may use third parties in the calculation of the minimum resource requirement for the general and specific position risk for investment fund shares, if the correctness of the calculations and their reporting are secure .

Specific position risk of trading book positions secured by credit derivatives

§ 212. (1) Where a trading book position is collateralised by a credit derivative, the minimum requirement of own resources shall be determined for the specific position risk for both positions.

(2) A full set-off of the specific position risk, so that for each side of the position the minimum requirement of own resources for the specific position risk is zero, shall be allowed if the values of the two positions are always in developing in the opposite direction and generally in the same extent.

(3) To the extent to which risk is transferred with the transaction, a transfer of 80 vH from the minimum own resources requirement may be applied to the specific position risk of the position resulting in the higher minimum own-resource requirement. The minimum requirement of own resources for the specific position risk of the contra-oriented position shall be zero if:

1.

the values of the two position sides always develop in the opposite direction;

2.

there is an exact match between the reference position and the position to be visited;

3.

credit derivative and collateralised position have identical maturity dates;

4.

the credit derivative and the position to be visited are denominated in the same currency; and

5.

the main characteristics of the credit derivative contract do not result in the course movement of the credit derivative substantially deviating from the course movement of the position to be visited.

(4) A partial offsetting in the sense that only the specific position risk is taken into account for the position which results in the higher minimum requirement of own resources and the specific position risk of the counter-aligned position is set to zero, if the value of the two position pages is usually in the opposite direction.

Takeover guarantees

§ 213. (1) Credit institutions shall be subject to the acquisition of takeover guarantees in respect of securities at the level of the net position as a purchase position in the relevant securities. The net position is calculated on the basis of the gross position minus the securities which have been transferred by third parties on the basis of a written agreement. For takeover guarantees in the context of a public offer pursuant to § 1 Section 1 (1) Z 1 Capital Market Act-KMG, BGBl. No 625/1991 in the BGBl version. I n ° 48/2006, is the weighted net position. This calculation is calculated from the multiplication of the net position with the following weights:

1.

from the date of delivery of the takeover guarantee to the end of the working day zero: 5 vH;

2.

on the first working day: 10 vH;

3.

on the second and third working days: 25 vH;

4.

on the fourth working day: 50 vH;

5.

on the fifth working day: 75 vH;

6.

from the sixth working day: 100 vH.

(2) The first working day referred to in paragraph 1 (2) shall be that working day on which the credit institution has made the full commitment to take over a certain amount of securities at an agreed price.

Resolution Risk

§ 214. Credit institutions shall have, in the case of transactions in debt securities, substance values, foreign currency and goods other than repurchase transactions and reverse repurchase agreements, and securities and commodities lending and borrowing operations, which shall be subject to the the delivery date has not yet been processed, the minimum requirement of own resources shall be calculated as follows. In a first step, the difference between the agreed settlement price and the current market price of the securities, foreign currency, or goods shall be calculated. The minimum requirement of own resources shall be the sum of the difference amounts to be borne by the credit institution, weighted by the respective factors of the following table, with a margin of difference in favour of the credit institution in favour of the Credit institution is not allowed.

Number of working days according to the set settlement date

Weight Factor

(in vH)

5-15

8

16-30

50

31-45

75

46 and more

100

Pre-benefits

§ 215. (1) In advance, credit institutions have been provided with securities or goods

1.

have been paid prior to their receipt or delivered before receipt of the payment; and

2.

if a store is cross-border since payment or delivery has passed at least one day.

(2) The calculation of the minimum resource requirement for intermediate consumption shall be carried out in accordance with the following table.

Type of store

Up to the first contractually agreed payment or to the first contractually agreed delivery section

From the first contractually agreed payment/from the first contractually agreed delivery period up to four days after the second contractually agreed payment or the second contractually agreed delivery section

From the fifth business day after the second contractually agreed payment or the second contractually agreed delivery section to the settlement of the business

Pre-performance

No calculation of minimum own resources requirement

Treatment as a loan

Deduction of the transferred value plus the current positive amount of receivables from the own funds

(3) Credit institutions using the internal credit rating approach may, in determining the weight for claims made from unliquided transactions with counterparties, against which no other non-trading book is required; and which are to be treated in accordance with paragraph 2, column 3 of the table such as loans, the allocation of PD by means of an external credit rating. Alternatively, the weights of the credit risk standard set can be allocated if they are allocated to all corresponding claims, or a weight of 100 vH is allocated to all such claims. Credit institutions using own estimates of LGDs may use the LGD in accordance with Article 69 (1) (5) for claims arising from unliquiable transactions to be dealt with in accordance with column 3 of the above table such as loans, if this LGD is to be applied to all is being applied. If there is no significant positive amount of receivables from transactions where no delivery is made in the case of payment, credit institutions may, for those exposures, set a weight of 100 vH.

(4) Credit institutions may, in the event of a system-wide failure of a settlement or clearing system, suspend the calculation of the minimum property requirement in accordance with § 214 and § 215 (2) until the fault is resolved. For this period of time, the minimum requirement for own resources calculated most recently is decisive.

Counterparty default risk

§ 216. (1) Credit institutions shall calculate the minimum own resources requirement to cover the counterparty risk of the trading book for:

1.

Pre-benefits;

2.

unquoted derivatives and credit derivatives;

3.

Repurchase and reverse repurchase transactions, as well as securities, rental and lending operations relating to securities and commodities associated with the trading book;

4.

Credit guarantees on the basis of securities or commodities (Lombards) and

5.

Transactions with a long settlement period.

(2) The weighted exposure amounts shall be determined in accordance with the credit risk standard rate or the approach based on internal credit ratings.

(3) In calculating the weighted exposure amounts, only the use of the comprehensive method to take account of financial collateral is permitted.

(4) All financial instruments and goods which may be attributed to the trading book in accordance with Section 22n of the German Commercial Code shall be considered as collateral for the purpose of credit risk reduction in the case of pension or rental transactions that are attributed to the trading book. In the case of non-listed derivatives, goods which may be assigned to the trading book may be used as collaterals for the purpose of credit risk mitigation. For the purpose of calculating the volatility adjustment, goods or financial instruments which are not subject to § § 83 to 155 and which are awarded, sold or made available, or borrowed by means of a collateralization or otherwise, shall be , and use, for credit institutions, the volatility adjustments specified by the supervisor in accordance with § § 119 to 150, to be treated in the same way as the shares of a secondary index held by a recognised Stock exchange. In the event that credit institutions use their own volatility adjustments in accordance with § § 119 to 150 for financial instruments and goods that do not fall under the provisions of § § 83 to 150, the volatility adjustments shall be determined individually. Credit institutions that use an internal model according to § 128 may also use the model for the trading book.

(5) In the context of the use of netting framework agreements relating to pension and gluing operations on securities or commodities or other capital market transactions, the netting between positions of the trading book and of the Non-trading book allowed only if the following conditions are met:

1.

all transactions are valued daily at market rates and

2.

all positions borrowed, purchased or received within the scope of the transaction may be used as collateralisation within the framework of the internal credit rating approach without the application of paragraph 5.

(6) If a credit derivative associated with the trading book is part of an internal hedging transaction in accordance with § 197 and the collateralization may be used for the purpose of credit risk reduction in accordance with § § 111 to 118, it may be used for the position in the Credit derivative the counterparty default risk is set to zero.

Expected loss amounts for counterparty default risk

§ 217. If the minimum property requirement for the counterparty default risk is determined in accordance with § 216 with an approach based on internal credit ratings, the calculation of the expected loss amounts according to § 82 shall apply:

1.

In the sum of the value adjustments and provisions, those value adjustments may be included in the counterparty default risk in accordance with Section 216, which have been made to take account of the credit quality of the counterparty; such Value adjustments shall not be attributable to other own resource components and

2.

if the credit risk of the counterparty is properly taken into account, the expected loss amount for the counterparty default risk according to § 216 may be valued at zero.

2. Main piece

Option Risk

General

§ 218. Credit institutions may apply the scenario matrix method in accordance with § 204 (3) in conjunction with § 221 for the calculation of the minimum resource requirement for the risks associated with options (Delta, Gamma and Vegarisiko). Alternatively, credit institutions may also use the Delta Plus procedure as a simplified procedure in accordance with Section 204 (4). In this case, the minimum requirement of own resources for the risk of Deltarisiko in accordance with § 204 and the minimum requirement of own resources for the other risks associated with options (Gamma and Vegarisiko) shall be calculated in accordance with § § 219 and 220. As part of the Delta Plus procedure, the Gammarisiko and the Vegarisiko are to be recorded separately for each option position, including those for security positions. The sensitivities shall be calculated in accordance with Section 204 (5) in accordance with an appropriate option assessment model chosen by the credit institution. The gamma and Vega effects as well as the minimum own resource requirement calculated according to the scenario matrix method are to be converted into euros for the respective exchange rate exchange rate.

Gammarisiko

§ 219. (1) The gamma factor is the sensitivity of the delta factor in accordance with § 2 Z 49 BWG to price changes of the basic instrument. For the determination of the gamma risk, for each individual option the gamma effect is to be calculated according to the following equation:

where:

VB Change of the basic instrument of the option.

(2) The modification of the basic instrument of the option shall be determined as follows:

1.

Options on bonds: market price multiplied by the weight indicated in column 4 of the table in accordance with section 208 (3) Z 4;

2.

Options for other interest-related instruments: the change in interest rates indicated in column 5 of the table in accordance with Article 208 (3) (4), expressed in base points;

3.

Options for substance values, foreign currencies and gold: market price multiplied by 0,08 and

4.

Options on goods: market price multiplied by 0.15.

5.

For options on foreign currencies, the market price may be used multiplied by 0.04 for balanced underlying positions in closely related currencies in accordance with Section 223 (2) (2) (2).

(3) The volume in accordance with the formula of paragraph 1 shall be specified as follows:

1.

Options on bonds: Nominal divided by 100;

2.

Options for other interest-related instruments: Nominal;

3.

Options on substance values: number of pieces; and

4.

Options on foreign currency and gold: Nominal.

(4) The individual gamma effects are, depending on the basic instrument, assigned risk categories. The following shall be taken as follows:

1.

The gamma effects of options, the base instruments of which are borrowings or other interest-related instruments, shall be applied to the maturity band method according to the maturity bands of column 2 of the table in accordance with Section 208 (3) (4) (4) or in the case of the application of the (a) to be combined after the Duration bands of column 2 of the table in accordance with Section 208 (4) (3) (3);

2.

the gamma effects of options, the basic instrument of which are substance values, are to be grouped separately according to national markets;

3.

the gamma effects of options whose basic instrument are foreign currencies or gold are to be combined for equal currency pairs or equal currency/gold pairs; and

4.

the gamma effects of options whose basic instrument are commodities are to be taken together for all the option transactions related to the same goods.

(5) Each option on a basic instrument has either a positive or a negative gamma effect. The individual gamma effects are to be added within a risk category, so that for each risk category either a positive or negative net-gamma effect is obtained. Only the negative net-gamma effects are included in the calculation of the minimum own-resource requirement.

(6) The minimum resource requirement for the gammarisiko is the sum of the absolute amounts of negative net gamma effects.

Vegarisiko

§ 220. (1) The Vega Actuator is the sensitivity of the option price to fluctuations in the volatility of the basic instrument. Purchased options have a positive, sold (written) option with a negative sign. When determining the Vegarisikos, a proportional change of 25 vH of the volatility of the basic instrument is assumed. With a sold option, the risk of the standstill is in an increase in volatility, with purchased options the risk to the option holder in the reduction of volatility. For the determination of the Vegarisikos, for each individual option the Vega effect is to be calculated according to the following equation:

(2) The elements of the formula of paragraph 1 shall be determined as follows:

1.

The volume shall be determined in accordance with Section 219 (3);

2.

the Vegafactor must be taken from the appropriate option assessment model; based on the current volatility of the basic instrument, the Vegafactor is to be calculated as an option for a volatility change of one percentage point;

3.

the relative change in volatility adopted in accordance with paragraph 1 shall be set as a value of 0.25; and

4.

The volatility shall be expressed as expressed in percentage points; for example, with a volatility of 20 vH, this value shall be 20.

(3) Within a risk category according to § 219 (4), a salting of the individual Vegarisiken may take place. The minimum requirement of own resources for the total risk of Vegarisie is equal to the sum of the absolute amounts of unbalanced vegarisms within the individual risk categories.

Scenario Matrix Method

Section 221. (1) Credit institutions may, after obtaining the consent of the FMA, also include the minimum requirement of own resources for options transactions, including the other positions of the trading book or the total currency position which are demonstrably secured by these options transactions. using a scenario matrix method. For these options transactions, the calculation of the minimum property requirement for the risk of Deltarisiko in accordance with Section 204 (3) does not apply. The other positions of the trading book or the total currency position which are demonstrably secured by these options transactions are not in accordance with the provisions for the general position risk according to § § 208 to 210 or for open positions. To deal with foreign currency positions and gold in accordance with § 223.

(2) Option transactions are to be combined in risk categories in accordance with § 219 (4), depending on the basic instrument. Options whose basic instrument are borrowings or other interest-related instruments may, by way of derogation, be combined in accordance with other criteria, provided that at least six risk categories are formed and no more than three of the risk categories in question are listed in Column 2 of the table referred to in Section 208 (3) (4) of the Table.

(3) All options transactions in the risk categories, including other items secured by these options transactions, are for different combinations at the same time as changes in the price of the basic instrument and the To reassess volatility. The following changes shall be based on the following:

1.

A change in volatility by +/-25 vH of current volatility;

2.

a change in the price of +/-8 vH for substance values, foreign currency and gold;

3.

a change in the price of +/-15 vH in the case of goods and

4.

the highest of the accepted interest rate changes in the table referred to in § 208 (3) (4), upwards and downwards in interest-related instruments.

For all risk categories, the span according to Z 1 shall be divided by at least three values, including the current value, and according to Z 2, by seven values, including the current value, into equal intervals.

(4) The minimum requirement for own resources per risk category consists of the absolute amount of the greatest loss resulting from all combinations in accordance with paragraph 3.

3. Main piece

Risk of exposure to goods and foreign currency

Minimum requirements for the risk of goods exposure

§ 222. (1) Credit institutions shall act as follows in determining the risk of goods:

1.

Any position in goods or goods subject to maintenance must be expressed in standard units. The spot price of the individual goods shall be indicated in euro;

2.

Positions in gold or gold-deposited derivatives shall be deemed to be subject to the foreign currency risk and shall be treated with a view to the calculation of market risk in accordance with § 223 or § 22p of the BWG;

3.

The calculation of the risk of goods shall be excluded from positions which are used solely for the purpose of stock financing;

4.

the interest and foreign currency risks not covered by the provisions of this provision shall be used in the calculation of the general position risk in interest-related instruments in accordance with § 208 and in the calculation of the foreign currency risk in accordance with § 223 taken into account;

5.

if the selling position is due earlier than the purchase position, the credit institution shall also have to take precautions against the risk of a supply shortage which may exist in some markets;

6.

the surplus of the buying or selling positions of a credit institution over its sale or purchase positions in the same product and in identical commodity futures, options and warrants shall be its net position within the meaning of paragraph 15 in relation to on this commodity. Positions in derivative instruments referred to in paragraphs 2 to 4 shall be deemed to be positions in the underlying commodity and

7.

The following positions shall be considered as positions in the same product

a)

Positions in different subcategories of the same commodity, if these subcategories are interchangeable at the time of delivery and

b)

Positions in similar goods if they are close substitutes and their price evolution has a clear minimum correlation of 0.9 for a period of at least one year.

(2) commodity futures and terminal positions relating to the purchase or sale of certain goods shall be included in the risk measurement system as fictitious amounts expressed in a standard unit of measure and, in accordance with their maturity date, shall be included in the relevant Set the runtime tape.

(3) Warm swaps, where one side of the transaction is a fixed price and the other is the respective market price, shall be treated as a series of positions corresponding to the nominal value of the transaction in the maturity band procedure, with one Position in each case corresponds to a payment from the swap and is set into the corresponding maturity band of the table in paragraph 8. These are purchase positions if the institution pays a fixed price and receives a variable price, and for selling positions, if the institute receives a fixed price and pays a variable price. Commodity swaps in which the two sides of the transaction relate to different goods, are to be set separately for both goods in the respective maturity band compartments.

(4) Options on goods or on commodity derivatives are to be treated like positions whose value corresponds to the base value multiplied by the delta factor. The last-mentioned positions can be calculated against opposite positions in identical underlying commodities or commodity derivatives.

(5) Credit institutions shall apply recognised procedures for the protection of the other risks associated with commodity options (gamma and Vegarisiko) and shall be based on the calculation of the minimum own-resource requirement.

(6) For the determination of the sensitivities (delta, gamma and Vegafactor) referred to in paragraphs 4 and 5, the credit institutions for similar options are subject to a uniform approach, taking into account market conditions, by empirical-mathematical procedures to use appropriate computerised options assessment models.

(7) Warrants on goods are to be treated like commodity options.

(8) Credit institutions shall have a separate maturity band for each product in accordance with the table below. All positions in the product in question, as well as all the positions which are considered to be positions in the same product in accordance with paragraph 1 Z 7, shall be placed in the corresponding maturity bands. Stocks are to be classified in the first maturity band.

Runtime Tape

(1)

Spread Set (in vH)

(2)

up to 1 month

1.50

over 1 up to 3 months

1.50

over 3 up to 6 months

1.50

over 6 up to 12 months

1.50

over 1 up to 2 years

1.50

over 2 up to 3 years

1.50

over 3 years

1.50

(9) Positions in the same goods or positions which are considered to be positions in the same product as specified in paragraph 1 (7) may be offset against each other and set as net position in the appropriate maturity band if:

1.

the corresponding transactions have the same maturity date, or

2.

the corresponding transactions are due within the same ten-day period and are traded on markets with daily delivery dates.

(10) Credit institutions shall determine for each maturity band the sum of the purchase positions and the sum of the sales positions. The sum of the purchase positions, which is balanced within a given maturity band by the sum of the sales positions, is the balanced position in the respective band, while the remaining purchase or sale position does not balanced position for the same maturity band.

(11) The part of the unmatched buying or selling position for a given maturity band, which is offset by the unmatched buying or selling position for a maturity band with a longer hairiness, places the balanced Position between two runtime tapes. The part of the unmatched purchase position or the unbalanced sales position that cannot be balanced in this way represents the unbalanced position.

(12) The minimum resource requirement of a credit institution for each product shall be calculated on the basis of the corresponding maturity band subject as the sum of:

1.

the sum of the balanced purchasing and selling positions multiplied by the spread of the spread for each maturity band in accordance with column 2 of the table in paragraph 8 and the spot price of the goods;

2.

the balanced position between two maturity bands for each maturity band into which an unbalanced position is presented, multiplied by a carry set (§ 103 Z 11d BWG) of 0.6 vH and the spot price of the goods; and

3.

the remaining, unbalanced positions, multiplied by an outright sentence (§ 103 Z 11d BWG) of 15 vH and with the spot price of the goods.

(13) The total minimum capital requirement of a credit institution for the lodging of the risk of the risk of goods is calculated as the sum of the minimum resource requirement calculated in accordance with paragraph 12 for each product.

(14) The minimum requirement of own resources for goods and products subject to maintenance may also be determined in accordance with the provisions of Z 1 and 2. The minimum resource requirement of a credit institution shall be the sum of the following elements:

1.

15 vH of the net position, regardless of whether it is a purchase or sales position multiplied by the spot price of the goods and

2.

3 vH of the gross position (purchase position plus sales position), multiplied by the spot price of the goods.

(15) The minimum capital requirement of a credit institution for the lodging of the risk of goods is calculated as the sum of the minimum resource requirement calculated in accordance with paragraph 14 for each commodity.

Minimum capital requirement for foreign currency risk

Section 223. Where the total monetary position of a credit institution calculated in accordance with paragraphs 3 and 4 exceeds 2 vH of the eligible own funds, the minimum resource requirement for the foreign currency risk shall be 8 vH of the total monetary position.

(2) Credit institutions may, by way of derogation from paragraph 1, act in accordance with the following procedure in the determination of the minimum requirement for own resources, provided that this is carried out in a uniform and sustainable manner:

1.

The minimum capital requirement for the overall monetary position after deduction of balanced positions in closely linked currencies is 8 vH;

2.

the minimum requirement of own resources for the balanced position in closely linked currencies is 4 vH.

Two currencies shall be deemed to be closely linked if, on the basis of the daily exchange rates for the last three years, there is a probability of at least 99 vH, that of the same high and opposite positions in the latter Currencies over the next ten working days shall not exceed a loss equal to 4 vH of the value of the balanced position in question; the threshold of 2 vH of the eligible own resources shall not be found in the alternative procedure Application. The minimum requirement of own resources for the balanced positions in the currencies of the Member States participating in the second stage of Economic and Monetary Union may be 1.6 vH of the value of the balanced position concerned.

(3) The net amount of the outstanding foreign currency positions in each individual currency and in gold shall be calculated by means of sign-dependent summation of the positions according to Z 1 to 6:

1.

Net default position: all assets less all liabilities, including accrued and not yet due interest in the currency in question, as well as the net default position in gold; in this case, assets which are subject to the provisions of Section 23 (13) (3), (4) and (4a) of the BWG may be eligible for the item. have been deducted from their own own resources, as well as participations and shares in affiliated companies in foreign currency, such as fixed assets and up to 2 vH of the credit institution's creditable own funds, except for the approach;

2.

Net forward position: all outstanding amounts minus any amounts to be paid under foreign exchange and gold futures, including exchange and gold futures and the capital amount of currency swaps, which are not in the the number of cassapositions included;

3.

guarantees, irrevocable undertakings and comparable instruments which are highly likely to be used and which are likely to be irrecoverable; the demand for recourse to the first debtor, provided that it is currency-free, with their actual value as a counter-position;

4.

at the discretion of the credit institution, the net amount of the revenue and expenditure not yet realised but already fully secured by foreign exchange transactions or similar transactions; shall be exercised by that discretion, shall be continuous and per currency in a uniform manner;

5.

the net present value of the total stock of foreign currency and gold options, determined with the aid of the delta factor; credit institutions may be recognised as eligible for the protection of other risk-related risks (gamma and Vegarisiko) and shall take them into account in the calculation of the risk of foreign currency;

6.

the market value of the options not covered by Z 5;

7.

in the case of investment fund shares, the calculation of the net amount shall take into account the actual foreign currency positions in the investment fund part; credit institutions may, in determining the monetary composition of the investment assets, be able to: use information provided by third parties, provided that the accuracy of the investigation is ensured; if the credit institution does not know the actual currency composition, it must be assumed that the investment property is up to its investment assets in the prospectus or in a Equivalent document limit in In the event that a leverage effect in investment fund shares associated with the trading book is permitted, it must be assumed that the investment property is up to its value in the prospectus or equivalent to an equivalent The position adopted in this way shall be treated as a separate currency in accordance with the taking into account of positions in gold, provided that the investment of the investment assets is known , the purchase position may be the total net amount of the purchase positions or the Sales position shall be added to the total net amount of the sales positions; no offsetting of such positions prior to the calculation shall be allowed.

The calculations according to Z 1 to 7 do not include those foreign exchange positions for which the stock of a certain exchange ratio between the euro and another currency (price risk) is guaranteed by the federal government. In the calculation of the open net positions in the individual currencies and in gold, the respective net market value can also be used.

(4) The net amounts in the individual currencies and in gold, shown in purchase and sales positions, are to be converted into euro in the case of the Kassa-Mittelkurs. After that, the purchase and sales positions, except for the position in euros, are summed separately to determine the total net amount of the purchase positions and the net total amount of the sales positions. The higher of these two totals is the net total amount of foreign currency and gold positions (total currency position) of the credit institution.

(5) In the determination of the net amounts of outstanding foreign currency positions in the individual currencies and in gold, cash values may be used without prejudice to paragraph 3.

4. Main piece

Models of market risk limitation

General

Section 224. Credit institutions applying internal models of market risk limitation (models) in accordance with Section 22p (1) of the Federal Elections Act (BWG) shall, in any event, comply with the criteria of § § 225 to 232 for the proper risk assessment in accordance with Section 22p (5) Z 1 to 8 BWG. The potential risk amounts (values at risk) of section 22p (1) of the Federal Elections Act (BWG) are to be included in the model in a uniform and continuous manner, based on the organizational units of the credit institution and the credit institution group. Where specific position risks are also covered by the model, the credit institution shall, in the application for the grant of the special authorisation in accordance with Section 21e BWG, specify separately how the model takes these risks into consideration.

Qualitative Standards

Section 225. (1) The credit institution shall establish a risk control unit of its own for risk management, which shall be independent of the trading departments and which shall be provided with sufficient resources.

(2) Risk control shall be carried out for the first time and for all subsequent validations of the model. In addition, risk control has a daily report on the results of the model application to be analyzed and analyzed. The necessary documents and partial calculations are to be made available by other organisational units, unless they are prepared by the risk control itself. In the report, risk control has to assess the relationship between the potential risk amounts, the trade limits, and the use of the Limido. In addition, the risk control shall report immediately and directly to the directors.

(3) The model conditions, the data sources and the measurement procedures shall be continuously checked for their reliability.

(4) Risk control shall carry out a systematic and comprehensive crisis test programme in accordance with § 230 in each calendar quarter and in the event of a starting date, the broad guidelines of which shall be defined in the Risk Management Manual. In particular, the crisis test scenarios have the illiquidity of markets under tense market conditions, the concentration risk, the existence of low-liquid markets (one-way-market) from the buyer or seller's point of view, and event-and- Jump-to-default risks, neglect of nonlinear product components, positions that are far from the money, positions with high price volatility and other risks that are not sufficiently taken into account by the model.

(5) The results of the crisis tests are:

1.

submit without delay to the directors and submit them immediately to a strategic analysis with regard to the risk-bearing capacity of the credit institution,

2.

the FMA and the Oesterreichische Nationalbank up to the 15th Jänner, 15 April, 15 July and 15. to indicate in writing for the preceding calendar year, and

3.

to be taken into account by the credit institution in the established principles of risk policy and in the limits for persons and organisational units engaged in trading.

(6) Where there are weaknesses in crisis tests, measures shall be taken without delay in order to adequately limit such risks. The approach is to be defined in the basic guidelines in the Risk Management Manual.

(7) The risk control shall be carried out on each bank working day for the preceding business day, in accordance with the provisions of section 228.

(8) Risk management is an essential part of the due diligence of a manager in accordance with § 39 paragraph 1 BWG. In particular:

1.

In the case of the introduction of new products, detailed risk analyses must be drawn up beforehand

2.

the directors have to submit the daily reports of risk control to a strategic analysis with regard to the risk-bearing capacity of the credit institution;

3.

the managers and risk control must be empowered to enforce the reduction of positions of individual traders or the reduction of the overall position of the credit institution; for the persons otherwise responsible in the credit institution, the to grant limits, this is the case with regard to the limits granted;

4.

clear decision-making and responsibility between the various organisational areas; and

5.

the formal organisational structures and the actual work processes must be the same.

(9) The limits for persons and organisational units engaged in trading shall be determined and, where appropriate, adjusted, taking into account the model application. They shall be well known to the dealers, managers and other bodies of the credit institution concerned.

(10) The model shall be part of the day-to-day risk management of the credit institution, and its results shall be included in the planning, monitoring and management of the credit institution's market risk profile.

(11) The credit institution shall have a procedure in place to ensure compliance with the principles, procedures and controls of the application of the model, as defined in writing. The model is to be documented in the form of a risk management manual, which includes the principles of risk management, a model description and the empirical procedures for the measurement of market risk. In addition, it is necessary to document how historical data series are adapted.

(12) Credit institutions shall have procedures in place to ensure that the model is validated by a body independent of model development. In the context of the validation, the sound model design and the detection of all significant risks must be reviewed. Such validation shall be carried out both in the development of the model and in the case of any substantial change in the model. In addition, credit institutions shall be required to carry out validations at regular intervals and in relation to the starting point, in particular in the event of a substantial structural change in the market or a substantial change in the composition of the portfolio of portfolios, could lead to the model no longer taking the risks accordingly. If new methods or best practices are developed, they shall be taken over by the credit institutions. In addition to recomparison, the model validation shall include in particular:

1.

tests to demonstrate the appropriateness of the assumptions underlying the model, which must not result in an underestimation of the risk;

2.

Own model validation tests in relation to the risks and portfolio structure of credit institutions and

3.

Consideration of hypothetical portfolios to ensure that the model is capable of capturing specific structural characteristics, such as significant underlying risks and concentration risks.

(13) The internal audit shall regularly examine the risk management procedure and the model, including the activities of the trading departments and the risk control. In particular, this examination shall include:

1.

the adequacy of the documentation of the system and the procedures for risk management;

2.

the organisation of risk management for the credit institution as a whole;

3.

the inclusion of the potential risk amounts in day-to-day risk management;

4.

the approval process for the risk models and evaluation systems used by the Front Office and the Back Office staff;

5.

the examination of the model changes;

6.

the scale of the market risks covered by the model;

7.

the quality of the management information system;

8.

the accuracy and completeness of the position data;

9.

verification of uniformity, timeliness and reliability as well as the independence of the data sources used in the models;

10.

the accuracy and appropriateness of assumptions about volatilities and correlations;

11.

the accuracy of the valuation and risk transformation calculations of the model, in particular the adaptation to ten business days in accordance with § 227 (1) Z 3, and

12.

the proper implementation of the comparison of the provisions in accordance with paragraph 7 and section 228.

Market risk factors

§ 226. (1) Market risk factors, such as market rates, market prices or market prices, shall be determined in such a way as to cover the risks arising from the positions included in the model in accordance with section 22p (1) of the BWG.

(2) The following risk factors shall be taken into account in the identification of potential risk amounts for the general exposure risk in interest-related financial instruments:

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.

(3) The identification of potential exposures to foreign currency and gold exposures shall take account of risk factors for gold and those currencies in which the credit institution has entered into positions. In the case of investment fund shares in accordance with Section 223 (3) (7), the actual foreign currency positions in the investment fund share shall be taken into account for the calculation of the net amount. In determining the currency composition of the investment assets, credit institutions may use the information provided by third parties, provided that the correctness of the determination is ensured accordingly. If the credit institution does not know the actual currency composition, it must be assumed that the investment assets are invested in foreign currency positions up to the maximum limit allowed in the prospectus or an equivalent document. . In the event that a leverage effect in investment shares associated with the trading book is permitted, it shall be assumed that the investment assets will be increased up to the maximum lever referred to in the prospectus or an equivalent document. The position adopted thereby is to be treated as a separate currency, in accordance with the consideration of positions in gold. If the alignment of investment assets is known, the purchase position may be added to the total net amount of the purchase positions and the sales position may be added to the net total amount of the sales positions. The calculation of such positions prior to the calculation is not permitted.

(4) In the case of the identification of potential risk amounts in substance values, risk factors according to Z 1 and 2 shall be taken into account for those equity markets where the credit institution holds positions:

1.

The credit institution shall use at least one risk factor for each stock market in which the credit institution holds positions; risk factors for individual sectors of the stock market may be taken into account; positions in individual sectors; Substance values or in sector indices may be expressed in beta-equivalents which relate to this market index; the beta equivalent shall be determined in accordance with recognised procedures;

2.

Risk factors for the volatility of individual substance values are to be applied if the position in this substance value exceeds 5 vH of the total position in substance values of the trading book.

(5) In the case of the identification of potential risk amounts for commodity items, risk factors shall be taken into account for those commodity markets where goods positions have been received. Goods positions shall be assessed for inclusion in a model with market prices. The market prices shall be as follows:

1.

in the case of goods, their exchange prices;

2.

in the case of derivative instruments, the market prices of the goods on which they are based;

3.

Delta equivalente;

4.

if no stock market prices are available or if no liquider market exists, then the market price may be that of the calculated value which results from the basis of current market conditions.

(6) The establishment of simple risk factors shall be sufficient for the existence of goods positions less than 1 vH of the creditable own funds of the credit institution or the consolidated own funds of the credit institution group. A risk factor is determined for each commodity price. When crossing the border, the model also has to take into account the convenience yield, formed from the price development of derivative positions and spot positions, in a commodity. The Convenience Yield is the benefit of immediate availability of ownership of the physical goods resulting from temporary market passports being able to benefit. It is necessary to take account of market practices, in particular the delivery dates and the opportunities offered by dealers to smooth positions.

Quantitative standards

Section 227. (1) The potential risk amounts are to be calculated on a daily basis in accordance with Z 1 to 6:

1.

The calculation shall be based on a one-sided forecasting interval with a confidence level of 99 vH;

2.

the method chosen to determine the potential risk amounts shall be indicated in the Risk Management Manual and shall be applied continuously;

3.

The basis for the calculation of the potential risk amount is to use a holding period of ten business days; if it is theoretically justified for the model concept used in each case, potential risk amounts may also be used, which have been calculated on the basis of a shorter holding period and adapted to ten days using a suitable method;

4.

the historical observation period used in calculating the potential risk amounts shall be at least one year;

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 every three months, but should be updated immediately if necessary and

6.

Empirical correlations within the risk categories may be taken into account in interest rates, exchange rates, share prices and commodity prices as well as related options volatilities in each category of risk factors; taking into account Correlations between the risk categories the credit institution has to prove that the correlation measurement system is based on a solid concept, that it is implemented correctly and is being applied steadily.

(2) The risks of options and options-like positions which are non-linear with a change in the item of options shall be taken into account in an appropriate manner. In particular, the gamma and Vegarisiko is to be accurately recorded.

Methods for performing comparisons

§ 228. (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. It is possible to use hypothetical trading results based on the hypothetical changes in the portefeuille value at unchanged end-of-day positions, or actual daily trading results. The method chosen shall be applied uniformly and continuously for the credit institution. 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.

(2) An exception shall be provided if a negative trade result exceeds the potential risk amount identified by the model. The FMA and the Oesterreichische Nationalbank are to report within five working days of the existence of an exception, its size and the reason for the existence of the FMA.

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

(4) In the event that the methodology chosen by a credit institution appears to be insufficient to carry out backcomparisons, the FMA shall require the credit institution to take appropriate measures to improve it.

Methods for the determination of the multiplier

§ 229. (1) The multiplier pursuant to Section 22p (2) Z 2 of the Federal Elections Act shall be determined for each credit institution separately on the initial approval of the model on the basis of the opinion of the Oesterreichische Nationalbank (Oesterreichische Nationalbank). The multiplier shall be based on the minimum value of three, a 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 § 21e paragraph 1 Z 1 to 7 BWG in the interval from zero to one together. As a result, the multiplier 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 established on the basis of the daily reversals for a period of 250 business days during the preceding 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

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

(3) If the number of exceptions is in the red zone, an opinion of the Oesterreichische Nationalbank is to be obtained on the question of whether the model continues to ensure a proper risk assessment. The credit institution may continue to apply the model until a possible revocation by the FMA, unless the facts of a revocation of paragraph 4 are present.

(4) If the number of exceptions is in the red zone and exceeds a negative trade result, determined from a comparison according to § 228 (1), the minimum requirement of own resources in Section 22p (2) of the BWG from the model application, is a proper Risk collection no longer guaranteed and will revoke the approval of the application of the model by the FMA.

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

Methods for the performance of crisis tests

§ 230. (1) The crisis test programme shall include those factors which may lead to exceptional losses or profits from the positions covered by the model in accordance with Section 22p (1) of the Federal Elections Act or which make risk management and risk control very difficult. These factors include, in particular, events of low probability in all major risk types. In the crisis scenarios, the effects of such events are to be illuminated at positions that have linear and nonlinear price characteristics. Possible cases for the implementation of a crisis programme are in particular:

1.

The change of market-relevant data;

2.

the inclusion of new products in the internal model;

3.

a substantial increase in the volumes traded, or

4.

specific events relating to the credit institution or the group of credit institutions.

(2) The crisis tests shall contain quantitative and qualitative criteria, as well as the market risk and liquidity components of market disturbances. Plausible crisis scenarios are to be determined with the quantitative criteria. Qualitative criteria should be used to assess the extent to which the own funds of a credit institution can be used to cover potential large losses. In addition, possible measures should be drawn up in which the credit institution can reduce its risk and avoid losses.

(3) The credit institution shall be responsible for documenting information on the following types of institute's internal crisis tests:

1.

A comparison of the largest losses in the trading book and in commodity positions, determined according to the method used by the credit institution, of the comparisons, with the eligible own resources during a reporting period;

2.

Crisis tests in the form of the measurement of the port fire in significant market turmoil of previous years and

3.

Crisis tests in the form of measurement of the portfolio of possible future problem situations.

(4) Crisis scenarios defined by the FMA shall be analysed with the crisis tests developed by the credit institution. Within the framework of the evaluation of a model, the Oesterreichische Nationalbank can also pretend such crisis scenarios.

Combination of models and standard methods

§ 231. The use of a model that does not cover all the positions of Section 22p (1) of the Federal Elections Act (BWG) is permissible if these positions are covered in combination with the standard procedures with regard to their own resources. The positions must, in principle, be assigned either to the model or to the standard procedure within a group-affiliated institute per risk category of section 22p (1) of the BWG. The change of a selected combination of models and standard procedures is only permissible after the written notification of the change requirement in accordance with § 21e sec. 4 Z 1 BWG to the FMA and the Oesterreichische Nationalbank. If a significant change in the model is indicated, the procedure in accordance with Section 21e (1) of the Federal Elections Act shall be applied before the amendment is taken.

Criteria for the approval of models for the calculation of the minimum requirement of own resources for the specific position risk and the additional risk of accident

§ 232. (1) The use of the model for the calculation of the minimum own-resource requirement for the specific position risk shall be allowed only if:

1.

the model explains the price changes of the portfolio positions over the course of time;

2.

the model concentrations are explained in the portfolio with regard to the size and changes in the portfolio composition;

3.

the model also works correctly in an unfavourable environment;

4.

the model is reviewed by means of a review to assess whether the specific risk is correctly recorded; such comparisons are also possible on the basis of meaningful part portfolios, provided that these sub-portfolios are are selected consistently in the same way;

5.

the model takes into account the address-related basic risk, and

6.

the model captures the event risk.

Credit institutions shall have the following requirements for the calculation of the minimum own-resource requirement for the specific position risk:

1.

The impact of event risks beyond a 10-day holding period and the confidence level of 99 vH, and therefore not reflected in the daily values of the risk potential (VaR values), are reflected in the internal calculation of the to take account of the minimum requirements and

2.

Credit institutions shall carefully assess the risk from illiquid positions or positions with limited price transparency under realistic market scenarios, the model having to meet the minimum requirements for data; proxies may be are used only if the available data are not sufficient or do not realistically reflect the volatility of a position or a portfolio.

(3) Credit institutions have to adopt newly developed methods or exemplary.

(4) Credit institutions shall have an approach to determining the minimum capital requirement of default risk from trading book positions that go beyond the risks identified in the determination of the value at risk. In order to avoid a double counting for the determination of the additional default risks, credit institutions can take into account the extent to which default risks have already been included in the value-at-risk calculation. This shall apply in particular to positions which could and would be concluded in the event of adverse market conditions or other signs of deterioration of the credit environment within ten days. Credit institutions that calculate the additional risk of default on the basis of a surcharge shall have a procedure for validating the model.

(5) Credit institutions shall demonstrate that the approach used for the additional risk of default meets the reliability standards comparable to that based on internal credit ratings, subject to the adoption of an unchanged Risk levels, and, if necessary, adjusted to the effects of liquidity, concentrations, hedging and optionality.

(6) Credit institutions which do not identify the additional risk of risk using an internally developed approach shall use a method to calculate the surcharge, either with the credit risk standard rate or on the basis of internal credit risk. Ratings based approach is consistent.

(7) For securitisation positions which:

1.

shall be subject to a capital withdrawal pursuant to Section 23 (14) (8) of the BWG; or

2.

According to § 22e BWG and § § 161 to 179 with 1 250 vH risk-weighted,

the minimum resource requirement must not be lower than if Z 1 or 2 is applied.

(8) Credit institutions may depart from a treatment of securitisation positions in accordance with paragraph 7 if the credit institution is a trader for that securitisation position and, in addition to the commercial intent, a buyer and seller view is sufficiently liquider Market (two-way-market) for securitisation positions or, in the case of synthetic securitisations based exclusively on credit derivatives, a market (two-way-market) which is sufficiently liquid from the buyer and seller's point of view for the securitised positions itself or all of the underlying risk components. When using this exception, credit institutions shall have market data to ensure that the concentrated default risk of these positions in the internal model is used to measure the additional risk of default with the requirements in the Par. 4 to 6 is consistent.

(9) For the purposes of paragraph 8, a market (two-way market) which is sufficiently liquid from the buyer and seller's point of view shall be accepted if independent goodwill purchases and sales offers exist, such that an approximately with the last sale price or with current competitive goodwill buying and selling quotations in connection with the price can be determined within one day and be settled at such a price within a short period of time in accordance with the trade notes can.

Part 5

Counterparty default risk of derivatives, repurchase agreements, securities and commodities lending and borrowing transactions, long settlement transactions and Lombard transactions

1. Main item

Application Specification

§ 233. (1) The exposure value for a given counterparty shall be equal to the sum of the exposure values, calculated for each individual netting sentence existing with that counterparty, irrespective of the method chosen.

(2) For the purpose of determining the minimum property requirement for the counterparty risk, the exposure value shall be set to zero in the following cases:

1.

for credit default swaps sold outside the trading book, to the extent that they are treated as security services provided by the credit institution and are subject to the minimum requirement of own resources in accordance with Article 22 (1) (1) of the Federal Elections Act (BWG) with the full nominal amount;

2.

for credit derivatives which are acquired for the protection of a claim outside the trading book or a receivables subject to counterparty risk and the minimum requirement of own resources for the secured receivables according to § § 146 to 150 or in the case of the authorization by the FMA pursuant to Section 74 (1) (5) of the Annex, and

3.

for derivative transactions, repurchase transactions, securities and commodities lending and borrowing transactions as well as long settlement transactions and Lombard transactions, which are outside a central counterparty and have not been rejected by the counterparty, to the extent that the Counterparty default risk claims of the central counterparty on a day-to-day basis are completely secured.

(3) For the purpose of determining the minimum property requirement in accordance with Article 22 (1) (1) of the Federal Elections Act (BWG), the exposure value for claims against central counterparties with zero is to be set at zero, which is derived from derivative transactions, repurchase transactions, Wertapier, and Goods lending transactions, long settlement transactions and Lombard transactions arise in so far as the demands of the central counterparty on a daily basis with counterparty default risk are completely secured.

2. Main piece

Market valuation method

Section 234. For the application of the market valuation method pursuant to Article 22 (5) of the Federal Elections Act (BWG), the following shall be

1.

In a first step, a current market value is to be determined for each transaction; as a positive market value, that amount is considered to be the difference between the partner and the market price changes under the assumption of a business resolution. ; if there is no liquider market for a transaction, the market value may be that calculated on the basis of market conditions; the sum of all transactions with positive market values shall be the result of the potential coverage;

2.

in a second step, a general surcharge shall be determined for each transaction for the collection of the potential credit risk to the future, calculated from the multiplication of the nominal values of all transactions with the following hundred sets:

Residual runtime

Interest rate derivatives

Gold-based exchange rate derivatives and transactions

Contracts in substance-values

Precious metals contracts, excluding gold-based transactions

Commodity contracts and contracts according to Z 6 of Appendix 2 to § 22 BWG

maximum one year

0.0 vH

1.0 vH

6.0 vH

7,0 vH

10,0 vH

over one year

up to five years

0.5 vH

5.0 vH

8.0 vH

7,0 vH

12.0 vH

over five years

1.5 vH

7.5 vH

10,0 vH

8.0 vH

15.0 vH

a)

in the case of floating/floating interest rate swaps (basisswaps) in a single currency and with interest-rate adjustment periods, no general surcharge shall be calculated;

b)

in the case of transactions with a multiple exchange of the nominal value, the percentages shall be multiplied by the number of residual payments in accordance with the contract; and

c)

in the case of transactions where the open risk is offset by fixed payment dates and the terms and conditions are re-established so that the market value of the transaction at those dates is equal to zero, the remaining term shall be in accordance with Table of the period up to the next term; in the case of interest rate derivatives which meet these conditions and whose contractual remaining term is more than one year, the nominal values shall be weighted at least with 0.5 vH;

3.

in order to calculate the future potential credit risk of a total return swap or credit default swap allocated to the trading book, the nominal value is multiplied by the following hundred sets:

a)

if the reference position of the credit derivative as a trading book position is a qualified position according to Article 207 (6), 5 vH;

b)

if the reference position of the credit derivative as a trading book position is not a qualified position in accordance with Section 207 (6), 10 vH;

c)

if the credit derivative is a credit default swap, with the credit institution acting as a collateral provider, the potential future credit risk may be set at 0 vH; this shall not apply if the credit default swap is in the case of a credit default swap; the insolvency of the collateral taker is subject to a smooth position, even if the underlying reference position has not been excluded;

4.

at an n th -to-default credit derivative associated with the trading book will depend on the percentage of the potential future credit risk from the reference obligation with the nth lowest; for this purpose, it should be noted whether this is the case a qualified position according to § 207 (6) and thus a set of 5 vH is to be applied or if there is no qualified position in accordance with § 207 (6) and thus a set of 10 vH is to be used;

5.

in order to obtain the exposure value of the derivative, the potential coverage and the general surcharge are to be added.

3. Main piece

Origin risk method

Section 235. When applying the origin risk method, the exposure value of the derivative is calculated by multiplying the nominal value of each contract with the following hundred sets:

Origin term

Interest rate derivatives

Exchange rate derivatives and gold-based transactions

maximum one year

0.5 vH

2.0 vH

more than a year and not

more than two years

1.0 vH

5.0 vH

additional consideration

every other year

1.0 vH

3.0 vH

In the case of interest rate derivatives, the origin or the remaining term can be chosen; the chosen maturity method must be noted in the notification in accordance with Section 74 (2) of the BWG.

4. Main piece

Default method

§ 236. Credit institutions may use the standard method to determine the exposure value for OTC derivative transactions and long settlement transactions. For each transaction, including collateral, credit institutions have to determine the risk positions, to form the balances within the hedging rates for the risk positions and, finally, based on the netting rates, to determine the levels of risk. Determination of a request value. A hedging rate here is a set of risk positions associated with transactions of the same netting set and for which only the balance of the risk positions is to be deducted with regard to the determination of the exposure value.

Payment Component

§ 237. (1) The payment component of OTC derivative transactions with a linear risk profile, in which the exchange of a financial instrument against the performance of a payment is agreed, is that part of the transaction at which the payment is made. Transactions in which payments are exchanged for payments are made up of two payment components. The payment components shall include the contractually agreed gross payments, including the nominal amount of the transaction. Credit institutions may take into account interest-related risks in determining the payment component if the remaining term of the transaction is less than one year.

(2) Credit institutions may treat transactions consisting of two payment components denominated in the same currency as a single, aggregate transaction.

Assignment to Risk ositions

§ 238. (1) Credit institutions shall have transactions with a linear risk profile on which shares, including equity indices, precious metals, including gold or other commodities, as a financial instrument are based, a risk position for the share in question, the the share index in question or the precious metal concerned, including gold or the other raw material concerned and with regard to the payment component, to a risk position for the risk of interest rate change. If the payment component is denominated in a foreign currency, it shall also be allocated to a risk position for the currency in question.

Credit institutions shall have transactions with a linear risk profile on which a debt instrument is based, in relation to the debt securities of a risk position for the risk of interest change and in relation to the payment component of a further risk position for: to allocate the interest rate risk. If payment is made against payment in the transaction, each of the related payment components shall be assigned to a risk position for the risk of interest change. If the underlying debt is denominated in a foreign currency, the debt shall be allocated to a risk position in that currency. If the payment component is denominated in a foreign currency, it is to be assigned again to a risk position in that currency.

(3) The exposure value of a foreign exchange Basisswaps shall be zero.

Level of Risk Position

§ 239. (1) In the case of transactions with a linear risk profile other than the debt securities, the level of the risk position is derived from the multiplication of the market price converted into the national currency of the credit institution with the quantity of the underlying assets. Financial instruments or raw materials.

(2) In the case of debt instruments and payment components, the amount of the risk position shall be the multiplication of the nominal value of the outstanding gross payments expressed in the national currency of the credit institution, including the nominal amount of the outstanding gross payments. Business with the interest rate sensitivity of the debt title or the payment component. In this case, the interest rate sensitivity is the sensitivity of the value of the debt title or of the payment component with respect to the interest rate. Contractual agreements with multiplicative effects shall be taken into account in the calculation of the nominal value.

(3) In the case of a credit default swap, the level of the risk position is the result of the multiplication of the nominal value of the reference debt title with the remaining term of the swap.

(4) In the case of an OTC derivative business with a non-linear risk profile, including options and swaps, with the exception of one which is based on a debt, the level of the risk position shall be calculated by taking a first step in the The market price converted to the national currency of the credit institution is multiplied by the quantity of the underlying financial instruments or raw materials, and this product is further multiplied by the price sensitivity of the OTC derivative business. Price sensitivity in this case is the sensitivity of the value of the OTC derivative business with respect to the price of the underlying financial instrument or raw material.

(5) In the case of an OTC derivative business with a non-linear risk profile, including options and swaps, which underlies a debt or a payment component, the level of the risk position shall be calculated by taking the first step in the The nominal value of the outstanding gross payments, including the nominal amount of the transaction, multiplied by the interest rate sensitivity of the debt securities or the payment component in accordance with paragraph 2, multiplied by the national currency of the credit institution, and in a the second step of this product with the price sensitivity of the The OTC derivative business is multiplied in accordance with paragraph 4. Contractual agreements with multiplicative effects shall be taken into account in the calculation of the nominal value.

(6) In the case of collateral being ordered under a derivative business, credit institutions shall, in determining the level of the risk position, have collateral appointed by a counterparty, such as a claim to the counterparty within the framework of a Derivative business that is due on the same day. A security provided to the counterparty shall be treated as an obligation to the counterparty due on the same day.

Hedging Set

§ 240. (1) Credit institutions have each netting rate assigned each risk position to a hedging rate and, for each hedging rate, the absolute amount of the difference between the sum of the exposures resulting from the transaction and the sum of the exposures to the hedging rate. To calculate collateral resulting risk positions (net position of the net). Collaterals placed by a counterparty are to be marked with a positive sign. Collaterals placed on the counterparty shall be marked with a negative sign.

(2) Interest-rate-related risk positions arising from cash deposits made by the counterparty as collateral, from payment components and from underlying debt instruments (base debt), for which, in accordance with § 207, a minimum requirement of own resources of 1.60 vH or less, one of the six hedging sets is to be classified according to the following table. The hedging rates shall be separate for each currency. The assignment to the hedging records must be done by combining the remaining term and the reference interest rate.

Reference rates of interest on State title

Reference interest rates to other titles

Residual runtime

less than one year

less than one year

Residual runtime

over one year to less than 5 years

over one year to less than 5 years

Residual runtime

over 5 years

over 5 years

If the interest rate of the base debt or the payment component is coupled to a reference interest rate which reflects the general market interest rate, the remaining term shall be the period until the next interest rate adjustment. In all other cases, the remaining term of the base school title or the payment component of the remaining term of the transaction corresponds to the remaining term.

(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.

(4) Credit institutions shall have risk exposures due to interest rate

1.

from cash deposits placed as collateral to the counterparty if the counterparty does not have outstanding obligations arising from debt securities for which there is a minimum requirement of 1.60 vH or less in accordance with Section 207, and

2.

from basic debt instruments, for which there is a minimum requirement of own resources of more than 1.60 vH in accordance with § 207,

lead a separate hedging rate for each issuer. If a payment component forms such a debt instrument, a separate hedging rate shall be provided for each issuer of the base debt. Risk exposures arising from multiple debt securities of a given issuer or from reference debt securities of the same issuer credited by payment components or which underlie a credit default swap may be subject to the same hedging rate shall be assigned.

(5) Credit institutions shall allocate basic financial instruments, with the exception of basic debt instruments, to the same hedging rate, if they are identical or similar. Similar basic financial instruments are:

1.

Shares of the same issuer; a share index shall be treated as an independent issuer;

2.

instruments to which the same precious metal is based; a precious metal index should be treated as an independent precious metal;

3.

instruments to which the same raw material is based; a raw material index is to be treated as a raw material, and

4.

in the case of electricity, those delivery rights and delivery obligations which relate to the same time interval of a peak-load time or demand-waking time within 24 hours.

In all other cases, credit institutions have to allocate basic financial instruments to different hedging rates.

Counterparty default risk multiplier

§ 241. Credit institutions shall apply to the categories of hedging rates the following multipliers for the counterparty risk:

Hedging Set Category

Counterparty default risk multiplier

Interest rates

0.2 vH

Interest rates on risk positions from a reference school title on which a credit default swap is based and for which there is a minimum requirement of 1.60 vH or less in accordance with Section 207.

0.3 vH

Interest rates on risk exposures arising from a debt or reference debt, for which a minimum requirement of own resources of more than 1.60 vH exists in accordance with § 207.

0.6 vH

Exchange rates

2.5 vH

Current

4.0 vH

Gold

5.0 vH

Shares

7,0 vH

Precious metals (except gold)

8.5 vH

Raw materials (except precious metals and electricity)

10,0 vH

Basic instruments of OTC derivatives which do not fall under any of the above categories, with a separate hedging set being required for each category of basic instruments.

10,0 vH

Request value

§ 242. Credit institutions using the standard method shall determine the exposure value for each netting set separately in accordance with the following Z 1 to 3:

1.

First

a)

for each hedging rate, the net risk position shall be determined in accordance with Section 240;

b)

shall multiply these Nettorisikopositions by the respective multiplier in accordance with § 241; and

c)

shall be the sum of all the products thus obtained;

2.

in a second step, the difference between the sum of the current market values of the transactions contained in the netting set and the sum of the current market values of the collateral allocated to the netting set shall be determined;

3.

the exposure value is obtained from the multiplication of the greater of the values determined in Z 1 and 2 with the scaling factor at the level of 1.4.

(2) Credit institutions may use only collaterals according to § 90 and § 216 (5) for the determination of the exposure value in accordance with paragraph 1.

(3) Visits which are ordered by a counterparty shall be provided with a positive sign in determining the exposure value as referred to in paragraph 1. Visits made to the counterparty shall be accompanied by a negative sign in the determination of the exposure value as referred to in paragraph 1.

(4) Credit institutions shall have, in the case of transactions with a non-linear risk profile and in the case of payment components and transactions with basic debt securities for which the price-sensitivity according to § 239 (4) or the interest-rate sensitivity pursuant to Article 239 (2) is not based on a for the determination of the minimum requirement for own resources according to Article 22p of the Federal Elections Act (BWG), it is possible to determine the exposure value according to the market valuation method in accordance with § 234. Netting is not allowed.

Internal procedures

§ 243. (1) Credit institutions using the standard method of determining the exposure value shall have appropriate internal procedures to have the legal enforceability of the credit institutions prior to the inclusion of a transaction in a hedging rate. To review the netting agreement in accordance with § § 256 to 261.

(2) Credit institutions which, under the standard method, use collateral to mitigate the risk of counterparty risk shall have adequate internal procedures to ensure that the collateral is taken into account in the context of the identification of the To verify legal certainty in accordance with § § 100 to 118.

5. Main piece

Internal Model

§ 244. Credit institutions using an internal model according to § 21f BWG have to comply with the requirements in accordance with § § 245 to 255.

Request value

§ 245. (1) Credit institutions shall determine the exposure value within the framework of the model for each netting rate as a whole. It is permissible to take into account fluctuations in the value of the collateral in the case of counterparties which have been secured.

(2) Credit institutions may use surveys in accordance with § 90 and § 216 (5) in the calculation of the exposure value of the netting set, if the quantitative and qualitative as well as the requirements related to the data to the internal model with regard to the collaterals.

(3) The exposure value shall be calculated as follows:

1.

First, the distribution of the market value of the netting rate in the event of a change in the market variable which may have an impact on the market value for a number of future points of time;

2.

in a second step, the average market value of the netting rate shall be determined for each of these future dates, and negative market values shall be set to zero;

3.

in a next step, for each of the future dates, the maximum average market value shall be calculated as the maximum of the average market values determined in accordance with Z 2 up to that date;

4.

the exposure value is then obtained from the multiplication of the average of the maximum average market values according to Z 3 with the scaling factor in the amount of 1.4. The average shall be determined in this case over the duration of the longest running contract in the netting set, but not more than one year; in the case of unevenly distributed times, the average length of the cut shall be determined by the length of the Weight time intervals.

(4) In the calculation referred to in paragraph 3 (2) and of high percentiles of the distribution of the market value of the netting rate, possible deviations from the assumptions made for the underlying modelling of the change in the market variables shall be: consideration. This also applies in the case of a zero-setting of negative market values.

(5) Credit institutions may, in the context of the calculation referred to in paragraph 3 (4), be entitled to a more cautious value for each counterparty, rather than the average of the maximum average market values referred to in paragraph 3 (3) with the scaling factor as set out in paragraph 3 (3) (4). multiply.

Own estimates of scale factor

§ 246. (1) Credit institutions may, in determining the exposure value instead of the scaling factor in accordance with § 245 (3) Z 4, make an own estimate of this scaling factor. The scale factor corresponds to the ratio between the capital, which is determined on the basis of credit-institute-internal assumptions to cover market and credit risks (numerator) and that capital, which is based on credit-institute interests. Assumptions based on a constant counterparty exposure volume are determined in the amount of the average of the average market values in accordance with § 245 (3) Z 2 (denominator), but at least the value of 1.2. The average of the average market values shall be determined in this case over the duration of the longest running contract in the netting rate, but not more than one year; in the case of unevenly distributed times, the determination of the average market value shall be determined by the average market value. Average with the length of time intervals.

(2) The own estimates of the scaling factor as referred to in paragraph 1 shall be:

1.

to record in the numerator essential causes of stochastic dependencies of the distribution of market values of transactions or portfolios of transactions across counterparties; and

2.

to take sufficient account of the granularity of the portfolio.

(3) Credit institutions using own estimates of scale factor

1.

ensure that the numerator and denominator of the scaling factor are calculated in a uniform manner with regard to the modelling method, parameter specifications and portfolio composition;

2.

to ensure that the approach used is based on the credit institution's internal approach in accordance with Article 39a of the BWG;

3.

to adequately document the approach used;

4.

to allow the approach used to be validated by an independent body;

5.

to check the estimates at least quarterly and, in the case of a portfolio composition varying over time, more frequently; and

6.

to assess the risk of the model.

Correlation of market and credit risk factors

§ 247. If appropriate, credit institutions shall ensure that volatilities and correlations of market risk factors are used in the determination of the capital to cover market and credit risks, based on internal assumptions, in accordance with Article 246 (1). Credit risk factors are appropriate to reflect potential increases in volatility and correlations in the event of an economic downturn.

Netting set with post-call agreement

§ 248. Credit institutions shall determine the exposure value in accordance with § 245 on the basis of one of the methods in accordance with Z 1 to 3 in the case of netting sets with an after-agreement agreement. An agreement is to be understood as a contractual agreement or provision of an agreement, according to which a counterparty must provide a security to a second counterparty if a demand of the latter towards the former is to be provided by a counterparty. certain levels exceed:

1.

the determination of the exposure value in accordance with Section 245 without taking into account any post-grant agreements;

2.

Determination of the value in accordance with Section 245 (2) (2) as the threshold set out in the after-agreement agreement, if this is positive, plus a reasonable surcharge, which would result in the potential increase in the demand during the post-post-risk period shall be taken into account,

a)

the post-risk period of the period between the last exchange of collateral, which visits the netting set with a defaulting counterparty, and the date on which the contracts concluded with the counterparty are terminated , and the resulting market risk will be re-secured;

b)

the threshold shall be the maximum, which shall not exceed any outstanding claim before a contracting party has the right to request security, and

c)

the surcharge is calculated as an increase which, based on a current requirement of zero, is expected in the course of the post-risk period when the netting rate is received; for netting rates exclusively from repurchase transactions, Value-paper and goods lending operations shall be based on a daily final payment and a daily market valuation, shall be a period of five working days and for all other netting rates a period of ten working days shall apply to those for determine the post-post risk period used for this purpose;

3.

the internal model, when estimating the values in accordance with section 245 (2) (2), collects the effects of post-payment payments, this estimate may be used directly in the calculation in accordance with Section 245 (2) (3) (3).

Counterparty Failure Risk Management Organizational Unit

§ 249. (1) The credit institution shall establish a separate organisational unit for counterparty risk management, which has to be independent of the trading departments and for which sufficient resources are to be provided. The work of this organizational unit shall be part of the daily risk management of the credit institution. The results shall be included in the planning, monitoring and management of the credit risk and the overall banking risk profile of the credit institution.

(2) The tasks of the organizational unit are:

1.

The implementation of the first and ongoing validation of the model;

2.

the verification of the incoming data for their stability;

3.

the analysis of the reports on the results of the model, including the evaluation of the relationships between the results of the model and credit and trade slimites; and

4.

Regular reporting to senior management.

Counterparty failure risk control

§ 250. (1) Credit institutions shall meet the following requirements in the context of the management of the risk of counterparty failure:

1.

The credit institution shall have a conceptually sound procedure, rules and systems for controlling the risk of counterparty risk, including, in particular, its identification, control and approval, and the preparation of internal reports. have;

2.

the credit institution's risk management rules shall take account of the market and liquidity risks and the legal and operational risks associated with the risk of counterparty risk;

3.

prior to the entry of a business relationship with a counterparty, its creditworthiness shall be assessed and, in the course of the transaction, the existing credit risk shall be sufficiently taken into account; these risks shall be at the level of the counterparty and at the credit institution level as comprehensively as possible;

4.

the directors of the credit institution and its senior management shall be actively involved in the management and control of the risk of default; the managers shall be responsible for the appropriate allocation of resources; the higher Management knows the limits of the model, the assumptions underlying it, and its potential impact on the reliability of the results; it has to ensure that the uncertainties of the market and the operating conditions of the market are not affected. It will take sufficient account of its aspects and can assess how it is based on the the model's impact;

5.

the daily reports shall be considered on a daily basis by persons who have sufficient powers to reduce the positions taken by those responsible for credit decisions or dealers and to reduce the risk of counterparty failure of the credit institutions;

6.

the control of the counterparty default risk is to be used in conjunction with the internal credit and trade slips; the internal credit and trade volume limits have consistent with the risk measurement model of the credit institutions; this link can be understood by those responsible for credit decisions, traders and higher management;

7.

for the measurement of the counterparty default risk, account shall be taken of the daily and within one day the use of credit lines as well as the allocation of the capital determined in accordance with Section 39a (1) of the Federal Elections Act; the measurement has in this case been taken into account. shall be carried out both in the form of inclusion and in the exclusion of collaterals;

8.

Credit institutions shall, for individual counterparties and portfolios, have to calculate and monitor the peak and future replacement value at the confidence level they have chosen, taking into account the concentration risk and

9.

On the basis of the daily results of the risk measurement model, credit institutions shall regularly carry out a comprehensive and systematic crisis test programme. The results of the crisis tests shall be reviewed regularly by the senior management and shall be taken into account in the rules, procedures and systems for controlling the risk of counterparty risk and in the lice system. If the crisis tests result in abnormalities for certain case constellations, appropriate steps shall be taken immediately to control such risks.

(2) Credit institutions shall have procedures to ensure compliance with the requirements referred to in paragraph 1 and shall have a proper documentation of these procedures and of the empirical techniques used to measure the to have counterparty default risks.

Crisis Tests

§ 251. (1) Credit institutions shall have sound crisis testing procedures in accordance with Article 250 (1) Z 9 in order to assess the appropriateness of own resources to cover the risk of counterparty failure. These measurements shall be compared with the determined exposure values in accordance with § § 245 to 248 and shall be reviewed within the framework of the procedures according to § 39a BWG. In the context of the crisis tests, it is also possible to identify possible events and future changes in the economic environment which could have a negative impact on credit institutions ' credit claims and the ability of the credit institution to take action. Credit institution to assess such situations.

(2) Credit institutions shall subject claims to the counterparty default risk to crisis tests, which shall also include joint tests of market and credit risk factors. These crisis tests have to take into account the concentration risk, the correlation between market and credit risk, and the risk that the smooth position of a position by the counterparty could set the market in motion. The crisis tests shall also take into account the effects of market movements on the own exposures of the credit institution and shall include those effects in the assessment of the risk of counterparty risk.

(3) If crisis test scenarios are specified by the FMA, these are to be analysed with the crisis tests developed by the credit institution. Within the framework of the evaluation, the Oesterreichische Nationalbank can also pretend such crisis test scenarios.

Internal revision

§ 252. The internal audit has to regularly check the control of the counterparty failure risk. The audit shall include both the activities of the credit and trade departments as well as the activities of the organizational unit in accordance with § 249. The whole process of controlling the risk of counterparty risk shall be reviewed on a regular basis, but at least once a year, with the following aspects being considered at any rate:

1.

The appropriateness of the documentation in accordance with Section 250 (2) and the procedures for controlling the risk of counterparty risk;

2.

the organisation of the counterparty risk management in accordance with § 249;

3.

the inclusion of the measurement results of the counterparty risk in the daily risk management;

4.

the approval process for the risk models and evaluation systems used by the staff of the Front Office and the Back Office;

5.

the validation of all significant changes in the counterparty risk-risk measurement;

6.

the extent of counterparty risk-related risks covered by the risk-measurement model;

7.

the quality of the management information system;

8.

the accuracy and completeness of the data for the determination of the risk of counterparty risk;

9.

verification of the consistency, timeliness and reliability as well as the independence of the data sources used in the model;

10.

the accuracy and appropriateness of assumptions about volatilities and correlations;

11.

the accuracy of the valuation and risk transformation calculations; and

12.

the verification of the model accuracy by frequent comparisons.

Integration of the model into the risk management system

§ 253. (1) Credit institutions shall closely involve the distribution of the exposure values determined in accordance with § § 245 to 248 in the day-to-day management of the counterparty default risk. The results of the internal model are in the case of credit decisions, the management of the counterparty default risk, the allocation of the capital, which is determined in accordance with § 39a para. 1 BWG, and the general risk management according to § 39 BWG consideration.

(2) The credit institution shall have experience with the use of models to determine the distribution of the risk of counterparty failure.

(3) The model used for the determination of the exposure values in accordance with § § 245 to 248 shall be an integral part of the control system for the counterparty default risk, within the framework of which also the use of credit lines, under To take account of the claims on the counterparties with other credit claims and to take into account the allocation of capital, which is determined in accordance with Section 39a (1) BWG. In addition to the exposure values in accordance with § § 245 to 248, the credit institution shall measure and control the current receivables, where appropriate, on the one hand, with inclusion and on the other hand, to the exclusion of collateral. . Credit institutions shall also use the internal model to calculate further measures of the counterparty default risk, such as the peak replacement value or the potential future replacement value.

(4) Credit institutions shall be in a position to make a daily estimate of the values in accordance with Section 245 (3) Z 2, unless a rarer estimate is justified on the basis of the risk of default. Credit institutions shall draw up their estimates for a forecast period appropriate to the structure of the expected cash flows and the maturity of existing transactions, as well as the materiality and composition of the exposures. .

(5) Credit institutions shall assess, monitor and manage the exposures over the entire duration of all contracts of the netting set, and shall have appropriate procedures for evaluation in the event that the claim to the credit institution shall be subject to the Counterparties beyond the one-year horizon. The forecasted amount of the claim has to be incorporated into the determination of capital pursuant to Section 39a (1) of the BWG.

(6) Credit institutions shall take due account of exposures associated with a significant general correlation risk and shall have procedures with which specific correlation risks from the conclusion of transactions shall be carried out over the whole of the It is possible to identify, monitor and control the duration of the process. In this context, a high correlation between the failure probability of counterparties and risk factors of the general market risk is to be understood as a general correlation risk; a high correlation risk is a high correlation risk, which is a high correlation risk. to understand the nature of the transactions existing with the counterparty between the default probability of the counterparty and the replacement value given with that existing business, whereby credit institutions shall be subject to a specific correlation risk, if it is to be expected that the future demand for a certain counterparty is high, even if its failure probability is high.

Stability of the model

§ 254. (1) Credit institutions have to use stable modelling techniques and in doing so fulfil the following requirements:

1.

The business specifics and conditions shall be taken into account in a timely, complete and sufficiently cautious manner; the terms shall include at least nominal amounts, maturities, reference assets, post-payment obligations and netting agreements;

2.

the conditions shall be stored in a database and shall be reviewed at regular intervals, at least annually;

3.

the procedures for the adoption of netting agreements shall be reviewed and approved by a body which has sufficient expertise to assess the legal enforceability of the netting agreement;

4.

the netting agreement shall be recorded by an independent body in the database;

5.

there shall be a procedure for the comparison of the data of the internal model and the initial data system, which shall ensure that the business conditions are correct or sufficiently cautious in the exposure values in accordance with § § 245 to 248 reflect;

6.

for the calculation of the exposure values in accordance with § § 245 to 248, current market data shall be used; if historical data are used for the estimates of volatilities and correlation, they shall have at least a period of three years. , and must be updated on a regular basis, but at least quarterly; the data have to reflect the economic conditions, such as the economic cycle, to be fully reflected;

7.

the internal model in the case of market data on proxies or new products for which a three-year data history is not available shall consist of internal rules specifying the appropriate proxies; the proxy used shall have: Empirical evidence of a cautious illustration of the underlying risk in adverse market conditions;

8.

the data should be collected by an independent body, stored in time and in full in the internal model, stored in a database, and regularly checked and updated;

9.

there are procedures to ensure the validity of the data and to clean up the data of inaccurate or abnormal observations; if proxies are used in the model for market data for which a three-year data history is not used , credit institutions shall establish procedures for the definition of appropriate proxies; in this case, credit institutions shall demonstrate that the proxies provide a prudent depiction of the underlying risks in adverse market conditions ; if the model takes into account collateral in provides for changes in the market values of the netting rate, credit institutions shall have adequate historical data to model the volatility of the collateral; and

10.

the price determined by the credit department shall be validated by an independent body.

(2) Credit institutions shall have the model subject to a validation process. The validation process must be clearly defined in the internal procedures and regulations. The procedure shall be fully and sufficiently documented and shall determine which tests are necessary in order to ensure the stability of the model and the conditions under which the assumptions are violated, and in which case the may result in a low exposure value in accordance with § § 245 to 248. Within the framework of the validation process, the completeness of the model must be checked.

(3) Credit institutions shall monitor the risks to which they may be exposed and shall have procedures to adjust the estimates of exposures in accordance with § § 245 to 248 if the risks are significant . In the course of these procedures,

1.

to identify and control the specific correlation risks;

2.

in the case of claims whose risk profile is increased after one year, the estimates of the exposure values in accordance with § § 245 to 248 for one year shall be compared with the estimates for the entire duration of those claims; and

3.

in the case of claims with a residual maturity of less than one year, the replacement costs shall be compared with the achieved profile or the stored data enabling such a comparison to be made.

(4) Credit institutions shall have procedures to verify the legal enforceability of the netting agreements and the fulfilment of the requirements in accordance with § § 256 to 261 prior to the commencing of a transaction in a netting set can be.

(5) Credit institutions which use surveys to mitigate the risk of counterparty risk shall have procedures in place to verify compliance with the requirements in accordance with § § 83 to 118 before taking into account the collateralisation in a calculation ,

Model Validation

§ 255. Credit institutions have to meet the following requirements in the validation of the model:

1.

The validation requirements for a model for market risk limitation according to § 21e BWG;

2.

To measure the demand for a counterparty, interest rates, exchange rates, share prices, raw materials and other factors relevant to market risk should be predicted over a sufficiently long period of time; the performance of the model to be used for the The forecasting of the relevant factors shall be validated over a period of time;

3.

Evaluation models based on the requirements of the counterparties for a given scenario of future shocks in the case of market risk-related factors will be tested within the framework of the model validation; assessment models for options to take account of the non-linearity of the option value in relation to the factors relevant to the market risk;

4.

the model for the estimation of the exposure values in accordance with § § 245 to 248 has to collect the business-specific information in order to be able to summarize the receivables at the level of the netting set; it is to be made sure that within the framework of the model stores are assigned to the correct netting set;

5.

the effects of surpluses have to be recorded by including the business information in the model for estimating the exposure values in accordance with § § 245 to 248; in addition to the current amount of the post-payment, also to take account of the future final payments of the counterparty; the model has the circumstance of the one-sided or two-sided investigation obligation, the frequency of the subsequent claims, the subsequent period, the threshold up to which the Credit institution is prepared to accept a lack of collateralisation and to minimum transfer amount to be taken into account; within the framework of the model, the change in the market value of the deposited collateralisation is to be predicted or the requirements are to be fulfilled in accordance with § § 83 to 118 and

6.

in the framework of model validation, representative counterparty portfolios shall be subject to backcomparison; these comparisons shall be periodically made on a number of representative actual or hypothetical counterparties portfolios; where, as criteria for the representativeness of a portfolio, their sensitivity to significant risk factors as well as the existence of correlations which may present a risk to the credit institution are to be used.

6. Main piece

Contract netting

§ 256. (1) For the purposes of the use of contractual netting agreements in accordance with § § 257 to 260, it shall be understood as the counterparty of any legal entity including natural persons entitled to conclude a contractual netting agreement , and under contractual cross-product netting agreement, a written bilateral agreement between the credit institution and a counterparty by which a single legally binding obligation is created, all of which are included bilateral framework agreements and transactions covers different product categories. Contractual cross-product netting agreements can only exist on a bilateral basis.

(2) For the purposes of cross-product netting, provision should be made for the following categories of products:

1.

Genuine and non-genuine repurchase transactions and securities and commodities lending operations;

2.

Lombards and

3.

the contracts referred to in Annex 2 to § 22 BWG.

Types of netting agreements and conditions for use

§ 257. (1) Credit institutions may use the following forms of contractual netting agreements to reduce the risk of counterparty risk:

1.

Bilateral debt conversion contracts, which automatically aggregate mutual claims and obligations in such a way as to result in a single net amount for each school conversion and a single legally binding new contract , which will have the effect of extinguisher in the past;

2.

other bilateral netting agreements between the credit institution and a counterparty; and

3.

contractual cross-product netting agreements concluded by credit institutions which have obtained the authorization to use a model in accordance with Section 21f of the BWG for transactions covered by this method; netting between Credit institutions of a credit institution group are not recognized as a risk reducing.

(2) Netting agreements may be taken into account in the determination of the counterparty default risk in the event of compliance with the following conditions:

1.

The contractual partner is authorized to conclude a netting agreement; this requirement is in writing;

2.

the netting agreement creates a uniform contractual relationship between the credit institution and its contractual partner in respect of the transactions involved, so that the credit institution, in the event of non-fulfilment by the contracting party, shall, on the basis of Insolvency, bankruptcy, liquidation or similar circumstances shall only have the right to receive or to pay the balance of the positive and negative market values of the included transactions;

3.

the credit institution shall have a written opinion of an independent expert, which shall state that it lays down the applicable law or that the competent courts or authorities would decide in the event of a dispute that the claims shall be and obligations of the credit institution from netting agreements would be limited to the difference described in Z 2; if framework contracts are used, the legal information may also be drawn up by groups or classes of netting agreements , the legal information provided by the FMA and the Oesterreichische The National Bank shall, upon request, be required to take account of the following legal systems:

a)

the law of the State in which the contracting party has its registered office; if a foreign branch of the credit institution or of the contracting party is involved, the law of the country in which the branch office is established shall also be applicable;

b)

the law applicable to the individual transactions involved;

c)

the right to which the contracts or arrangements necessary to bring about the contractual netting are subject to the effect of the contract;

4.

the credit institution shall establish procedures to ensure that the legal validity of the netting agreements is reviewed at least once a year in the light of any changes to the applicable legislation;

5.

the contracts may not contain provisions whereby a non-insolvent party has the option of providing only limited or no payments to the bankruptcy fund, even if the debtor has a net claim (exit clause). or walk-away clause);

6.

no information is available to the credit institution to the effect that the competent foreign authority has doubts about the legal effectiveness of the netting agreement in accordance with the applicable legislation;

7.

a communication by the FMA pursuant to Section 22 (7) of the BWG is not available;

8.

the credit institution shall carry out all the necessary documents relating to its documents;

9.

the credit institution shall include the effects of netting over the product in the measurement of the overall risk of each counterparty, and shall accordingly control the risk of counterparty risk; and

10.

the credit risk of each counterparty shall be summarised in order to obtain a single, cross-product, final receiving; this aggregated claim shall be within the limits of the credit institution's limit systems and the procedures in accordance with Section 39a of the BWG to be used.

(3) Cross-product netting agreements have to comply with the following requirements in addition to paragraph 2:

1.

The balance referred to in paragraph 2 (2) corresponds to the balance of the positive and negative realisable divestment values of all included bilateral framework agreements and the positive and negative revaluation values of the individual transactions (net cross-product amount);

2.

the opinion referred to in paragraph 2 (3) has the validity and enforceability of the entire cross-product netting agreements and the assessment of the impact of the cross-product netting agreement on the essential provisions of all to include bilateral framework agreements concluded;

3.

the procedures referred to in paragraph 2 (4) shall also be used to ensure the preparation of the opinion referred to in paragraph 2 (3) for new transactions to be included in a netting rate, and

4.

the credit institution shall continue to meet the requirements for the recognition of bilateral netting and, where appropriate, the requirements for credit risk reduction in respect of all individual individual bilateral framework agreements and transactions; in accordance with § § 83 to 155.

Consideration of netting agreements

§ 258. In the event of a netting agreement, § § 234 and 235 shall apply as follows:

1.

Bilateral debt conversion agreements and market valuation approach: market values and nominal values are to be determined, taking into account the school-change treaty;

2.

bilateral debt conversion agreements and the origin-risk approach: the nominal values must be determined taking into account the school-change contract;

3.

Other bilateral netting agreements and market assessment approach:

a)

for contracts included in the netting agreement, the market value according to § 234 corresponds to the amount resulting from the netting agreement; if a net liability arises from the netting, the market value shall be zero ,

b)

if the potential credit risk is to be determined, the following shall be used:

aa)

in the case of foreign exchange transactions and other comparable contracts, the calculated nominal value shall be applied without the application of section 259 if the latter corresponds to the actual flows of money and if the claims and liabilities are in the same currency and shall be due on the same value date;

bb)

in all other cases, the initial nominal values, weighted at the discretion of the credit institution in accordance with § 259;

4.

Other bilateral netting agreements and origin-risk approach:

a)

in the case of foreign exchange transactions and other comparable contracts in which the credited nominal value corresponds to the actual flows of money and in respect of which the claims and liabilities are at the same value date and in the same currency , the nominal value shall be payable; the table in § 235 shall apply;

b)

for all other contracts included in a netting agreement, the nominal value of each individual contract shall be multiplied by the following hundred sets:

Origin term

Interest rate derivatives

Exchange rate derivatives and gold-based transactions

maximum one year

0.35 vH

1.50 vH

more than a year and not

more than two years

0.75 vH

3.75 vH

additional consideration

every other year

0.75 vH

2.25 vH

Netting agreements: future potential credit risk

§ 259. Under Section 258 Z 3, credit institutions may reduce the future potential credit risk in accordance with the following equation:

where:

PCEred the reduced value for the potential future credit risk for all contracts concluded with a given contractual partner under a bilateral settlement agreement;

PCEgross the sum of the values for potential future credit risks in all contracts with a given contractual partner, which are included in a bilateral settlement agreement and are calculated by including their nominal values with those in the table in § 234 are multiplied by the number of hundred sets;

NGR the net gross quotient according to § 260.

Netting agreements: net gross ratio

§ 260. Credit institutions may calculate the net gross ratio separately or aggregated; however, a once-selected method shall be subject to continuous application:

1.

The net gross quotient in the separate calculation is the quotient of the calculated market value of the contracts with a given Contracting Party under a bilateral settlement agreement (numerator) and the sum of all market values of the in- the netting agreement entered into with the same Contracting Party before it is charged (denominator); or

2.

the net gross quotient according to the aggregation method is the quotient of the sum of the calculated market values calculated on a bilateral basis for all contracting parties, taking into account all contracts in the framework of bilateral agreements. Settlement agreements (numerators) and the sum of the market values of all contracts included in a netting agreement before their offsetting (denominator).

Netting agreements with standard method and internal models

§ 261. For credit institutions that use the standard method in accordance with § § 234 to 241 or an internal model according to § 21f BWG, § § 258 to 260 shall apply in the consideration of netting agreements, as in the case of the use of the market valuation method.

Part 6

Transitional and final provisions

Transitional provisions

§ 262. After the entry into force of this Regulation, the following transitional provisions shall apply:

1.

Until 31 December 2012, the calculation of risk-weighted exposure amounts within the meaning of Article 4 (4) shall be subject to claims made 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 of this currency shall be applied to the same risk weighting as those denominated in the national currency and which are refinanced in that currency.

2.

Until 31 December 2012, the calculation of risk-weighted exposure amounts within the meaning of section 15 (2) may be weighted by 50 vH in the case of real estate leasing transactions involving real estate property in the domestic market if the The conditions laid down in § 14 (1) (1) and (3) are fulfilled. § 15 (1) and (2) do not apply.

3.

Until 31 December 2010, the percentage of 60 vH referred to in section 18 (1) Z 6 may be replaced by 70 vH.

4.

Data collected in the framework of institutional estimates of risk parameters PD, LGD, conversion factor and expected loss within the meaning of § 47 before the entry into force of this Regulation may be used if it has been received in , so that a broad agreement is established with the definitions of default and loss in accordance with Section 22b (5) Z 2 of the BWG.

5.

If no own estimates are used for loss rates and conversion factors, the relevant observation period within the meaning of § 48 Z 8 may be shortened to at least two years, with the period to be covered annually by one year. extended until relevant data are available for a period of five years.

6.

The relevant observation period within the meaning of § 49 Z 4 may be shortened to a period of at least two years, with the period to be covered extended annually by one year until the relevant data for a period of five years exist.

7.

The relevant period of observation within the meaning of § 51 may be reduced to a period of at least five years, with the period to be covered extended annually by one year until authoritative data for a period of seven years exist.

8.

The relevant observation period within the meaning of Section 52 Z 4 may be shortened to a period of at least two years, with the period to be covered extending annually by one year until the relevant data for a period of five years exist.

9.

The relevant period of observation within the meaning of Section 54 may be reduced to a period of at least five years, with the period to be covered extending annually by one year until the relevant data for a period of seven years exist.

10.

The relevant observation period within the meaning of § 55 Z 2 may be shortened to a period of at least two years, with the period to be covered extending annually by one year until the relevant data for a period of five years exist.

11.

Up to 31 December 2010, an LGD value of 11.25 vH may be applied for covered bonds in accordance with § 18 of the LGD estimate within the meaning of Section 69 (1) Z 4 instead of 12.5 vH if:

a.

Assets that cover debt securities within the meaning of Section 18 (1) (1) (1) and (2) are all attributable to the credit rating level 2.

b.

in the case of the use of assets within the meaning of Article 18 (3) to (5), the respective ceilings in each of these points shall be 10% of the nominal value of the outstanding issue;

c.

assets within the meaning of Section 18 are not used as collateralisation or

d.

the covered debt securities are the subject of a credit rating of a recognised credit rating agency and the rating agency puts it in the most favourable credit rating category, which it can recognise in respect of covered bonds.

12.

Until 31 December 2010, 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 a guarantee of a central state.

13.

Real estate, which as of December 31, 2006 or at the time of exchange according to § 103e Z 7 BWG, if this later is, as a collateralization according to § 22 para. 3 Z 3 lit. a BWG in the version of the Federal Law BGBl. I n ° 48/2006 or § 103 Z 10 lit. f BWG in the version of the Federal Law BGBl. I n ° 48/2006 are used for the purpose of credit risk reduction and are to be evaluated for the first time in accordance with § 104 by 31 December 2009 at the latest.

14.

For transactions within the meaning of § 138, which shall be before the 1. In 2007, a default of five trading days may be accepted instead of the regulation set out in § 138 (1) (3).

15.

By 31 December 2012, credit institutions may, by way of derogation from § 140 for priority claims in the form of commercial real estate leasing as well as for priority claims secured by residential and commercial real estate, an effective loss rate at Failure (LGD*) of 30 vH and for priority receivables in the form of capital goods leasing of 35 vH.

16.

Until 31 December 2012, credit institutions and groups of credit institutions in which the indicator for the trading and sales business unit (Trading and Sales) for at least 50 vH of the total for all business areas according to § § 184 to 187 may be used Indicators are, for the business segment trading, set a value of 15 vH.

17.

Credit institutions that are prior to the 1. By 31 December 2009, the Regulation of the Federal Minister of Finance for the implementation of the Banking Act with regard to internal models of the German Banking Act may continue to be used by 31 December 2009. Market risk limitation (model regulation), BGBl. II No 179/1997.

References

§ 263. (1) Where reference is made in this Regulation to the Banking Act (BWG), this is, if nothing else is determined, in the version of the Federal Law BGBl. I No 141/2006.

(2) Where reference is made in this Regulation to regulations of the FMA, these are to be applied, if nothing else, in the respective version in force.

Out-of-Force Trees

§ 264. As of 31 December 2006, the following shall be repeal:

1.

The regulation of the Federal Minister of Finance on the implementation of the Banking Act with regard to internal models of the market risk limitation (model regulation), BGBl. II No 179/1997; and

2.

the Regulation of the Federal Minister of Finance on the implementation of the Banking Act with regard to other risks related to options (Options Risk Ordinance 2000), BGBl. (II) No 323/2000.

In-force pedals

§ 265. This Regulation shall enter into force with the day following the presentation.

Pribil Traumüller