Chapter 1 Scope and definitions

Chapter 2 Adequate baseline capital and solvency requirements

Chapter 3 Delimiting items in and out of trade

Chapter 4 Credit Risk

Chapter 5 Market risk

Chapter 6 Deviation and delivery risk of the receiving Party

Chapter 7 Operational Risk

Chapter 8 Enlighment obligations of the undertaking

Chapter 9 Preparation form

Chapter 10 Penalty provisions

Chapter 11 Entry into force and transitional provisions, etc.

Exhibit

Appendix 1

Appendix 2

Appendix 3

Appendix 4

Appendix 5

Appendix 6

Appendix 7

Appendix 8

Appendix 9

Appendix 10

Appendix 11

Appendix 12

Appendix 13

Appendix 14

Appendix 15

Appendix 16

Appendix 17

Appendix 18

Appendix 19

Appendix 20

Annex 21

Appendix 22

Appendix 23

Appendix 24

Publication of capital coverage 1)

Purline to section 124 (4). 9, section 143, paragraph 1. 1, no. 1-5, 7 and 8 and paragraph 1. 3, and Section 373 (3). 4, in the law of financial activities, cf. Law Order no. 793 of 20. August 2009 :

Chapter 1

Scope and definitions

§ 1. This notice shall apply to :

1) Financial institutions.

2) Realtor credit institutions.

3) Fund Broker Companies.

4) Investment management companies.

5) Filials here in the country of credit institutions, brokers ' companies or investment management companies authorised in a country outside the European Union which have not concluded agreement with the financial area.

6) Holding companies as defined in section 5 (5). 1, no. 10-14, in the Act of Finance, and which are covered by the requirements of section 170 (3). 1-4, in the law of financial operations.

7) Concerns, where one of the under No 1-4 or 6 companies referred to are a parent undertaking and where, in accordance with section 170 (4), 1-4, in the law on financial activities, a consolidated account shall be made.

8) Delgroups where one of the under No 1-4 or 6 companies referred to are a parent undertaking and in accordance with section 171 (1). 2, section 172, paragraph 1. 2, section 173, paragraph 1. 2, or Section 174 (4). 2, in the Act of financial activities, a consolidated account shall be made.

Paragraph 2. The people in paragraph 3. 1 mentioned institutions and undertakings shall be referred to in the following ' establishments '.

§ 2. Businesses shall draw up the form of capital cover in accordance with this notice and associated Annexes.

§ 3. The base chapter shall be made in accordance with the provisions of Chapter 10 of the Act of Financial Services.

§ 4. " UCITS " means the publication in section 5 (5). 1, no. Amendment No 2, in the case of financial activities, mentioned credit institutions, in section 5 (5). 1, no. 3, in the Act of financial activities, the investment firms referred to above and in section 5 (5) ; 1, no. 5, in the Act of financial activities, the management companies referred to as authorised and subject to the supervision of the Financial supervision or equivalent by the competent authorities of the Financial Regulation.

Paragraph 2. The undertaking of a company ' s working capital shall mean the sum of deposits, securities issued, etc., and deposited capital and own funds.

Paragraph 3. The fixed costs of the fund brokers and the investment management companies shall mean the following items from the profit and loss account in Appendix 3 to the notification of financial reports for credit institutions and intermediaries of the Fund intermediaries and others :

1) Costs to staff and administration (item 8).

2) Depreciation and depreciation of intangible and material assets (item 9).

3) Other operating expenses (item 10).

Paragraph 4. Exposure shall mean the assets and non-balance sheet of this notice.

Paragraph 5. For the purposes of securities financing instruments, the notice shall be the rebug; re-purchase transactions, margins and transactions relating to the loans or loans or deposits of securities or commodities.

Paragraph 6. In the following rebutations, any agreement means any undertaking or its counterparty to transferor transferor transferable securities, commodities or guaranteed rights to acquire securities or commodities, and, at the same time, undertake to buy them ; or equivalent securities or commodities, back at a later date to a particular price. This will be a renepurchase agreement (sales and feedback store) for the company that sells the securities or raw materials, and a reverse repurchase agreement (purchase and return business) for the company that is purchasing the securities or raw materials. In the case of re-purchase transactions involving the purchase or sale of guaranteed rights, the guarantee must be given by a regulated market or an equivalent foreign market for securities held in possession of the rights to the securities ; or raw materials. The agreement on a return transaction may not allow a company to hand over or pan-set a particular value paper or a particular commodity for more than one co-contractor at a time.

Paragraph 7. In the case of marker loans, the transactions in which a credit institution provides credit for the purchase, sale, transfer of or trade in securities with security in the relevant securities shall be taken into account. The loans granted to Marreans shall not cover other loans which may have been secured by securities in the form of securities.

Paragraph 8. In the case of loans or deposits of securities or raw materials, all transactions shall mean all transactions by means of a business or its counterparty to transferable securities or commodities to appropriate safety and subject to the borrower ' s transferable securities ; the raw materials of the same type at a later date, or when the handover requests.

Niner. 9. In terms of terminating operations, transactions where a counterpart undertakes to provide a securities or an amount in foreign currency in return for cash or other financial instruments-or vice versa-on an exception-or time of delivery that is set for more than the shortest of the market norm for the transaction in question and five working days after the day the undertaking has concluded the transaction.

Paragraph 10. For securitisation positions, in this notice, exposure exposure to securitisations is understood in accordance with the case of securitisation. Annex 11.

Paragraph 11. A cash-like instrument shall be taken to mean a deposit certificate or similar instrument issued by the loan-lending institution.

Chapter 2

Adequate baseline capital and solvency requirements

§ 5. The company ' s management board and management must establish the establishment ' s adequatings of the basic capital and the solvency requirement of individual solvency (solvency). The undertaking shall take account of the conditions set out in Annex 1.

Paragraph 2. The solvent need is as the percentage that the adequate base capital represents of the risk-weighted items.

Paragraph 3. Solventing needs must be reported to the Financial supervision.

Chapter 3

Delimiting items in and out of trade

§ 6. The trade position of a company consists of the following items that the company possesses with the trade interest or to uncover other elements in the trading book :

1) Securities.

2) Derived financial instruments set out in Appendix 17.

3) Securities financing instruments.

4) The business of terminme.

5) Credit derivatives.

Paragraph 2. Positions contained in the commercial point of view are positions which are intended for resale, and / or taken to benefit from actual or short-term differences between purchase and sale prices or by other price or interest rates. The term ' positions ` shall include positions in transferable securities and derivative financial instruments which the undertaking shall have on its own account, and positions based on customer service and market making.

Paragraph 3. These include securities and derivative financial instruments that are included in the storage systems, where the whole positive return of the securities and financial instruments covered by the included financial instruments are to be added to the customers and the whole negative ; the return of securities and derivatives financial instruments shall be borne by customers. The posture of the company ' s own stock and own bonds is included in the market value of market risks.

Paragraph 4. The commitments which correspond to the assets and other items shall be subject to the provisions of paragraph 1. Three, part of the trading book.

Paragraph 5. The trade position does not include premium bonds and pawn letters.

§ 7. Positions and portfolios which are possessed with trade concerns shall comply with the requirements of Annex 2. Companies must establish and maintain systems and controls on the management of the trading book in accordance with Annex 2.

Chapter 4

Credit Risk

§ 8. In the calculation of risk-weighted credit risk items, the company must use the standard method of credit risk, which is set out in section 9-18, or the internal rating method for credit risk, which is shown in section 19-33.

Paragraph 2. In the case of credit risk items, this notice exposes exposure beyond the trading book, including exposure to the counterparty risk outside the trading book, and exposure to the counterparty risk in the trade inventory.

Default credit risk method

§ 9. A company that uses the standard method of credit risk must divide exponings into the following categories :

1) Sponings on central governments or central banks

2) Exposure to regional or local authorities

3) Exposure to public entities

4) Exposure to multilateral development banks

5) Exposure to international organisations

6) Exposure to institutions, cf. Section 4 (4). 1

7) Exposure to business enterprises and so on

8) Retail Exposure

9) Sponings secured by furant in real estate

10) Exposure on which there is a restance or an overhaul

11) Covered bonds

12) Securitisation Positions

13) Exposure to business enterprises and so on with a short-term credit rating

14) Exposure to collective investment schemes

15) Exposure to other items, including assets without counterparts.

Paragraph 2. Exposure shall be weighted in accordance with the provisions of Annex 3.

§ 10. In the estimations of the risk-weighted items according to the standard method of credit risk, the expulations of the financial reports for credit institutions and the fund-brokered-brokered-brokered financial reports shall include the expulates in accordance with the notification of financial reports for credit institutions and intermediaries. however, paragraph 1 2-6 and § § 42-49. An asset that is deducted from the base capital is not part of the inventory of the risk-weighted items.

Paragraph 2. A company that uses a net agreement that satisfies the minimum requirements of Annex 10, point. 2-5, for the securities financing instruments covered by the net, the level of exposure shall be discharged in accordance with the provisions of Annex 10, cf. However, section 43.

Paragraph 3. A company authorized to use the internal model method for calculating the level of exposure below a net agreement that satisfies the minimum requirements set out in Annex 10, point. 2 5, may for terminus which are covered by the net agreement, make up the amount of exposure according to the provisions of Annex 10, point. 14-23 instead of after paragraph 44.

Paragraph 4. The provisions relating to the use of the internal model method for calculating the size of exposure under net agreements in accordance with paragraph 1. 2 and 3, as shown in Appendix 10, point. 14-23.

Paragraph 5. Non-balancing items not covered by paragraph 1. 2-4 or § § 42-49 is part of the nominal value of deductions and shall be divided into items with full risk, with intermediate risk, with low-risk items, with a low risk, in accordance with the provisions of Annex 4. Posts with a full risk are part of the statement of the size of the exponment, with a 100% degree. of the nominal amount, of intermediate risk items, with 50%. of the nominal amount, with the intermediate / low risk of 20%. of the nominal amount and the low-risk items with 0%.

Paragraph 6. Paragracies 1 to 5 shall not apply to securitisation positions, cf. § 11.

§ 11. A company using the standard method of credit risk shall be accompanied by the estimations of the risk of securitisation of the company ' s expulsions and to make the risk-weighted items for securitisation positions outside of the trading book according to the provisions of Annex 11.

§ 12. A company using the standard method of credit risk may, by means of the inventory of the risk-weighted items, the effect of guarantees, credit derivatives and securities, and netting of reciprocal deposits and lending in accordance with the provisions of Annex 7.

Paragraph 2. The effect of guarantees, credit derivatives and securities and netting of reciprocal deposits and loans pursuant to paragraph 1. 1 shall be made before use of the weights for items with intermediate risk, with the intermediate / low risk and low-risk items in section 10 (1). 5.

§ 13. In the estimations of the risk-weighted exposures, the company may use approved credit rating agencies ' credit ratings, cf. § 15 -18. The use of credit rating agencies ' credit ratings for the setting of the risk-weighted items must be consistent and in accordance with Annex 5.

§ 14. Credit ratings from export credit agencies, including country classifications developed by the Organisation for Economic Cooperation and Development (OECD), may be used to make the risk weighs of central governments and central banks.

Paragraph 2. The use of credit ratings from external export credit agencies must meet the same criteria as credit ratings from the rating agencies at the definition of risk weights, cf. § 13.

§ 15. If the company uses credit ratings from approved credit rating agencies, it must use credit ratings, where the credit-rated devices themselves have requested to be credi-rated (solicited rating), cf. however, paragraph 1 2.

Paragraph 2. The Financial supervision may allow companies to use credit ratings where the credit-rated devices themselves have not requested to be credi-rated (unsolicited ratings).

§ 16. An external credit rating may only be used for determining the risk weight of an exposure if the credit rating agency that provides it has been approved for this purpose by the Financial supervision.

Paragraph 2. At least one Danish credit institution shall expect to use the credit ratings of credit ratings to the provision of exposure risk weights before the rating agency can be approved.

§ 17. A credit rating agency can only be approved if the rating agency's rating methods comply with the requirements for objectivity, independence, continuous monitoring and transparency, and that credit ratings meet the credibility and requirements of the requirements for the use of the credit rating ; transparency, cf. Annex 6.

Paragraph 2. Where a credit rating agency has been approved by the competent authorities of another country within the European Union or in a country concluded by the Community in the financial sphere, the Financial Authority may approve it in question. The rating agency on the basis of the assessment carried out in the other country.

§ 18. Taking into account the criteria laid down in Annex 5, the Financial supervision shall determine the credit quality of credit ratings carried out from an approved credit rating agency.

Paragraph 2. Have the competent authorities of another country within the European Union or in a country concluded by the Community in the area of the financial area in accordance with paragraph 1 shall be taken in accordance with paragraph 1. 1, the Financial supervision may approve the use of these credit quality steps.

The internal steering rate method of credit risk (IRB method)

§ 19. The financial supervision may permit the establishment, instead of the standard method of credit risk, to set up the risk-weighted lines relating to the credit risk of non-commercial commercial stock, positions in shares outside the trading book, and in collective investment schemes outside of commercial stock and water-taking risks in the case of customer claims, in accordance with the provisions of Annex 8, point. 3-112 (IRB method).

Paragraph 2. A separate licence shall be required for each of the sections referred to in section 1 (1). 1, mentioned undertakings.

Paragraph 3. An application for authorization pursuant to paragraph 1. 1 shall be defined in accordance with the provisions of Annex 21.

Paragraph 4. If the undertaking is part of a group where the parent company is a financial institution, real credit institution, fund-brokering company or investment management company located in Denmark, the parent undertaking shall submit the application for authorization to the Financial supervision in accordance with the provisions of Annex 21. If the parent company is a financial holding company located in Denmark, all undertakings jointly submit an application for authorisation to the Financial supervision. Where the parent undertaking is situated in another country within the European Union or in a country concluded by the Community in the area of the financial sphere, and where the procedure laid down in Directive 2006 /48/EC of 14 is in question. June 2006, on the admission and undertaking of a credit institution (recast), in particular. 129, paragraph 1. 2, applicable, the application for approval of the IRB method established by the competent authorities of the country in which the parent undertaking is located shall be followed.

Paragraph 5. An application for the use of the IRB method shall include all the exposure of all legal entities included in the group, however, with the possibility of temporary and permanent derogations provided for in section 24-26.

20. The use of the IRB method may only be authorised under section 19 if the management and rating systems of creditrisk comply with the requirements of Annex 8, point of order. 113-242.

Paragraph 2. If the undertaking is part of a group, the Financial supervision may permit the minimum requirements set out in Annex 8 to be furtive. 113-242 is satisfied with the parent undertaking of the group and its subsidiaries in the same way.

§ 21. If the undertaking is part of a group where the parent undertaking or one or more subsidiaries is a credit institution, a fund-broker or investment management company authorised in another country within the European Union ; or in a country concluded by the Community in the area of the financial area, and where the procedure laid down in Directive 2006 /48/EC of 14. June 2006, on the admission and undertaking of a credit institution (recast), in particular. 129, paragraph 1. 2, applicable, the Financial supervision may allow the use of the IRB method on the basis of the terms agreed with the competent authorities of the country concerned, provided that the provisions concerning the use of the IRB method as described in Directive ; 2006 /48/EC of 14. June 2006, on the admission and pursuit of business as a credit institution (recast) has been fulfilled.

§ 22. A company seeking permission to use the IRB method must prove that the relevant exposure categories have used ratings systems which meet the minimum requirements laid down in Annex 8, point-of-the-line. 113-242 for a minimum period of three years prior to the intended use of the IRB method.

Paragraph 2. In order to obtain approval for the use of the IRB method, the majority of the company's central business areas, which are not subject to a permanent derogation, see it in. section 26, must be covered by the IRB method at the time of approval.

-23. A company which, in connection with the application of the IRB method, seeks to use its own estimates for loss of non-compliance (LGD) and conversion factors (CF) for business, institute and state sponsorship, must demonstrate that it has : calculated and used own estimates for LGD and CF in a way that satisfies the minimum requirements set out in Annex 8, point. 113-242 for a minimum period of three years prior to the proposed use of the respective estimates for these parameters for the relevant exposure categories.

§ 24. The SEC may allow the company to introduce the IRB method in the company, company parent business and their subsidiaries after a pre-scheduled schedule of rolling up. A rolling plan may include an incremental introduction of the IRB method in the following areas :

1) Exposure Categories within the same Business Unit.

2) Business units, including legal entities within the same group.

3) Subcategories table sponges with security in real estate, qualified gunslings, and other table sponges.

4) Application of its own estimates for LGD or CF for business, institute and state sponsorship for undertakings authorised to use their own estimates for the LGD and CF for business, institute and state sponges.

Paragraph 2. Incremental imposition in accordance with paragraph 1. 1, no. One-3 means that the company will temporarily use the standard method of credit risk in the areas covered by the rolling schedule.

Paragraph 3. Incremental imposition in accordance with paragraph 1. 1, no. 4, means that the company for the exposure categories and business units covered by the deployment plan for the respective risk parameters shall apply, in accordance with Annex 8, to the point of use. 60-70, fixed values for LGD or in section 27 (1). 8, no. 1, determined values for CF.

Paragraph 4. The company must use its own calculations of the maturity (M) in accordance with the provisions of Annex 8, point. 61-67, for all professions, institute and state sponges, provided that the company uses its own estimates for LGD or CF on some exposure categories in the business, institute or state sponges.

Paragraph 5. Benytes the company IRB method for at least one exposure category, at the same time, the company must utilize the IRB method of the asset exposure category, unless share exposure is exempted permanently in accordance with section 26 (s). 1, no. Five, six, and nine.

§ 25. The phased introduction in accordance with section 24 shall be carried out within a reasonable period of time, but a maximum of three years after the use of the IRB method has commenced and, in accordance with specified conditions, in accordance with specified conditions. however, paragraph 1 3.

Paragraph 2. The overall schedule and order of the phased introduction must, along with the conditions attached to the gradual introduction, must be listed in the undertaking ' s implementation plan.

Paragraph 3. The Financial supervision may, in exceptional circumstances, permit a longer period than set out in paragraph 1. 1 and may allow the extraction plan to be amended during the rolling period, if business or other essential conditions change.

SECTION 26. The SEC may allow the establishment to exempt the following exposure permanently from the IRB method and instead use the standard method of credit for the exposure concerned :

1) Exposure to the Danish state, Danish regions, Danish municipalities, Danish municipalities, Greenland Home Estate, Faroese Country, Greenland and Farmers, Denmark's Church, Denmark's National Bank, and Denmark's National Bank.

2) Exposure to central governments, regional authorities, local authorities, public entities and central banks in other Member States or countries which the Community has concluded agreement with in the financial sphere and where the company ' s subsidiary or parent undertaking or parent undertaking ' s other subsidiaries shall be indigenous and covered by Directive 2006 /48/EC of 14. June 2006, on the admission and pursuit of the business of credit institutions (recast) or Directive 2006 /49/EC of 14. June 2006 on the capital base (recast) requirements for investment firms and credit institutions (recast), provided that the following are fulfilled :

a) There is no difference in the risk of exposure to the state and other exposure to special public arrangements.

b) Exposure to the central government is linked to zero weight under the standard method of credit risk.

3) Other exposure to central governments, regional authorities, local authorities, public entities and central banks, which are not covered by no. The number of major counterparts is limited, and it would be disproportionate for the company to impose a steering system for these counterparts.

4) Institution sponges where the number of major counterparts is limited, and it would be disproportionate for the company to establish a steering system for these counterparts.

5) Asset Exposure, if the total value of these exposure on average over the previous year does not exceed 10%. of the basic capital of the undertaking. If the number of these stock exposure is less than 10 individual holdings, the limit of 5% is the limit. of the basic capital of the undertaking.

6) Asset Exposure to Devices whose credit obligations justify zero weight according to the standard method of credit risk, including publicly supported enterprises, on which zero weight can be used.

7) Exposure to counterparties that are the company's parent company, company subsidiary, or a subsidiary of the company's parent company.

8) Exposure in non-critical business units and to exposure categories that are insignificant as regards size and risk profile when the following conditions are met :

a) Business units and exposure categories that are exempting from the IRB method with this justification must be combined under 15%. of the risk-weighted items, cf. however, paragraph 1 2.

b) A single business unit or a single exposure category, which, in itself, represents up to 15%. the risk-weighted items shall not be regarded as insignificant and cannot, therefore, be exempted from the IRB method, cf. however, paragraph 1 2.

9) Assets exposure to which other Member States or countries concluded by the Community in agreement with the financial area have been exempted under Article 89 (1). 1 (f) and (g) of Directive 2006 /48/EC of 14. June 2006, on the admission and pursuit of business as a credit institution (recast version).

Paragraph 2. The financial supervision may allow the limits set out in paragraph 1. 1, no. 8 (a) and (b) over a period of time is exceeded and that special exposure is permanently excluded from the limits.

§ 27. In the estimations of the risk-weighted items pursuant to section 19, exposure to the value of their valuation before writing or other value adjustment shall be made in accordance with the value of paragraph 19. however, paragraph 1 2-9 and § § 42-49. This also applies to assets acquired at a price different from the amount due. An asset that is deducted from the base capital is not part of the inventory of the risk-weighted items.

Paragraph 2. Exposure that is measured to a daily value according to the announcement of financial reports for credit institutions and fund brokers, etceforth, are part of the daily value of the exposure before precipitation and the provision of credit risk.

Paragraph 3. Exposure in the form of shares outside of trade shall be included with the value they are made to in accordance with the notice of financial reports for credit institutions and the brokers ' brokers and others.

Paragraph 4. Exposure in the form of assets without counterparts, as defined in Annex 8, point. 24 shall include the value they are made to in accordance with the notice of financial reports for credit institutions and brokerage intermediaries and others.

Paragraph 5. Exposure in relation to credit risk on acquired entitlements shall be made up to the outstanding amount deduced from the incurable risk, cf. Annex 8, point. 106 and 107. The solvency requirement for the watering down risk shall be discharged on the basis of the outstanding amount without the application of the risk reduction provisions in Annex 9.

Paragraph 6. Exposure in the form of securities lodged with security or lending in connection with securities financing instruments is part of the value they are collected according to the notification of financial reports for credit institutions and Fund brokerers, etc., cf. however, paragraph 1 7 and section 43.

Paragraph 7. ~ 10 (1)) 2-4, similar to a business that uses the IRB method of credit risk.

Paragraph 8. Non-balancing items not covered by paragraph 1. 7 or § § 42-49, with the nominal amount without deduction for provisions, multiplied by a conversion factor (CF) according to the following criteria :

1) A company which, in connection with the use of the IRB method, is not authorised to use its own estimates for losses, (LGD) and conversion factors (CF) for business, institute and state sponings, as defined in Appendix 8, point. 6 8, must use the following CFs for unbalanced exposure within the relevant exposure categories :

a) For credit undertakings which you can terminate at any time without premonitions and without conditions or which effectively ensure automatic termination in a deterioration in the credit quality of the counterpart, a CF of 0% shall be used. The company must be able to use a CF of 0%. closely monitor the financial situation of the counterpart, and its internal control systems must be able to immediately identify any deterioration in the credit quality of the counterpart.

b) For open and confirmed remburces of short maturity and similar instruments, a CF of 20% shall be used. both for the issuing and the notification company.

c) In the case of untapped purchasing undertakings for the gunslinger acquired, with specific debtors, which can be terminated without conditions or where it is effectively ensured that the undertaking can automatically terminate them at any time and without notice, a use must be applied to : CF on 0%. The company must be able to use a CF of 0%. closely monitor the financial situation of the debtor, and its internal control systems must be able to immediately identify the deterioration of the credit quality of the debtor.

d) For other credit commitments, including loan offerings which are not covered by point (a), a CF of 75% shall be used.

(e) All other non-balance-sheet items other than those referred to in point a-d shall be placed in the risk categories in accordance with the provisions of Annex 4. In the estimations of exposure of exposure to full risk, a CF of 100% shall be used. For exposure with intermediate risk, a CF of 50% shall be used. For low-risk exposure levels, a CF of 20% shall be used. For low-risk exposure, a CF is applied to 0%.

2) Undertakings authorised to use their own estimates for the LGD and CF for professional, institute and state sponsorship shall, with the exception of areas covered by the phased introduction in accordance with section 24 (2), 1, no. 4, use its own estimates for the CF for the product categories referred to in point (s). 1 (a) (a) and (e, 3. -5). Act.

3) The company must for table details, as defined in Appendix 8, point. 11-19, use its own estimates for CF for the product categories listed in paragraph 1. 1 (a) (a) and (e, 3. -5). Act.

4) If a commitment is attached to the extension of another commitment, the lowest of the two CFs apply to each individual obligation.

Niner. 9. Paragracies 1 to 8 shall not apply to securitisation positions, cf. -$30.

§ 28. A company that uses the IRB method shall make the expected loss of exposure covered by the IRB method and the difference between the anticipated losses and the valuations of the accounting and the provisions for these exponations after the provisions ; in Appendix 8, point. 243-256.

§ 29. A company that uses the IRB method and which is not authorized to use its own estimates for losses granted (LGD) and conversion factors (CF) for business, institute and state exposure may, at the time of the inventory of the risk-weighted ; the records and expected losses for these exposure classes include the effect of guarantees, credit derivatives and securities, and netting of mutual loans and loans, in accordance with the provisions of Annex 9, cf. however, paragraph 1 2.

Paragraph 2. A company authorized to use its own estimates for the LGD and CF for transferee, institute and state sponsorship shall be subject to the provisions of Annex 9, point. 14-16, on the conditions for the use of the risk-weight formula for the recognition of the 'dual default effect' for guarantees and credit derivatives in the form of "total return swaps" and "credit default swaps", cf. Annex 8, point. 80 and 81.

Paragraph 3. A company that uses the IRB method and which uses either the simple risk-weight method or the PD/LGD method for shares outside the trading book may include the effect of guarantees and credit derivatives obtained from these stock exposure, compliance with the provisions of Annex 9.

Paragraph 4. The effect of guarantees, credit derivatives and securities, and netting in accordance with paragraph 1. 1 and 2 shall be made up prior to the use of the conversion factors (CF) in section 27 (5). 8.

-$30. A company using the IRB method of credit risk shall be accompanied by the estimations of the risk of securitisation of the company ' s expulsions and to make the risk-weighted items for securitisation positions outside of the trading book according to the provisions of Annex 11.

§ 31. A company authorized to use the IRB method may not terminate and use the standard method of credit risk, unless the undertaking is authorised from the Financial supervision.

§ 32. A company which, in connection with the use of the IRB method, is authorised to use its own estimates for the loss of conforfeit (LGD) and conversion factors (CF) for business, institute and state sponsorship, may not terminate and in the place shall be used in Annex 8, point. 50-60, fixed values for LGD or in section 27 (s). 8, no. 1, fixed values for CF, unless the undertaking is authorised to do so from the Financial supervision.

§ 33. If an undertaking authorised to use the IRB method ceases to comply with the requirements of Annex 8, the establishment shall either submit a plan for the Financial supervision of an early return to fulfilment of the requirements or document that : non-compliance is of negligible importance.

Chapter 5

Market risk

§ 34. In the calculation of risk-weighted positions with market risk, the company must use the standard market risk methods, cf. section 35-39 or internal market risk models (VR models), cf. § § 40-41.

Paragraph 2. In the case of market risk, this notice shall be taken into account in the trade inventory, cf. section 6 and positions of on-call risk and currency risk outside the trading book.

Default market risk methods

$35. The standard method for the calculation of the risk-weighted items for the positioning risk of debt instruments, shares and shares in collective investment schemes in the commercial stock is given in Appendix 12.

§ 36. Penal institutions and insurance companies may make the risk-weighted posts in the trading book subject to the standard positioning risk in the trading book, in accordance with the provisions of Chapter 4 instead of in accordance with the provisions laid down in Article 1. 35 if no. Number one or number 2 is met :

1) The trade inventory of the undertaking concerned has been disconnected,

a) normally not more than 5%. the total balance sheet and unbalanced items and normally constitute the maximum equivalent of 15 million. Euro and

b) at no time exceed 6%. the overall balance sheet and unbalanced items, and at no time exceed the equivalent of 20 million. Euro.

2) The undertaking concerned by the undertaking concerned at the end of the last financial year did not exceed 250 million. DKK

Paragraph 2. Concerns where the parent company is a financial holding company, whose business is exclusively or primarily in owning subsidiaries that are insurance undertakings, can make the risk-weighted items in the trading book by : the provisions of Chapter 4, rather than after the provision in § 35.

Paragraph 3. The financial supervision may decide that establishments are subject to paragraph 1. 1, no. Two, or paragraph. 2, shall make up the risk-weighted posts in the commercial stock following the provisions of Annex 12.

§ 37. Fund Broker Companies covered by Section 9 (2). 8, final pkt;, in the law of financial activities, as well as investment management companies which are subject to section 10 (4). FIVE, ONE. pkt., cf. paragraph 1, in the Act of Financial Company, may terminate the risk-weighted posts in the trading book, which is subject to the standard positioning risk in the trading book, cf. section 35, in accordance with the provisions of Chapter 4, rather than after the provision in § 35.

Paragraph 2. The financial supervision may decide that establishments are subject to paragraph 1. 1 shall make the risk-weighted positions for the positioning risk in the trading book, cf. section 35, in accordance with the provisions of Annex 12.

§ 38. The standard method for the assessment of the risk-weighting positions in raw materials derivatives is set out in Appendix 13.

§ 39. The standard method for the assessment of the risk-weighting positions in foreign currency and gold is shown in Appendix 14.

Internal market risk models (VR models)

§ 40. The SEC may permit the establishment to disraise the risk-weighted items for the market risk using internal models (VR models) in accordance with Annex 15 instead of the standard methods given in Annexes 12, 13 and 14. The permit may include the company ' s interest in the interest of trade outside the trading book.

Paragraph 2. A permit may include the use of internal models for the calculation of all positions at market risk, cf. § 34, paragraph. 2, or market risk to a partial portfolio, so that the enterprise dissuds the risk-weighted items for market risk by means of a combination of internal models and standard methods in Annexes 12, 13 and 14.

Paragraph 3. Authorisation may be granted only if the establishment meets the requirements of Annex 15.

Paragraph 4. The authorisation may include the use of internal models for the calculation of the risk-weighted items for specific risk of shares and debt instruments if the undertaking meets the requirements of Annex 15, point. 13-20.

Paragraph 5. For an establishment authorised to use internal models of specific risks in accordance with paragraph 1. 4, acting with positions in securitisations, may be granted in accordance with paragraph 1. 4 include the possibility of using a lower risk weight than 1,250%. in the case of securitisations, which, in accordance with Annex 11, would be subject to a risk weight of 1,250 pct;, if the requirements for this in Appendix 15, point to point. 13-20's been met.

Paragraph 6. Authorisation pursuant to paragraph 1. 1 may include the use of empirical correlations within the risk categories and across risk categories if the establishment systems for the calculation and assessment of correlations are well-functioning and be implemented in a reassuring manner.

§ 41. If the undertaking is part of a group, section 19 (s) shall apply. 2, 4 and 5, and section 21 corresponding to applications in accordance with section 40.

Paragraph 2. The provisions relating to the application for internal models of market risk are laid down in Annex 22.

Chapter 6

Deviation and delivery risk of the receiving Party

Resistance risk

§ 42. The company must make up the level of exposure of derivative financial instruments covered by Annex 17, as well as for credit derivatives in the commercial stock, in accordance with either the market value method of counterparty risk ; of Annex 16, point. 10-17, the standard method of counterparty risk that appears in Appendix 16, point. 18-38, or the internal model method for the opposite-party risk that appears in Appendix 16, point. 39-82, cf. However, sections 45 and 46.

Paragraph 2. The company may use a combination of the market value method and the standard method of counterparty risk in the case referred to in Annex 16, point. 36.

Paragraph 3. If the undertaking is part of a group, it may use one of the methods referred to in paragraph 1. 1, no matter what methods other legal entities in the group are using.

§ 43. The company may terminate the size of the securities financing instruments in accordance with the internal model method of the opposite value instead of the value according to section 10, or, where appropriate, the value of section 27, cf. However, section 46.

§ 44. The company may, independently of the method used to account the exposure of exposure to derivative financial instruments covered by Annex 17, credit derivatives in the commercial stock and securities financing instruments, shall be discharged ; the size of exposure for terminus in accordance with either the market value method of the opposite-party risk, the default counterparty risk method or the internal model method for the opposite party risk, cf. However, section 46.

§ 45. The amount of exposure shall be fixed to zero on acquired credit derivatives which cover the credit risk of an exposure outside the trading book or on exposure to the counterparty risk in the trade inventory.

§ 46. The amount of exposure shall be fixed to zero for derivative financial instruments, securities financing instruments and terminating business, which do not relate to-rejected contracts concluded with a central counterpart in which all the participants in the central line are determined ; the systems of the opposite party are, on a daily basis, full security for their exposure to the central counterpart. The exposure value of other exposure to a key counterpart caused by derivative financial instruments, securities financing instruments and terminating business dealings with the central counterpart can also be set to zero.

Paragraph 2. In the case of a central counterpart, in this notice, a unit shall be deemed to be a legal entity between the counterpart in contracts traded on one or more financial markets, by becoming a seller and selling to purchaser.

§ 47. The size of the exposure for a given counterpart shall be made in the market value method of the opposite-party risk, the default counterparty risk and the internal model method for the opposite-party risk as the sum of the size of exposure for each network of the net ; the counterpart concerned.

Paragraph 2. For the purposes of this notice, the net party shall be the group of transactions with a single counterpart, which is subject to a valid bilaterally net system of net for which netting is recognised in accordance with the provisions of Annex 16, point. 83-92. Any transaction which is not subject to a valid bilateral net system of the net system recognised in accordance with Annex 16, point. 83-92, is considered to be a network of its own.

§ 48. The amount of exposure taken pursuant to section 42 to 47 shall enter into account the risk-weighted items for credit risk, in accordance with Chapter 4.

Paragraph 2. A company that uses the IRB method of credit risk, cf. section 19-33 may terminate the risk-weighted entries for terminals related to terminals after the default rate of credit risk, cf. § § 9-18, regardless of the extent of this business.

§ 49. The use of the internal model method for counterpart risk requires the authorisation of the financial system.

Paragraph 2. Authorisation may be granted only if the company meets the requirements of Annex 16, point. 39-82.

Paragraph 3. The provisions relating to the application for the use of the internal model method are shown in Appendix 23.

Paragraph 4. If the undertaking is part of a group, section 19 (s) shall apply. the provisions of paragraphs 2, 4 and 5, and Article 21 corresponding to applications in accordance with paragraph 1. 1-3.

Deviation risk (delivery versus payment)

$50. If a purchase or sale of securities in the trading book, including spot business, terminus and other business with physical delivery, are not processed at the beginning of the fifth working day following the agreed on a day of departure, shall include the risk of deviation, cf. paragraph 2, with a weight of 1,250 pct; until the time of development has taken place. If the risk of a value paper is zero or negative, it shall not be included in the calculation of the total deviation risk.

Paragraph 2. In the case of transferable securities, the difference of opinion shall be calculated as the market value of the securities concerned on the day of recking minus the agreed non-payment price. In the case of sales of securities, the risk is calculated as the agreed settlement price minus the market price of the securities concerned on the day of the day of sale.

Delivery Risk (Free-Available)

§ 51. If the undertaking has paid for securities or currency in the trading book before delivery or has supplied securities or currency in the trading book before it has been paid, the delivery risk shall be included with the following weights, cf. however, paragraph 1 FOUR :

1) Above and with the first agreed due day, the outstanding payments, securities and currencies with 0% are weighted.

2) After the first agreed due day and up to and with four working days after the second agreed on due day, the outstanding payments, securities and currencies shall be weighted as exponations in accordance with Chapter 4, cf. however, paragraph 1 Two and three.

3) From five (5) business days of the second agreed upon due day and up to the payment of the assets, securities or currencies, the value of the transferred payments, securities and currencies, as well as any positive, is deducted from the deposits, securities and currencies, and any positive identification ; market value of the business in the base capital, cf. § 139, paragraph 1. 1, no. 6, in the law of financial activities.

Paragraph 2. If the company uses the IRB method of credit risk, cf. section 19-33, the company may be able to balance the risk-weighted items in accordance with paragraph 1. 1, no. 2, assign a probability of default (PD) to counterparties that it does not have exposure to outside the trading book, based on the external rating of the counterpart. If the company uses the IRB method with its own estimates for the LGD, the company may be able to take the risk-weighted items in accordance with paragraph 1. 1, no. 2, grant the exposure to a LGD value as set out in Appendix 8, point. 53 if the company uses the LGD values as set out in Appendix 8, point. 53, for all such exponings. Alternatively, the company may raise the risk-weighted posts for exposures pursuant to paragraph 1. 1, no. 2, after the default credit risk method, cf. section 9-18, provided that it uses this method for all such exposure, or use a risk weight of 100%. for all such exposures.

Paragraph 3. If the outstanding payments, securities and currency are at the risk of delivery in accordance with paragraph 1. 1, no. 2 is not of major importance, regardless of the method used by the establishment of the risk-weighted items for credit risk, in the calculation of the risk-weighted items in accordance with paragraph 1. 1, no. 2, use a risk weight of 100%. for all such exposures.

Paragraph 4. Where the supply of delivery pursuant to paragraph 1 1 has incurred as a result of a comprehensive system failure in a clearing or settlement system, the Financial supervision may exempt from the requirements of paragraph 1. 1-3 forward to the failure to be despired. If a counterpart in such circumstances fails to liquidate a trade, it shall not be regarded as non-compliance pursuant to section 52 and Annex 8, point. 31-36.

Notification of the non-compliance of the counterparty

§ 52. If the company ' s counterpart in return transactions or transactions relating to loans or deposits of securities or commodities disorders its obligations, the undertaking shall immediately report this to the Financial supervision in accordance with Article 35 of Directive 2006 /49/EC of 14. June 2006 on the capital adequacy of investment firms and credit institutions (recast).

Chapter 7

Operational Risk

§ 53. The company shall make the risk-weighted items for operational risk in accordance with the basic indicator method, the standard indicator method or the advanced measurement method.

Paragraph 2. For operational risk, the risk of loss resulting from inappropriate or defective internal procedures, human error and systemic errors, or as a result of external events, including legal risks, is understood.

§ 54. The base indicator method for the assessment of the risk-weighted risk-risk items is shown in Appendix 18, point. 3-9.

§ 55. The company may use the standard indicator method for the assessment of the risk-weighted risk-risk items listed in Appendix 18, point. 10 and 13 if the undertaking meets the requirements of Annex 18, point. Fourteen and sixteen.

§ 56. The company can only use a combination of the base indicator method and the standard indicator method in exceptional situations. Exceptional situations are understood to mean merging with other companies and other major expansions of business areas that may necessitate a transitional period for the use of the standard indicator method.

Paragraph 2. The combined use of the base dicator method and the standard indicator method is conditional on the establishment using the standard indicator method according to a schedule approved by the Financial supervision.

§ 57. The company may apply the Finance SEC to make the risk-weighted risk-weighted post-operational risk (AMA-models) in Annex 19 instead of the base dicator method, or the standard indicator method in Annex 18.

Paragraph 2. Authorisation may be granted only if the establishment meets the requirements of Annex 19, cf. however, paragraph 1 4.

Paragraph 3. A permit may include the use of the advanced measurement method (AMAmodels) for the assessment of the risk-weighted items for all of the undertaking ' s operational risks or in combination with the basic indicator method or the standard indicator method, when : the conditions for this in Annex 19, point. Thirty-three and thirty-four are fulfilled.

Paragraph 4. If the undertaking is part of a group, the Financial supervision may allow the requirements of Annex 19 to be fulfilled for the parent undertaking of the group and its subsidiaries in the form of a single undertaking.

§ 58. If the undertaking is part of a group, section 19 (s) shall apply. 2, 4 and 5, and section 21 corresponding to applications in accordance with section 57.

Paragraph 2. The provisions relating to the application for the use of the advanced measurement method of operational risk are apparent in Appendix 24.

$59. A company that uses the default indicator method must not subsequently use the basic indicator method.

Paragraph 2. A company that uses the advanced measurement method must not subsequently use the default indicator method or the basic indicator method.

Paragraph 3. The Financial supervision may, in particular cases, dispensers from paragraph 1. Paragraph 1 and paragraph. 2.

Chapter 8

Enlighment obligations of the undertaking

§ 60. The company must publish the information set out in Appendix 20, cf. however, paragraph 1 2-7.

Paragraph 2. In group, where the parent company is one of the sections in section 1 (1). 1, no. 1-4 or 6, specified companies, the parent company must publish information about the group on a consolidated basis only. Parts, cf. Section 1 (1). 1, no. 8, do not need to publish information at the consolidated level.

Paragraph 3. If one of the sections referred to in section 1 (1). 1, no. 1-4 or 6, designated undertakings, have a parent undertaking in another country, the undertaking may not publish information in accordance with paragraph 1. 1 if its parent undertaking is subject to the legislation of a country within the European Union or in a country concluded by the Community in the area of the financial sphere and the parent undertaking publishes information at least ; corresponding to the obligation to provide information, cf. paragraph 1, in the Member State or country in which the parent undertaking is indigenous. Where the subsidiary or subsidiary and his subsidiary operations on a consolidated basis have a working capital, which exceeded EUR 25 billion, DKK at the end of the last financial year, the subsidiary undertaking shall, however, independently, or on a consolidated basis, publish information in accordance with paragraph 1. 1.

Paragraph 4. A company whose parent company is subject to the legislation of a country outside the European Union, which has not been concluded by the Community in the financial sphere, may grant authorization to refrain from publication ; information provided that the parent undertaking publishes information at least similar to the information provided for in paragraph 1. 1.

Paragraph 5. The requirement to publish the information in Appendix 20, point. 5-10 shall apply only to establishments covered by Section 1 (1). 1, no. One and two.

Paragraph 6. Paragraph 2-4 shall not apply to the information covered by Annex 20, point. 5-10.

Paragraph 7. Establishments subject to the obligation to publish information in Appendix 20, point. 5 to 10, which form part of a group with other companies covered by this duty, may publish the information of the undertakings in a single publication. You in Appendix 20, point. 5, mentioned descriptions may be described collectively for all undertakings of the group, provided that the descriptions described are adequate for all undertakings in the group, which are covered by the obligation to publish the information in Appendix 20, point. 5-10. The total publication shall be published by each company.

§ 61. Any one or more of the information listed in Annex 20 may be made public if the information provided is not considered to be essential.

Paragraph 2. Information shall be considered essential if the omission or misquotation of such information may affect the assessment of a user based on the information which is based on the information in order to take economic decisions.

Paragraph 3. The SEC may require the company to publish information that the company does not regard as essential.

Paragraph 4. The financial supervision may require that they be provided in Appendix 20 to the point. The information referred to in 5 to 10 must be further specified. These specifications will also be covered by the publication requirement.

§ 62. The company may not publish one or more of the information specified in Annex 20 if information is to be classified as confidential or if publication of the information will undermine the competitiveness of the company.

Paragraph 2. Information shall be considered confidential if any conditions relating to customer relations involving a confidentiality obligation are available for the undertaking.

Paragraph 3. The company must provide a justification for non-disclosure of the obligation to provide information in accordance with paragraph 1. 1. In addition, the company must publish more general information about the relationship that has been omitted from the parties responsible for providing information.

Paragraph 4. A company covered by Section 1 (1). 1, no. The publication of the information referred to in Annex 20 may, in order not to prejudice its justified interests, defer the publication of the information in Annex 20. 5 to 10, provided that this will not be able to mislead the public, and the company can ensure that the information is kept confidential. The company must publish information as soon as possible without prejudice to the company ' s legitimate interests.

§ 63. The company must adopt a policy of compliance with the obligation to provide information, including the carrying out of assessments of whether the published information is appropriate, and the assessments of auditing and publication at intervals.

§ 64. The information shall be published at least once a year and as soon as practicable, cf. however, paragraph 1 2-5.

Paragraph 2. The company must assess the need to publish the information more frequently than annually.

Paragraph 3. The SEC may lay down publication time limits to a company and require that a company publishes information more frequently than a year.

Paragraph 4. Establishments subject to the obligation to publish information in Appendix 20, point. Five-10 shall publish the information in Appendix 20, point. 5, at least once a year. Financial institutions, which at the end of the last year's exit, had a working capital of 10 billion. DKK or more, financial institutions issuing shares admitted to trading in a regulated market and a mortgage credit institution shall publish the information in Appendix 20, point. 6-10, quarterly. Other companies covered by the obligation to publish the information in Appendix 20, point. Five-10 shall publish the information in Appendix 20, point. 6-10, half-yearly.

Paragraph 5. Provided that significant changes are made to the information which undertakings are subject to section 1 (1). 1, no. 1 and 2 shall publish in accordance with section 60 (s). 5, cf. § 60, paragraph. 1, immediately thereafter, the undertaking shall publish these changes, cf. however, section 62 (2). 4.

§ 65. The company selects the medium for publication. The publication of the information shall be indicated in a single long-term medium.

Paragraph 2. In the event of publication of information to the fulfilment of accounting, stock exchanges or other requirements, the obligation to provide information shall be deemed to have been complied with at this time. Information contained in the annual report, but which is not subject to the notification of financial reports for credit institutions and the fund-brokered companies, must be clearly marked in the annual report as being non-revised information. If the information is not contained in the annual report, the company must specify in the annual report where the information can be found.

Paragraph 3. The financial supervision may require a company to use a different special media for the publication of information than the annual report.

§ 66. The company must ensure that sufficient checks are carried out on the information not covered by the review of the annual report.

Chapter 9

Preparation form

§ 67. The capital suppression statement shall be reported to the Financial supervision of the CS schemes within 20 working days after the end of 1. -3. Quarter. The CS Schema is available on the GL system website. For fund brokers and investment management companies covered by Article 125 (1). 2, no. 2-3, in the case of financial activities, the capital coverage for the undertaking shall be reported within 20 working days after the end of 1. -11. Month. The report of the capital coverage statement for the end of the year shall be carried out within 30 working days of the end of the year.

Paragraph 2. Concerns where the parent company is a fondsbroker holding company, cf. Section 5 (5). 1, no. 13, in the law of financial activities, an investment management holding company, cf. Section 5 (5). 1, no. 14, in the case of a financial undertaking, a fund brokerage or investment management company, must only report the capital coverage after the end of each 6. Month.

Paragraph 3. For groups where the parent company is a financial holding company, whose business is exclusively or mainly consists of owning subsidiaries that are insurance undertakings, the deadline for the group and financial services is the deadline for the group and the financial services ; the holding company, the end of February.

Paragraph 4. The capital suppression statement shall be approved by the company ' s management.

Paragraph 5. The report shall be subject to a medium-readable long-term medium.

Paragraph 6. Corporate reports from establishments referred to in section 1 (1). 1, no. 1-4 and 6 shall be carried out exclusively at the highest-level, cf. however, paragraph 1 7.

Paragraph 7. The financial supervision may require the reporting of partial groups for the other groups other than those referred to in section 1 (1). 1, no. 8, indicated, cf. § 171, paragraph 1 3, section 172, paragraph 1. 3, and section 174 (4). 3, in the law of financial activities.

Paragraph 8. Businesses covered by Section 1 (1). 1, no. The documentation referred to in Annex 1 shall be submitted to the documentation referred to in Annex 1 and 2. 97 and 98, on paper or other medium for the SEC, no later than 45 working days after the end of the year, unless a different time has been agreed with the Financial supervision.

§ 68. Financial institutions which at the end of the last financial year held a working capital of less than 250 million. shall be reported only on the expiry of each half year of the capital coverage.

Paragraph 2. In groups, where the parent company is a financial holding company, whose business is exclusively or mainly consists of owning subsidiaries that are insurance undertakings, the group and the financial holding company alone must be solely for the benefit of the group and the financial holding company ; shall be reported after the end of a calendar year in respect of the capital coverage.

Paragraph 3. in the case of financial holding companies, 2 if the financial holding company has no other subsidiaries other than those of wholly owned insurance undertakings, the financial holding company shall be provided for the financial holding company, in accordance with the provisions of the financial holding company. Section 177, paragraph 1. ONE, ONE. pkt;, in the law of financial activities.

Paragraph 4. The SEC may dispensers from the reporting requirements for parent undertakings and groups covered by Section 170 (3). 1, in the law of financial activities.

Chapter 10

Penalty provisions

§ 69. The violation of section 67 may be punished by fine.

Paragraph 2. Companies can be imposed on companies, etc. (legal persons) punishable by the rules of the penal code 5. Chapter.

Chapter 11

Entry into force and transitional provisions, etc.

§ 70. The announcement shall enter into force 1. January, 2010.

Paragraph 2. Publication no. 10302 of 21. December 2007 on capital coverage is hereby repealed.

Paragraph 3. Businesses covered by Section 1 (1). 1, no. 1 and 2 shall publish, at the latest in the publication of the annual report for 2009, the publication of the information listed in Annex 20. 5-10, I mentioned information. Section 65 shall apply with the necessary adaptations to this effect.

Paragraph 4. By way of derogation from Annex 3, point. 18, the whole exposure of the property in the said property categories may have been granted before the first 1 has been granted. In January 2004, they shall be weighted in accordance with the provisions of Annex 3. 17 (c) and (d) and weighing 100%. for the part of the expulsion of immovable property, which do not fall under Annex 3, point. 17 (c) and (d).

Paragraph 5. Organizations that use the standard operational risk indicator, cf. Annex 18, point. 10-17, up to 31. In December 2012, if the base indicator for the business area of "commerce and Sales" amounts to at least 50%. the sum of the basic indicators for all the business areas, applying a percentage of 15%. in the business area of trade and sale `.

Paragraph 6. Organizations using the IRB method of credit risk and which do not have permission to use their own estimates for the LGD for professional, institute and state sponges, regardless of the provision in annex 8, may, irrespective of the provision in Annex 8, may, 53 (d) up to 31. In December 2010 for covered bonds, as defined in appendix 3, point. 27, point e, use a LGD of 11,25 pct., if the covered bonds meet either No 1. 1-3 or No FOUR :

1) The provisions of Annex VI, Part 1, point 68 (a) to Directive 2006 /48/EC of 14. June 2006, on the admission and undertaking of a credit institution (recast), referred to as a credit institution for the purpose of qualifying for covered bonds may all be placed on the credit quality stage 1 as set out in Annex 3 ; on the default method of credit risk.

2) When assets as specified in Annex VI, Part 1, point 68 (d) and (e) to Directive 2006 /48/EC of 14. June 2006, on the admission and pursuit of the business of credit institutions (recast), is used for the purpose of qualifying for covered bonds, are the respective upper limits set in each case, 10%. of the nominal value of the outstanding amount.

3) The provisions of Annex VI, Part 1, point 68 (f) to Directive 2006 /48/EC of 14. June 2006, on the admission and pursuit of the business of credit institutions (recast), shall not be used as collateral in order to qualify for covered debt securities.

4) The covered bonds have a credit rating from an approved credit rating agency, which is the most advantageous credit rating category that this rating agency has with regard to covering the bonds of debt securities.

Paragraph 7. For undertakings using the IRB method of credit risk, the exposure weighted the average LGD of all the company ' s table sponges, where the security of immovable property is included in the inventory of LGD and which are not guaranteed by a state, up to the 31. December 2010 shall be at least 10%. irrespective of the provision in Annex 8, point. 57.

Paragraph 8. The one in Annex 9, point. 32, specified value for LGD* of 30%. in the case of non-trailing exposure, until 31. December 2012. Per 1. January 2013 is replaced by the value of LGD* of 30%. for non-trailing exposure with a value for LGD* of 35%.

Niner. 9. Appendix 9, point. Fifty-one, till the 31st. December 2012.

Paragraph 10. By way of derogation from Annex 3, point. 1 (a) and (c) may be exposed to central governments and central banks in countries within the European Union or in a country concluded by the Community in the area of the financial area up to 31. December 2012 is weighted with 0 pctates, irrespective of the fact that the expulations have been nominated in a currency of another country within the European Union or a country with which the Community has entered into agreement in the financial field, which is different from : the national currency of the central government or the central bank.

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Exhibit

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Appendix 1

Adequate baseline capital and solvency requirements

Background

1) The rules on the basis of adequate basic capital and of the individual solvency requirements are in section 124 (4). Paragraph 1 and paragraph. 4, and § 125 (1). Paragraph 1 and paragraph. 7, in the law of financial activities. The financial supervision may, cf. § 124, paragraph 1. 5, section 125, paragraph. 8, and § 350 (3). Paragraph 1, in the law of financial activities, shall lay down a higher level of solvency requirements other than those laid down in section 124 (4). 2, no. One, and paragraph 125, paragraph 1. 2, no. 1, in the law of financial activities.

2) This is stated in section 171 (1). Paragraph 1, section 172, paragraph 1. Paragraph 1, section 173, paragraph 1. Paragraph 1, and section 174 (4). 1, in the law of financial activities, that the rules also apply on a consolidated basis.

3) The solvency requirement is measured against the risk-weighted items, and that is why a percentage, cf. § 124, paragraph 1. 4, and § 125 (1). 7, in the law of financial activities. However, in the calculation of the solvency requirement, there may be both a percentage of percentage and acronym accents.

4) Adequate base capital is the capital required to cover the solvency requirement, cf. § 124, paragraph 1. 4, and § 125 (1). 7, in the law of financial activities. The adequate base capital shall be made up as the amount appropriate to cover the risks of the undertaking, cf. § 124, paragraph 1. One, and paragraph 125, paragraph 1. 1, in the law of financial activities. The adequatable basic capital is thus the numerator of the fraction when the solvency requirement is calculated.

General conditions

5) Management and management shall be obliged to ensure that the undertaking concerned has an adequate base capital and has internal procedures for risk management and risk management. This applies to all companies, even if at the same time the company is included in a group. However, there is no obstacle to the fact that the same principles are laid down for the presentation of the adequatable base capital for all undertakings in a group, where it can be documented that it is appropriate to apply these principles ; All companies in the group.

6) A similar statement must be made on a consolidated basis.

7) In the establishment of a sufficient base capital, the company must not only look at present risks, but also on future risks, as well as opportunities to provide capital.

8) The considerations to which the management board and the Governing Board shall make use of it in this respect must be translated into an individual solvency requirement in accordance with the rules applicable to the management of the board. § 124, paragraph 1. 4, and § 125 (1). 7, in the law of financial activities.

9) In the assessment of the establishment ' s sufficient base capital, the Management Board and the Governing Board shall take account of the company ' s individual risk-related risk and to the societal conditions in which the business is run its business. It is not, in itself, crucial to the risks that the company has in relation to other companies. Thus, a business cannot fail to cover significant risks with capital, because other companies have similar risks.

10) A sufficient base capital should not be viewed solely on the basis of the risks which the undertaking is sensitive to. It shall also include an assessment of the capital available to the undertaking, whether to own funds or borrowed capital (hybrid core capital and responsible pawn capital). In the case of borrowed capital, the evaluation shall also include consideration of the maturity of this issue.

11) The evaluation of the adequate base capital must take account of the nature and size of the company ' s stores and the complexity of these operations. The same applies to the extent of the process that is undergoing the assessment.

12) In addition, the establishment must have effective procedures for identifying, managing, monitoring and reporting on the risks to which the undertaking is or may be exposed and appropriate control mechanisms, including good administrative and administrative control mechanisms ; accounting practices and complete internal control procedures. These are all matters that are also part of the general rule in the Act of Financial Regulation, Section 71. The provision of adequate capital must therefore be seen in the context of the general rules on risk management, etc., in section 71, in the Act on financial activities and the instructions issued by the instructions.

13) The thinking of a sufficient base capital must be forward-looking. This means that changes in the company ' s strategy, business plans, social conditions and other conditions that may affect the preconditions and methods that have been considered to date must give rise to new considerations on the basis of the situation in question ; adequate basic capital. It also means that the company should pay attention to the future expectations and less on the historical experiences of the company.

Internal process

14) The management and management of board shall ensure that the establishment has adequate basic capital and has internal procedures for risk management and risk management to continuously assess and maintain a basic capital of a size, type and distribution, which is appropriate to cover your company's risk.

15) The management and management of the board shall be responsible for the establishment of the establishment of adequate base capital, which provides the basis for the solvency requirements of the undertaking.

16) The Management Board shall, at the very least, approve the overall methods that the undertaking will use in the calculation of the adequatable basic capital and the solvency requirement.

17) Governess and management must ensure that the decisions setting out the adequate base capital are an integral part of the overall management of the company. In this context, they must ensure that capital planning and general principles and procedures for this are communicated in the company relevant way, so that the management of the entities that can take decisions which can influence the size of the adequalcapital of the basic capital shall be aware of this. The Management Board shall also ensure that sufficient resources are available to make the inventory of the adequatable basic capital in accordance with the provisions of the Act of Financial Company, Section 5 of this notice, as well as this Annex.

18) The undertaking shall have a special, by the board of directors approved, the plan for the acquisition of capital and a timescale for that. The plan must include general principles of capital planning and who is responsible for this process. The plan must also adopt a position on how the company expects to be able to comply with the capital requirement in the future. In addition, the plan shall contain an overall emergency plan for deviations in the expected expectations and to decide on the action to be taken if unexpected events occur. The emergency plan may include, for example, plans for the acquisition of new capital, the restriction of the areas of activity or the use of risk-reducing methods.

Methods

(19) The adequate base capital must be discharged on the basis of the company ' s risk profile. The solvency requirements laid down shall, therefore, be in accordance with the company ' s risk profile and the social conditions in which the business is run its business. However, the company can take other considerations into account, such as a desire to achieve a particular rating, the reputation of the company in the market and strategic goals. If these matters are included in the inventory, the company must be able to demonstrate how these conditions have affected the provision of adequate base capital. These conditions cannot cause the establishment to have a less solvency requirement than a statement based on the risk profile of the company that is to be added.

20) In the calculation of the adequatable basic capital, there is a considerable degree of method of methodology. The company may be based on more or less advanced methods. The statement must not be made by means of advanced economic methods. However, it is expected that the methods will be proportionate more advanced in larger enterprises than in smaller ones. This is particularly true of the companies that want to use internal methods for the assessment of the risk-weighted items.

21) Furthermore, it is important that the management board and board of directors relate to the extent to which risks and potential risks should be covered by capital. Some risk would be better suited to be detested by better business and better control.

(22) The methods may be based on the minimum requirement of 8 pct;, where the board and board of directors shall decide on the risks to which it is covered before taking a position on any regulations.

23) Other methods of economic capital, for example, based on a mathematical / statistical treatment of loss experience, are based on the capital needed to cope with unforeseen losses within a timescale of typical 1 year. The starting point for models based on economic capital is, regardless of the statutory minimum requirement of 8 pctates, to calculate the capital needed to offset the others, with a high degree of probability that will not be lost. The necessary validation of the model must be made. This company may take the basis of the requirements for authentication that apply to IRB models, cf. Annex 8 : The internal ratting method of credit risk (IRB method), or Value-at-Risk models, cf. Annex 15 : Internal market risk models (VR models).

24) For those companies that do not want to develop a real economic capital model, it will also be possible to apply more simple models based on the same ideas. This can be done by taking on the basis of the (negative) accounting result, as a stress test of the company's accounts will result. A stress test is an attempt to stress the business out of a number of assumptions. The choice of stress levels affects the likelihood that the depositors and others will not suffer. The stress test measures the manner in which the individual activities react to improbable, but not entirely unthinkable conditions. It is up to the individual company to define this from the risks that the company has. Examples of events that can be included are major increments of provisions and depreciation, major interest changes, major changes in stock prices, major changes in property prices and major changes in exchange rates.

25) In addition to the stress test, adjustments shall be necessary for conditions that are not covered by the stress test.

26) Regardless of the method used, the company must continuously perform stress tests that are relevant to the company, where each preconditions are given. When assessing which conditions are to be included in such a stress test, the company must decide on the changes in the preconditions that are to be included in the stress test. In setting this, the company must take into account improbable, but not entirely unthinkable conditions. The company may also take into account special circumstances in the areas where the undertaking operates its activities, including in particular where the cyclical cycle is located. Retain as new legislation affecting the business area of the company and the competitive situation can also be included in these considerations. The purpose of the stress tests is to determine the changes in the preconditions that the company can survive. If the company has built its model in such a way that the stress test is an integral part of the model that takes account of the above conditions, the company must not be further involved.

27) Regardless of the method used, the Management Board and Governing Board shall assess whether the method makes a sensible result.

In the assessment of the adequatable base capital and solvency requirements,

General

28) The evaluation of the adequate base capital must be taken into account in the assessment of the base capital of the basic capital. The company must, therefore, carry out an assessment of the major risks to which the undertaking is exposed.

29) There are some risks that may be difficult to quantify. For such risks, the company may choose to limit the risks by means of measures covered by the Act on Financial Action, Section 71. However, a company must not fail to include significant risks in the calculation of the adequatable basic capital simply because it is necessary to estimate the influence of the risk of the adequatable basic capital. Thus, in some areas it will be necessary for the management board and the board to determine the amount / percentage to be set aside for the risks that cannot be quantified specifically.

(30) In the case of the provision of adequate base capital, the individual business areas may be based on the basis of the initial capital. Thus, the business areas may be assessed separately for the extent (and thus the importance of the area) as well as an assessment of how risky the individual business area is. Furthermore, the management and organisation of the individual business areas could be of major importance in the evaluation process.

31) The company's strategic plans, and how these relate to the general economic conditions, must be taken into account in the predominos of the basic capital.

Revenue

32) The company ' s ability to profit will naturally be included in the company's assessment of the adequatable base capital. The expected revenues must be carefully rebuilt. If the company has a high earnings, the company will be able to absorb future losses in a slightly different way. If the company has low earnings, it must be considered whether this will give rise to an increase in the base capital.

33) The stability of revenue will also have an impact on how the company should assess the adequalcapital of the basic capital. The use of simple sensitivity analyses (stress tests) can contribute to the quantification of the level and stability of the revenue.

34) The ability of the establishment must also be assessed in relation to the company's profit and profit-making policy, as well as the opportunity to provide capital. In this respect, it must be taken into account that in a situation where the company is due to the company. losses need further capital, it will probably be more difficult to gain capital than has been the case hitherto.

Growth

35) The anticipated future growth will have to be taken into account in the assessment of the base capital. Thus, the company must assess whether the consolidation is similar. In the event that this is not the case, the provision of sufficient basic capital should be taken into account the expected growth beyond the 'standard rate consolidation', including the possibility of capital acquisition.

36) The increase in the risk-weighted items, in itself, gives itself a capital requirement, and it would also be natural to assess whether there is an increased risk of loss due to the extent of growth. In addition, growth may require capital as a result of the direct resources (for example, renanevie etc.) necessary to bring about the growth. However, where this assessment is assessed, account may also be taken of the increase in revenue generated by the expected growth.

37) Historically, it has been shown that strong lending growth may be an indication that companies have been lugging the requirements of credit quality. It is therefore natural that the company should increase the adequatable base capital if the Institute has had and continues to expect high levels of lending. In addition, lending growth in itself will lead to increased capital needs, so the company must consider growth expectations and, if necessary, make an addition to the appropriate base capital according to the size of the growing expectations.

Credit sici

38) The credit risk of the company ' s credit risk must be taken into account in the predominos of the basic capital.

39) In money and mortgage credit institutions, the credit area will most often be the main area. In view of this area, the overall assessment of the quality of assets will be crucial.

40) The company ' s focus on the assessment of the bonity must be on the portion of exposures that show sign sign. In particular, it applies to the risks of lending, credits and guarantees where no depreciation or provisions have not been carried out in the accounts, or where only partial depreciation or provisions have been carried out. Where the quality of the loans, credits and guarantees have been degraded or assessed to be on the road to degradation, account shall be taken of the adequatings of the basic capital.

41) If the undertaking has internal rating and scoring systems or similar, these could be used. Other key figures will also be able to be used in the assessment of the bonus of assets with credit risk. If your company has a relatively large portfolio of small projected losses, you may consider making a minor deduction in the appropriate base capital for that part of the portfolio. Conversely, the company may consider whether or not the sufficient base capital must be increased for the weak exposures which are not written down. Similarly, it would be natural to consider whether additional capital should be set aside for extranetions which have been depreciation or translations, but where further negative developments may lead to the need to be carried out ; additional depreciation or provisions.

42) Applies an internal method to rating customers for which the institution has loans, may know where the credit risk that is associated with customers can be discharged if the rating is based on a card. time frame. Such a relationship must be taken into account in the assessment of the adequalcapital of the basic capital. Account must therefore be taken of the procyclical effects of the solvency requirement for undertakings which use an internal method for the statement of credit risk.

43) In addition, there may be so-called restriction, which is not covered by the method. The risks associated with the risks of loss resulting from the fact that security and other forms of cover are shown to be less effective than expected. This may be due to legal risks, or that the active or instrument used for credit action is not liquidable.

44) Undertakings using an internal method to account the credit risk shall be subject to regular stress tests of the credit risk, in order to assess the impact of specific circumstances affecting the overall solvency coverage of the creditsiko. The test used must be selected by the company. The test used must be meaningful and proportionate and, as a minimum, must include the effects of mild recession scenarios. The company must analyse migration between rating classes as a result of stress tests scenarios. The portfolios exposed to stress tests must form the vast majority of the company ' s overall portfolio.

45) Appreth the organization method in appendix 8, point. 80-81 concerning the recognition of the 'dual default' for guarantees, it shall examine the impact of a deterioration in the quality of credit which conferred on credit-risk service providers, including in particular assessing the impact of the credit quality of credit-related credit. the effect of the fact that service providers are no longer complying with the criteria in order to be recognised as providers of creditriuse coverage in relation to the method.

Market risks

46) As far as market risks are concerned, the extent of the area must be assessed, understood as to which product types and so on are engaged in. In addition, an assessment must be made of the risks associated with the individual assets, liabilities and non-balance-sheet items.

47) Posts of market risks must be assessed for the purpose of special stock, interest and currency risks.

48) A position must be taken to the extent to which the policy of the proposed policy is consistent with the fact that there is sufficient capital to take account of any future risks. For example, for almost all financial institutions, it will be appropriate to involve the level of interest-sized in the interest rate, because there is a risk that the capital requirements for the risk of capital by risk-weighted capital are not big enough. Particularly for financial institutions covered by § 68 (4). 1 which do not disconnect the risk-weighted posts within the trading book, the level of the interest shall be appropriate.

49) In addition, for all establishments, it may be appropriate to assess the extent of the particular risks in the area, including locations in bonds with conversion risks or other options. In the case of major changes to interest, these particular risks may be large.

50) Businesses often have a part of their phone-stock position in shares. Therefore, in relation to the provision of adequate basic capital, it is also appropriate to look at this risk area. For example, the risk of the risk may be achieved as the percentage share which the stock market represents by own funds. The risk of risk relates to stocks purchased in connection with the liquidity dispose.

51) In the same way as the rate of purification, it is for financial institutions covered by section 68 (4). 1, in particular, the inclusion of the level of asset risk in the evaluation of the sufficient base capital, as a result of the risk of shares resulting from the treatment outside the trading stock with lower weights than for financial institutions in group 1-3.

52) The evaluation of the base capital must be taken into account in the evaluation of the evaluation of the base capital. The risk of currency can be measured by the value dictator 1. This shall be calculated as the largest of the sum of all the short currency positions and the sum of all the long currency positions. The Indicator thus expresses a simplified target for the company's positions in foreign currency.

53) A company that uses an internal market risk model (VR model) must include the impact of risks not covered by the internal model in the assessment of the solvency requirement. If the model is used to calculate the risk-weighted items for specific risk, the company must ensure that the impact of unforeseen events (event rites) that are not part of the VaR number because it is outside a 10-day retention period and 99%. the range of confidens; (i.e. an event of small probability and serious consequences is included in the assessment of the solvency requirement.

Concentration risks

54) The evaluation of the adequate base capital must be taken into account for the concentration of the risks undertaken by the undertaking and expect to take on in the future. With regard to the assessment of how concentration risk forms part of the inventory of the appropriate base capital, a discretionary assessment may be considered. It is therefore not a requirement that accurate calculations are made of the risks. Sensitive analyses / simple stress tests must be included in the assessment of these risks. The extent of this must be proportionate to the size of the establishment and the concentration risks which the undertaking has.

55) Examples of concentration risk :

a) Moreover, if a money or mortgage fund has many large exposures, this concentration in itself-irrespective of the quality of the exposures, will give rise to considerations as to whether the concentration calls for extra capital. Conversely, a wide spread in the exposures can give rise to considerations as to whether the company can reduce the adequalcapital of the base.

b) If a money or mortgage credit institution has a large proportion of its lending components concentrated in a smaller or small geographical area, it is a geographical concentration hazard. Such concentration should give rise to considerations as to the extent to which the concentration increases the requirement for the adequate base capital.

c) In addition, the concentration of the risks of loans to private and private lending respectively must also be considered in the money and mortgage credit institutions. Historically, the main losses have been to come up with a business environment. If the company has a relative concentration on the enterprise, the board of directors and management must consider whether such concentration risk is an opportunity to increase the base capital. A low proportion of business can also give rise to a deduction in the adequate base capital.

d) For many loans and credits, security has been provided. If the security of the security is concentrated on individual types, it must give the undertaking an opportunity to reflect on whether the concentration of safety (regardless of their value) is a concentration risk to be taken into account. The assessment shall include the fluctuations in the prices of the security services. If it is the company's policy to base a large proportion of the loans on, for example, in commercial or stocks and so on, it may be that the company has a high concentration on a single security type. The concentration of the security units must be essential for the establishment of a supplement to the appropriate base capital.

(e) The concentration of loans to risk-made industries must be included in the assessment of the base capital. Whether an industry is risk-filled will have to be subject to continuous assessment. The risk profile of each industry will be able to change over time. In addition, the economic sensitivity of individual industries is an essential element. In addition, the establishment must assess whether additional capital should be set aside to withstand the loss of bubble formation.

(f) The concentration of market risks is also relevant to the presentation of the adequatings of the basic capital. If, for example, the policy of the fund is relatively exclusive, it may give rise to considerations of the fact that this concentration risk should lead to an increase in the base capital. In addition, it may be appropriate to assess whether the stock portfolio is concentrated in a few companies or industries, including whether or not the companies concerned or industries are particularly risk. It may be appropriate to assess whether the value of the currency is concentrated in a few and, where appropriate, of particular risk-related currencies. A particular high concentration of the evaluation risk shall be assumed to be subject to the concentration risk assessment of the company.

Corporate risks

56) Account must be taken of the risks associated with the establishment of one or more subsidiary undertakings. This applies particularly to the subsidiary undertakings which are not part of the consolidated financial statement following the Act of financial activities § § 171-174, including in particular insurance undertakings. The emphasis on subsidiary undertakings depends on the number and size of the subsidiary undertakings. Where its subsidiaries constitute a material risk factor, this must be taken into account.

Liquidity risks

57) The undertaking must consider whether the risk of liquidity risks is to be included in the inventory of the adequatable base capital. In the event of liquidity risks, risks are understood as a result of time differences between incoming and outgoing flows of money. These risks, however, will often be possible to cover other measures than to increase the capital. However, a small amount of capital can complicate the opportunities to borrow money from the money market.

Operational risks

58) The company must consider whether sufficient capital has been set up to cover operational risks. Where the company will dismiss the capital in the provision of adequate base capital to cover operational risks, must be based on a specific assessment in the individual company. Special consideration must be given to the fact that the capital provided for by the rules laid down in Chapter 7 and Annexes 18 and 19 is sufficient to cover operational risks.

Control risks

59) The control environment is a symbol for the resources that the company uses to minimise the risks inherent in financial activities. The company must make a qualitative assessment of its control environment.

60) The control environment will naturally vary from company to company. The quality of the monitoring environment is the result of active management choices. The acceptance of the management and control tools of the Management Board and of the Governing Board shall consider whether the funds have been made available to withstand such potential losses.

61) The management of the company is crucial to the future of the company. In assessing the basic capital, it will be natural that the Management Board and the Governing Board shall evaluate the interaction between management, management and other management levels, including the overall organisation of the establishment. If the company does not possess sufficient knowledge and expertise in selected risk areas, this will give rise to an increase in the base capital.

62) In addition, the ability and view of management will be placed on the skills and understanding of management, the professional knowledge of the key people, the extent of instructions and written business practices, of the range of risk management, separation of duties, internal and internal functions ; controls and independent reporting, etc.

63) If written business procedures, separation of duties, internal controls and management reporting on the risks of the undertaking are not actively used as part of the risk management, it will be considered whether or not it should provide a supplement to it. Basic capital.

64) It must be assessed how the credit area is controlled. If it is the company ' s credit business profile that there will be no close monitoring of the exposures, it must be assessed whether sufficient capital has been set aside for the provision of the adequate base capital.

65) The assessment shall also include a position on how the market risks are managed in the company. Provided that the management board and board of directors have chosen not to provide resources for a close and continuous follow-up on the market risks of the undertaking, the Management Board and Executive Board shall assess whether sufficient capital has been allocated to it.

66. A complete organization where risk management is supported by business procedures, separation of functions, internal controls, management reporting, etc., will not give rise to the fact that the undertaking can deduct in sufficient time Basic capital. A smaller, constructed organisation, where there is a far greater risk of error, etc., should give rise to the possibility of increasing the adequalcapital of the base capital.

67) Smaller companies will have a comprehensive and specialised organization, often limited and specialised, which can mitigate potential losses as a result of operational and management risks. The smaller companies should, of course, bring together the need for a comprehensive and specialised organisation with the types of business that the undertaking carries out.

68) It must be assumed that the solvency requirements of some small businesses will be greater than in other companies, as a result of a small-sized organisation. However, it must be added that an individual assessment must always be carried out where the complexity of the company's business forms part of a natural element.

Company size

69 It must be assessed whether the complexity and size of the company itself necessitates the correction of the adequate base capital, including the resources available to the undertaking. In these considerations, it should be considered whether the company has otherwise sought to cover such risks, for example by reinforcing or supplementing the control environment or additions to a possible increased concentration risk.

Deviation risks

70) Businesses with great disclauation must consider how this should be included in the base capital. In the case of deviation risks, the risk that the company delivers a sold asset or money to the other party without at the same time receiving money or purchased asset as expected.

Strategic risks

' 71) The company must consider the strategic risks that the company has. In the case of strategic risks, risks which may affect revenue or capital as a result of changes in the competitive position, incorrect decisions, inadequate implementation of adopted decisions or inability to adapt Competition.

Rerimerisici

72) The company must consider whether capital should be set aside for the provision of capital risks. The risk of loss of earnings and capital as a result of the company's poor reputation among customers, investors, suppliers, suppliers and public authorities is understood.

Renterisici outside of trading book

73) The company must take special account of the proficiency icon at the post-trading position.

74) The risk of the company is the risk of taking loss of the company as a result of changes in interest rates. Renterisiko for post-trading posts, contrary to the commercial inventory, shall not be included in the calculations of the risk-weighted items and the uptake of the solvency requirement.

75) The company must explicitly and specifically cleanup the interest rate in interest rates outside the trading book, unless it can be demonstrated that the interest rate is modest and insignificant. The company must compare the result of the risk statement with the actual capital adequacings of the company.

76) The company must pay particular attention if the company ' s risk assessment shows that the basic capital of the company is changing 10 pct; if a standard rentechoc is made.

77) The interest rate can be made up of many different methods.

78) The decision may be based on the standard methods used to make the interest rate risk, based on positions, both inside and outside the trading book, cf. Annex 3 to the Financial Reports ' s instructions for reporting of financial reports and other information from credit institutions and intermediaries, etc. This statement is based on the fact that interest rates are calculated for a general interest rate change at 1 ; percentage points. Particularly for financial institutions covered by § 68 (4). 1, which does not report on a regular basis on this risk assessment to the Financial supervision, it is a requirement that the company should be able to perform the calculations in the Finance-synet request.

79) The decision may also be based on another method. In the case of an establishment using a different method for the calculation of the interest rate outside of trade, the method must meet a number of qualitative requirements ; the method must be documented in writing, the method must form the basis for reporting of : the risks to the management of the establishment, the method must be able to calculate the risk of reasonable accuracy, the method must be subject to independent control. In addition, the method must meet a number of quantitative criteria ; the pre-fixed rate change must be equivalent to a distribution of distribution. And 99. percentile of daily-observed interest changes where the ice-handed period corresponds to 10 days (the period is to be considered) based on an efficient observation period of not less than 5 years.

80) It is expected that larger companies or more complex undertakings are in addition to the standard inventory of other risk-making of the interest rate risk in items outside the trading book, where these, for example, take account of changes in the interest rate structure ; changes in the interest rate voltage between different interest markets and other changes in conditions (f. Exes. on consumer behaviour).

External risks

81) The company must assess whether there are any other factors which may affect the adequalcapital of the basic capital. This may be risks, for example, arising from changes to the legislation or economic and business conditions, and which are not covered by the above risks.

Other conditions

82) There may be other requirements in the law which may have an impact on the management of the board and the Governing Board of the Management Board of the appropriate base capital. For example, Section 145 is in the Act of Finance, and the company's largest commitment to the maximum amount is 25%. of the base capitale. The Board and Governing Board shall assess the impact of the greatest exposures on the basis of the basic capital. If the company has capital shares in other undertakings, cf. Paragraph 146 of the Act of Finance, such an attitude must also be taken into account. Has the firm property and capital shares in property companies, cf. Section 147 of the Act of Finance, such exposure shall also be taken into account if the undertaking wishes to maintain this exposure.

83) Whether other legal requirements must be essential for the assessment of the level of the sufficient basic capital of the Management Board and of the Board of Directors will be based on a specific assessment of whether there is an investment that the company wants to keep, and whether or not it is appropriate to maintain ; The Institute will be able to dispose of the investment. For example, the involvement of a financial institution with a different credit institution is not normally influencing the base capital, since it will be seamless to move the engagement.

Fund brokers and investment management societies

84 The fund-brokerage and investment management companies must not make loans, and the companies that are unable to act on their own account have limited opportunities to place the company's funds. In particular, for these companies, the operational risks will be crucial when the company is to make adequate basic capital.

85) For fund brokers and investment management societies, the minimum capital requirements will most often be of the greatest importance. This has the following implications :

a) The solvency requirement in the fund brokers wishing to become a member of a stock exchange, a securities central or a clearing centre where the party participates in clearing and settlement, or wishes to carry out one or more of the parties listed in Annex 4, point A, nr. 2, 4 and 5, and section B, no. 2, in the provision of financial services, the minimum amount shall be 1 million. Euro.

b) The solvency needs of investment management companies that wish to become a member of a stock exchange or who want to store and manage the information listed in Appendix 5 (5). 4, in the Act of Finance, mentioned instruments, including becoming a member of a securities central or clearing centre, where the party participate in clearing and settlement, the minimum capital requirement shall be made up after paragraph 125 (5). 2 no. 3, in the law of financial activities, in the percentage of risk-weighted items.

c) The minimum capital requirement for other fund intermediaries and investment management companies shall be set up in accordance with section 125 (5). 2, no. 4, in the law of financial activities, in the percentage of risk-weighted items.

d) The solvency requirements of the fund brokers and investment management companies shall at least be one quarter of the previous year ' s fixed costs, cf. § 125, paragraph 1. 5, in the law of financial activities, in the percentage of risk-weighted items.

Rating and monitoring

86) The provision of sufficient basic capital must be reassessed as often as necessary to ensure that all the risks are adequately covered and that the adequate basic capital is the expression of the current risk profile. Any changes to your strategy, business areas, economic or business conditions or other conditions that have a significant impact on the conditions or methods laid down for the decision to be taken up ; adequate capital shall be required to make adjustments in the appropriate capital. If the undertaking receives or assumes new risks, these must be identified and taken into account in the inventory of the base capital.

87) Reevaluation must always be carried out at least once a year.

88) The provision of the adequate base capital must be the subject of an independent assessment. The unit that is conducting the evaluation may not participate in the ongoing business operation of the company. The results of the assessment shall be reported to the Management Board. In establishments which are not authorized to use the internal rating method of credit risk or internal market risk models, the checks carried out by the Management Board may be regarded as complying with the requirement for independent assessment.

Reporting

89) The Management Board shall be informed of the undertaking ' s inventory of the adequacings of the basic capital and solvency requirement on the same scale as the management board shall be informed of compliance with the solvency requirement. This is apparent in section 75, paragraph 1. 3, in the Act of Financial Company, that : " If a member of a financial management board or board of directors, the external audit or the responsible actuarial, must assume that the financial establishment does not meet the capital requirement according to the law of financial activities § § § § 124-126 or solvency requirement after section 124 (4). 4, and § 125 (1). 7, the person concerned shall immediately inform the Finance-Board. ` ;

90) This is stated in section 75, paragraph 1. 1, in the field of financial activity, the following : ' The financial undertaking shall immediately inform the Finance-SEC information on matters of vital importance to the continuing operation of the financial undertaking. `

91) The person concerned has a duty to inform the Finance-SEC immediately if the solvency rate of the undertaking comes to the solvency requirement. The obligation of notification does not differ from the obligation to notify the requirement if the solvency rate comes under the 8% requirement or a higher solvency requirement laid down by the Financial supervision.

92) The adequatable basic capital and solvency requirements must be continuously collected by the individual company, but be reported only to the Financial supervision of regular intervals, cf. § 5. Any changes in the solvency requirement to be decided by a company must not be reported as a basis for the Financial supervision.

93) Where the conditions for the modification of the solvency requirement are such that a report shall be submitted in accordance with section 75 (3). Of course, in the case of financial operations, the aforementioned conditions shall, of course, be reported. At the same time, the company must report the increased solvency requirements.

94) The requirement to give notice immediately, cf. § 75, paragraph 1. In the case of the third law of financial activities, only the solvency requirement of the solvency requirement or the solvency requirement shall apply only if the solvency percentage comes under the solvency requirement of the undertaking.

95) If the company ' s interest-rate risks outside the trading book exceed the limit of the limit. Seventy-six shall be reported to the Financial supervision in accordance with section 75 (5). 1, in the law of financial activities.

96) There is no requirement that the company excluded from Article 1 (1) of this undertaking. 1, no. However, there is no prohibition on the publication of the solvency requirement.

Documentation

(97) The provision of the adequate base capital and the solvency requirement must be documented in writing. The documentation must include a description of the methods, prerequisites and procedures used in the calculation of the adequatable basic capital and solvency requirements. The scope of the document will typically be growing with your size and complexity in business areas.

98) The exact format of the documentation must be carried out by each company. However, the following shall be possible to document :

a) The fact that the adequacation of the base capital and the solvency requirement has been approved by the management board shall be approved by the management board. Act. 14.

b) Plan of the Management Board for the acquisition of capital and contingency plans, cf. Act. 18.

c) What stress test you are using, cf. Act. 26.

d) A description of the internal process for the assessment of the adequatability of the basic capital and the solvency requirement, cf. Act. 14-18.

(e) A description of the method to account for the adequatability of the basic capital and the solvency requirements of the undertaking, cf. Act. 19-27.

(f) A description of the conditions in which the decision is taken, cf. Act. 28-83.

g) Procedures and business procedures for the reassessment of the adequatings of the adequatings of the basic capital and the solvency requirement, cf. Act. 86-88.

(h) Who carries out the independent evaluation, cf. Act. 88.

i) How the internal reporting takes place.

99) The documentation must be designed in such a way as to be able to submit at the request to the Financial supervision on paper or other permanent medium.

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Appendix 2

Requirements for the account of items in the trade inventory

Scope of application

1) This appendix contains, cf. Article 7, provisions on which requirements and portfolios which are possessed with the trade concerns must comply.

Handle of trade

Systems and controls

3) The establishment must create and maintain systems and controls that are sufficient to ensure prudent and reliable valuation estimates.

4) The systems and checks must at least contain the following elements :

a) Documented policies and business processes for the valuation process. This includes a clearly defined responsibility for the various areas included in the establishment of the valuation, market information sources and review of their appropriateness, the frequency of independent valueation, time for end-courses, procedures for adjustment of valuation, verification of monthly termination and ad hoc verification procedures.

b) Clear reporting paths for the department that is responsible for the valuation process. The reporting pathways must be independent of the disputing entities and must end up with a member of the management board.

Valuation methods

5) Account to market value is at least a daily valuation of the positions in accordance with the accounting rules.

6) Indebars the decision-making use of model value ("marking to model") the following requirements must be met :

a) The Executive or Leading People must be aware of the elements in the trade inventory that is made up to model value and understand the extent to which this creates uncertainty in the reporting of the area's risk / results.

b) Market input must, where possible, be used as a source in accordance with the market rate, and the appropriateness of the market inputs for the specific position value and the parameters of the model must be assessed frequently.

c) Where possible, valuation methods must be used which form part of accepted market practice for the relevant financial instruments or commodity derivatives.

d) If the company itself has developed the model, it must be based on appropriate conditions, which have been assessed and tested by parties with appropriate qualifications, which are independent of the development process.

(e) Formal procedures to control changes must be available and a secured copy of the model must be kept, which shall be used periodically to control the valuation of values.

(f) The risk management responsible must be aware of the weaknesses in the models used and about how these weaknesses can best be reflected in the valuation of values.

g) The model must be reviewed periodically in order to assess whether its results are sufficiently accurate (e.g. assessment of whether the preconditions remain appropriate, analysis of winnings and losses to risk factors ; comparison between actual inventory values and model results).

In the case of point (d), the model shall be developed or approved independently of the disputing entities. It must be tested independently. This includes the validation of the mathematical bases, prerequisites, and software implementation.

7) In addition to the daily valuation, independent courier control must be carried out. This will periodically check market curves or model inputs in the field of accuracy and independence. Where the daily inventory for market value can be performed by dealers, the control of market rates and model input shall be carried out by a unit independent of the dealers, at least once a month (or more dependent on the market or the nature of the trade activity).

Value function adjustments or reserves

8) The company must establish and maintain business practices in order to consider valuation adjustments / reserves for the use of the capital suppression.

9) The company must consider the following valuation (s) : not earned credit creads, costs of closing positions, operational risks, at first agreed time, investment and financing costs, future administrative expenditure and model risk, where this may be relevant.

10) The company must consider a number of factors when it is to decide whether a value function reserve is necessary for less liquid positions, such as concentrated positions and / or positions that no longer meet the requirements for the commercial provision. Among these factors include the amount of time it takes to balance the position / risks in the bin, volatility and differences between tenders and the market-notments (number of market makers and their identity) as well as the turnover of the volume of the circulation ; volatility and average size, market concentrations, the age distribution of positions, the extent to which the valuation takes place at the modeling and the importance of other model risks.

11) If valuation is used from third parties or making a model value, then consider whether a value function adjustment is required. In addition, the company must consider the need to create capital-suppression reserves for less liquientable positions, and it must continually examine whether they are still appropriate.

12) If the valuation of valuement/reserves gives rise to significant losses within the current financial year, they shall be included in the calculation of the current deficit of the year, cf. Section 131 (1). 2, no. 1, in the law of financial activities.

13) Value adjustments and reserves that exceed the regulations and reserves carried out pursuant to the accounting rules shall be treated in accordance with the provisions of the accounts. 12 if they cause significant losses.

Internal cover

14) An internal settlement is a position which, to a significant or full extent, covers the risks of one or more positions outside of the trade inventory. Positions that originate from internal settlement may be subject to the rules of trade in which they are possessed with commercial reasons and the general criteria for commercial reasons and valuation in furry. Two-13 is complete. In particular, this is the case :

a) Internal cover must not primarily be designed to avoid or reduce the risk-weighted items.

b) Internal cover must be adequately documented and subject to special internal approval and audit procedures.

c) The internal transaction must take place on market conditions.

d) The bulk of the market risk resulting from internal cover shall be managed dynamically in the commercial inventory within the authorised framework.

(e) Internal transactions need to be carefully monitored.

The monitoring must be ensured by appropriate procedures.

15) The processing referred to in point. 14, without prejudice to the requirements for risk-weighted items applicable to that part of the internal cover, outside of trade, are applicable.

16) If the company is covering a credit risk exposure outside the trading book with a credit derivative of trade in trade (using internal risk coverage), the exposure outside the trade book shall be deemed to have been deemed to be outside the trade book ; whatever it is. 14 and 15 not to be uncovered in the calculation of risk-weighted items, unless the establishment of a recognized external credit risk provider is purchasing a credit derivative, which meets the requirements of Annex 7, point. Thirty-three, for the exposure that is outside the trade book. In the case of the purchase of such an external credit coverage which meets the requirements for the exposure of an exposure outside the trading book with regard to the estimation of risk-weighted items, neither the internal or external trade is included ; credit risk cocovering by means of credit derivatives in the trading book when calculating risk-weighted items.

Ingestion in the trading book

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Appendix 3

Default credit risk method

Sponings on central governments or central banks

1) The company shall have weights of exposure to central governments or central banks with at least the following weightings :

a) 0%. the emphasis on exposure to central governments or central banks of a country within the European Union or in a country concluded by the Community in the sphere of the financial sphere in their national currency.

b) 0%. the emphasis on exposure to the European Central Bank (ECB).

c) A weight resulting from the use of the latest Lantique cyclolassification developed by the Organisation for Economic Cooperation and Development (OECD)-"Country Risk Classifications" or by an export credit recovery, see. the table below.

Exposure to regional or local authorities

2) The company must be exposed to the regional or local authorities with at least the following weightings :

a) Exposure to Danish municipalities and regions can be given the same weight as the Danish State. The same applies to the home regime of Greenland, the Faroese country and Greenland and ferry services.

b) Exposure to regional or local authorities in other countries may be weighing the same weight as exposures to the country's central government, cf. Act. 1 if there is no increased risk, and the regional or local authority is shown by a published list by the supervisory authority of the country concerned.

c) Exposure to regional or local authorities that cannot be weised in accordance with (a) and (b) must be weised as institutes, cf. Act. 10.

Exposure to public entities

3) For public entities, units that are

a) non-commercial administrative bodies responsible for the State, a region or municipality, or

b) authorities responsible for the same responsibility as a region or municipality, or

c) non-commercial entities owned by the State, with special guarantee schemes, including self-governing entities established by law under public supervision or

d) units considered to be public entities in accordance with Article 4 (1). 1, no. 18, in Directive 2006 /48/EC of 14. June 2006, on the subject of access to the European Union or in a country to which the Community has concluded an agreement in the financial sphere, a credit institution (recast) in a country within the European Union or in a country that the Community has concluded.

4) The company may be exposed to exposure to public entities with at least the following weightings :

a) Exposure to public entities may be weighing the same weight as institutions of the country in question, cf. Act. 10.

b) Exposure to churches and religious communities having a status of public legal persons with a legal basis to levy taxes may be awarded the same weight as institutions of the country in question, cf. Act. 10.

c) Exposure to public entities not weighted under (a) and (b) must be weighted 100%.

Exposure to multilateral development banks

5) The company may weights exposure to multilateral development banks with at least the following weights :

a) 0%. emphasis on the International Bank for Reconstruction and Economic Development, the International Fund for Finance, the InterAmerican Development Bank, the Asian Development Bank, the African Development Bank, the Council of Europe Development Bank, Nordic Investment Bank, the Caribbean Development Bank, the European Bank for Reconstruction and Development, the European Investment Bank, the European Investment Fund, the Organisation for Multilateral Investment guarantees, International Investment Bank, International Investment Bank (Multilateral Investment), International Investment Bank (ICU) Funding Facility for Immunsation, Islamic Development bank.

b) 20%. the weight of the subscribed but not depositable capital shares in the European Investment Fund.

c) Exposure to the InterUS Investment Company, the Black Sea Trade and Development Bank and the Central American Bank for Economic Integration can be weipled as institutions, cf. Act. 10.

d) Exposure to other multilateral development banks not weighted under (a) to c shall be weighted by 50% if they do not have a credit rating of an approved credit rating agency and in accordance with the table below, if they have one ; credit rating of an approved credit rating agency.

Exposure to international organisations

6) The company may be exposed to exposure to international organisations with at least the following weightings :

a) 0%. the weight of the European Community.

b) 0%. emphasis on the International Monetary Fund (IMF).

c) 0%. emphasis on the International Payment Bank (BIS).

d) Exposure to international organisations not weighted under (a) to c shall be weighted 100%.

Exposure to institutions

7) Exposure to institutions, cf. Section 4 (4). 1, may not be weighted lower than the weight of the central government in question, cf. Act. 1. with the central government concerned, the country in which the institute has been established and has been authorised to carry out activities shall be understood.

8) Exposure to institutions with an initial maturity up to three months may be weighted by 20%.

9) Capital shares and trailing capital deposits must be weighted with 100 pages unless they are deducted from the base capitalen, cf. ~ 10 (1)) One, last sentence.

10) The company must be exposed to the institutions following the following methods :

a) An emphasis is determined by the use of credit quality stage based on approved credit rating agencies by approved credit rating agencies by the central government of the country in which the institute is indigenous, or the latest lance-sighylassification, drawn up by the OECD, "Country Risk Classifications" or by an export credit run by the central government of the country in which the institution is indigenous, cf. Act. 1 (c) in accordance with the table below.

11) Exposure to regulated markets or equivalent foreign markets for transferable securities are weighted as exposure to institutions.

Exposure to business enterprises and so on

12) Exposure to business operators, etc., which has a short-term credit rating may be weighted according to the provisions of point. 30-31.

13) The company may be exposed to business operators and so on in accordance with one of the following methods :

a) A weight resulting from the use of credit quality shall be carried out in accordance with the assessment by approved rating agencies, cf. section 13 and the following table, for exposure to which an approved credit rating agency has been evaluated.

Retail Exposure

14) The following conditions must be met to ensure that exposure can be placed in exposure to retail customers :

a) The company, the parent company of the undertaking and their subsidiaries ' s total exposure shall not exceed an amount equal to the equivalent of EUR 1 million. Euro. In the calculation of the total exposure, the amounts of the opposing party or group of the interconnected counterpart shall not amount to the amount of the counterpart of each other, but not the proportion of a loan where there is a mortgage on the residential buildings. The amount of a loan that is not guaranteed by pant in residential buildings shall be taken into account in the total amount.

b) Exposure is included in a portfolio consisting of a large number of exponates handled in a uniform manner.

c) Exposure should be against private customers or small business enterprises.

d) Exposure cannot include transferable securities.

15) The company may weights exposure to retail customers by at least 75%.

Sponings secured by furant in real estate

16) The following conditions must be met to ensure that the immovable property can be taken into account when the statement of exposure to immovable property is ensured by the immovable property :

a) The security shall be legally valid and be able to be enforced in all relevant legal areas at the time of signing of the credit agreement, and the security shall be recorded correctly and in good time. The agreement on securities and the underlying legal procedure must enable the undertaking to realise the value of safety within a reasonable time.

b) The value of the property must be regularly monitored and at least once a year, when it comes to business and at least every three years when it comes to residential buildings. A more frequent monitoring must be carried out where the market situation is marked by significant changes. Statistical methods may be used to monitor the property value and to identify which properties are to be re-evaluated. The property assessment shall be reassessed by an independent assessment expert when information is available which proves that the property value may have fallen significantly in relation to general market prices. Loans exceeding the equivalent of 3 million. Euro or 5%. on the basis of the company ' s basic capital, the property assessment shall be reviewed by an independent person at least every three years. The person who makes the review of the valuation must have the necessary skills, skills and experience to make a valuation and to be independent of the credit allocation process.

c) It must be clearly documented which types of housing and business end-end undertakings accept, including separate documentation on which property categories the company is counting as certainties in the inventory of risk-weighted items, as well as on the basis of which the property is to be taken into account ; the lending policy of the company is for loans with security in the types of properties concerned.

d) The company must have established business procedures to monitor the fact that the fixed property used for security is adequately insured against damage.

(e) Valuation of immovable property :

17) The company may be exposed to the immovable property by furant in real estate by one of the following methods :

a) 35%. the emphasis on exposure of inhabitable exposure to an overall farm, which is or will be inhabited or leased by the owner, including farmhouses for agricultural navigation, within 80%. of the property value at all times in accordance with section 10 to 17 of the mortgage and mortgage bonds and so on or 80%. of the most recent public property assessment or on the property located outside Denmark by a corresponding prudent assessment. Safety in shares in Finnish housing companies operating pursuant to the Finnish law on residential companies of 1991 or later equivalent legislation, related to housing, which is or will be inhabited or leased by the owner, are treated as part of this section With a furant in residential buildings. It is a condition that the value of the property does not substantially depend on the credit quality of borrowers.

b) 35%. the emphasis on exposure of exposure to the pant in free time houses, or will be inhabited or leased by the owner, within 60%. of the property value at all times, in accordance with section 10 to 17 of the mortgage and mortgage bonds and so on or 60%. of the most recent public property assessment or by pant in leisure houses situated outside Denmark at a corresponding prudent assessment. It is a condition that the value of the property does not substantially depend on the credit quality of borrowers.

c) 50%. the emphasis on exposure of exposure by pawn in office and business outdoors situated in Denmark, with the part of the exposure covered by the pawn in 50%. of the most recent public property assessment or to any existing property value, in accordance with section 10 to 17 in the Act on mortgage and mortgage bonds, etc. This is a condition that the value of the property does not substantially depend on : the credit quality of borrowers. It is also a condition that the risk of borrowing is not substantially dependent on the value of the underlying property, but rather the basic ability of borrowers to reopen the debt in another way.

d) 50%. emphasis on exposure of exposure by pant in office and business outdoors situated in the Member States allowing the weighting of office and business end, with that part of the assets covered by the panty within 50%. of the property value at all times in accordance with section 10 to 17 in the Act on mortgage and mortgage bonds, etc. or equivalent prudent rating or 50%. the weighting of the office and business end, provided that the conditions for the weighting in the Member States concerned have been met.

(e) 50%. emphasis on exposure of exposures by pant in wheeled agricultural and forestry, gardeners, etc. situated in Denmark, with the part of the exposure covered by the pawn within 50%. of the most recent public property assessment or to any existing property value, in accordance with section 10 to 17 in the Act on mortgage and mortgage bonds, etc. This is a condition that the value of the property does not substantially depend on : the credit quality of borrowers. It is also a condition that the risk of borrowing is not substantially dependent on the value of the underlying property, but rather the basic ability of borrowers to reopen the debt in another way.

(f) Other exposure secured by pawn in solid property other than in subparagraph (a) shall be weighted in accordance with the provisions of point (a). 13 and 15.

18) However, a credit institution shall be weighted by pant in other properties with at least the following weightings :

a) 125%. emphasis on exposure of exposure to industrial and craft outdoors, and collective energy supply installations with that part of the assets in the range of 60 to 90%. of the market value of the property shall be done in accordance with the publication of the valuation and loan performance of the mortgage credit institutions.

b) 125%. the emphasis on exposure of exposure to social, cultural and educational purposes, with the part of the assets in the range of 60 to 90%. of the market value of the property shall be done in accordance with the publication of the valuation and loan performance of the mortgage credit institutions.

c) 125%. the emphasis on exposure of exposure by pant in office and business, rented to tenants, independent of the property owners, and value-added on the basis of a higher rent than the market rent, with the part of the assets exceeding 60%. of the value of the property on the basis of the market's rent.

d) 200%. emphasis on exposure of exposure to industrial and craft outdoors, and collective energy supply installations with the part of the assets that exceed 90%. of the market value of the property shall be done in accordance with the publication of the valuation and loan performance of the mortgage credit institutions.

(e) 200%. emphasis on exposure of exposure to social, cultural and educational purposes by means of the part of the exposure exceeding 90%. of the market value of the property shall be done in accordance with the publication of the valuation and loan performance of the mortgage credit institutions.

(19) Exposure secured by mortgage in properties consisting of multiple property categories is weighted separately for the individual property categories. If a property category is at least 80%. of the total gross area of the property, the whole exposure may be weighted by the risk weight of this property category.

Exposure on which there is a restance or an overhaul

20) In the case of assistance, a counterpart in more than 90 days has been in a restance or a summary of the amount of the amount considered to be significant. It is a matter of assistance when the other party does not pay benefits as they fall, collect its debts at an agreed time, or when a credit-limit which has been announced for discard credit and other similar transactions is exceeded.

21) In material, cf. Act. 20 is understood that the total amount in restance on the commitment of the counterpart, cf. Section 5 (5). 1, no. Sixteen, in the law of financial operations, DKK 1,000. or more with regard to table sponges, and 10 000 kr. for all other exposure, to the company, its parent company and their subsidiaries.

(22) If a counterpart is in the restance, in accordance with the order of the case. 20-21, all of the opposite exposure to the company that must be treated and weighted according to the furtive. 23-26.

23) In the event of a security, the same type of security and guarantees shall be recognised, which shall apply to credit risk reduction, cf. Section 11 and Annex 7.

24) The company shall be weighing the insured part of exposures to the counterparty in the restance following one of the following methods :

a) 150%. emphasis on exposure of less than 20%. of the insured part of exposure, measured in terms of the value of exposure before writing or other value adjustment.

b) 100%. emphasis on exposure of at least 20%. of the insured part, measured against the value of exposure prior to precipitation or other value adjustment.

25) The insured part of exposure is weighted in accordance with section of the section. This means that the insured part of the risk is the same, regardless of whether the exposure is in the case or not, unless the guarantee is made up of immovable property.

26) The company shall ensure at least weightings guaranteed by furant immovable in a position of counterparts in the restance following one of the following methods :

a) 100%. the weight of exposure guaranteed by pant in residential buildings to a full-year use, cf. Act. 17 (a) of less than 20%. of exposure is written, measured against the value of exposure prior to precipitation or other value adjustment.

b) 50%. the weight of exposure guaranteed by pant in residential buildings to a full-year use, cf. Act. 17 (a) at least 20%. is written, measured in relation to the value of exposure before writing or other value adjustment.

c) 100%. emphasis on exposure of the other immovable property, cf. Act. Seventeen (b).

Covered bonds

27) For the purposes of covered debt securities issued by credit institutions :

a) Especially covered bonds, see. § 16 a (3) (a) 1, in the law of financial activities.

b) Especially covered bonds, see. § 2 c of the law of a ship ' s financial institution.

c) Realcreditobonds issued at the latest by 31. December 2007.

d) Cartridge bonds issued by Denmark's Skibscredit A/S by 31. December 2007.

(e) Other covered bonds, cf. Annex VI, Part 1, point. Sixty-eight, in Directive 2006 /48/EC of 14. June 2006, on the admission and pursuit of business as a credit institution (recast version).

28) The company may weights covered debt securities with at least the following weightings :

a) 10%. the emphasis on exposure to covered securities issued by a credit institution where the non-indebted and indebted debt of the credit institution is weised with 20 pct., cf. Act. 10.

b) 20%. the emphasis on exposure to covered securities issued by a credit institution, provided that the non-indebted and unsecured debt of this credit institution is weighted with 50 pct., cf. Act. 10.

c) 50%. the emphasis on exposure to covered securities issued by a credit institution, provided that the non-indebted and unsecured debt of this credit institution is weighted with 100 pct., cf. Act. 10.

d) 100%. the emphasis on exposure to covered securities issued by a credit institution where the non-indebted and indebted debt of this credit institution is weighted with 150 pct., cf. Act. 10.

Exposure to securitizations

29) The company shall be exposed to securitisations against securitisations in accordance with the provisions of Annex 11.

Exposure to business enterprises and so on with a short-term credit rating

(30) In the case of short-term credit ratings, credit ratings of approved credit rating agencies shall be considered to be credited credit rating agencies under the provisions concerning rating agencies and credit ratings in section 13 and Annex 5.

31) The company may be exposed to business operators, etc., where a short-term credit rating is available, with a weight resulting from the use of the credit quality of credit rating agencies in the short-term approved by the rating agencies ; credit ratings in accordance with the table below.

Exposure to collective investment schemes

32) The company must be exposed to collective investment schemes, cf. Section 1 law on investment associations and special associations, as well as other collective investment schemes and in nature. 1 in Directive 85 /611/EEC of 20. In December 1985 on the coordination of laws, regulations and administrative provisions concerning certain undertakings for collective investment in transferable securities (UCITS) with at least the following weightlids :

a) A weight resulting from the use of credit quality shall be carried out in accordance with the assessment by approved rating agencies, cf. section 13 and the table below.

33) For the purpose of applying the methods in point. The collective investment scheme must meet the following criteria : 32 (b) and (c) :

a) The collective investment scheme shall be managed by a company under the supervision of a country within the European Union or in a country concluded by the Community in the area of the financial sphere.

b) The collective investment instrument has set up a UCITS.

c) The collective investment scheme shall submit an annual report, which allows for an assessment of its assets and liabilities, revenue and movements of shareholdings.

34) For the purpose of using a furtive. 32 (b) and (c), the undertaking may make use of an investment management company / management company to calculate and report weightings for investment in the collective investment scheme.

35) If the competent authorities of other countries have approved collective investment schemes from third countries, cf. Annex IV, Part 1, point. 77 and 78, in Directive 2006 /48/EC of 14. In June 2006, on access to the recording and undertaking of credit institutions (recast), the Financial supervision may place this on account in its assessment of the collective investment scheme.

Exposure to other items, including assets without counterparts

36) Other items include property, equipment, other material assets, and period demarcation items where the company cannot determine the counterpart. Moreover, all exposures which are not covered by section 9 (4) are excluded. 1, no. 1-14, fall in.

37) The company shall be weighing in other items with at least the following weights :

a) 0%. the weight of the cash register, including gold coins.

b) 20%. emphasis on liquid funds during transfer.

c) Exposure to other items not weighted in accordance with subparagraph (a) shall be weighted by 100%.

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Appendix 4

Classification of unbalance-sheet items

Full Risk

1) The following items shall be entered under this item :

a) Financial guarantees. This means, for example, guarantees on loan loans, guarantees of advance loans and other loans in mortgage-credit or business financial institutions, pan-bank guarantees, guarantees concerning the provision of loans to customers (market loans) and guarantees for deposits in other credit institutions.

b) Guarantees or loan guarantees. Guarantees or loan guarantees that constitute credit substitutes and which are fully secured by furant in real estate, which satisfy the requirements of Annex 3, point. The conditions laid down in 16-17 shall form part of a weighting of 35%. This includes, for example, guarantees imposed on mortgage credit institutions, where guarantees have the right of entry to the mortgage of the mortgage credit institution. In cases where the guarantee is lodged in the context of a fixed estate in a real credit institution, the percentages of Annex 3 may be furtive. 16-17 is related to the property value evaluated by the real credit institution, cf. the valuation of the mortgage and loan measurements of real credit institutions.

c) Accepts and endosseinisation obligations and so forth shall mean the obligations which have been taken under unbalanced positions.

d) Assets purchased in accordance with term contract.

(e) forward-forward deposits. This means agreements relating to deposits to a credit institution at a fixed period of fixed interest during a fixed period of fixed interest rates, such as deposits of 1 million. DKK in three months in six months to 5%. For interest in interest. The entry shall be included in the calculation at the time of the conclusion of the agreement.

(f) Other records that have a full risk. For the purposes of this Regulation, any guarantees other than those referred to in (a) are replaced by the entry of a credit to the Customer, for example, customs, tax and duty guarantees.

g) Credit derivatives.

(h) Business that is accountancy in other eventualas.

Intermediate Risk

2) The following items shall be entered under this item :

a) Other warranties and institions. In this way, any guarantees other than those underpent. 1.a, 1.b, 2.c, 2.d, 3.a and 3.b, such as workguarantees, forced auctions, conversion guarantees and other warranties and abstentions not in the place of a credit to the Customer (warranty requisition), including : guarantees given to the Guarantee Fund for depositors and investors, as well as the guarantee of account by the principal institutions of errors in other principal institutes in the field of registration in the Securities Central Bank. The Posting also includes import rembursts and confirmed export rebursts.

b) Unite-calcible credit commitments. This means a credit undertaking which cannot be recalled at less than a year's notice. All credit commitments entered into in other eventualas are to be included. Credits which may be terminated at a shorter notice than 1 year shall not be included here, irrespective of the fact that a longer term is fixed than 1 year.

c) Long emission guarantees and so on shall mean all obligations that the company has to purchase securities (issued by the company ' s customers), where the commitment of the commitment is more than one year, regardless of whether the securities will be covered by The trading book.

d) NIF's and RUF's m.v. Heron means Note Issuance Facilities (NIF 's) and Revolving Underwriting Facilities (RUF' s) and similar, involving an obligation for the company to purchase securities. The facilities are included regardless of the maturity.

(e) Other out-risk items. This includes all the posts other than those referred to above with intermediate risk.

Intermediate / low risk

3) The following items shall be entered under this item :

a) Emission guarantees. This means all the obligations that the company has to buy securities, whether the documents will be covered by the trade inventory, except for those covered by item. 2.c and 2.d mentioned obligations.

b) Other or low-risk items. This includes guarantees presented to the Danish National Bank in connection with the payment settlement in the Securities Central Bank. In addition, guarantees have been made to the capital base of the Securities System.

c) Unused credit commitments that cannot be terminated without notice, and a fixed term up to one year.

Low risk

4) The following items shall be entered under this item :

a) Unused credit facilities that can unconditionally be terminated, or which are effectively guaranteed automatic termination in the event of a reduction in credit rating by borrowing credit. Credits for retail customers may be regarded as unused credit facilities which may be terminated without notice, if they can be terminated to the extent permitted under consumer protection law and related legislation.

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Appendix 5

Mobilisation of credit ratings from external rating agencies to determine the risk-weight

General

1) A company may nominate one or more approved rating agencies for the setting of risk weights for exponings.

2) A company that decides to use credit ratings drawn up by an approved credit rating institute for a particular exposure category shall apply such credit ratings consistently for all exposure within this ; exposure category.

3) A company that decides to use credit ratings drawn up by an approved credit rating institute shall use them consistently and consistently over time.

4) The company can only use credit ratings from an approved credit rating agency if the credit rating covers the total debt obligations, i.e. both the main chair and the interest rates that have been incurred.

5) If, for an exposure, only a credit rating from a single nominated rating institution is available, this credit rating must be used for the setting of the risk weight for exposure.

6) If there are two credit ratings from nominated rating agencies, and these credit ratings are setting two different risk weights for an assessment of exposure, the highest risk weight shall be used.

7) If, for an exposure, more than two credit ratings have been available from nominated rating agencies, the two assessments resulting in the lowest risk weights shall be added to the ground. If the two lowest risk-weights are different from each other, the highest risk weight shall be used.

Special requirements for the use of creditation ratings of securitisation positions

8) The provisions of the act. 1-7 shall apply mutatis mutilated by the use of credit ratings by CRAs to the establishment of risk weights for securitisation positions.

9) A position in a tranche which has a credit rating from a single nominated rating institution shall be deemed to be non-rate if one or more other tranches in securitisation have a credit rating from another or more other nominees ; rating agencies.

10) If credit is recognized, credit risk coverage is recognized, cf. in Annex 7 or, where appropriate, Annex 9, which is directly awarded to the transfer beneficiary (SSPE), cf. in Annex 11, the creditation of credit rating in the credit rating of a position by a nominated rating agency may be used as the risk weight associated with the credit rating concerned. If credit sicoding is not recognized in accordance with Annex 7 or, where relevant, Annex 9, the relevant credit rating may not be used. In cases where credit risk cover is not applicable to the transfer recipient (SSPE ' en), but directly related to securitisation position, the credit rating is not approved.

11) The provisions of the act. The 12-20 does not apply to the rating agencies ' credit ratings for the establishment of risk weights for securitisation positions.

Credit assessment of issuers and emissions

12) If there is a credit rating for an emission programme or an emission facility, this credit rating must be used for exposure to this emission programme or emissions facility.

13) Where an immediate credit rating for a particular item is not available, it is available to the issuer of a credit rating for an emission programme or an emission facility which the post that represents exposure is not part of, or there is a general credit rating of the issuer, the credit rating shall be used. However, this credit rating must be used only if it results in a higher risk weight than otherwise, or if it results in a lower risk weight, and the exposure concerned shall be covered at the same level or better in the order of the bankruptcy ; the emissions programme or the Emission Facility.

14) Credit ratings of issuers belonging to a group cannot be used as credit ratings by other issuers within the same group.

Long-term and short-term credit ratings

15) Credit ratings, which are defined by the rating institute as short-term credit ratings, can only be used when the risk weights are fixed for similar short-sighted exposure.

16) Credit ratings, which by the credit rating institute are defined as short-term credit ratings, shall be applied only to exposure to which the short-term credit rating applies and may not be used for the calculation of risk weights for other exposure.

17) Irrespective of the provisions of the act. 15 will, if a short-term credit rating facility is given a risk weight of 150 pct;, mean that not all credit-rated insured exposures with that lender shall also be attributed to a risk weight of 150%. without regard to whether these engagements are short-term or long-term.

18) Irrespective of the provisions of the act. 16 will not be able to obtain a risk weight of less than 100 pctif, if a short-term credit rating facility is attributed to a risk weight of 150%, if a short-term credit rating facility is attributed to a risk-weight facility.

Posts in national and foreign currency

(19) A credit rating related to an exposure denominated in the debtor ' s national currency may not be used for the calculation of risk weights for another exposure of the same lender when this exposure is denominated in foreign currency.

20) However, the SEC may allow the exposure of a credit institution to the involvement of a credit institution in a loan granted to a multinational development bank having a privileged creditor status, the creditor ' s exposure to the borrower ' s credit rating ; the national currency shall be used for setting the risk weight.

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Appendix 6

Approval of credit rating agencies

Technical Criteria

1) The rating rating institute shall meet the following technical criteria to be approved :

Object Activity

2) The method, which forms the basis for rating agencies ' credit ratings, is rigorous, systematic, coherent and must be based on historical experiences.

3) The credit ratings of the creditvaluation institution shall be based on any information considered relevant and available at the time of credit evaluation.

4) The credit rating department must be able to document that the method includes all matters that are normally relevant to the assessment of credit rating of a company. Documentation must be supported by documentation that the method used to have resulted in proper credit ratings.

5) The RRC has administrative procedures and business practices that ensure that the rating method is used consistently in the preparation of all credit ratings in the same classes. Two identical businesses must, if applied correctly, obtain the same credit rating regardless of who has performed the credit rating.

6) The Credit Rating Institute can use several credit rating methods as long as the individual method covers all entities belonging to the same market segment. In the individual market segment, the same factors must be identified as essential for the determination of the credit rating. However, the individual factors may be weighted differently within the various partial market segments, for example, because of industry or geographical differences.

Independence

7) The credit ratings of the credit rating agencies shall be independent of political influences and restrictions or economic pressures which may affect the credit ratings.

8) The Credit Rating Institute must ensure that conflicts of interest do not arise as a result of external political or economic pressures, including :

a) that the rating agency is owned by either State, trade unions or political bodies that are interested in securing favourable credit ratings for their members / constituents,

b) the credit rating agency is owned by a private company which can use its position to secure favourable credit ratings,

c) the economic position of the credit rating agency depends on income from individual customers who could use their position to secure a favourable credit rating ;

d) the credit rating department is providing additional services to a credit-rated company, or the company has other business relationships with the rating institute, which may undermine the objectivity of the credit rating of the company ;

(e) an employee of the credit rating agency has a leading position in a company which is credit rated by the credit rating agency, or

(f) that the credit rating agencies are paid in such a way or have business relations with the credit-rated companies which could lead to the rating of credit ratings being not objective.

9) The credit rating department must be able to document :

a) the rating agency has drawn up and emplouses appropriate safeguards to ensure that conflicts of interest do not arise as a result of external political or economic pressure ;

b) the organisation of credit rating activities of credit rating agencies is separate from other business areas that may undermine the objectivity of credit ratings, such as complementary service,

c) the financial position of the rating agency is sufficiently good and that the rating agency has the appropriate administrative guidelines to ensure the independence of individual customers and issuers,

d) the capacity of the credit rating agency has the skills and experience necessary to perform the tasks expected by each employee. At least one person who is involved in the credit rating process must have at least three years of experience as a steering analyst or in a comparable function in a credit institution ;

(e) the rating agency has sufficient resources to carry out consistent credit ratings and have regular contact with the credit-rated companies where this is necessary in relation to the method,

(f) the rating agency has an independent internal audit function,

g) the credit evaluation process will be based on appropriate written internal procedures and business practices, rules for good corporate governance, internal rules for the fixing of payment / fees and internal code of conduct,

(h) that the rating agency shall publish situations in which conflicts of interest may arise or have arisen, and

i) the rating agency has rules and procedures to identify, prevent, manage and remove any conflicts of interest.

Ongoing Control / Rating

10) The Credit Assessment Institute must continuously review credit ratings and adapt them to changes in the financial situation of the credit-rated unit. Evaluations shall be reviewed after all important events and at least once a year.

11) The credit rating institute shall carry out a verification (back-testing) of the methods of each market segment at least once a year.

12) The Credit Rating Institute shall immediately inform the Financial supervision if significant events occur, which may alter the fulfils of the criteria on which the original approval is granted. In the event of significant events, changes are thought to the methods which may alter a significant proportion of the credit ratings in a given market segment.

13) The Rating Foundation must have administrative procedures and business procedures that ensure :

a) to make significant changes to the conditions of a credit rated company which can potentially change the undertaking ' s credit rating, with reasonable certainty, and

b) the credit assessment shall be reviewed whenever changes in conditions are made to a revision.

14) The credit rating department must be able to document that it reviews the individual credit ratings at least once a year, regardless of whether a credit rating has already been carried out due to significant changes in the economic conditions. The RRC shall compile a summary of how the reviews have been made, including the extent of contact with the management of the credit-rated business.

15) The credit rating department must be able to document that the after-testing (back-testing) has been carried out for a minimum of one year before the application for approval. The test must be carried out at all market segments where the rating agency is seeking approval.

Transparency and publication

16) The credit rating institute shall publish the principles of the methods employed. Publication must include a general description of the credit rating method, so that the method is easily understood for potential future users.

17) The Credit Rating Institute shall also publish if significant changes are made in the method, cf. Act. 13.

Individual credit ratings-credibility and market saccept

18) The credit ratings of credit rating agencies should be regarded as credible and reliable by the users of these credit ratings. The credibility of credit ratings is judged by a number of factors, including :

a) the market share of the rating agency,

b) the revenue rating rating by the credit rating agency and the overall economic position of the rating agency,

c) whether the credit rating obtained is used to calculate the price of the credit rating carried out, and

d) whether or not at least two credit institutions are making use of credit ratings by the rating agencies for the emission of debt securities and / or the assessment of credit risks.

Individual credit ratings-transparency and publication

(19) The Credit Rating Institute must ensure that individual credit ratings are made available on the same terms and conditions for all credit institutions wishing to use credit ratings from the credit rating agency concerned.

20) The Credit Rating Institute must ensure that individual credit ratings are available to foreign credit institutions under the same conditions as for similar domestic credit institutions, cf. Act. Under the same conditions, the same conditions must be understood that, in the same economic circumstances, unfair price discrimination must not occur.

21) Credit rating agencies that do not require payment for access to their credit ratings must ensure that a complete list of their published credit ratings is available and updated as soon as a new credit rating has been carried out, or existing credit rating has been revised. The list shall be published on the public accessible part of the credit rating agency ' s website.

(22) Credit rating agencies that require payment for access to credit ratings must ensure that a complete list of their published credit ratings is potential available to all subscriptions and that the list is updated as soon as a new one credit rating has been made, or an existing credit rating has been revised.

Special requirements for credit ratings of securitisation positions

23) Except for the provisions of the act. 1-22 the following provisions shall be satisfied if the rating agency ' s credit ratings are to be used for the assessment of the risk-weighted items for securitisation positions.

a) There can be no difference between the types of payments reflected in the credit rating and the types of payments that the company is entitled to under the contract which is the reason for the securitisation position in question.

b) The Credit Rating Institute must demonstrate that it has a strong market concept in the area.

c) The credit rating agencies rating of securitisation positions shall be made publicly available for the market. Credit ratings shall be regarded as being publicly available to the market if they are available in a public forum, for example, on the publicly available part of the credit rating agency ' s website, and that they are also available ; the transitioning of the rating agencies in the rating agency. Credit ratings that have been made available only for a small number of companies cannot be considered to be publicly available.

Application procedure

24) Credit rating agencies that would like to offer credit ratings for the use of exposure risk weights in Denmark, cf. Section 16 is to apply the Financial supervision of credit rating as rating insitias.

25) The application shall include the information corresponding to the ' Common Basis Application Pack ` set by CEBS 'Guidelines on the recognition of External Credit Assessment Institutions'. The financial supervision may require additional information.

Converting credit ratings to credit quality

26) For approved credit rating agencies, the financial supervision of the financial supervision of each rating agency shall be converted to the credit quality stage of each credit rating rating. The individual credit quality of credit shall be attached to the weight of the exposure to each credit quality of credit shall be weighted in the inventory of the risk-weighted items.

27) Authenticated rating agencies shall inform the Financial supervision of the development of the three-year non-compliance frequency and the 10-year average default frequency of each of the approved market segments.

Export credit agencies

28) An export credit rating of credit ratings may be used if any of the following conditions are met :

a) the rating is a Consensus Risk Score from an Export Credit Agency participating in the OECD ' Arrangement on Guidelines for Officially Supported Export Credits ', or

b) The export credit Agency shall publish its credit ratings, the export credit agency shall use the OECD methodology and that the credit rating is associated with one of the eight minimum export insurance (MEIP), as provided for by the OECD methodology.

29) Export credit agencies must not be approved separately from the Financial supervision. Credit institutions which wish to use the credit ratings for the export credit agency shall demonstrate that the requirements of the credit institution ' s credit ratings shall be satisfied. The 28th is met. Approved credit ratings are then either :

a) Consensus Risk Score from OECD "Arrangement on Guidelines for Officially Supported Credits", or

b) Credit ratings from export credit agencies that use the OECD methodology, but where the consensus is not established, regardless of whether the respective country has been associated with a consensus risk score.

(30) Credit ratings of the export credit rating comply with the requirements of the furtive. 28.

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Appendix 7

Credit Risk Reducing Methods using the default credit risk method

Scope of application

1) This Annex contains provisions concerning the inclusion of the effects of guarantees, credit derivatives and securities and netting of reciprocal deposits and lending by the inventory of the risk-weighted items when the establishment uses the standard method for : credit risk, cf. § 12.

Warranties

recognised guarantors

2) Only warranties from the following guarantees may be taken into account when taking account of the risk-weighted items :

a) Central governments and central banks.

b) Regional and local authorities.

c) Multilateral development banks.

d) International organizations assigned a risk weight of 0%. by default for the credit risk method.

(e) Public entities treated as an institution or exposure to central governments according to the standard method of credit risk.

(f) Institutions, cf. Section 4 (4). 1.

g) Corporate undertakings which have a credit rating drawn up by an approved credit rating agency and where credit rating equivalent to credit quality level 2 or better in accordance with the rules on risk weighting of commercial sponges ; the default method of credit risk.

Minimum Requirements for Warranties

3) The following requirements must be met to ensure that a guarantee can be taken into account when taking account of the risk-weighted items :

a) The guarantee must be direct, that is to say. that, in the event of loss of exposure, the establishment may directly apply to the guarantee manufacturer.

b) The extent of the guarantee must be clearly defined and undisputable.

c) The guarantee may not contain clauses whose fulfillment is outside the direct control of the undertaking and which :

4) For a warranty, that is to say. a guarantee guaranteeing a different guarantee may be considered, the following requirements must be met :

a) The guarantee table shall be one of the following counterparts :

5) Point 4 shall also apply to exposure which has a warranty from a issuer that is not covered by the furtive. 4 (a) if the warranty of exposure is directly guaranteed by one of the putty. 4 (a) shall be the issuers referred to, and where the conditions are in point. Four, by the way, is fulfilled.

6) The company must have systems in place to control a possible concentration of risks caused by the company's use of guarantees. The company must be able to document how its strategy for the use of guarantees is linked to its management of the parent risk profile.

7) In breach of the guarantee or omission of payment by the borrower, the firm must have the right to make claims without undue delay for payment of all amounts due during exposure, for which : It's a guarantee. The guarantee payment may not be conditional upon the establishment first making claims against the borrower. In case of guarantees for loans with safety in residential buildings, the requirements shall be required by the person who is intended to be furtive. paragraph 3 (c) no. (iii) and the first two statements in this point. only fulfilled within an overall period of 24 months.

8) The guarantee must be expressly provided for by the guarantee of guarantee.

9) For guarantees provided for mutual guarantee schemes recognised as such by the Financial supervision, or which are issued by or warranted by the financial guarantees referred to in point. Point 4 (a) shall be considered as required by point (a). 7 for compliance with one of the following conditions :

a) The company has without undue delay the right to an interim payment from the guarantee manufacturer, corresponding to a well-reasoned estimate of the amount of the company ' s estimated financial losses, including losses resulting from : the non-payment of interest and other types of payments that the borrower is obliged to make.

b) The company may demonstrate that the loss of the guarantee shall be liable for loss of the guarantee, including loss of payments due to the borrowing of the lender, justifies such treatment.

Guaranteeing of warranty service coverage

10) Where the warranty covers the duration of the exponation period and where the amount of losses in the case of losses is in the same currency as exposure, the warranty of the guarantee shall be covered by the amount of the guarantee that the guarantee has been made to pay if the borrower is borrowing ; a misdearer, not the payment, or if any other specified credit events occur.

11) If the guarantee does not cover all the payment obligations of all borrowers relating to exposure, the compensation must be reduced in such a way that it reflects the limited coverage.

12) In the case of losses in the case of losses in a currency other than the exponment (currency-mismatch), the adjustment of the guarantee coverage is used that is specified in point. 18-20.

13) If the warranty does not cover the duration of the entire exponment (maturity mismatch), the adjustment of the guarantee coverage is used that is specified in point. 21-28.

Assuction of risk items for exposure covered by a guarantee

14) The part of the exposure covered by the guarantee, including the part covered by the currency for currency-mismatch (G*) or maturity-mismatch (G) A ), cf. Act. The weight of the guarantee shall be weighted in accordance with the standard method of credit risk, 18 and 28.

15) Exposure or parts of exposure guaranteed by central governments or central banks and where the guarantee is specified in the national currency of the borrower and the exposure is financed in the same currency, may be treated in accordance with the method ; in appendix 3, point. 1.

16) When the guarantee does not cover the whole exposure and covered and uncovered units are equal, i.e. Guaranteed loss pro-rata, the part of the exposure not covered by the guarantee shall be weighted with the original weighting of exposure according to the standard method of credit risk. This also applies where the covered part is anchied to the non-covered part, that is to say, the covered part. where the Guaranteer covers losses to a given amount, and the company itself shall cover any additional losses that exceed that amount.

17) When the warranty does not cover the entire exposure, and the conditions in the furtive. 16 is not fulfilled, for example when payment from the guarantee is not replaced until the loss exceeds a threshold (self-risk), the exposure must be weighted in accordance with the provisions on the weighting of securitisation positions under the standard method ; credit risk, cf. Annex 11, point. 26-50.

Adjustment of warranty service for currency-mismatch

18) If the guarantee is specified in a currency other than the currency in which the exposure is specified (currency mismatch), the size of the tyre must be reduced by using a volatility adjustment (H FX () using the following formula :

(19) H FX Add to 11,4%.

20) The company can, rather than the one in point. 19 fixed value, using own estimates for the volatility adjustment, H FX , by the method specified in the furtive. 81-96.

Adjustment of warranty service coverage for maturity

21) In the case of exposure to the risk-weighted amount of exposure to guarantees, maturity mismatch occurs when the duration of the warranty is shorter than the duration of the duration of the protected exposure.

Residual Term Definition

(22) An exposure duration is the longest possible remaining time before borrowers, according to the agreement, have to fulfil its obligations, but a maximum of five years. Without prejudice to the plight. The age of 23 shall mean the period of time to the earliest date, where the guarantee expires or may be terminated by the guarantee manufacturer.

23) When the establishment is able to terminate the guarantee and the terms of the contract which is warranting the guarantee, the undertaking contains an incentive for the establishment to terminate the agreement prior to the expiry date of the agreement in the agreement, the earliest date shall be considered to be the earliest date, where this possibility may be used.

24) For guarantees where there are no provisions to ensure that the warranty expires prior to expiry of any period of execution required before the expiry of the underlying debt obligation may be considered as having been taken as a result of : missing payment shall be reduced by the length of the period of execution of the guarantee.

25) When guarantees provided by a single protective shelter have different maturity, a method similar to the one described in point shall be used. 107.

Payable-Time Match

26) Warranties which have a shorter duration than the underlying exposure and at the same time have a remaining duration less than three months cannot be counted.

27) When a maturity mismatch occurs, the guarantee will not be included when :

a) the initial duration of the guarantee shall be less than 1 year, or

b) exposure is a short-term exposure as defined in Appendix 8, point. 65-67.

28) Where a guarantee is available for the duration of the duration, the guarantee of the guarantee shall be adjusted in accordance with the following formula :

Credit derivatives

Credit derivatives that can be counted

29) When the requirements are in furtive. Thirty-two-40 may be met, credit-side coverage from one of the following types of credit derivatives may be included in connection with the inventory of risk-weighted items :

a) "credit default swaps"

b) "total return swaps"

c) "credit linked notes"

(30) Instruments that are composed of, or as an economic equivalent to the types of credit derivatives referred to in the act. 29 may also be included in the inventory of risk-weighted items.

31) Credit card cover from credit derivatives in the form of credit default swaps and "total return swaps" and similar instruments, cf. Act. 30, can only be counted in the inventory of the risk-weighted items when protective measures are shown in the list of recognised guarantee agents in the furtive. 2.

Minimum requirements for credit derivatives

32) The requirements for guarantees that are shown by furtive. 3-6, equivalent to credit derivatives.

33) In addition, the credit siclosures may be included in the calculation of the risk-weighted items when the credit derivatives fulfil the following conditions :

a) The credit events resulting from the payment of the credit derive shall include at least :

b) When the credit events do not include the reorganization of the underlying debt obligation as described in point (a) no. In ii, the credit sicoping may nevertheless be taken into account, provided that a reduction in the inventory of the credit derivatives is effected as specified in point. 37.

c) For credit derivatives, with the possibility of cash flow, the establishment must have a well-functioning system of valueus, so that the company can make reliable estimates for the loss. A clearly specified period must be specified, within which the company has the ability to evaluate the value of the underlying debt obligation after the credit event has been taken.

d) If the settlement is conditional on the undertaking transferring the underlying debt obligation to the protection giver, the conditions of the underlying debt obligation must indicate that any such transfer may not be required for such a transfer ; may be withheld undue.

(e) The identity of the parties responsible for determining whether or not the credit event has been taken must be clearly defined. The identification of their identity must not be the sole responsibility of the protection giver. The company must have both the right and the right to inform the protection giver that a credit event has been taken.

34) There is only a mismatch between the underlying debt obligation and the reference obligation under the credit derivatives (i.e. the commitment that will be used to determine the cash yield value, or the obligation to be transferred or between the underlying debt obligation and the obligation to determine whether a credit event has been taken, if : the following conditions have been met :

a) The reference obligation or the obligation used to determine whether a credit event has been made must be equal to or resubmitted to the underlying debt obligation.

b) The underlying debt obligation and the reference obligation or the commitment, which are used to determine whether a credit event has been taken, has the same lender (i.e. same legal person). In addition, legally valid cross-reference clauses shall be provided between the reference obligation and the underlying debt obligation, which means that if the borrower is displeting other loans which this person has recorded, then this leads to that : the reference obligation shall also be deemed to be defaulted. The same applies, as a result of the payment of a loan from borrowers before time, the reference obligation shall also be decreed before the time.

Account for the coverage of the coverage of credit derivatives

35) In the interest of fury. 36 below applies to the provisions of the section. 10 and 12 13, concerning the provision of the guarantee of the guarantees covered by the credit derivatives, including the provisions of point (s). 18-20 on currency-mismatch and fury. 21-28 on track-time mismatch.

36) The provisions of the act. 21-28 on maturity-mismatch does not apply to credit-linked notes. The term mismatch for "credit linked notes" is being treated in accordance with the provisions of point. 43-97.

37) For credit derivatives which, according to the contract, do not consider a credit event as being granted if the borrower has been reassigned the underlying debt obligation, including which has been paid or deferred repayment of the principal, interest, or shall be adjusted to the effect of the creditation of credit codenolation as follows :

a) The coverage of the credit derivatives, which has been covered by the credit line. 10 shall be reduced by 40 pct; if the amount taken by the protection giver is no higher than the size of the exposure.

b) If the amount of the protection giver has undertaken to pay is higher than the level of exposure, the rating of the credit derivatives may not be higher than 60%. of the size of the exponeration.

38) When a company achieves credit for a number of expulsions on the condition that the first non-compliance with the expulsions must trigger the payment from protection and this credit event causes the termination of the contract, the undertaking may, to include the credit risk encoding from the credit derivatives by taking the risk weight of the exposure which, in the absence of credit risk exposure, would constitute the exposure of the lowest risk-weighted amount according to the standard method of credit risk.

39) When a company achieves credit for a number of expulsions on the basis of the fact that the default non-compliance among the expulsions triggers the payment of a protective order, the establishment may only assume the coverage of the extermination of exposure to the exponeration ; risk-weighted items if the first to which the non-1'te breach is also covered by credit risk coverage, or if there have already been non-default non-compliance. In such cases, the company must use the method that is specified in point. 38, adjusted to the type of credit derivatives in this item.

40) If the company is performing an internal settlement using a credit derivative-i.e. covers the credit risk of an exposure outside the trade inventory with a credit derivative in the commercial inventory-the credit risk that has been transferred to the trading book shall be transferred to one or more third parties, in order to : the credit siclosures may be included in the inventory of the risk-weighted outlines outside the trading book.

The assessment of risk-weighted posts for exposure covered by a credit derivative

41) The provisions of the act. 14-17 relating to the balance of risk-weighting records shall apply mutatis mutilations to exposure of credit derivatives using credit derivatives in the form of "total return swaps" and "credit default swaps".

42) For credit-related notes and similar instruments, cf. Act. 30, which the establishment issues, amounts paid from investors in the instruments concerned as collateral in the form of a cash deposits or a cash-like instrument, in accordance with the provisions of the provisions of the Act. Article 43-97, however, in order to cover the coverage of the security clearance under the provisions of the provisions of the Treaty. 35-40. A cash-like instrument shall be deemed to mean a deposit certificate or similar instrument issued by the granting of the loan.

Financial certainties

43) For the purposes of taking into account the risk-weighted items, the undertaking may take account of financial certainties by using either : the simple method of financial security, , cf. Act. 45-57, or the method of the financial security system, , cf. Act. 58-97. Thus, the company must not apply both to one and the other method.

44) The simple method of financial certainties cannot be used in the estimations of the risk-weighted outlines for credit risk of exposure to commercial holdings.

The simple method of financial security

Financial certainties that can be taken into account (the simple method)

45) Credit trilateral coverage from the following financial certainties can be taken into account when the risk-weighted items may be collected if the minimum requirements are in place. 50-51 is complied with :

a) Cash deposits in the establishment or cash-like instruments that are in the company's possession.

b) Applicable instruments issued by central governments or central banks and which have a credit rating drawn up by an approved credit rating agency or export credit agency approved in accordance with the standard method of credit risk. The credit rating shall correspond to the credit quality stage 4 or better for exposure to business operators and central governments and central banks under the GL ' s home country or country classification 4 or better in accordance with the rules on risk weighting of exposure to central governments according to the standard method of credit risk.

46) Debt instruments issued by institutions, cf. Section 4 (4). 1 and which do not have a credit rating drawn up by an approved credit rating institute, can be taken into account when taking account of the risk-weighted items if they meet the following criteria :

a) They have been noted on a regulated market or an equivalent foreign market for securities.

b) They are non-reindebbt.

c) All other ratted debt instruments issued by the same institute, cf. Section 4 (4). 1, which is equal to the debt instrument in question and which, if they have a credit rating of an approved credit rating agency, have a credit rating equivalent to the credit quality stage 3 or better on exposure to business operators ; and central governments and central banks, according to the GL-synet website.

d) The lender firm is not in possession of information indicating that the debt instruments should be awarded a lower credit rating than the one listed in point (c).

(e) The company can reimburse the Finance Board that the liquidity of the debt instrument is adequate for this treatment.

47) If it is related to the case. In 46 (c), two or more credit ratings from approved rating agencies, the company must use the same method as in Appendix 5, point. 6-7.

48) Parts of collective investment schemes, cf. Paragraph 1 of the Law on investment associations and special associations and other collective investment schemes and other types of investment. 1 in Directive 85 /11/EEC of 20. In December 1985 on the coordination of laws, regulations and administrative provisions relating to collective investment in transferable securities (UCITS) can be taken into account as a guarantee of the risk weighting of the risk-weighted posts. conditions have been met :

a) They are subject to daily public price diversions.

b) The collective investment scheme is limited to investing in the instruments that are covered by the scheme. 45 and 46.

49) If a collective investment scheme is not limited to investing in the instruments that are covered by the scheme, In 45 and 46, collective investment schemes may be included as a guarantee of security with the value of the instruments covered by the instrument. It would be 45 and 46 as they would be if the collective investment scheme had been invested in instruments that are not covered by a furtive. Forty-five and 46 in the maximum allowable extent according to its mandate. In cases where instruments which are not covered by the furtive act shall be provided. 45 and 46 may have a negative value because of obligations or eventuality obligations as a result of ownership, participation of collective investment schemes can be counted as collateral with the total value of the instruments covered by the instrument. 45 and 46 deducted the total value of instruments not covered by the furtive. Forty-five and forty-six if this one's negative.

Minimum requirements for the calculation of financial security (simple method)

50) The remaining duration of the financial security period shall be at least as long as the minimum duration of exposure, cf. definition in pkt. 22 so that it can be taken into account when taking account of risk-weighted items. However, this shall not apply where the guarantee waiver means that the provenance of the wrapping or security falls directly into an account with the company that the other party cannot dispose of without the approval of the undertaking, and which : also the exposure to the exposure of the duration of exposure to the exposure.

51) The following minimum requirements must also be complied with in order to ensure that financial securities can be taken into account when taking account of risk-weighted items :

a) The credit quality of the borrowlers and the value of security must not be given any significant positive correlation. The securities issued by the borrower or of a unit within the same group that are borrowers cannot be counted. Covered bonds which borrowers have issued and which fall under the provisions of Annex 3, point. However, they can be counted as security for re-purchase transactions, provided that there is no significant positive correlation between the credit quality of borrowers and the value of security.

b) The company must meet all contractual and regulatory requirements in respect of the enforcement of the security in accordance with the law applicable to the security of its security and shall take all necessary steps to ensure that : enforcement access. The undertaking must have a sufficiently legal review confirming access to the enforcement of the security in all relevant legal areas. This review must be re-examined where necessary to ensure the continued enforcement access.

c) The security shall be documented in an appropriate manner and there shall be a clear business action in order to realise the safety of a reasonable period. The establishment must establish business procedures for the control of the risks arising from the application of security, including risks arising from inadequate or reduced credit risk-taking, value-hire risks, risks associated with the termination of the credit risk code, concentration risks resulting from the use of safety and the impact of the undertaking ' s overall risk profile. The company must have a documented policy and practice on the types and sizes of security that are accepted. The company must make the market value of security and carry out an assessment of the value of safety at least once every six months, and every time the company has reason to believe that its market value has dropped significantly. When the security is kept by a third party, the company must take reasonable steps to ensure that the third party concerned differs the security of its own assets.

Account for risk-weighted outlines covered by financial security (simple method)

52) In the case of exposure to exposure to a financial security, the company may change the weight of the opposite weight to the risk weight which, after the standard method of credit risk, would be applied if the company was directly exposed to safety. The company can only replace the risk weight of that part of the exposure covered within the market value of the security. However, the risk weight must be at least 20 pct; other than those in point. In this case, 53-57 in the case of exposure covered by safety. The remainder of exposure must have a risk-weight similar to that which should be used in accordance with the standard method of credit risk of non-protected exposure to the counterpart.

53) The company can use a risk weight of 0%. in the section of exposure covered by security, when exposure and safety are specified in the same currency and one of the following conditions has been met :

a) The security is a cash deposits or a cash-like instrument.

b) The security shall be made out of debt instruments issued by central governments or central banks, which are assigned a risk weight of 0%. by default for the credit risk method and the market value of the security has been reduced by 20%.

Repurchase transactions and borrowing transactions and lending transactions (the simple method)

54) Purchasing operations and lending and lending transactions in transferable securities outside the trading book may be included only in accordance with the simple method of financial security when such arrangements include certainties that can be counted under for the provisions of the Act. 45-48.

55) For transactions that match all of the criteria in furtive. 72, the company must use a risk weight of 0%. on the part of the exposure covered by the safety.

56) For transactions that meet the criteria in furtive. 72, apart from the fact that the other side is not a central market player, cf. Act. 72, point (h) shall use a risk weight of 10%. on the part of the exposure covered by the safety.

Transactions in derivative financial instruments for which a daily valuation of valuation is made (the simple method)

57) In the case of derivative financial instruments listed in Annex 17, which are valued on a daily basis to market value, which is guaranteed by cash deposits or cash-like instruments and where there is no currency-mismatch, the company must use one, risk weight of 0%. on the part of the exposure covered by the safety. Exposure shall be carried out in accordance with the rules governing the specification of counterparty risk in Annex 16. If the security consists of debt instruments issued by central governments or central banks, which have a risk weight of 0%. by using the standard method of credit risk, a risk weight of 10% shall be used. on the part of the exposure covered by the safety.

The built method of financial security

Financial certainties that can be taken into account (the method based)

58) In the case of the application of the method of financial certainties, the establishment, by taking account of risk-weighted items, can be included in the financial certainties specified in point. 45-48.

59) In addition to the security devices described in the furtive. 45-48, the following financial securities may be taken into account when taking account of the risk-weighted items :

a) Stocks or debt instruments that can be converted into shares and not included in a main index, but trading in a regulated market or an equivalent foreign market for securities.

b) Parts of collective investment schemes which satisfy the requirements of the unit. Forty-eight, but which can also be invested in the instruments referred to in point (a) of this point.

c) If a collective investment scheme is not limited to investing in the instruments that are covered by the scheme, In this case, 45, 46 and point (a of this pkta, can be counted as collateral with the value of the instruments covered by collective investment. That is, 45, 46 and point (a) of this point, which they would be if the collective investment scheme had been invested in instruments that are not covered by the scheme. The amount of 45, 46 and a point (a) of this pkta, as possible, of the maximum authorised nature of the mandate given. In cases where instruments which are not covered by the furtive act shall be provided. 45, 46 and points (a) of this Pkta may have a negative value because of obligations or eventuality obligations as a result of ownership, shares of collective investment may be counted as collateral with the total value of instruments ; covered by the furtive. Forty-five, 46 and a point in this point. deducted the total value of instruments not covered by the furtive. Forty-five, 46 and a point in this pkton, if this one is negative.

60) Purchasing operations and borrowing and lending transactions in transferable securities outside the trading book may be included in accordance with the method of financial certainties when such arrangements include certainties which can be counted as provided for ; for the provisions of the Act. 58 and 59.

61) Purchasing transactions and borrowing and lending transactions in transferable securities may be included in the manner in which such arrangements include the security in the form of assets that can be included in the trade inventory.

Minimum requirements for the calculation of financial certainties (the method used)

62) The requirements in the furs. The same applies to the application of the method of financial certainties used by the same method. Point 26 and 27 relating to guarantees that cannot be taken into account in the case of maturity mismatch shall be equivalent to financial certainties when using the method of financial certainties used. The expiry date of exposure and safety shall be discharged in accordance with the same principles as for warranties in point. 22-24.

Account for the coverage of the financial security (s) (the method of the method)

63) In order to take account of price volatility, the establishment of the financial security units under the built method of financial securities shall make volatility adjustments of the market value of the security in volatility in the field of price volatility ; conformance with fury. 73-96.

64) If the security is specified in a currency other than the underlying exposure, an additional adjustment shall be made to the security that reflects the volatility of the currency exchange rate in addition to the adjustment of price volatility in accordance with the furlsh. 63.

65) The company can either use the volatility adjustments that are set out in the tables in pkt.76 or use their own estimates of volatility adjustments under the provisions of the provisions of the provisions of the provisions of this Directive. 81-85. The final option is to require the requirements of a furtive. 86-96 is fulfilled.

66. If the company uses its own estimates for volatility adjustments, it must do so for all the instruments. However, any instruments that are contained in the insignificant portfolios alone may be exemplilitiable. In the case of such instruments, the volatility adjustments that are contained in Tables 1-4, cf. Act. 76, used.

67) The volatility adjusted size of safety is set up as specified below :

68) If the duration of the financial security period is shorter than the duration of exposure, or if there is an agreement that the security has been withdrawn before the exposure expires, the size of credit cocoa deck shall be adjusted accordingly, the following formula :

69 The volatility adjusted size of exposure shall be carried out as follows :

70) The fully adjusted size of exposure, taking into account both the level of exposure and the price volatility of exposure and security, as for the risk-reducing effects of safety, E*, are done as follows :

' 71) When the overall security is made of several financial certainties, the volatility adjustments shall be made, H C that is part of the formula in the furtive. 67, shall be done as follows :

72) In the case of repurchasing operations and borrowing and lending transactions, the company may instead use the volatility adjustments made in accordance with the meaning of the product. 74-80 and furtive. 81-96, the use of a volatility adjustment of 0 pct; if the following conditions are met. This option does not apply if the company uses the method of internal models, cf. Annex 10, point. 14-23.

a) Both the exposure of cash deposits of cash deposits or debt instruments issued by central governments or central banks in the furtive. The importance of 45 (a) and qualifying for a risk weighting of 0% shall be 45. by default for the credit risk method.

b) Exposure and security are in the same currency.

c) Either the duration of the transaction is not more than a day, or both exposure and security are the subject of daily valuation of value added to market value.

d) The security shall be carried out within four working days after the absence of any repayment has been recorded.

(e) The transaction is run by one for the type of transaction in question established and tested the deviation system.

(f) The documentation of the agreement shall be a standard market documentation for repurchasing transactions or borrowing transactions in transferable securities in respect of the securities concerned.

g) The transaction is covered by documentation stating that the transaction can be concluded with immediate effect if the counterparty fails to comply with an obligation to supply cash, securities or margins, or otherwise, No, I'm not.

(h) The other side is a key market player. Central market players include the following :

73) The company can set up the volatility adjustments by the table method, cf. Act. 74-80, or on the basis of its own estimates, cf. Act. 81-96. The company cannot at the same time apply the tabular method of some security and its own estimates for other certainties.

Volatility Adjustments by Table Method

74) The volatility adjustments to be used when you use the table method of volatility adjustments are shown in Table 1-4 of the Pkt Table. 76. The values in Table 1-4 include volatility adjustments for security and exposure value, as value employees on a daily basis. In the case of valuation less than on a daily basis, the values shall be set up as specified in the furng. 80.

75) In Table 1-4 and in point. Seventy-seven-79 shall be the credit quality of credit crung to be the credit quality of credit that corresponds to the external credit rating according to the standard method of credit risk. In this regard, the case is found. 47 shall also apply.

76) In Table 1-4 the transactions in categories are split based on the length of the deviation period. Lease transactions with no regular return payments are part of the tables such as transactions with 20 days of deviation period. Rebuying transactions and lending and lending transactions in transferable securities shall be included as transactions with five days of deviation period. All other lending transactions that contain agreement on ongoing margins payments are included as transactions with 10 days of deviation period.

77) For shares of collective investment schemes, the volatility of volatility shall be the weighted average of the volatility adjustments, taking into account the deviation period of the transaction under point. 76 would be in force for the assets that the scheme has invested in. If the company is not aware of the assets that have been invested in, the volatility adjustment is the highest volatility adjustment that would apply to any active investment in which the scheme can invest.

78) For safety that is not covered by the furtive. 58 and 59, cf. Act. 61, which has been borrowed or sold in the context of repurchasing operations or borrowing transactions and lending transactions in the securities and financial instruments covered by Annex 17 in the commercial stock, the volatility adjustment shall be added to it ; same as for shares listed on a regulated market or an equivalent foreign market for transferable securities but are not in a main index.

79) For non-ratting debt instruments issued by institutions, cf. Section 4 (4). 1 and which fulfil the criteria in the furtive. 46, the volatility adjustments are the same as for debt instruments issued by institutions, cf. Section 4 (4). 1 or an operator with an external credit rating equivalent to the credit quality step 2 or 3 for exposure to business operators and central governments and central banks according to the GL-synet website.

80) If a company value values its security and exposure is less than on a daily basis, greater volatility adjustments must be used than specified in the furtive. 74-79. These shall be collected by scaling up the volatility adjustments used in the daily value of securities and exposure, using the following formula :

Use of their own estimates of volatility adjustments

81) When debt instruments have a credit rating from an approved credit rating agency corresponding to 'investment grade', the company can calculate a volatility estimate for each category of debt instruments.

82) In determining the relevant categories, the undertaking shall take account of the issuers of debt instruments, the external credit rating of the debt instruments, the remaining duration of the remaining term and their modified duration. The Volatility estimates must be representative of the debt instruments that the undertaking has included within the relevant category.

83) For debt instruments having a credit rating from an approved credit rating agency corresponding to under "investment grade", as well as for other certainties that may be included in the inventory of the risk-weighted items, cf. Act. 45-48 and furtive. 58-61, where appropriate, volatility adjustments must be made up for each of the values of securities.

84 The company must calculate H FX for currency mismatch for each currency pair.

85) The company shall be required to estimate the volatility or currency of security, without taking account of any correlations between the insured exposure, security and / or exchange rates.

86) For the calculation of volatility adjustments, the company must use a one-sided 99% basis.-condensinterval.

87) The historical observation period for the calculation of volatility adjustments must be at least one year. For undertakings which use a weighting method or other methods at the historical observation period, the effective observation period shall be at least one year, i.e. the weighted average time interval for each observation period shall not be less than six months.

88) The financial supervision may require a company to calculate its volatility adjustments on the basis of a shorter observation period than specified in point. ' 86, if the Financial supervision in the event of a significant increase in price volatility, it assesses that this will result in a more accurate estimate.

89) As a starting point, the company may use the same deviation periods as determined for the respective transaction types in point. 76.

90) The company can use numbers for the volatility adjustments that are made under shorter or longer periods of deviation, scaled up or down to the deviation period that is specified in the fury. 76 for the type of transaction in question, using the following formula :

91) The company must take account of the fact that assets of lower quality may be illiquid. The waste recovery period must be regulated in an upward direction, when there is doubt on the liquidity of the security. The company must also identify cases where historical data can lead to an appraisal of the potential volatility, for example, a currency that is associated with another currency (mainline registras). Such cases must be handled with the help of stress scenarios.

92) The company's own estimates of volatility adjustments must be based on the basis of daily valuation. If a company value values its security and exposure is less than on a daily basis, a scalding factor must be used as specified in point. 80.

93) The establishment must update its data sets at least once every three months, and it must also carry out a reassessment when significant changes occur in market prices. This means that volatility adjustments must be made at least every three months.

94) The Volatility estimates must be used in the company ' s daily risk management, including in relation to its internal exposure limits.

95) Business must have business procedures for monitoring compliance, a document set of guidelines and controls that are used when estimation of volatility adjustments, as well as the integration of such estimates in the company risk management process.

96) An independent review of the establishment ' s system for the estimation of volatility adjustments in connection with the company ' s own internal audit process shall be periodically carried out. A review of the overall system of estimation of volatility adjustments and for the integration of these adjustments into the undertaking ' s risk management process must be carried out at least once a year, and this shall include at least :

a) The integration of the estimated volatility adjustments to the daily risk management.

b) Validation of all major changes in the process estimation of volatility adjustments.

c) Verification of the consistency, timely and credibility of data sources used within the system for the estimation of volatility adjustments, including the independence of such data sources.

d) The accuracy and the relevance of the volatility of the volatility.

Recreation of risk-weighted posts for exposure covered by financial security (the method)

(97) For the exposure of financial securities, the uncovered portion of the exposure (E*), as defined in point of light, must be : 70 shall be used as the level of exposure in connection with the assessment of the risk-weighted items in Appendix 3. In the case of unbalanced items listed in Annex 4, E* must be used as the value of the value in section 10 (4). 5, the percentages indicated shall be applied to reach the level of exposure in connection with the assessment of the risk-weighted items in Appendix 3.

Other credit risk decoRecovery

Third party cash deposits

98) Security in the form of cash deposits of or cash-like instruments held by a third-party institution without a declaration of deposting and which is pawled for the lent company, when the condition is in point. 100 are met, as a guarantee made by the third party institution.

99) A third-party institution shall mean an institution, cf. Section 4 (4). 1 that is different from the company.

100) In order to be covered by the method according to the case, 98 must satisfy the credit sicoping with the following conditions :

a) The creditation of the borrowers on the third party institution has been pawned for or transferred to the lending establishment, and this pawning or transfer is legally valid and can be enforced in all relevant legal areas.

b) The third party institution has been informed of the panels or the transfer.

c) As a result of this notification, the third-party institution may only make payments to the lent company or to other parties with the consent of the loan-giving firm.

d) The panty or the transfer is unconditional and irrevocable.

Non-ratting debt instruments withdrawn on request

101) Debt instruments issued by a third party institute, cf. Act. 99, which do not have a credit rating drawn up by an approved credit rating agency, which do not meet the criteria in the case of the credit rating agency. 46, may be included as a guarantee made by the issuing institute, if the issuing institution is obliged to withdraw the debt instrument at the request of the issuing institution.

102) The coverage of the credit risk covering under cover of the credit risk. 101 shall be made as follows :

a) When the debt instrument will be repurchased for denunciation value, the cover shall be made up to this amount.

b) When the debt instrument will be rebought into the market price, the cover of the debt instrument value is calculated in the same way as the debt instruments which are expressed in point. 46.

Life insurance policies

103) Life insurance policies pawled for the lent company may when the conditions are in the furtive. 105 has been fulfilled shall be taken into account as a guarantee made by the company providing the life insurance.

104) The coverage of the credit risk covering under cover of the credit risk. 103 shall be made up to the withdrawal value of the life assurance policy.

105) The following conditions must be met to ensure that life insurance policies pawn to the lent company may be subject to the method in the furtive. 103 :

a) The company providing the life insurance may be recognised as the issuer of guarantees and credit derivatives in accordance with the meaning of the Act. 2.

b) Life insurance policy is pawned for or transferred to the loan-giving company.

c) The company providing the life assurance has been informed of the pantstatement or transfer and must not, as a result, pay due amounts due in accordance with the contract, without the consent of the loan-giving firm.

d) The insurance has a disrepuryable return value that cannot be reduced.

(e) The lending company shall have the right to waive the policy and receive the return from the borrower in the case of non-compliance by the borrower.

(f) The loan-giving company shall be informed of the possible non-deposits of the policeholder in accordance with the policy.

g) The credit sicoping coverage is in effect throughout the entire period of the loan. If this is not possible because the insurance relationship ceases to expire prior to exposure, the company must ensure that from the contract of the contract, the amount of insurance money serves as a safety for the company until the end of the credit agreement.

(h) The panty or transfer is legally valid and can be enforced in all relevant legal areas at the time of signing of the credit agreement.

NettingAgreements for balancing claims

106) Cash deposits in the company subject to a network agreement with a counterpart can be taken into account as a cash guarantee for the company ' s lending to the counterpart in accordance with the provisions of the provisions of the provisions of this Directive. 50 and 52-57 or, where appropriate, point. 63-96 when the following conditions are met :

a) The agreement must be legally valid and could be enforced in all relevant legal areas, including in the event of the insolvency or bankruptcy of the counterpart.

b) The company must at all times be able to identify the assets and liabilities that are covered by the net agreement.

c) The company must monitor and control the risks associated with the possibility of netting expendable.

d) The company shall monitor and control the relevant exponings on the net asis.

Application of multiple types of credit risk-coating

107) Benytes the company multiple types of credit exposure to a single exposure, the company must share the exposure of the parts covered by the respective types of credit risk cover (e.g., a part covered by financial security ; and a part covered by a guarantee). The risk-weighted items must be dissolved separately for each part.

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Appendix 8

The internal steering rate method of credit risk (IRB method)

Scope of application

1) This Annex contains provisions for the release of risk-weighted items for credit risk using the internal steering rate method (furtive. 3-112), cf. Section 19 (1). 1, the minimum requirements for the use of the internal rate-based method (furtive. 113-242), cf. section 20, as well as specification of the anticipated losses and the difference between the anticipated losses and the valuation adjustments and provisions (furtive. 243-256), cf. § 28.

2) Annex 21 shall provide a description of the requirements for applications for the use of the IRB method.

Recrution of risk-weighted items

Grouping of Exposure

3) Each exposure must be positioned in one of the following categories of exposure :

a) Status Sponings

b) Institutions sponsorship

c) Vocational sponges

d) Detailec Sponings

(e) Asset Exposure

(f) Securitisation Positions

g) Assets with no counterparty

4) Exposure means an active or non-balance-sheet entry.

5) The company must use a consistent approach to the intake of exposure in the respective exposure categories.

Status Sponings

6) State sponsorings shall mean :

a) Sponings on central governments and central banks.

b) Exposure to regional authorities, local authorities or public entities treated as exposure to central governments and central banks according to the standard method of credit risk.

c) Exposure to multilateral development banks and international organisations weighing a risk weight of 0%. by default for the credit risk method.

Institutions sponsorship

7) Institution exposure means :

a) Exposure to credit institutions, brokers ' companies, investment management companies and similar foreign companies.

b) Exposure to regional and local authorities, which are not treated as exposure to central governments and central banks according to the standard method of credit risk.

c) Exposure to public entities, which are treated as institutions of the institution following the standard method of credit czinc.

d) Exposure to multilateral development banks, which do not attach a risk weight to 0%. by default for the credit risk method.

(e) Exposure to regulated markets or equivalent foreign markets for securities.

Vocational sponges

8) Professional exposure means exponations that cannot be placed in any of the other categories of exposure.

9) In the business of business sponges, the company in his portfolio must identify the explicates that specialise in the specialised loan.

10) For the purposes of specialized borrowers, commercial sponges with the following characteristics :

a) The exposure is against a unit that has been specifically set up to finance and / or manage physical assets.

b) The contractual terms of the lender shall give a significant degree of control over the assets and the yield from the operation of the assets.

c) The main source of repayment of the loan is derived from the operation of the financed assets rather than one of the assets independent remittance from business activity with a broader scope than the operation of the assets financed.

Detailec Sponings

11) In the case of miscarrilations, exposure to private customers and small business operators means the exposure of exposure to a portfolio consisting of a large number of exposure handled in a uniformly manner.

12) In the case of exposure to small business enterprises placed under table conditions, the total amount to be collected by the other party or a group of interconnected parties in the company and the company ' s parent company and their company ; subsidiaries shall not exceed an amount of the equivalent of 1 million. Euro. The company must have taken a reasonable step to ensure that this is the case. In the overall amount, the towed amount shall be part of the amount of the counterpart, not the amount of the loan where there is certainty in residential buildings. The proportion of loans where there is no security in residential buildings shall be taken into account in the total amount.

13) In the company ' s credit control category, smaller business enterprises are to be handled separately from business operators, which are placed in the business exposure category.

14) The company must have business practices for cases where the exposure limit of 1 million is the limit of the value of 1 million. The euro is being exceeded. In this situation, the company must draw a distinction between temporary and permanent transcends of the limit :

a) Temporary overrun : temporary overruns are understood situations where the limit is only temporarily exceeded due to short-term variations in the exposure and where the overrun is not significant. Essential references in this regard to the number and size of individual overruns compared to the limit of EUR 1 million. Euro. The company must have clearly defined internal rules that determine the circumstances under which a small business enterprise can remain in the details of the sponging category, in spite of the fact that exposure has exceeded the limit of EUR 1 million. Euro. This limit must be monitored by the company. In temporary overrun, the exposure may remain in the steering control systems for table sponges and continues to be handled separately from occupational exposure in the credit risk management system. In order to balance the risk-weighted items, the risk-weight formula for commercial sponges shall be used.

b) Permanent overruns : for permanent transciles, exposure must be moved to the commercial exposure category and be handled as a business exposure in the company ' s credit risk management. If ratings systems are used for the table-sponsoring category, meet the requirements for rating systems in the business class, it is not necessary to make changes to steering systems. If this is not the case, the rating systems for the commercial nature of the commercial category shall be used. In order to balance the risk-weighted items, the risk-weight formula for commercial sponges shall be used.

15) Detailec sponges shall be divided into the following three subcategories :

a) Detailes with security in immovable property

b) Support-guntable details sponges

c) Other table sponges

16) In the case of non-government sponges of immovable property, table-room sponings for which a security has been lodged and the property is taken into account as collateral for losses granted (LGD) or the expected loss (EL), where this is relevant.

17) For qualified gunslings, table-dressing sponges that meet the following requirements :

a) Exposure are against private customers.

b) Exposure are revolvers and insured, and they can immediately be terminated by the company with no conditions, as far as the untapped part of the facility is concerned. Exposure to variations is defined in this connection as exposure to private customers, depending on how much these private customers choose to borrow or pay back up to the limit laid down by the company. The unused part of the facility is assumed without conditions, if the terms allow you to terminate the facility to the extent permitted under consumer protection legislation and related legislation. The company may derogate from the requirement that exposure should be unsafe when it comes to the revolving credit facilities associated with a payroll account. In this case, amounts of security or other guarantee, etc., shall not be included in the LGD or the EL estimate, where appropriate.

c) Exposure to each private customer in the subcategory shall not amount to a maximum amount of EUR 100 000.

d) Within the individual PD intervals, the company is able to demonstrate that the loss rates show low volatility in comparison to the average volatility level of the loss rates for other exposure.

(e) The company can demonstrate that the basic risk characterization for the portfolio of exposure treated as skilled gunslings, corresponds to the risk characterisation of such exposure, including loss of life expectation ; are likely to be covered by the continuous profit on the features of the portfolio.

18) In other details of the sponges, the exposure that is not placed in the categories of table sponges with security in real estate and highly qualified gunslings, which are not placed in the categories of detail, shall be taken into place. Amounts obtained from any immovable property may not be included in the LGD or where this is relevant, the EL estimate of exposure to this subcategory.

(19) Acquisitive business claims may be placed in the table of the table for other table-sponges, if the establishment meets the minimum requirements of furtive. In the case of 228-233, and where it would be unreasonably cumbersome to the establishment, the requirements for commercial spondensitions and the following requirements are also met :

a) The business has acquired the claims of independent third party elders, and no exposure directly or indirectly from the undertaking is included in the claims.

b) The receivable claims have been established between the seller and the debtor ' s debtor according to the principle of mutually independent parties. Concerns and claims, where there is an offset between entities that both buy and sell to each other, do not meet the requirements.

c) The company has a claim on the entire return from the receivable receipts or on a proportionate share of the return.

d) The portfolio of receivable claims is well-diversified.

Asset Exposure

20) Asset Exposure shall be understood as follows :

a) Non-debt-based exposures which constitute a post-residual residual claim to the asset ' s assets or income.

b) Applicable exposure, which in relation to economic content corresponds to the exposures referred to in point (a).

Securitisation Positions

21) For securitisation positions, exposed exposure to securitisations, cf. Section 4 (4). 10 and Annex 11, point. (3) (a)

(22) For acquired entitlements, purchasing discounts, security and guarantees that give the "loss loss" protection to losses resulting from defaults and exodus or both shall be treated as ' the security loss ' positions in securitisation transactions.

23) The risk-weighted items for securitisation positions shall be discharged in accordance with the provisions of Annex 11, point. 51-89, cf. -$30.

Assets with no counterparty

24) In the case of non-counterparts, assets that do not mean the performance of a counterpart shall be the assets of non-parties. This includes among other material assets and the residue value of leased assets.

Risk Parameters

25) In the pool. 26-67 the risk parameters are defined to be used to calculate the risk-weighted items, respectively the probability of default (PD), the conversion factor (CF), and the loss of default (LGD) and the maturity of the duration (M).

Probability of default (PD)

26) In the probability of default (PD), the probability of a counterpart decomposing an exposure within a year.

27) The company must estimate the PD for acquisition, institution, detail and state sponges, as well as for share exposure under the PD/LGD method, cf. Act. 97-100.

28) The pd for defaulted exposure must be 100%.

Definition of the counterpart

29) Each natural or legal person exposed to the company is considered to be a counterpart to the company.

(30) The result of the rating of a counterparty which is part of a group of interconnected counterparties, to a significant degree from the membership of the group, considers that the breach of one party means that all the parties to the group will be defaulting, must : the undertaking shall consider the group of interconnected counterparts as one counterpart.

Definition of default

31) It shall be regarded as non-compliance if at least one of the following conditions is met :

a) The company considers it unlikely that the counterparty fully rejoes all its debt obligations to the company, its parent company or their subsidiaries, without taking action to implement measures, so as to implement : any certainties, guarantees or similar conditions.

b) In addition to a substantial amount, in more than 90 days, the other person has been in assistance with a substantial amount. Act. Thirty-four, to the company, company parent company, or their subsidiaries.

32) When a credit limit has been exceeded, the counterpart shall be considered to be in assistance when a credit limit has been exceeded or received a credit limit lower than the current debit, or has withdrawn an amount without authorisation.

33) In the case of credit cards, the counterparty is considered to be in assistance when the due date of a minimum agreed minimum payment is exceeded.

34) An amount in the restance may be considered significant if it exceeds the following limits :

a) DKK 1,000. for table-dressing sponges,

b) $10,000. for all other exposures.

35) As far as table sponges are concerned, the company may use the definition of non-compliance at facilities level.

36) The following factors may indicate that it is unlikely that the other party will be able to collect the debt obligation, cf. Act. 31 (a) :

a) The company ceased to reproduce accrued interest on the debt obligation.

b) The undertaking shall make a depreciation of the debt obligation on the basis of a significant deterioration of the quality of credit which has taken place after exposure of the undertaking.

c) The company sells the debt obligation with a significant credit-related financial loss.

d) The company acquires a reorganization of the humanitarian debt obligation, and this is expected to lead to a reduction in the debt obligation resulting from a substantial cancellation of the debt or deferment of payments, interest or charges. For the use of the PD/LGD method, cf. Act. 97-100, comprises this stock exposure to emergency companies in which the company participates in a reorganization of the equity capital of the emergency company.

(e) The company has filed a bankruptcy request against the other party or requested a similar measure against the counterpart's debt obligation to the company, company parent company or their subsidiaries.

(f) The party has filed for bankruptcy, or has been declared insolvency or has obtained similar protection, which means that the counterparty may withhold or delay debt obligation to the company, the company's parent company, or their subsidiaries.

37) Apprees the enterprise external data not in accordance with the definition of default, it must be able to document the Financial supervision document that appropriate adjustments have been made in order to achieve a general consistency with the definition of : non-compliance.

38) If the company considers that a counterpart no longer meets any of the criteria in the definition of default, the establishment must make a new rating. If, at a later date, the company assesses that the definition of default is met, it is considered to be a new default.

P for business, institute and state sponges

39) The company must use its own estimates for the plight of the transferee, institute and state sponges in accordance with the methods specified in the furtive. 177-183 and fury. 188-189.

40) Whatever it is. 39, the P for business and institution exposure must at least be 0,03%.

41) For business claims, where the company cannot prove that its estimates for the pd meet the minimum requirements in the case of the pd. 166-222, but where the minimum requirements for business receipts acquired in furtive. 228-233 is fulfilled, the following methods are used :

a) In the case of non-trailing business claims, the pd as the company ' s estimate of the EL divided by LGD shall be established as the company ' s estimate for the debts concerned.

b) For the transfered business entitlements, the pd shall be set to the company ' s estimate for EL.

c) If the company is allowed to use its own estimates for the LGD for business sponges and if it can split its estimates for the EL for acquiring business entitlements in the PDs and LGD respectively, the estimates may be estimated for the pd. used.

42) With regard to the risk of exodus of business claims, the pd of the pd must be set at the estimation of the emigration risk (EL). Do you have permission to use its own estimates for the LGD for occupational exposure and if it can split its estimates for the emigration risk (s) in the case of occupational claims in the pd and the LGD respectively, may be reassuring, may be the estimate for the pd is used.

43) In the case of exodus of acquired entitlements, the proportion of the debt reduced as a result of errors or deficiencies relating to the supplied product, or the supplied benefit or resulting from a counter-claim from the buyer to sell which can be done applicable in relation to the claim.

PD Sponings PD

44) The company must use its own estimates for the pd for details of the details in accordance with the methods specified in the act. 184-187 and fury. 190-191.

45) Whatever it is. 44 must be at least 0,03% of the table for details.

46) The amount of the risk of obtaining claims shall be set at the risk of the pd for the emigration risk (EI). If the company can share the company's estimate of the emigration risk EL for acquiring claims in the PDs and LGD respectively, the estimate for the pd can be used.

PD Exposure PD during the PD/LGD method

47) The company must use its own estimates for the pd for stock exposure under the PD/LGD method in accordance with the method in the case. 97-100.

48) Whatever it is. 47, the pd of share exposure during the PD/LGD method must be at least :

a) 0.09%. in the case of exposure to shares recorded on a regulated market or an equivalent foreign market for transferable securities, and where the investment is part of a long-term customer relationship.

b) 0.09%. in the case of exposure to unlisted shares, where the investment yield is based on periodic and periodic cash flows, which are not attributable to exchange gains.

c) 0.40%. for other exposures in shares recorded on a regulated market or an equivalent foreign market for securities other than those referred to in (a), including other short positions in stock-listed stock, cf. Act. 95.

d) 1.25%. for all other stock exposure, including other short positions, cf. Act. 95.

Conversion factor (CF)

49) For the conversion factor (CF), the percentage of the current non-towed amount is considered to be an obligation that is expected to be deducted by default. The commitment shall be made up with the amount allocated unless the allocated but unallocated amount of existing facilities is higher. CF is part of the calculation of the size of the exponment, cf. § 27, paragraph. 8, which is part of the risk-weight formulas in the furtive. 68-112.

Loss Loss Default Default

50) In the case of economic losses, the overall loss of exposure includes the effects of all essential factors which may affect the current value of the payment flows and include essential direct and indirect recovery costs.

51) In the current calculation of the payment flows, consideration must be given to the uncertainty of recovery, such as the uncertainties associated with the realisation of security and guarantees. In the present value calculation, such risks must be reflected in the value of security and guarantees, in the dilation factor or in the revenue and expenditure schedule.

52) The loss of the default (LGD) shall mean the financial loss on exposure relative to the size of exposure by use of conversion factors, cf. Act. 49 :

LGD for business, institute and state sponges

53) If the company does not have permission to use its own estimates for the LGD for professional, institute or state sponsorship, it shall use the following LGD values for these exponings :

a) In the case of unrecognized exposure, a LGD of 45% was used without a recognised security.

b) In the case of exposed exposure, without a recognised security, a LGD is used for 75%.

c) The company can rely on the effect of credit risk cocovering for LGD in accordance with Appendix 9.

d) For covered bonds, as defined in appendix 3, point. 27, use a LGD of 12,5 pct., cf. however, section 70 (3). 6.

(e) In the case of non-transferable occupational claims, where the company cannot prove that the estimates for the pd meet the minimum requirements in the case of the pd. 166-222, but where the minimum requirements for the acquired feed are in furtive. 228-233 has been met, a LGD is used for 45%.

(f) For transferable business claims, where the company cannot prove that the estimates for the pd meet the minimum requirements in the case of the pd. 166-222, but where the minimum requirements for the acquired feed are in furtive. 228-233 has been met, a LGD is applied to 100%.

g) A LGD of 75% shall be used for the irrigation of the business claims.

54) If the company is allowed to use its own estimates for the LGD for business sponges and if it can split estimates for the EL for business receipts in the PDs and LGD respectively, the company can use its own estimates of the LGD for business claims in respect of water risk and risk of risk of risk.

55) If the company has permission to use its own estimates for the LGD for professional, institute and state sponsorship, it may include the effect of guarantees and credit derivatives by adjusting PD and / or LGD, provided that the minimum requirements are in place. 213-222 is fulfilled. However, the company cannot use a custom PD or LGD so that the custom hazard weight would be lower than that equivalent to a comparable direct exposure to the protection giver.

56) Using the formula of the double default effect, cf. Act. 80, a LGD for a comparable direct exposure to the Protector shall be either a LGD corresponding to an exposure to the protection giver or an exposure to counterpart, depending on the amount of the amount recovered in the case ; in the case of both the other and the protector in the period of the guarantee, the financial situation of the holder or the other person is dependent on the financial situation.

LGD for table sponges

57) The company must use its own estimates for the minimum requirements in respect of the minimum requirements of the LGD. 166-176 and furtive. 192-205, cf. however, section 70 (3). 7. For the migration risk of acquired claims, a LGD is to be used for 75%. If the company can split estimates for the emigration risk EL for acquiring claims in PD and LGD in reassuring, the company may use its own estimates for the LGD for acquired entitlements.

58) The effect of guarantees and credit derivatives which cover a single exposure or pool of exposure can be taken into account by either adjusting PD PD and / or LGD, provided that the minimum requirements in point are not adjusted. 213-222 is fulfilled. However, the company cannot use a custom PD or LGD so that the custom hazard weight would be lower than that equivalent to a comparable direct exposure to the protection giver.

59) Whatever it is. 58 shall have a LGD for a comparable direct exposure to the protection giver by using the formula of the double default effect, cf. Act. 80, be a LGD corresponding to an exposure to the protective giver or an exposure to the counterparty, depending on whether the amount collected in the event of non-compliance with both the counterparty and the protector of the guarantee maturity depends on the financial situation of the Protector or the other person.

LGD for Asset Exposure during the PD/LGD method

60) For all the stock exposure, a LGD is used for 90%.

Term (M)

61) The Term (M) is included in the estimations of the risk-weighted items for business, institute and state sponges and for share exposure under the PD/LGD method.

Designed values of M

62) For business, institute and state sponings, where the company does not have permission to use its own estimates for LGD and CF, the following maturity (M) is used :

a) 0,5 years for exposure to re-purchase transactions and in addition to loans or deposits of securities or commodities.

b) Two and a half years for all other exposures.

63) For all share exposure during the PD/LGD method, a maturity (M) will be used in five years.

Egne Calculations of M

64) If the undertaking is authorized to use its own estimates for the LGD and CF for transferee, institute and state sponsorship, it shall calculate the effective maturity of each exposure within these categories as specified in subparagraph (a-g below, cf. Oh, my. 65. In all cases, the duration must not exceed 5 years.

a) The time (M) of instruments in which the future payment flows are known shall be calculated according to the following formula :

65) Regardless of the formula in the fury. 64 (a) and the provisions of the provisions of point (s) ; 64 (a) (b) and (e) shall be the shortest permissible maturity of at least one day for the following :

a) Full or almost fully secured derivative financial instruments set out in Annex 17.

b) Full or almost fully secured marker transactions and repurchase agreements and transactions relating to the securities or deposits in securities or commodities.

c) It is assumed that the documentation contains requirements for daily refinancing of margins and valuation, as well as provisions making it possible to initiate immediate liquidation or the set-off of collateral in the event of non-compliance or non-financing refinancing of Margene lending.

66. The shortest allowable maturity (M) is at least one day for other short-term exposure as :

a) Short-term credits and deposits.

b) Payment mediation receipts and pre-paid costs.

67) Point 66 presupposes that the aforementioned exposure is not part of the company's ongoing financing of the counterpart. The specific circumstances must be examined in more detail in each case and be able to be documented in the face of the Financial supervision.

Risk weights and formulas

68) The risk-weighted lines relating to credit risk to exposure of exposure to state sponges, institution exposure, occupational exposure, table exposure, asset exposure and assets without any counterparty, must : be made in accordance with the furtive. 69-112. This is true, unless the exponations are subtracted from the base capitale.

69 The risk-weighted outlines for exposures which are securitised and for securitizations exposure shall be made in accordance with Annex 11.

70) The risk-weighted outlet risks for transferable claims shall be made in accordance with point of order. 106 and 107. If a company is fully relied upon in respect of the seller's seller in the event of loss to the acquired entitlements as a result of non-compliance or watering down, the company may waive the special provisions relating to the acquisition of debts in fury. 106 and 107, and in the calculation of the expected losses under point. 255. Exposure may, in such cases, be treated as an exposure to the seller with security in the claims.

' 71) The assessment of the risk-weighted lines relating to credit risk and exodus shall be based on the relevant risk parameters, cf. Act. 25-67 associated with the exposure in question, cf. Oh, my. 82.

72) In the formulae below, N (The case) provides the cumulative standard allocation function for a standardized standard-based standard-based variable, i.e. the likelihood that a standard-based non-asthmatic variable with the average value of 0 and variance 1 is less than or equal to (the). The N-1 (I) account for the inverse of this function.

Risk weights for the acquisition, institute and state sponges

73) The risk-weighted items for the acquisition, institute and state exposure shall be multiplied by the risk weight (RW) multiplied by the size of the exponentilation. The risk weight (RW) shall be discharged after the following formulae :

74) If the counterpart of the counterpart is zero, cf. Oh, my. 40, the risk weight (RW) must also be zero for exposure.

75) For commercial sponges where the total annual turnover of the part of the party is less than the equivalent of 50 million. the euro may choose to apply the following correlation formula for the assessment of the risk weight :

76) If the annual turnover is less than the value of 5 million. The euro, put the S in the formula in furtive. 75 to 5 million. Euro. For the acquisition claims, the total annual turnover shall be collected as the weighted average of the turnover of the individual counterparts of the pot in which they are weighted in accordance with the size of individual exposure.

77) The company must be in the formula in a furtive. 75 shall replace the total turnover with the total assets of the counterpart, if the total turnover is not a meaningful indicator of the size of the counterpart, and if the total assets are a more meaningful indicator other than the aggregate turnover.

Risk weights for already defaulted expulsions

78) The risk weight (RW) of already defaulted Experts (PD= 1) must be zero if the company is using the required values of LGD, cf. Act. 53.

79) If the undertaking is using its own values of the LGD, the risk weight (RW) must be so as to be so as to be discarded as follows :

The weight of the risk of recognition of the 'double default effect' for guarantees and credit derivatives

80) The risk weight of exponings complying with the requirements of Annex 9. 14-16, (RWDD) can be adjusted in accordance with the following formula :

81) The RW shall be calculated using the appropriate risk-weight formulas for exposure, the counterpart PD and the LGD of a comparable direct exposure to the Protector. The term factor (b) must be calculated using the minimum of the PD's PD or the pd of the counterpart of the counterpart.

Specialized borrowing (the table method)

82) If, in the case of specialized borrowing, it cannot prove that its estimates for the pd meet the minimum requirements set out in point. 166-222, the risk weights in the table must be used for the use of these exposure (table-method).

83) The SEC may, regardless of remaining maturity, allow the company to use a risk weight of 50%. for the exposure of categories 1 and a risk weight of 70%. for exposure to category 2, provided that the undertaking ' s credit policy and credit management tools stress the fact that the counterside is very solid in these categories.

84 Categories 1-4, cf. table in furtive. 82, contains exposures that are not defaulted and category 5, cf. table in furtive. 82, contains defaulted expulsions. The position of exposure in categories 1 to 4 shall take place at the risk of exposure to the exposure of categories 1 for the exposure of the lowest risk and category 4 for the exposures which have the highest ; Risk. The company must have prepared guidelines, systems and business corridors, so that the location of exposure in the respective categories is based on a consistent basis. Financial supervision must approve the company's guidelines.

85) The criteria for the location of exposure in categories 1 to 4 must take account of the following five factors :

a) Financial strength

b) Political and regulatory environment

c) Nature of transactions and / or assets

d) The strength of any concerned business operators

(e) Any revenue from partnerships and securities portfolios.

Risk weights for table sponges

86) The risk-weighted records shall be calculated as the risk weight (RW) multiplied by the size of the exposure.

87) A correlation (R) of 0,15 can be used for the details of the immovable moveings of a fixed property.

88) For qualified gunslating table sponges, a correlation (R) is used at 0,04.

89) The risk-weighted outlines for small business exposure may, where they meet the requirements of Annex 9, point. 14-16, conforming with the fury. 80 to 81 of this Annex.

90) The risk-weight (RW) of already defaulted Experts (PD= 1) shall be as follows :

Risk weights for stock exposure

91) The company may terminate the risk-weighted items related to the credit risk of asset exposure in accordance with three methods, respectively, the simple risk-weight method, the PD/LGD method and the Value-at-Risk method). The SEC must have the Financial supervision permission if it wishes to use the PD/LGD method or the VaR method. The company can use the VaR method only if the company meets the minimum requirements in the furtive. 234-242.

92) The company may use various methods to dissolve the risk-weighted items for various segments of the stock portfolio, provided that the company itself uses different methods internally. The company may choose which of the three methods is in the furtive. 91, it will apply. If a company uses different methods, it must be able to compensate for the Financial supervision that these methods have been chosen on a consistent basis and not be the result of a desire to reduce risk-weighted items.

93) Irrespective of the provisions of the act. 92, the company may lay down the risk-weighted items for stock exposure to ancillary service undertakings in accordance with the rules on the processing of assets without counterparts, cf. Act. 104-105.

The simple risk-weight method

94) In the light of the simple risk-weight method, the risk-weighted entries for stock exposure outside the trading book as a risk weight (RW) multiplied by the size of the exposure.

a) For exposures in shares recorded on a regulated market or an equivalent foreign market for transferable securities, the risk weight (RW) shall be set to 290%.

b) For all other stock exposure, the risk weight (RW) shall be fixed to 370%.

95) In the case of exposure to the size of exposure, short spots in shares and short positions in derivative non-trading instruments are offset by long positions in the same individual shares, provided that such instruments are expressly provided ; are intended for the risk-taking of specific stock exposure and that the risk coverage is valid for at least one year. Other short positions are treated as if there were long positions and the relevant risk weight is applied to the numerical value of the individual positions. If there is a missing match between the maturity maturity, the method is used in annex 7, point. 68, cf. Annex 9, point. 17 and 18.

96) In the estimation of the risk-weighted items, the establishment may include the effect of guarantees and credit derivatives obtained on an inventory exposure, in accordance with the methods set out in Annex 9.

PD/LGD method

(97) The PD/LGD method shall be used to set up the risk-weighted items according to the formulae for professional, institute and state sponges in furtive. 73-85. This inventory shall be based on the pd values that have been done in accordance with the definition of default, cf. Act. 31-38, see. Oh, my. 47. LGD is set to 90 pct., cf. Act. 60, and M is set to 5 years, cf. Act. 63.

98) If the establishment does not have enough information to be able to use the definition of default that is specified in a furtive. 31-38, weighing the risk weights by a factor of 1.5.

99) For each of the exposures, the sum of the value of the expected loss, multiplied by 12,5 and the risk-weighted exposure shall not exceed the size of the exposure, cf. Act. 49, multiplied by 12,5.

100) The company may include the effect of guarantees and credit derivatives attained by an asset exposure, in accordance with the methods laid down in Annex 9. In such cases, a LGD is to be used for 90%. on exposure to the crediting of credit coating. In the case of exposure to the amount of credit for the creditside coverage, the age (M) is to be used for five years.

The VaR Method

101) For the VaR method, risk-weighted items such as the potential losses to the company ' s share exposure, are done by using the internal Value-at-Risk models based on a one-sided 99% condensed interval showing the difference between quarterly returns. and a suitable risk-free interest calculated over a longer period of analysis, multiplied by 12.5.

102) The amount of the risk-weighted amount for each of the Exposure shall not be less than the sum of the risk-weighted amount of the amount collected according to the PD/LGD method and the expected loss of exposure multiplied by 12.5. This inventory shall be based on the pd value that is apparent from the point of the pd. 48 (a), and the corresponding LGD value calculated in accordance with the provisions of the provisions of this Directive. 60.

103) In the estimations of the risk-weighted items for stock exposure, the undertaking may include the efficacy of guarantees and credit derivatives.

Risk-weighted items for assets without counterparts

104) Assets without counterparts are included with a risk weight of 100%.

105) If exposure is a residual value in a lease exposure, the hazard weight shall be :

Risk and risk-risk items on transferable claims

106) The risk-weight risk weights for business claims and retailers shall be established in accordance with the weight of the risk weight for business, institute and state sponges in point. 73-79. The input parameters PD, LGD and CF parameters are determined as specified in the pct. 25-67. The term is set to 1 year.

107) If the company can reimbursement to the Financial supervision that the risk of migration is insignificant, the company may refrain from making the risk-weighted outlines risk-weighted.

Risk-weighted items for collective investment schemes

108) Investment units in collective investment schemes must be dealt with in accordance with one of the methods described in the furtive. 109-112. Other exposure outside the trading book against collective investment schemes, cf. Section 1 of the Law on investment associations and special associations as well as other collective investment schemes, etc., are classified and treated as business sponings.

109) When investment units in collective investment schemes meet the criteria laid down in Annex 3, point. 33, and the company knows all the underlying exposure of the collective investment scheme, the establishment must, in order to calculate the risk-weighted items and the expected loss in accordance with the methods laid down in this Annex, consider the underlying exposure, as if they were direct exposure to the company.

(110) When investment units in collective investment schemes meet the criteria laid down in Annex 3, point. 33, and the firm is aware of the underlying exposure of the collective investment scheme, but the company does not meet the conditions set out in this Annex to use the IRB method for the processing of the underlying exposure, calculate the risk-weighted items and the expected loss in accordance with the following methods :

a) For underlying stock exposure, the simple risk-weight method must be used, cf. Act. If the company, for this purpose, is not able to distinguish between exponable shares and other shares, the company must treat the affected exposure to other stock exposure.

b) For all other underlying exposure, the standard method of credit risk, with the following adjustment, shall be used :

111) When investment units in collective investment schemes do not meet the criteria set out in Appendix 3, point. If the underlying exposure of the collective investment scheme does not know the underlying exposure, the company does not know the underlying exposure, as though they were direct investments, and calculate the risk-weighted items and the expected loss in accordance with the simple risk-weight method for share exposure, cf. Act. If the company, for this purpose, is not able to distinguish between exponable shares and other shares, the company must treat the affected exposure to other stock exposure. Exposure to this purpose shall be placed in the case of exposure not of stock exposure in one of the categories provided for in the case. 94, and not known exposures, are placed in the category of other stock exposure.

112) As an alternative to the method in the plight. 111, by using a third party, calculate the average risk-weighted items based on the underlying exposure of the collective investment scheme, in accordance with the following method, provided that the undertaking carries out ; an appropriate check on the calculation :

a) For underlying stock exposure, the simple risk-weight method must be used, cf. Act. If the company, for this purpose, is not able to distinguish between exponable shares and other shares, the company must treat the affected exposure to other stock exposure.

b) For all other underlying exposure, the standard method of credit risk, with the following adjustment, shall be used :

Minimum requirements for use of the IRB method

113) Pkt. 114-242 explains the minimum requirements that a company must satisfy in order to obtain the Finance Authority's permission to use the IRB method. The minimum requirements must be met, both when the authorisation is granted and during the entire period of application of the IRB method.

114) The company ' s IRB method for calculating the risk-weighted items must satisfy the requirements of the system. 115 -242, whether or not the company itself has developed the steering system, or it has been purchased by a third party. It is the company's responsibility to document the financial supervision of the Financial Authority that the minimum requirements have been met.

115) The internal ratings and estimates for the non-compliance of loans and losses used in the calculation of the risk-weighted items and the associated systems and business procedures must play a central role in the risk management of the establishment ; decision-making, credit appropriations, internal capital allocation and management functions.

Governance and risk checking

Tasks of the Management Board and of the Executive Board

116) All essential elements of the rating and estimation processes shall be approved by the company ' s management board and management. The Management Board shall have a general understanding of the company rating systems and a detailed understanding of the management reports that are related to it.

117) The Executive Board shall inform the board of significant changes or derogations from the policy laid down, provided that these will have a significant impact on the functioning of the steering system.

118) The Executive Board shall have a good knowledge of the structure and operation of ratings systems. The Executive Board shall continuously check that the steering systems are functioning as intended. The Executive Board must be regularly briefed on the results of the rating process, in areas where improvements are needed and on the status of previously identified areas in which there was a need for improvement.

119) An internal rating-based analysis of your credit risk profile must be a key element in the management reports. The reports should at least contain risk profiles for each steering class, migration between steering classes, relevant risk parameters for each steering class and a comparison of the reality of the breach frequencies and the result of loss of non-compliance with estimates for PD, LGD and CF and results of stress tests. The frequency of reporting frequency must depend on the information that the reports contain, how important these are, and the organization's organizational location.

Credit trilateral control unit

120) The company must have established a credit control unit that must be independent of the staff and management functions that are responsible for granting or renewing exposure. The creditrisis control unit must report directly to the management. The credit control unit shall be responsible for the construction or selection, implementation and monitoring of the steering control systems and for steering systems to operate. In addition, the creditrisis control unit shall provide a regular basis and analyse reports on the output of the steering system output.

121) The responsibilities of the creditrisis control unit shall include :

a) Testing and monitoring rating classes and pools.

b) Preparation and analysis of synthesis reports on company rating systems.

c) Implement business times to verify that the definitions of steering classes and pools are consistently used in all departments and geographic areas.

d) Review and documentation of all changes in the steering process, including the reasons for these changes.

(e) Review of ratings criteria to assess whether they are still suitable for the prediction of risks. Changes to the steering rate, steering criteria and of individual rating parameters must be documented, and the documentation must be retained.

(f) Active participation in building or selection, implementation and validation of the models used in the steering rate process.

g) Control and monitoring of the models used in the steering wheel process.

(h) Ongoing reviews and changes to models used in the steering rate process.

122) Regardless of pkt.121, the company can, if it uses shared data with other companies, cf. Act. 173-174 outsource the following tasks to external suppliers :

a) The provision of information relevant to the test and monitoring of ratings classes and pools.

b) Preparation of synthesis reports on company rating systems.

c) The provision of information relevant for the review of ratings criteria to assess whether the criteria are still suitable for the prediction of risks.

d) Documentation of changes in the steering process, criteria, or individual rating parameters.

(e) The provision of information that is relevant for the ongoing review and modification of the models used in the steering rate process.

123) If the company outsours tasks in accordance with the item. 122, it shall ensure that the SEC has access to all relevant information from the external suppliers necessary to check whether the minimum requirements are met. The company must also ensure that the SEC is able to perform the same studies as it is at the company ' s premises.

Internal Audit

124) An internal audit or an equivalent independent audit entity shall review the company rating systems and their use, including the credit function ' s business operations in relation to the steering system and the estimation of the PD, LGD, EL and CF. The review shall include compliance with the company ' s compliance with all relevant minimum requirements.

Ratings

125) A steering system must include all methods, procedures, checks and data collection and IT systems related to the assessment of credit risk, the distribution of exposure to rating classes or powders (ratings) and quantifying of estimates for PD, LGD and CF, for each type of exposure estimate (estimation of risk parameters).

126) If a company employing multiple rating systems, the background to which steering system is used for the individual counterpart or exposure shall be documented and the steering system shall be capable of reflecting the risk.

127) Ratings and business practices must be periodically reviewed in order to assess whether they are still appropriate in relation to the current portfolio and external relationship.

Structure of the steering wheel

128) Quantification of the risk parameters may occur directly or in two steps. When the quantification takes place in two steps, the exponations are divided into the first step in a number of discretionary rating classes. In the second step, the risk parameters of each class are estimated for each class on the basis of the properties of the exposure that belongs to the rating class in question.

129) For the purposes of direct quantification of the risk parameters, quantification shall be carried out in a step by applying statistical models on the basis of the individual exposure characteristics.

130) If a company is directly estimated by the risk parameters, these may be regarded as ratings on a continuous rating scale.

131) The use of direct estimation does not precluse the operation of the undertaking with a discretionary steering system in parts of the credit management and reporting, cf. That's right. 181.

132) Regardless of whether the company is using direct estimation of the risk parameters, it shall demonstrate that the steering system meets all relevant minimum requirements in point. 113-242.

Vocational, institute and state sponings

133) A steering system must include a counterpart rating scale, which reflects only the non-compliance risk of the opposite. This rating scale shall consist of a minimum of 7 rating classes for non-non-compliance and at least 1 steering class for non-parties which are non-compliance.

134) A modPart-rating class is a risk category within the steering system's counterpart-rating scale to which the counterparts are placed on the basis of a number of specified rate-of-rate criteria, which the company's own PD estimates are derived from. The individual modpart-rating classes must be defined and documented both by a description of how the counterparty is placed in the counterpart-rating class and by a description of the criteria used to distinguish the risk-level of the counterpart-rating class from the risk level of the other counterpart-rating classes.

135) Companies with portfolios concentrated within a specific market segment and a range of PD must have a sufficient rate of rating classes within this range to avoid major concentration of counterparts within one single steering class. If there are significant concentrations in a particular counterpart-rating class, the undertaking must be able to demonstrate that the counterpart-rating class covers a relatively narrow pd tape and that the risk associated with all the parties in the the rating class lies within this tape.

136) If the company is using its own estimates by LGD on exposure to the professions, institutes and states, the steering system must include a special facility rating scale, consisting of facility-rating classes, which reflect only conditions that affect LGD value.

137) A Facility-Rating Class is a risk category within the steering system facility-rating scale in which exposure exposure is based on a number of specified rate-of-rate criteria, which the company's own LGD estimates are derived. Each feature-rating classes must be defined and documented both by a description of the way the exposure is placed in the facility rating class and by a description of the criteria used to distinguish the Facility-rating class risk level from the risk level of the other facility-rating classes.

138) If there are significant concentrations in a particular facility-rating class, the undertaking must be able to demonstrate that the facility-rating class covers a proportionate narrow LGD tape and that the risk associated with all Exposure to the steering class lies within this tape.

139) Exposure that meets the criteria for specialized loan (s) that are shown by furtive. 10 may be exempted from the requirements in furtive. 133 on a specific counterpart-rating scale and, where appropriate, from the requirements in point. 136 on a specific facility rating scale for the LGD. When this derogation is used, the exponations shall be divided into five categories according to the criteria that are stated in the case. 82-85 (the table method).

Detailec Sponings

140) For the table-sponsoring category, the company may use a steering system with separate counterpart-scaling scales and facility-scaling scales, on the same principle as for business, institute or state sponsorship, or alternatively a steering system based on a segmentation of the spouses in pools that both reflect the modpart-specific risks and features-specific risks, including the product and / or safety type. Irrespective of the system company uses, the provisions below must be fulfilled.

141) In order to differentiate the risk, it must be ensured that the number of exposure in a given rattion class or pool is sufficient to allow a meaningful modeling and validation of the loss characteristics of the steering wheel concerned ; Or pot. The position of exposure to ratings and the riders in the steering classes or pools must be carried out in such a way that large concentrations are avoided.

142) The company must be able to demonstrate that the way in which exposure is placed in ratting classes or powders gives a meaningful differentiation of the risk. The company must also be able to demonstrate that the way in which exposure is placed in ratting classes or pools ensures that exposure level of exposure level is placed together and provides an accurate and consistent estimation of the characteristics of the loss of ratings for each steering class or pool. In the case of retailers, the positioning in ratting classes or poolding must reflect the variability of the seller ' s credit policy and the diversity of the debtors.

143) The company must take account of the following risk factors where exposure classes are placed in ratting classes or pools :

a) Risk characterization by the other side.

b) The risk characterization of the facility, including the product and / or security type. The company must explicitly take into account the cases in which more exposure is covered by the same security.

c) Contraction of contract terms, unless the company can reimburse to the Financial supervision, that non-compliance is not a material risk factor for exposure.

Sharing Classes or Pools

144) The company must have specific definitions, business corridors and criteria for the placement of exposure classes or pooled pools.

a) Definitions and criteria for steering classes or pools must be so detailed that those assigning ratings are capable of consistent position of residing or exposure with the same risk in the same rating class or pool. This consistency must be the same across business areas, departments, and geographic areas.

b) The documentation of the steering rate process shall make it possible for third parties to understand how expands are placed in ratting classes or pools. It must also be possible to verify this division and assess whether the location in a steering column or pool is appropriate.

c) The criteria must be in line with the company ' s internal credit rules and the company ' s policy to manage emergency counterparts and exposures.

145) The company must take account of all relevant information when opposing parties and exposure are placed in ratting classes or pools. The information must be current and enable the company to anticipate the future development of exposure. The less information the company has, the more prudent the ratings are to be split into ratting classes or powders. A company that mainly uses external ratings to set the internal rating must ensure that it also takes account of other relevant information.

Vocational, institute and state sponings

146) Each counterpart shall be placed in a counterpart-rating class as a part of the credit appropriation process.

147) Organizations that are allowed to use their own estimates by the LGD and CF must also place each exposure in a facility-rating class as part of the credit appropriation process.

148) Each legal entity that is exposed to the undertaking must have a separate rating. The company must be able to reimbursement to the Financial Authority that it has defensive policies for dealing with individual counterparts and groups of interconnected customers.

149) Separate exposure levels to the same counterpart shall be placed in the same counterparty rating class regardless of the difference between the nature of each of the exposures. However, in the following cases, different exposure to the same counterpart may be assigned different ratings :

a) Where there is a risk that payments associated with exposure are prevented as a result of restrictions on land limits.

b) When the processing of warranties associated with exposure gives rise to exposure to a different counterpart-rating class.

c) In the case of consumer protection, confidentiality or other legislation, the exchange of customer information is preventing the exchange of information.

150) The position in steering classes and periodic review of the allocated ratings shall be carried out or approved by an independent entity that does not obtain any direct benefits from the credit decision.

151) The company must update the ratings assigned at least once a year. In the case of counterparties and exposure to problems or as a special risk-filled, the ratings awarded shall be reviewed more frequently. In addition, the company must re-assign ratings if new material information is provided on the other side of the counterpart or exposure.

152) The company must have effective methods to catch up and update relevant information about the characteristics of the other side that affects PD, and the characteristics of the exponations affecting the LGD and CF.

Detailec Sponings

153) Each exposure must be positioned in a steering class or pool as part of the credit-appropriation process.

154) The company shall, at least once a year, either update ratings for opposing parties and exposures or review the loss of information and the status of default for the individual pools. In addition, the undertaking shall review at least once a year the status of a representative selection of individual exposure within each pool to ensure that exposure continues to be classified correctly.

Overrides

155) In which case individual assessments may cause individual assessments to differ from the input or output derived from the steering process as well as indicating which employees are responsible for authorising such deviations. The individual deviations must be documented, and it must be stated in the documentation of who has been approved by them. The company must analyse the development of the exposure where the individual assessment has resulted in the exposure of exposure to a second steering class.

Use of models

156) A company that uses statistical models and other equivalent methods for assigning ratings to counterparties, exposure or powders shall comply with the following requirements :

a) The company must demonstrate to the Financial supervision that the model has a good prediction and that the capital requirement does not become misleading as a result of the model's use. The input variables must provide a reasonable and effective basis for the forecasts. The model must not have significant systemic errors.

b) The company must prepare business procedures for the control of the model's data input. The audit procedure must include an assessment of whether data is correct, complete and appropriate.

c) The company must be able to demonstrate that the data that is part of the model are representative of the actual population of the company or exposures.

d) The company must periodically validate the model, including monitor the stability and operation of the model, model characteristics, and compare the model's estimates with the actual outcome.

(e) The company must supplement the statistical model of qualitative assessments, review the model-based ratings and ensure that the model is used correctly. The guidelines for this review should be aimed at identifying and limiting errors caused by the weaknesses of the model. The qualitative assessments must take account of all relevant information that is not processed by the model. The company must document the combination of the qualitative assessments and model results.

Documentation of the steering system

157) The company must document the structure and operation of the steering system. The documentation must indicate that the minimum requirements of this Annex are met and include topics as criteria for the separation of portfolios and division into podium, rating criteria, responsible for the rating of sides and exposure, the frequency of which : reviewing the ratings assigned as well as the management board and review board of the steering control process.

158) The company must document the rationale and the analyses that are based on its choice of rating criteria. The company must document any significant changes in the steering process and be able to identify which changes have been made according to the latest Financial Survey. The company must also document the procedures for the allocation of ratings, including the steering process and the internal control structure.

159) The company must document the definitions of defaults and losses that are used internally and could prove that they are in agreement with the definition of default in point. 26 to 48 and the definition of financial loss, cf. Act. 50.

160) If the company uses statistical models in the steering process, it must document its method of choice. The documentation must include :

a) A general description of the theory, assumptions and / or mathematical and empirical background to award estimates to rating classes, individual counterparties, expulsions, or pools and data sources that have been used for estimating The model.

b) A rigorous statistical process for the validation of the model, including the test of the model outside the population and time period used when the calibration (out-of-hour and out-of sample test) is carried out.

c) A statement of the conditions under which the model does not operate effectively.

Maintenance of data

161) The company must collect and store data for its internal ratings as required in accordance with Appendix 20.

Vocational, institute and state sponings

162) The company must collect and store the following :

a) Full-rate history for opposing parties and recognised guarantee staters.

b) The dates on which the given ratings were granted.

c) Key data and methodologies that have formed the basis for the relevant ratings.

d) Information about who is responsible for the allocation of the relevant ratings.

(e) The identity of the counterparty and expulsions that have been registered as being in breach.

(f) The time and circumstances of these defaults, including which non-compliance criteria have been determined for the non-compliance.

g) The data on the pd of rating classes and the actual breach frequencies and migration between steering classes.

(h) Data related to the comparisons of actual LGD values with the values set in point. 50-60 and comparisons of actual CF values with the values set in section 27 (3). 8 if the company does not have permission to use its own LGD and CF estimates.

163) If the company is authorised to use its own estimates of LGD and CF on exposure to the professions, institutes and states, the establishment shall collect and store the following :

a) A full data history of Feature-ratings and LGD and CF estimates for the respective facility rating classes.

b) The dates on which the relevant ratings were made and when estimates were derived.

c) Key data and methodology used for ratings and at the estimation of the LGD and CF.

d) Information about who has made the steering column and who has provided estimates for LGD and CF.

(e) Data related to estimated and realized LGD ' s and CFs on each non-default exposure.

(f) Data concerning the LGD of exposure to LGD and after assessment of the impact of guarantees or credit derivatives where the undertaking takes account of the creditrisk-reducing effects of the guarantees or credit derivatives in the estimate of the LGD.

g) Data relating to the economic loss of constituents for each non-compliance.

Detailec Sponings

164) The company must collect and store the following :

a) The data that is due to the division of the rate of exposure into ratting classes or pools.

b) The data related to the estimated PD, LGD and CF values for the respective rating classes or pools.

c) The identity of the counterparty and expulsions that have been registered as being in breach.

d) Data related to which rating classes or pools as defaulted expulsions were transferred to a year prior to the non-compliance, and the actual LGD and CF values.

(e) Data for the assessment of volatility of loss rates for qualified gunslings of detailed table-sponges, cf. Act. 17 (d).

Stress test

165) The undertaking must have reliable stress tests for the assessment of its capital base in accordance with the provisions of Appendix 1, point. Forty-four and 45.

Estimation of Risk Parameters

General requirements for estimation of risk parameters

166) Estimates of risk parameters must be based on all relevant data, information and methods. Estimates must be credible and intuitive and must be based on the factors that have the greatest impact on the respective risk parameters. Estimates must be based on historical experience as empirical data and cannot be based solely on estimates. The less data a company has, the more prudent estimates are to be.

167) The company must be in a position to disrupt its tabulations, expressed by PD, LGD, CF or loss, if the company uses estimates of the expected loss (EL), in the factors which, according to the company ' s opinion, determine their respective responsibilities. Risk parameters. The company must be able to demonstrate that its estimates represent long-term experiences.

168) The company must take account of possible changes in the lending practices and procedures for the recovery of debts in the observation periods. The estimate of the company ' s estimates shall reflect the impact of technical progress, new data and other information as these become available. The company must review its estimates when new information is provided. However, the estimates must at least be reviewed at least once a year.

169) Population of expulsions represented in the data used in estimation, credit policy, when data was generated and other relevant circumstances must be comparable to the current exposure and credit policy of the company. The company must also be able to demonstrate that the economic or market conditions underlying the data used are relevant to current and foreseeable conditions. The number of exposures in the population used in the estimation of parameters and the length of the data period must be sufficient to ensure that the company has confidence in the accuracy and stability of the estimates.

170) The company must attach a prudential margin to the expected margin that relates to the expected margin of error associated with the estimation. When the company's methods and data are less reassuring and a higher margin of error is expected, the company must set a greater caution margin.

171) If a company uses different estimates for the calculation of risk weights and for internal purposes, it must be documented, and the company must be able to reimburse the Finance-SEC that the estimates are appropriate.

172) If the enterprise reimburseys to the Financial Authority, the data will be collected before 1. In January 2007, appropriate adjustments have been made in order to establish general compliance with the definitions of non-compliance or loss, the Financial supervision may allow the establishment to permit a certain degree of flexibility in compliance with the required ; data standards in the furtive. 166-222.

173) If you use data from a pool that is common to multiple businesses, you must be able to reimbursing the company :

a) The other companies are using ratings systems and criteria that match the company's own.

b) The pool is representative of the portfolio in which the common data is used.

c) The company uses the common data to its estimates in a uniform way over time.

174) Regardless of the fact that the company uses data which is common to multiple companies, the company must be able to compensate for the Financial supervision that it has the requisite knowledge of their own rating systems, including that it is able to perform an effective operation ; monitoring and auditing of the steering wheel process.

175) The company must identify and analyze possible systemic changes to the risk parameters over the duration of exposure.

Acquired receipts

176) For the acquisition claims, the estimates shall reflect all relevant information concerning the quality of the underlying debts that are available to the establishment. This includes data on similar pools made available by the seller, the company itself, or from external sources. The business of the transferee shall assess any data from the seller who is used.

Specific requirements for estimation of the risk parameter PD

Vocational, institute and state sponings

177) For each member-of-party ratting class, the company must estimate the pd on the basis of a long-term average of one-year non-compliance frequencies. However, the company may choose to estimate an individual pd for each party based on the specific circumstances that affect the PD for the respective counterpart.

178) The company's methods for estimating the PD must be supported by analytics. In this regard, the company must be aware of the importance of making individual assessments when the results of estimation methods are combined and in adjustments resulting from restrictions on the methods and information used.

179) If the company on estimation of PD uses internal breach experience data, the company must demonstrate in its analysis that the estimates reflect both the company's current lending policy and any deviations between the company ' s the current steering steering system and the steering system, which generated the data used. If the lending policy or the steering system has been changed, the company must attach greater storage to its estimates by the pd.

180) A company can connect or perform a conversion of own rating classes to a rating scale used by a rating agency or another similar organization, and apply the remote organization's obseated default frequency on the company ' s own rating classes. The conversion must be based on a comparison between the company ' s internal rate criteria and the criteria used by the external organization. The company must make a comparison of internal and external ratings respectively for possible common counterparts. Systematic imbalance (bias) or inconsistency associated with the conversion or underlying data must be avoided. The criteria to which the external organization is committed to the data used should focus only on the risk of non-compliance and must not reflect the facility characteristics. The company ' s analysis shall include a comparison of the definitions used of breach and requirements of the contract. 31-38. The company must document the basis for converting.

181) Regardless of the fact that the company estimates the PD directly at the counterparty level, cf. Act. In 129, the pd value that forms part of the inventory of the risk-weighted items can be done as an average of the estimates for the PD for the individual parties in a given rattion class. Companies that use models for the prediction of default non-compliance are required to comply with the requirements of the PICT. 156.

Acquired business receipts

182) In the case of business claims acquired, the company may estimate the EL for each modal range from the long-term average of one-year default frequency of non-compliance.

183) If a company determines long-term average estimates of PD and LGD for business claims on the basis of an estimate of the EL and an appropriate estimate for PD or LGD, the method used in estimation of the overall loss shall be that : comply with the general guidelines for the estimation of the PD and LGD specified in fury. 113-242 and the result must be in accordance with LGD in accordance with the method in point. 192.

Detailec Sponings

184) For each member-of-party ratting class or pool, the company must estimate the pd on the basis of either a a or b :

a) Long-term average of one-year breach frequencies.

b) Actual losses and appropriate estimates of LGD.

185) For the estimation of the loss characteristics, the company must use internal data, which is used to place exposure in counterpart-rating classes or pools. The company may also use external data, including data that is common to several financial undertakings, or external statistical models at the estimation, provided the company can prove that there is a close link between the following :

a) Business business times for the placement of exposure in the modpart-rating classes or pools and the remote data source's business times.

b) The company ' s risk profile and the composition of the external data.

Acquired retailers

186) For retail receipts, the company can use external and internal reference data. As a comparison basis, the company must use all relevant data sources.

187) If a company determines long-term average estimates of PD and LGD for acquired retailers on the basis of an estimate of the overall losses and an appropriate estimate of the PD or LGD, the method used in estimation of the PD or LGD shall be the method used in the estimation of the pd or LGD. overall losses, comply with the general guidelines for the estimation of PD and LGD specified in fury. 113-232 and the result must be in accordance with the LGD method in accordance with the method in the furtive. 192.

The length of the data period (Enterprise, institute and state sponges and business claims)

188) Whether the company uses external, internal or shared data sources, or a combination of these by estimating the PD, the underlying historical observation period shall extend more than five years above at least one of the data sources. If the observation period extends over a longer period for one of the sources and the relevant data is relevant, the longer period shall be used. This provision shall also apply to the PD/LGD method for the stock exposure.

189) The Financial supervision can at the portfolios level a company that does not have permission to use its own LGD and CF estimates, permission to use relevant data that only stretches two years back when implementing the IRB method. In these cases, the data period shall be increased each year by one year until the relevant data covers a five-year period. A portfolio is understood to mean all of the exponings covered by a single steering system.

The length of the data period (Detailec sponges and retailers ' s data)

190) Whether the undertaking uses external, internal or common data sources or a combination of these by estimation of the loss of data, the underlying historical observation period shall extend more than at least five years for at least one of the the data sources. If the observation period extends over a longer period for one of the sources and the relevant data is relevant, the longer period shall be used. The company must not necessarily attach the same weight to all the historical data if the company can reimburse to the Financial supervision that newer data is better at anticiping the loss rates.

191) The SEC may, at the portfolial level, grant you permission to use relevant data that only extends over two years when it implements the IRB method. In these cases, the data period shall be increased each year by one year until the relevant data covers a five-year period. A portfolio is understood to mean all of the exponings covered by a single steering system.

Specific requirements for estimation of the risk parameter LGD

192) For each feature-rating class or pool, the company must estimate the loss given default (LGD) against the background of the average GD-rate-rating class values for the relevant facility rating class or pool. However, the company may choose to estimate an individual LGD for each facility based on the specific characteristics that affect the LGD of that facility. In the estimation, all observed defaults in the data set must be used.

(193) The company must use estimates for LGD reflecting an economic downward period if these are more cautious than the long-term average. If a steering system is expected to deliver constant LGD values over time for a steering class or pool, adjust its estimate of risk parameters to limit the impact of an economic downtime of the business capital readiness.

(194) The company shall examine the correlation between the risks associated with the counterparty and the risk associated with the security or security tacit. The case where there is a significant connection must be handled carefully.

195) Currency-mismatch between exposure and security must be handled cautiously by the completion of the LGD.

196) If the LGD estimates are taken into account, these estimates shall not be based solely on the estimated market value of the security store. Estimates of the LGD must take account of the effect that it is not always possible for the undertaking to take control of the security and the liquidate of the security and the liquidate in question without delay.

197) Where the estimates of the LGD are taken into account, the establishment must draw up internal guidelines for the monitoring of the security, legal security and risk management, which is generally in accordance with the requirements laid down in Annexes 7 and 9 for financial certainties respectively, cf. Annex 7, point. 51, immovable property, cf. Annex 9, point. 27, receipts, cf. Annex 9, point. 38, other non-financial certainties, cf. Annex 9, point. 44, leased assets, cf. Annex 9, point. 50 and 51, and other credit-coctaking, cf. Annex 9, point. 52, cf. Annex 7, point. 98-105.

198) Where a company recognizes the security of the exposure of the exposure to counterpart risk in accordance with Annex 16, point. 18-38 or pkt. In 39-82, the amount of the security required shall not be taken into account in the LGD estimates.

199) In cases where exposure is already defaulted, the company must use the sum of the expected loss for each exposure, given the current economic conditions, the status of exposure and the possible additional losses that are to be unforeseeable ; the recovery period.

200) If the company has capitalised unpaid fees due to its operating accounts, these fees shall be included in the company ' s inventory of exposure and loss.

Special provisions relating to table-dressing sponges

201) Regardless of the determination in point. In 192, the estimates of LGD are derived from the realized losses and the appropriate estimates of the PD.

202) Regardless of the determination in point. 208, the company may take account of the future features of the counterparty on credit facilities in either its CF or the LGD estimates.

203) For retail receipts, the company may use external and internal reference data on the estimation of the LGD.

Length of the data period (acquisition, institute and state sponings)

204) For the implementation of the IRB method, estimates of LGD must be based on at least five years of data for at least one data source. The data period shall be increased annually by one year until the data period extends over seven years. If the observation period extends over a longer period of one of the data sources and the relevant data is relevant, the longer period shall be used.

Length of the data period (table sponges)

205) In the case of estimates of the LGD for table details, the same requirements for the length of the data period as for estimates of the pd, cf.. Act. 190 and 191.

Specific requirements for estimation of the risk parameter CF

206) For each facility rating class or pool, increase the rate CF on the basis of the average expected CF values for that facility-rating class or pool. However, the company may choose to estimate an individual CF for each obligation on the basis of the specific circumstances that affect the CF for that commitment. In the estimation, all observed defaults in the data set must be used.

207) The company must use CF estimates that reflect an economic downward period if these are more cautious than the long-term average. If a steering system is expected to deliver constant CFCs over time for a steering class or pool, the company must adjust its estimates to limit the impact of an economic downturn on company capital preparedness.

208) The CFC estimates must reflect the possibility that the counterpart makes further moves to the credit facility, both before and after non-compliance. In those cases where it is expected that there is a strong positive correlation between the PD and CF, the company must assume a greater prudential margin in the estimate of the CF.

209) In connection with the estimation of the CF, the company must take account of its policies and strategies in relation to account management and payment processes, in the light of the requirements. The company must also take a position on its ability and the will to prevent further drafts of credit facilities in situations where there is no breach of payments but on the violation of clauses or other technical reasons for non-compliance.

210) The company must have appropriate systems and business procedures for the monitoring of current assets, including in relation to appropriated exposure and changes in debts owed to each. counterpart and per. rating class. The company must be able to monitor the assets of the assets daily.

211) For CF, same requirements for the length of the data period as for LGD, cf. Act. 204 and 205.

212) For table-room sponges, the company may, regardless of the provision in point. 208 takes account of the future features of counterparts on credit facilities in either its CF or the LGD estimates.

Minimum requirements concerning guarantees and credit derivatives

213) The requirements of pkt.216-222 shall apply to the business, institute and state sponings, where their own LGD estimates are used and for table-dressing sponges.

214) The requirements of pkt.216-222 shall not apply to warranties made by institutions and States, if the undertaking has been authorized to use the standard method of credit for these exposure. In this case, the requirements of Annex 7 shall apply.

215) In the case of guarantees for table-dressing sponges, the requirements shall apply. 216-222, together with the distribution of exposure to steering classes or pooled and for estimation of the pd.

Warranties of Warranties and Warranties

216) The company must have clear established criteria for the types of guarantee-stampers to be recognized by the risk-weighted items.

217) Appliors recognised shall be subject to the minimum requirements laid down for counterparties in accordance with the minimum requirements laid down in respect of the provisions of the Parties. 144-155.

218) Guarantees must be written, the guarantor must not be able to terminate them, and warranties shall be valid until the commitment is fully contained in relation to the guaranteed amount and the wording of the guarantees. Guarantees shall also be legally binding on the guarantee ' s office in a legal system where it is possible to make the assets and consuming of a judgment on the basis of the guarantee. Warranties containing the conditions under which the guarantee may be exempliated from its obligations (conditional guarantees) may be used in accordance with the approval of the Financial Regulation. The company must be able to demonstrate that the criteria for the allocation of exposure to rating classes shall take sufficient account of any limitations in the risk-reducing effect.

219) The company must have clear criteria for adjusting rating classes, pools, or LGD estimates to reflect the impact of the guarantees in the estimation of risk-weighted items. For table-dressing sponges and acquisitions that satisfy the requirements of the furtive. 228-233, the company must also lay down criteria for the alignment of the guidelines for the placement of exposure to ratings classes or pooled pools. These criteria must meet the minimum requirements of Pkt.144-155.

220) The adjustment criteria, cf. Act. In 219, a description of the ability of the guarantee shall include the ability and readiness of the guarantee to meet the obligations laid down by the guarantee, and reflect the date on which the guarantee is expected to make any payments. The criteria shall also contain a description of the extent to which the guarantee of the guarantee shall be provided by the guarantee that the guarantee shall be in the correlate with the counterpart ' s ability to collect the debt, and to which extent remains to be done ; a restriction on the other side.

Credit derivatives

221) The minimum requirements for guarantees in furs. 213-220 also applies to "single-name" credit derivatives. In the case of a mismatch between the underlying asset and the reference asset for the relevant credit derivative or the active used to determine whether a credit event has taken place, the requirements set out in Appendix 7 of this Regulation shall be furtive. Thirty-four, use. In the case of table-dressing sponges and receivable claims, this provision shall also include the guidelines for the placement of exposure to ratings classes or pooled pools.

222) The criteria must take into account the payment structure of the credit derivatives and, on the basis of careful assessment, take account of the consequences that this structure has at the time and the amount of the refund. The company shall assess the extent to which other forms of restriction remain to be made.

Validation Process

223) The company must have well-built and stable systems to validate the accuracy and consistency of steering systems, business corridors, and the estimation of all the relevant risk parameters. The SEC must be able to demonstrate that by means of its internal validation process, it can carry out a consistent and meaningful assessment of the performance of the internal rating and risk estimation systems.

224) The company must periodically compare the default non-compliance frequencies with the estimated PD for each steering class (backtest). If the reality of the reality is beyond the expected range of a steering class, the undertaking shall carry out a detailed analysis of the causes of the deviation. Benytes the company's own estimates for LGD or CF, must carry out a similar analysis for these estimates. These comparisons must be based on historical data that covers as long a period as possible. The company must document the methods and data used for such comparisons. The analysis and documentation must be updated at least once a year.

225) The company must also use other quantitative authentication tools and comparisons with relevant external data sources (benchmarking). The analysis must be based on data relevant to the portfolio, which are updated regularly and which cover a relevant observation period. The company ' s internal assessments of the performance of its ratings systems shall be based on as long as a time period as possible.

226) The methods and data that the company uses in the case of quantitative validation must be consistent over time. The company must document changes in estimation and authentication methods and data-both data sources and relevant periods.

227) The company must have justifiable internal guidelines for situations in which the realized values for PD, LGD and CF deviate so significantly from the expected values that it creates uncertainty about the validity of the estimates. The same applies to the total loss if the company uses estimates of the expected loss (EL). These guidelines must take account of economic conditions and similar systemic variations that are included in the experience of the company's experience of default. If the values that have been achieved are renewable more than the expected values, the company must refine the estimates in accordance with its experience of non-compliance and loss.

Minimum requirements for special exposure categories

Minimum requirements for acquiring claims

228) If the business of its acquisition requires the method of estimation of the pd in the furtive. 41 or LGD in the furs. in the case of the other table, 53 (e) and (f), or place these in the table ' s sponging category, in accordance with other details. Act. 38, it must comply with the requirements of the PICT. 229-233. If the establishment fails to meet the requirements, it shall deal with the claims as exposure to the person ' s counterpart and make the risk-weighted lines of credit risk and risk-taking risks in accordance with the rules laid down in the case of : professional and table sponges, including compliance with minimum rating systems and quantitatively estimation of the rate. 125-222.

Legal Security

229) The company must ensure that, in all foreseeable circumstances, it has real property ownership and control of all funds collected in connection with the receipts. If the debtor ' s debtor is paid directly to a seller (the original issuer of the claim) or an administration company, the company must periodically check that all payments are forwarded and that the contractual terms and conditions of the contract are subject to the sale of the contract ; complied with. A management company shall be understood to mean a unit in connection with acquired entitlements providing for the day-to-day management of a pool of receivable claims or the underlying credits, which the receipts include. Businesses must have business practices that ensure that property rights to the claims and payments received are protected from the bankruptcy and other legal objections which could result in appreciable delays for the company's opportunity in order to realise or dispose of the claims or retain control of payments received.

Effectiveness of monitoring systems

230) The company shall monitor both the quality of the receivable receipts and the economic situation of the seller or the management company, including in particular :

a) The company must assess the relationship between the quality of the receivable claims and the economic situation of both the seller and the management company. In addition, you must have policies and business practices that provide adequate protection against the risk of such contexts, including the allocation of internal ratings for each seller and management company.

b) The company must have clear and effective policies and business procedures for the approval of vendors and management companies. The company or entity authorised by the undertaking must periodically oversee sellers and management companies in order to verify the reporting, unvealing fraud or operational weaknesses, and check the quality of the sales policies of the seller and the management company ' s collection policies and business practices. The company or its agent must substantiate this supervision.

c) The company shall assess the characteristics of the pooled of claims, including overhaul, the history of the sales person's restanders, unbearable debts and depreciation on unbearable debts, and payment terms and possible counterpart accounts.

d) The company must have effective policies and business monitoring for the monitoring of concentrations on individual counterparts, both within and across pools of acquired entitlements.

(e) The company must ensure that the management company provides current and sufficiently detailed information on the age distribution and exodus of the receipts with a view to ensuring compliance with the establishment ; recognition criteria and lending policy for acquired entitlements and in order to provide an effective basis for the monitoring and control of the selling conditions and exodus of the seller and the watering down of the claims.

Effectiveness in dealing with problem acquired entitlements

231) Establishments must have systems and business procedures too early to detect a deterioration in the economic situation of the seller and the quality of acquired entitlements and to address the problems that have arisen at an early stage. Corporate needs to have particular clear and effective policies, business practices and information systems for monitoring clauses (covenants) and clear and effective policies and business practices to initiate legal action and to manage problematic acquiertions.

Efficiency of systems for managing acquisitions, credit and payment of claims

232) The company must have clear and effective systems and business procedures for managing acquisitions, credit opportunities and deposits. In particular, written internal policies must specify all essential elements related to the acquisition of claims, including lending interest, recognised security, necessary documentation, concentration limits and handling of deposits. These elements shall take appropriate account of all relevant and significant circumstances, including the economic situation of the seller and the management company, the concentration risks and the development of the quality of the claims acquired and in the seller ' s ; customer base. Internal systems shall ensure that the payment of loans is carried out only when there are specified certainties and documentation.

Compliance with corporate internal policies and business practices

233) The company must have effective procedures to ensure compliance with its internal policies and business practices. The procedures shall include the regular review of all critical phases of the establishment of claims. In addition, the procedures include checking of separation separation in two areas : firstly, between the assessment of the seller and the management company and on the other, the assessment of the debtor ' s debtor. Secondly, between the assessment of the seller and the management company and, on the other, the audit on the spot by the seller and the management company. The company must also assess the seller ' s back office functions, with particular focus on skills, experience, staffing and supporting automatic systems.

Minimum requirements for the use of own models for the assessment of risk-weighted stock exposure

Risk-certification

234) Organizations using own models for the estimations of risk-weighted stock exposure shall meet the following requirements :

a) Estimate of potential losses must have incorporated the effects of unfavourable market movements that are relevant to the long-term risk profile of company specific holdings. Data that is used to represent the redistribution must reflect the longest period where data are accessible and meaningful in terms of representing the risk profile of company specific share exposure. Data must be sufficient to provide cautious, statistically reliable and stable estimates of loss, which are not based solely on subjective or discretionary assumptions.

b) The SEC must be able to show that the market events used in the context of the development of the model result in a cautious estimate of potential losses over the relevant long-term market-or cycle of cyclical cycles. The company must combine empirical analysis of available data with adjustments based on several factors to achieve a sufficiently realistic and cautious model result. When Value-at-Risk models (VR models) are developed with a view to calculating potential quarterly losses, the company may use quarterly data or convert data with shorter time horizons to corresponding quarterly data using analytical data tools that are supported by empirical documentation and through well-developed and documented qualitative analyses. This approach must be carefully and consistent over time. Where the amount of data is limited, the establishment must be provided with appropriate prudential margin.

c) The model must be able to adequately capture all significant risks associated with the return on the market, including both the general market risk and the specific risk associated with the company portfolio. The internal model must be able to explain enough historical price volatility, incapitate both the size and the changes in the composition of potential concentrations and be stable in relation to adverse market conditions. The population of risk exposure represented in the data used for estimation shall correspond to or at least be comparable to the risk exposure associated with the company ' s share exposure.

d) The internal model must be tailored to the company ' s risk profile and the complexity of the company's asset portfolio. If the firm has significant positions, which rely very heavily on instruments whose risks are non-linear, the internal model must be designed to take sufficient account of these risks. If, as a approximation of their own positions, comparable securities are used (proxies), index and risk factors, they must be credible, intuitive intelligible and theoretically justified.

(e) The company must demonstrate, through empirical analysis, that the risk factors are well-chosen, including with regard to their ability to cover both general and specific risks.

(f) Estimability of the volatility of the income of the stock exposure shall involve relevant and available data and methods, as well as relevant and available information, by the way. An independent audited internal data or data from external sources (including pools of data from different establishments) must be used.

g) The company must have implemented a rigorous and fully-wide programme for stress tests.

Risk management and controls

235) In the context of the development and use of internal models for the establishment of risk-weightings, the establishment must establish policies, business practices and controls, which must include the following areas :

a) Full integration of internal models in your overall management information systems and the management of the stock portfolio outside of the trade inventory. Internal models must be fully integrated into the corporate risk management systems when specially used for measurement and assessment of the asset portfolio's results-including risk-adjusted, financial capital allocation for stock exposure and assessment of the overall capital cover and control of the stock investments.

b) Desited management systems, business procedures and controls to ensure periodic and independent review of all elements of the internal model development process, including the approval of models, checking of model input and review of model results such as the verification of risk calculations. These reviews must assess the accuracy, completeness and the appropriateness of model input and model results and focus on both to find and limit potential errors derived from known weaknesses, and identify potential weaknesses by the model. Such reviews may be carried out by an internal independent entity or by an independent external third party.

c) Adequate systems and business procedures for monitoring the risk and risk of asset exposure.

d) The entities responsible for the design and use of the model shall be functionally independent of the entities responsible for the management of individual investments.

(e) Anyone who is responsible for any part of the model development process must be given the appropriate qualifications. The Executive Board shall allocate adequately trained and competent staff for the model development work.

Validation and documentation

236) The establishment must have a well-built and stable system for the accuracy and consistency of the internal modellers and model developers. The company must document all essential elements in the internal models and model development processes and validation.

237) The company must use the internal authentication to a consistent and meaningful assessment of the results of its internal models and processes.

238) The methods and data that are used for the quantitative validation must be consistent over time. Changes in estimation and authentication methods and in data-both data sources and the periods covered-must be documented.

239) The company must periodically compare actual shares of shares calculated on the basis of realised and unrealized gains and losses-with the model estimates. These comparisons must be based on historical data that goes as far back as possible. The company must document the methods and data used in such comparisons. This analysis and documentation must be updated at least once a year.

240) The company must make use of other quantitative authentication tools and comparisons with external data sources. The analysis must be based on data relevant to the portfolio, which are updated regularly, and which cover a relevant observation period. The company ' s internal assessment of its model ' s findings shall be based on as long as possible.

241) The company must have clear internal guidelines for situations in which the comparison of the actual shares of the model estimates gives rise to doubts as to the validity of the estimates or the models. These guidelines must take account of economic conditions and similar systemic fluctuations in return on the stock market. Any changes to the internal models that are carried out as a result of the reviews of the models must be documented and consistent with the company ' s guidelines for modeling changes.

242) The internal models and model development process must be documented, including with regard to the responsibility of the participants involved in the model development process, model approval process and in connection with modeling.

Calculation and treatment of anticipated losses

Calculation of expected losses

243) The expected losses (EL) for state sponings, institution exposure, occupational exposure, table-sponsorings and share exposure shall be calculated in accordance with the methods used in furtive. 244-255.

244) The anticipated losses related to securitisation positions are calculated in accordance with Annex 11.

245) The expected loss of assets without the counterparts is set to zero.

246) The calculation of the expected losses must be based on the same input parameters for the PD, LGD and CF used for the calculation of the risk-weighted items where CF is part of the calculation of the size of the expat in the formula. 247.

247) The expected losses (EL) relating to the activities of the Member States, the institution, the transferee and of the table, shall be calculated as follows :

248) For non-defaulted exposure (PD= 1), where the company is using its own estimates for the LGD, the expected losses shall be EL ; PLEASE. , cf. Act. 79.

249) For exposures falling under the plight. The expected loss (EL) must be set to zero.

250) For specialized borrowing, where the company uses the table method that is specified in a furtive. 82-85, the expected loss (EL) shall be discharged according to the table below.

Table 2 :

251) If the SEC has been given permission from the Financial Authority to apply risk weights to 50%. for exposure to categories 1 and 70%. for exposure to category 2, regardless of the maturity period, the expected loss shall be set to 0%. for exposure to categories 1 and 0,4%. for exposure to category 2, regardless of the maturity.

252) The value of the estimated losses (EL) relating to stock exposure where the risk-weighted items of these exposure shall be calculated according to the simple risk-weight method shall be calculated as follows :

253) The anticipated loss on stock exposure where the risk-weighted items of these exposure shall be calculated in accordance with the PD/LGD method :

254) The anticipated loss (EL) concerning the stock exposure, where the risk-weighted values of these exposure are made up using the VaR method, is set to 0%.

255) The anticipated loss (EL) concerning the risk of exodus of the transferable claims shall be calculated as follows :

Treatment of anticipated losses (EL)

256) The value of the expected loss, calculated in accordance with the methods used in the furtive. 243-251 and 255 shall be deducted from the sum of the value adjustments and provisions effected for exposure in the respective exposure categories. Depreciation of values in the form of group display precipitation that includes multiple exposure categories is estimated at the respective exposure categories. A reduction in the price of balance sheet items which have been acquired while they are defaulted, cf. Section 27 (l) shall be treated as value adjustments. The anticipated losses related to securitisation positions and the value adjustments and the provisions that are carried out for these exposure shall not be included in this calculation.

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Appendix 9

Credit Risk Reducing Methods under the internal rating method for credit risk

Scope of application

1) This Annex provides for the inclusion of the effects of guarantees, credit derivatives and securities, together with netting of mutual loans and loans, by taking account of the risk-weighted items and the anticipated losses for the professed, institute-and state sponsorings for undertakings using the internal rating method of credit risk and which do not have permission to use their own estimates of LGD and CF for the relevant exposure, cf. § 29, paragraph. 1.

2) The provisions of the act. 6-13 also applies to share exposure outside the commercial stock market that uses the internal rating method of credit risk and which either uses the simple risk-weight method or the PD/LGD method for the share exposure, cf. § 29, paragraph. 4.

3) Whatever it is. The provisions of paragraph 1 shall apply. 14-16 on the conditions for the use of the risk-weight formula for the recognition of the 'dual default effect' for guarantees and credit derivatives in the form of 'total return swaps' and ' credit default swaps ` in Annex 8, point. 80-81, also for companies that use the internal rate-based approach and which are allowed to use their own estimates of LGD and CF for professional, institute and state sponges, cf. § 29, paragraph. 2.

4) The provisions relating to the inclusion of the efficacy of guarantees and credit derivatives, in the case of the use of their own estimates, of the LGD of the business, institute and state sponges and the details of the sponges of the LGD ; is shown in Appendix 8, point. 192-205 and 213-222.

5) Whatever it is. 1 shall companies which use their own estimates of LGD for professional, institute and state sponges and the details of the details of the monitoring, internal guidelines for the monitoring, legal security and risk management of safety, which are : are included in their LGD estimates, which are generally in accordance with the requirements laid down in Annex 7, point. Fifty-one and five. For the purposes of this Annex, 27, 38, 44 and 50-51 of this Annex. Annex 8, point. 197.

Guarantees and credit derivatives without recognition of the dual default effect

Anerwell-known Protectors

6) The company may, by taking account of the risk-weighted items, when the provisions of the provisions of the provisions of the provisions of 7 have been complied with, counting on guarantees and credit derivatives in the form of "total return swaps" and "credit default swaps" with the following guardians and creditors of credit cocovering (protective advisers) :

a) Protective donors listed in Appendix 7, point. 2.

b) Corporate companies that do not have a credit rating from an approved credit rating agency but which, according to the internal rating, have a likelihood of default non-compliance corresponding to the credit quality stage 2 or higher in accordance with the rules for : risk weighting of occupational sponges by default to the credit risk (credit) risk.

7) The company can only include assurances and credit derivatives in the form of "total return swaps" and "credit default swaps" with protective advisers assigned to an internal rating in accordance with the minimum requirements set out in Annex 8, point. 113-242, cf. Oh, my. 8 of this Annex.

8) Credit trilateral coverage from guarantees and credit derivatives in the form of "total return swaps" and "credit default swaps" from shelters that do not satisfy the provisions of the provisions of the provisions of this Directive. 7, may be included whose exposure to these are covered by a permanent or temporary derogation from the IRB method, and if the provisions of Annex 7, point. 2-9 as regards guarantees, or the provisions of Annex 7, point. 29-34, as far as credit derivatives are concerned, they are met. For the insured part of the exposure, the application shall apply the provisions of Annex 7, point. 14-28 as regards guarantees, and the provisions of Annex 7, point. 35-42, in the case of credit derivatives

Minimum requirements and the uptake of credit-coating

9) The minimum requirements for guarantees and credit derivatives and the provisions relating to credit cocoding, including the provisions relating to currency-mismatch and maturity-mismatch in annex 7, point. 3-13, 18 to 28 and 32-40 also apply to the account of the effect of guarantees and credit derivatives in the form of "total return swaps" and "credit default swaps" in accordance with the provisions of this Title.

Assurances risk-weighted posts for exposure covered by guarantees and credit derivatives

10) The covered part of the exposure may be treated as an exposure to protection giving with the PD's PD, but where the original facility ' s LGD is kept. If the company assesses that there has been no complete risk transfer, the pd must be set to a carefully selected value between the original PD and the PD's PD exposure. If the exposure is complied with, but the guarantee is not, the LGD may be used for the untrailing exposure of the cover part of the exposure. For stock exposure below the simple risk weight method, a LGD is used for 90%. on the covered part of the exposure.

11) Any uncovered parts of exposure shall be treated as an exposure to the original counterpart, cf. Oh, pkt.12, though.

12) Where the guarantee does not cover the whole exposure and the covered part is complied with the uncovered part, for example, when payment from the guarantee is not replaced until the loss exceeds a threshold (self-risk), the exposure must be weighted according to the provisions relating to securitisation positions, cf. Annex 11, point. 64-84.

13) Point 10 to 12 applies to the credit derivatives in the form of "total return swaps" and "credit default swaps". For credit-related notes and similar instruments to the establishment, deposits shall be treated by investors in the instruments concerned as a cash guarantee, in accordance with the corresponding provisions as set out in Annex 7, point. 42.

Guarantees and credit derivatives with the recognition of the double default effect

14) When the provisions are in point. 15-16 is met, organizations that use the IRB method of credit risk can use the hazard weight by recognising the 'dual default effect' in relation to credit risk coverage from warranties and credit derivatives in the form of ' total return swaps and credit default swaps according to Appendix 8, point. 80-81.

Claims for the addition of credit risk decoRecovery

15) The creditor of credit cocoffers (shelters) shall be an institution, cf. Section 4 (4). 1, an insurance or reinsurance undertaking, export credit or equivalent foreign entity, which meets the following conditions :

a) The protection grants have great expertise in the provision of credit for the protection of credit.

b) Protective grants are subject to rules similar to those laid down in Directive 2006 /48/EC of 14. June 2006, on the admission and undertaking of a credit institution (recast version), or at the time when credit was credited to the credit institution, a credit rating was drawn up by an approved credit rating institution equivalent to credit quality step 3 or better in accordance with the rules on risk weighting of occupational exposure according to the standard method of credit risk.

c) The protection grant had at the time when the credit was to be contained, or, at another time, an internal rating, with a likelihood of default of a non-compliance corresponding to the credit quality stage 2 or better in accordance with the rules for : risk weighting of occupational sponges by default to the credit risk (credit) risk.

d) Protection provides an internal rating with a likelihood of default of non-compliance corresponding to the credit quality stage 3 or better according to the risk weighting of occupational exposure by the standard method of credit risk.

-WHAT? As far as this point is concerned. the company may not make use of an explicit guarantee from a central government in the context of creditsiccocrescuse from export credit agencies.

Other requirements for the creditation of the creditation

16) In addition, the credit siclosures must meet the following conditions :

a) The underlying debt obligation must be :

Financial certainties

17) Undertakings using the IRB method and which do not have permission to use their own estimates of LGD and the CF for transferee, institute and state sponsorship may include financial security in the calculation of the risk-weighted items and the calculation of : the expected loss of these exposure classes according to the method of financial certainties described in Annex 7, point. 58-97, however, with the following adjustments :

a) The size of the exposure, E, which is included in the formula in Annex 7, point. Sixty-nine, be done in accordance with section 27 (4). 1. Non-balancing items are used before the conversion factors (CF) in section 27 (s). 8, cf. § 29, paragraph. 4.

b) Point 72, point h, no. in Annex 7, the following is replaced by the following : Other financial undertakings (including insurance companies) which do not have a credit rating from an approved credit rating agency and which are internal to a likelihood of non-compliance, which is the equivalent of : a credit rating carried out by a credit rating agency associated with the credit quality step 2 or better for exposure to business operators and central governments and central banks according to the GL-synet website.

c) Article 97 of Annex 7, which deals with the specification of risk-weighted outlines for exposures covered by financial securities, shall be replaced by a furtive. 18 in this Annex.

18) In the case of the risk-weighted items and the anticipated losses, the company ' s exposure to the level of exposure covered by financial security shall use a adjusted LGD value (LGD*), instead of the LGD value to be used. The adjusted LGD value is calculated using the following formula :

Non-Financial Securities

Real Estate

Property Categories

(19) Real estate covers reasons of residential buildings or business outdoors and articulated reasons for the purpose of the purpose of housing or for business purposes. In the case of residential buildings, this Annex is understood as property categories, provided that they are or will be inhabited or leased by the owner : owner homes for helper use, including residential buildings associated with commercial end-use, leisure houses, private individuals ; residential housing, private housing for hire, general housing, youth housing, housing housing, etc. All other properties, including the above property categories that are not or will be inhabited or leased by the owner, are categorized as Business as a business end.

20) Safety in shares in Finnish housing companies operating pursuant to the Finnish law on residential companies of 1991 or later equivalent legislation, related to housing, which is or will be inhabited or leased by the owner, are treated as part of this section with certainty in residential buildings.

21) Exposure to security in estates consisting of multiple property categories shall be divided on the basis of the proportion of the gross area of the property and be separately treated in accordance with the provisions of the provisions of the provisions of the case. 22-36 for Exposure with security in the respective property categories. If one property category is at least 80%. of the property overall gross area, the whole exposure may be treated according to the rules of this property category.

(22) Exposure to security in estates consisting of multiple property categories which cannot be split on the basis of the total gross area of property, are treated as exposure to safety in business end-use.

Safety of immovable property

23) The establishment may, by taking into account the risk-weighted items, the security of immovable property where the following conditions are met :

a) The value of the property depends not substantially on the credit quality of the counterpart. This requirement does not concern cases where purely macro-economic relations affect both the property and the value of the counterpart's remittance capacity.

b) The risk of the counterpart does not depend substantially on the return of the underlying property or the underlying project, but rather by the basic ability of the counterpart to reopen the debt in another way. The introduction of the facility in question does not depend to a significant extent on the amount of money which the underlying property that has been provided for security should be generated.

24) Companies that include the impact of safety in real estate on the balance of risk-weighting items must be clear on a business basis with a view to making sure that it is furtive. 23 (a) and (b) has been fulfilled.

25) Point 23 (b) shall not apply to the safety of residential buildings in Denmark. In the case of exposure to residential buildings situated in a country within the European Union or in a country concluded by the Community in the area of the financial area in which the competent authorities of the country concerned do not allow to be disregarded ; from the condition in point. 23 (b), the company must ensure that the condition is in the furtive. 23 (b) is fulfilled if the safety of such properties is taken into account when taking account of the risk-weighted items.

26) The company may include security in the commercial end of a country situated within the territory of a country within the European Union or in a country concluded by the Community in the area of the financial sphere, by taking into account the risk-weighted items, regardless of the fact that : condition in point. Article 23 (b) is not fulfilled if the competent authorities of the Member State concerned have recognised the commercial end-use in the light of a derogation from the requirement to be furtive. 23, point (b).

Minimum requirements for the safety of immovable property

27) The following conditions must be met to ensure that the safety of real estate can be taken into account when taking account of the risk-weighted items :

a) Legal certainty : security must be legally valid and could be enforced in all relevant legal areas at the time of signing of the credit agreement, and the security must be recorded correctly and in good time. The agreement on securities and the underlying legal procedure must enable the undertaking to realise the value of safety within a reasonable time.

b) Monitoring the value of the property : the value of the property must be regularly monitored and at least once a year when it comes to business and at least every three years when it comes to residential buildings. A more frequent monitoring must be carried out where the market situation is marked by significant changes. Statistical methods may be used to monitor the property value and to identify which properties are to be re-evaluated. The property assessment shall be reviewed by an independent person, provided that information exists that proves that the property value may have fallen significantly in relation to general market prices. Loans exceeding the equivalent of 3 million. Euro or 5%. on the basis of the company ' s basic capital, the property assessment shall be reviewed by an independent person at least every three years. The person who makes the valuation of valuation must have the necessary skills, skills and experience to make a valuation and to be independent of the credit allocation process.

c) Documentation : it must be clearly documented which types of residential and commercial service operators accept, including separate documentation for which property categories are included as certainties in the inventory of risk-weighted items and what the company ' s lending policy is for loans with security in the types of properties concerned.

d) Insurance : The company must have established business procedures to monitor compliance with the fixed property that is adequately insured against damage.

Valuation of immovable property

28) The property must be appraised to the market value or under a person with the necessary skills, skills and experience to make a valuation and which is independent of the credit rating process.

29) The market value shall mean the estimated amount to be traded in the value employment date between an interested buyer and an interested seller who is mutually independent, in accordance with proper marketing, where the parties have acted each and every one of them ; on a well-informed basis, with prudence and without obligation. The marketplace value must be documented in a transparent and clear way.

(30) The value of the security is the market value, for which appropriate depreciation is carried out, which partly reflects the results of the monitoring required by point of the product. 27 (b) shall take account of any preceding claims on the property.

Proposals of risk-weighted items and anticipated losses for security of immovable property

31) For the purpose of calculating the risk-weighted items and the expected losses, the company may be able to comply with the provisions of the provisions of this Directive. 32-36, for exposures that have security in real estate, use a adjusted LGD value (LGD*) instead of the LGD value to be used.

32) For exposures where the value of security is 140%. or more of the size of the exponeration, cf. Act. 17 (a), corresponding to a load of 71,4%. or less, LGD* is set to 30 pct., cf. however, section 70 (3). 8.

33) However, if exposure is complied with all other ordinary creditors, LGD* is set to 65%. The determination of LGD* does not distinguish between certainties in residential buildings and security in commercial end-use.

34) For exposures where the value of securities is less than 30%. of the size of the exponeration, cf. Act. Paragraph 17 (a) is not the adjustment of the LGD.

35) For exposures where the value of security amounts to more than 30%. of the size of the exponeration, cf. Act. 17 (a), but less than 140%. by the size of exposure, LGD* is determined as a weighted mean by LGD* in accordance with point of the pkt. The weight of 32-33 and the unjusted LGD shall be determined on the basis of the proportion of the exposure level within 71,4%. of the value of the security, cf. Act. 32-33, and the proportion of the size of exposure beyond the 71,4%. of the value of security.

36) Undertakings which have exposure to the safety of residential or commercial undertakings situated within the territory of a country within the European Union or in a country concluded by the Community in the area of the financial area in which the competent authorities permit a treatment in accordance with Directive 2006 /48/EC of 14. June 2006, on the subject of access to the recording and undertaking of a credit institution (recast), Annex VIII : 3:73, the use of the hazard weight for those exponates allowed under this provision. A prerequisite for this is that the company fulfils the terms and conditions applied by the country concerned.

Improvements

Safety in claims that can be counted

37) The company may include security in the form of claims relating to one or more commercial transactions with an initial term of a year or therm; when the risk-weighted items will be charged. Improvements in securitisation, indirect participation or credit derivatives or amounts due to affiliated parties cannot be taken into account as certainties.

Minimum requirements for the safety of claims in claims

38) The following conditions must be met to ensure that the amount of claims can be taken into account when taking account of the risk-weighted items :

a) Legal security :

Valuation of claims

39) The value of the receipts is set to outstanding amounts, adjusted in accordance with the item. (b) 38 (b) no. ii and iii.

Recruination of risk-weighted items and anticipated loss of claims with security in claims

40) In the calculation of the risk-weighted items and the expected losses, the company for exposure to claims that has a security in claims is used (LGD*) adjusted in accordance with the provisions of the provisions of the provisions of the provisions of the provisions of the provisions of the provisions of the provisions of the provisions of the provisions of the provisions of 41-42 below, instead of the LGD value, which was to be used.

41) For exposures where the value of security amounts to 125%. or more of the size of the exponeration, cf. Act. 17 (a), corresponding to 80% belatings. or thereunder, set LGD* to 35%. However, if exposure is complied with all other ordinary creditors, LGD* is set to 65%.

42) For exposures where the value of safety amounts to less than 125%. of the size of the exponeration, cf. Act. Point 17 (a) shall be laid down by LGD* as a weighted average of LGD* in accordance with point of the light. 41 and the unadjusted LGD, where the weights are determined on the basis of the proportion of the size of exposure within 80% of the exposure. of the value of the security, cf. Act. 41, and the proportion of the size of exposure beyond 80%. of the value of security.

Other non-financial security

Other non-financial certainties that can be counted

43) The company may, by taking into account the risk-weighted items, include safety in physical objects, in addition to those specified in point. 23-26, if it finds it proven :

a) that there are liquid markets where it is quick and cheap to dispose of the security in question ; and

b) there are well-founded, publicly available market prices for safety. The company must be able to demonstrate that there is no reason to assume that the net riflees that it achieves through the implementation of security differs significantly from these market prices.

Minimum requirements for the inclusion of other non-financial security

44) The following conditions must be met to ensure that other non-financial certainties can be taken into account when taking account of risk-weighted items :

a) The agreement on the security shall be legally valid, enforcing in all relevant legal areas and giving the company the opportunity to realize the value of security within a reasonable timeframe.

b) With the permitted leading demands, according to the fury. (b) 38 (a) : ii, which is the only exception, is only permitted primary security. In this way, the company must take precedence over the provenua of security above all other lenders.

c) The value of safety shall be monitored frequently and at least once a year. Frequency monitoring is required when significant changes occur in market conditions.

d) The agreement on the security shall contain detailed descriptions of the security and detailed specifications of the manner in which valuation should be carried out, and their frequency.

(e) The types of non-financial security that the undertaking accepts, and policies and practices regarding the relevant amount for each of the types of security in relation to the level of exposure must be clearly documented.

(f) The company ' s business practices must include appropriate requirements for the safety of exposure, the possibility of quickly realizing the security and the possibility of objectively fixing a price or market value. In addition, the company must fix the frequency with which valuation can be achieved, including the possibility and the time frame of a professional assessment or valuation, as well as setting a framework for volatility or estimation of value ; volatility in the value of security.

g) In both initial valuation and added value, account shall be taken of the possibility of any degraded or obsolete safety.

(h) The company must have the right to make physical inspection of safety. It must have policies and business practices on the exercise of the right to physical security.

i) The company must have business procedures to monitor the safety of the security that is being properly insured against damage.

The valuation of other non-financial certainties

45) The value of other non-financial guarantees shall be made up to the market value, which is the estimated amount to be traded on the value employment date between an interested buyer and an interested selseller who is independent of each other.

Account of risk-weighted items and expected loss of exposure to other non-financial security

46) In the calculation of the risk-weighted items and the expected losses, the company may, in accordance with the provisions of the provisions of the case, be calculated. 47-49, for exponations that have security in other non-financial security, use a adjusted LGD value (LGD*) instead of the LGD value to be used.

47) For exposures where the value of security is 140%. or more of the size of the exponeration, cf. Act. 17 (a), corresponding to a load of 71,4%. or thereunder, set LGD* to 40%. However, if exposure is complied with all other ordinary creditors, LGD* is set to 70%.

48) For exposures where the value of security is less than 30%. of the size of the exponeration, cf. Act. Paragraph 17 (a) is not the adjustment of the LGD.

49) For exposures where the value of security amounts to more than 30%. of the size of the exponeration, cf. Act. 17 (a), but less than 140%. by the size of exposure, LGD* is determined as a weighted mean by LGD* in accordance with the following information. 47 and unadjusted LGD, where the weights are determined on the basis of the proportion of the size of exposure situated within 71,4%. of the value of the safety cf. Act. 47, and the proportion of the size of exposure beyond the 71,4%. of the value of security.

Special provisions relating to leased assets

50) Exposure as a result of transactions in which the company leased an asset to a third party is treated as loans with security in the type of active leases, in accordance with the provisions of the provisions of the Act. Nineteen-36 and 43-49, cf. Oh, my. 51 when the following conditions are met :

a) Depending on the type of leased asset, the minimum requirements for the safety of the security shall be required. 27 or furtive. 44 have been fulfilled.

b) The Leasingprovides shall regulate and monitor the use and planned period of use of the asset and carry out a monitoring of the value of the leaked asset.

c) A legal basis must be established which establishes the ownership of leased property to the asset and its ability to exercise its rights as an owner in an appropriate manner.

d) The release of LGD must take account of risks due to any differences between the value of the unamortized amount and the market value of the security-store.

51) The company may not-after-demand in the form of leasing of equipment use a LGD of 35 pct., cf. however, section 70 (3). 9.

Other credit risk decoRecovery

52) The provisions of Annex 7, point. 98-105 applies to credit risk-reducing methods under the IRB method of credit risk.

NettingAgreements for balancing claims

53) The provisions of Annex 7, point. 106 applies to credit derivatives for credit-risk-reducing credit derivatives under the IRB method of credit risk.

Interferability pools of security

54) For the calculation of the risk-weighted items and the expected losses, the company must use a adjusted LGD value (LGD*) in accordance with the item. 55 when exposure is ensured with both financial security and other certainties.

55) The company must divide the volatility of exposure adjusted, that is, the value after use of the volatility adjustment as specified in Annex 7, point. 67, 69 and 70-to parts each of which are covered by only one type of security. This means that the company must divide the exposure in a proportion covered by financial security, a part covered by claims, parts covered by safety in the form of commercial end-use and / or residential buildings, a part covered by : other non-financial certainties and the insured part. The LGD* for each part of the exposure shall be calculated separately in accordance with the relevant provisions of this Annex.

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Appendix 10

Setting up the amount of exposure to securities financing instruments and so on netting

Scope of application

1) This Annex contains provisions for the assessment of the size of the securities financing instruments and the terminus, which are covered by a net agreement, cf. ~ 10 (1)) Two-three, and paragraph 27, paragraph 1. 7. The annex also contains provisions concerning the application and authorization for the use of internal models to calculate the level of exposure for securities financing instruments and the terminus stores, cf. ~ 10 (1)) 4, and section 27 (3). 7.

Minimum requirements for net services to be counted

2) The following conditions must be met to ensure that the net agreements can be used to balance the risk-weighted items :

a) They must be legally valid and be enforcing in all relevant areas of law, including in the event of the bankruptcy or insolvency of the counterpart.

b) They shall give the party that does not depart the agreement, the right to conclude and close all transactions under the Agreement in the event of non-compliance, including in the event of the bankruptcy or insolvency of the counterpart.

c) They must provide the possibility of netting benefits and losses on transactions concluded under a net agreement, so that one party owes the other a single net amount.

3) If the net agreement includes securities financing instruments and terminates outside the trading book, assets that can be counted under the calculated method of financial security shall be subject to the basis of the financial security method provided for. Annex 7, point. 58-61, included among the assets that can be borrowed, purchased, received or placed on the security of the net agreement.

4) If the net agreement is limited to securities financing instruments and terminus, which form part of the trading book, any asset that can be included in the trade inventory can be included among the assets that can be borrowed, purchased, received or be placed on the basis of the net safety net agreement.

5) The requirements of Annex 7, point. 51 shall be fulfilled in respect of assets which can be borrowed, purchased, received or placed to safety in the context of the net agreement.

The size of the sponsor during net use of volatility adjustments is made.

6) The method is in furtive. 7-13 is not available for network landing agreements that include marker loans that do not include continuous marker payments, and terminus business.

7) A company can count the effect of net service agreements that cover securities financing instruments, except for non-recurrent repayments, cf. Act. 6 and which satisfy the requirements of the furtive. 2-5. This shall be done by replacing the amount of the exposure required by each of the net instruments of the net agreement with a net position of a net position of each currency covered by the net compensation agreement in accordance with the provisions of the net. 8-10, attribution of volatility adjustments to the securities forming part of the net declaration of the net position, and the currency. The company may use the volatility adjustments prescribed for the method of financial certainties shown in Appendix 7 of this Annex. 71-80, or use its own estimates for the volatility adjustments in accordance with the provisions of Annex 7, point. 81-85. The latter option requires that the requirements of Annex 7 be furled. 86-96 is fulfilled.

8) The net position of each type of transferable securities covered by the net agreement shall be calculated by deducing the total value of securities of the type being locked, purchased or received in accordance with the net agreement, of the total value of : securities of the type being locked, sold or made available in accordance with the Agreement.

9) For the purposes of this Annex, the transferable securities issued by the same unit, the same date of issue, shall be subject to the same conditions and conditions and subject to the same liquidation periods as specified in Annex 7 ; Act. 71-96.

10) The net position of the individual currency shall be calculated by upholding the total value of securities issued in this currency and which has been lent, sold or made available under the terms of the Agreement. To add cash amounts in the currency that is checked out or transferred under the terms of the contract. From this sum, the total value of securities issued in the currency in question shall be drawn up or borrowed, purchased or received pursuant to the net agreement. In addition, cash shall be deducted from the currency of the currency which is borrowed or received under the Agreement.

11) The Volatility alignment for a given type of securities or a cash position shall be made for the numerical value of the positive or negative net position of transferable securities of the type concerned.

12) Vollatility adjustment for currency shall be made for the positive or negative net position of each currency with the exception of the net exchange currency of the net.

13) The amount of the sponsor during the net ingrate, E*, is calculated by using the following formula :

The size of the sponsor during net use of internal models (VR models)

14) As an alternative to the use of volatility adjustments in connection with the calculation of the size of exposure below a net agreement (E*), cf. Act. 6-13, the company may seek the Finance-SEC permission to use a method of internal models, cf. Oh, my. This method shall take account of correlation effects between securities positions covered by the relevant network of the network concerned and the liquidity of the instruments concerned. The internal models used in this method shall include estimates of the potential modification of the non-insured exposures (E' C) (C)).

15) In addition to the instruments which may be included in the assessment of the size of the exponment under a net agreement, in accordance with the provisions of a net agreement. 6-13, the company may seek the Finance-SEC permission to include non-recurrent repayments without an ongoing repayment as well as midterm business by making up the size of exposure during a net agreement when using internal models, cf. ~ 10 (1)) 4. As soon as a margin of repayments without a continuous repayment and term business is included under the net agreement, the agreement shall comply with the requirements of net agreements which cover the counterpart risk, cf. Annex 16, point. 83-92.

16) If the company uses a method of internal models, it must do so for all the parties and securities, except for non-essential portfolios, where it can use one of the methods of applying volatility adjustments, cf. Act. 6-13.

17) Companies who have been approved an internal market risk model (VR model) under section 40 and 41 may use the method described in this Section without its separate approval.

18) Approval pursuant to the fury. 14 is granted only if the SEC is satisfied that the corporate risk management system to manage risks arising from transactions covered by the net ingrate is theoretically well-founded and implemented carefully, and in particular, the following qualitative standards have been met :

a) The internal risk model used for calculating the potential price volatility of the transactions shall form an integral part of the undertaking ' s day-to-day risk management procedures and provide the basis for reporting on risk exposure to the management of the company.

b) The company must have a risk control entity that is independent of the trade departments and which reports directly to the management. The unit must be responsible for desigying and implementing the corporate risk management system. It shall draw up and analyse daily reports of the results of the risk model and the appropriate measures for the size of the permitted positions.

c) The daily reports from the risk control unit must be reviewed at a level of management with sufficient powers to make reductions in positions and of the overall risk exposure.

d) The company must have a sufficient number of employees in the risk control unit with experience in the use of the advanced models.

(e) The company must have established business practices and ensure compliance with written guidelines and controls on the operation of the risk system.

(f) In the light of back-testing, the company models must have shown itself to be sufficiently accurate to measure the risks. This back-testing should be basing itself on at least one year of data.

g) The company must regularly carry out a thorough programme of stress tests and the results of these tests must be reviewed by the Governing Board and reflected in the policies and limits set out in this.

(h) As part of its internal audit procedure, the undertaking shall carry out an independent examination of its risk-making system. This review shall cover both the activities of the trade division and the activities of the independent risk control.

i) At least once a year, the company must conduct a review of its risk management system.

j) The internal model shall comply with the requirements set out in Annex 16, point. 81 and 82.

(19) Calculation of the potential changes to the value of the non-insured exposure

a) A daily calculation of the potential change to the value must be at least a daily calculation.

b) A 99% must be used. one-sided confidensinterval.

c) A 5-day equivalence period shall be used, except in the case of marker loans and terminus, where a 10-day equivalent winding-up period is to be used.

d) An effective historical observation period must be used for at least one year, except when a significant increase in price volatility can justify a shorter observation period.

(e) The data set must be updated at least every three months.

20) The internal risk-making model must include a sufficient number of risk factors in order to register all significant price risks.

21) The company can use empirical correlations within and across risk categories (interest, stock, commodity and exchange rate risk), if the company's system for measuring correlations is theoretically justified and implemented carefully.

(22) The size of the sponsor under the net ingrate (E*) by using the method of internal models shall be calculated using the following formula :

23) When calculating the size of the risk-weighted, the company must use the result of the model from the predecessor day of work.

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Appendix 11

Securitisation

Scope of application

1) This Annex provides for the incorporation of the effects of securitisation of the company ' s exposure to the risk-weighted items as well as provisions for the calculation of the risk-weighted outlines for securitisation positions outside the trading book, cf. § § 11 and 30.

2) The provisions relating to the assessment of the risk-weighted items for securitisation positions in the trade book are shown in Appendix 12.

Definitions

3) In this Annex the following concepts are defined as follows :

a) Securitisation : A transaction or scheme by which the risk of exposure or an expulsion of exposure is divided into tranches, and which is characterized by the following, cf. the definition of "securitisation" in section 129 (4). 5, in the Act of Financial Company :

Treatment of securitised exposure

Traditional securitizations

4) In the case of a traditional securitisation, the exponential company may exclude securitised exposure to the inventory of the risk-weighted items and, where relevant, when calculating expected losses, if a significant proportion of the credit risk knows they may be lost. securitised exposure has been transferred to a third party, and the transfer complies with the following conditions :

a) The documentation for securitisation is a reflection of the economic substance of the transaction.

b) The securitised exposures are brought outside the scope of exposure and its creditors, including in the case of bankruptcy and winding-up proceedings. This needs to be supported by a qualified attorney.

c) The transferable securities issued shall not constitute payment obligations incumbent on the operator ' s exposure.

d) The recipient of the credit risk is a securitisation unit with a specific purpose (SSPE).

(e) The operator ' s exposure shall not retain any real or indirect control over the transfer of the exposure. An exponating undertaking is considered to have kept real control over the transfer of exposure, if it has the right to repurtize the previously transferred exposure to the beneficiary of the credit risk, with a view to the realisation of winnings ; of these, or if it is obliged to take on the risk of taking the risk again. If the operator of exposure maintains its rights or obligations on the management of exposure, this shall not in itself constitute any indirect control over the exponations.

(f) The documentary evidence for securitisation does not contain provisions as :

5) If the exposure operator is exposed, the securitised exposure shall preclude the risk-weighted items, as well as, where appropriate, in the calculation of expected losses in accordance with point of view. 4, it shall make the risk-weighted items for possible own securitisation positions in accordance with the provisions of this purpose in point. 15 -50, or where appropriate. 51-89.

6) If the operator ' s exposure cannot be excluded from the securitised exposure in accordance with the provisions of the provisions of the contract. 4, the establishment shall not disraise the risk-weighted lines for possible own securitisation positions, as well as, where appropriate, the risk-weighted entries for securitised exposure under point. 34-50 and 85-89.

7) An exponating company that uses the provision in point. 4 in the calculation of the risk-weighted items, or an organizing undertaking not to reduce the potential or actual loss of investors in excess of its contractual obligations ;

8) Populate the exposure delivery company or the organizational enterprise not furtive. 7, it shall make the risk-weighted outlines for all securitised exposure, as if they were not securitised. The company must publish the fact that it has provided non-contractual support and what effect on solvency as a result of this has been.

Synthetic securitizations

9) In the case of a synthetic securitisation, the exposure operator may terminate the risk-weighted items and, where appropriate, the expected loss for securitised exposure in accordance with the point of view. 10-14, if a significant part of the credit risk of the securitised exposure has been transferred to a third party and the transfer complies with the following conditions :

a) The documentation for securitisation is a reflection of the economic substance of the transaction.

b) The credit risk-producing methods through which the credit risk has been transferred comply with the provisions of Annex 7 and, where relevant, Annex 9 on the recognition and minimum requirements for guarantees, credit derivatives and securities. As far as this point is concerned. a SSPE is not recognised as the issuer of guarantees or credit derivatives.

c) The instruments used for the transfer of credit risk shall not contain any conditions or conditions as :

10) In the estimations of the risk-weighted items for securitised exposures which comply with the requirements of the product. 9, the operator ' s exposure shall apply the relevant calculation methods that are shown by the furtive. 15 -89, not the method provided for in Annexes 3 and 7, or, where relevant, Annexes 8 and 9. Apprees the business IRB method of credit risk, cf. section 19-33, the expected loss for securitised exposure satisfying the requirements of the product shall be expected. 9, set to zero.

11) The provisions of the act. 6-8 shall apply mutatis mulations in the case of synthetic securitisations.

12) The company must take account of any maturity / mismatch between credit cocoding that is used for the division of securitised exposure to tranches, and securitised exposure in accordance with the provisions of the case. 13 and 14.

13) As maturity for the securitised exposures, the maximum duration of these exposure shall not exceed five years. The amount of time for credit cocoding must be determined in accordance with Annex 7.

14) The operator ' s exposure shall be made in the calculation of the risk-weighted items for tranches weighing a risk weight of 1,250 pct; do not take account of maturity mismatch. For all other tranches, the operator of exposure to the operator shall apply the process of maturity mismatch set out in Annex 7, in accordance with the following formula :

Treatment of securitisation positions for standard institutes

15) If you use the default credit risk (default institutes) method, cf. Section 9-18 shall make the risk-weighted items for securitisation positions in accordance with the provisions of the provisions of the provisions of this Directive. 16-50.

16) The risk-weighted amount for a securitisation position shall be calculated by multiplying the size of the exposure, cf. Act. 18-25, with a risk weight based on the positive quality of the positioning, which can be determined from a rating from an approved credit rating agency or otherwise, cf. Act. 26-33.

17) In addition, an expulating undertaking or an organizing company which allows the exposures to be included in securitisation which includes a possibility of early-release, shall also make the risk-weighted posts for the person concerned ; the capital interest of the operator and the investor ' s capital interest in accordance with the provisions of the provisions of the provisions of this Directive. 34-50.

Size of the Exposure (Standard Institutes)

General (Standard Undertakings)

18) The size of the sponsor for a balance sheet securitisation position shall be made up to its value in accordance with the accounting rules.

(19) The size of the sponsor for a non-balance-sheet securitisation position shall be made up to its nominal value other than securitisation positions in the form of certain cash-flow facilities, cf. Act. 22-25.

20) The size of the sponsor for a securitisation position which has arisen through the use of derivative financial instruments listed in Annex 17 shall be made in accordance with section 42 or, where applicable, sections 45 and 46.

21) Where a company has two or more overlapping positions within a securitisation, it shall, in the case of overlapping positions, shall include only the position or parts of a position which gives them the overlapping positions, in the case of overlapping positions, in the case of overlapping positions, the highest risk-weighted items. For the purpose of this point. the ' overlapping ` means that the positions, in whole or in part, represent an exposure to the same risk, so that in the overlapping part, it is an exposure and exposure.

Equivalence facilities (standard institutes)

(22) For non-ratting cash flow facilities meeting the conditions laid down in (a), a conversion factor of 20% may be used. on the nominal value of the cash-flow facility, if the original maturity is one year or less and a 50% conversion factor. on the nominal value of the cash-flow facility, if the original maturity is over one year.

a) The documentation for the cash flow facility must uniquely identify and determine the conditions under which the facility can be used.

b) It must not be possible to draw on the facility to provide credit by covering losses which have already arisen at the time of the facility, for example, by making liquidity available for defaulting cash-related liquidity ; the time of the utilisation of the facility or by acquiring assets to more than their daily value.

c) The facility must not be used to make permanent or regular financing available to securitisation.

d) Repayment of the tire-up of the facility must not be left to the debts of investors other than claims arising from derivatives contracts relating to interest or currency, fees or other similar payments, and also not be the subject of postponement or postponement.

(e) It must not be possible to draw on the facility after all possibilities for the credit improvement provided to the liquidity facility may be covered by have been exhausted.

(f) The facility must include a provision leading to an automatic reduction of the amount of the amount to be used, corresponding to the size of defaulted exposure, or where the puls; of securitised exposure consists of ratty instruments, one provision resulting from the suspension of the facility if the average quality of the pot falls below ' investment grade `.

23) For non-ratty liquidity facilities that satisfy the requirements of the furtive. 22, and which can be used only in the event of a general market disturbation, can be used as a conversion factor of 0%. on the nominal value of the liquidity facility. A general market disturbance occurs when more than one SSPE across several transactions is unable to renew debt letters which are nearing decline, and where this failure is not caused by a deterioration in the SSPE ; credit rating or credit rating of securitised exposure.

24) For non-ratty cash flow facilities which can be unconditionally unconditionally and which satisfy the requirements of the furtive. 22 may be used by a converter factor of 0%. on the nominal value of the liquidity facility, provided that the withdrawal of a feature of the facility takes precedence over other claims on payments from the securitised exposures.

25) For cash-flow facilities that do not meet the requirements in the case. 22, as well as for ratting cash flow facilities, a converter factor of 100% shall be used.

Risk weights (standard institutes)

General (Standard Undertakings)

26) The company shall make the risk-weighted amount of a securitisation position with a rating from an approved credit rating agency, cf. Annex 6, by using a risk weight in accordance with Table 1 for positions with a rating which is not short-sighted or table 2 for positions with a short-term rating.

27) The company must use a risk weight of 1,250%. for not ratted securitisation positions, cf. Oh, my. 28-32.

28) Irrespective of the provisions of the act. 26 and 27, risk-weighted outlines for securitisation positions at an exponential or organizing company may be limited to the size given to the risk-weighted outlines for securitised exposure, if they do not : were securitised. In this context, the use of a risk weight of 150% shall be assumed. for securitised exposure in the restance.

29) Regardless of the determination in point. The establishment of 27 can, for a non-rated securitisation position, provided that the composition of the securitised exposure to any time is known, shall use the following hazard weight : the weighted, average risk weight of the securitised ; Exposure if they were not securitised, multiplied by a concentration factor. The concentration factor shall be set at the sum of the nominal values of all tranches divided by the sum of the nominal values of the tranches in securitisation, which is complied with or assimilated to the tranche in which securitisation positions contained, including the tranche in question. The resulting risk weight must not be higher than 1,250%. or less than a risk weight to be applied to a anchorage tranche.

Securitisation positions in an ABCP application (standard institutes)

(30) The company may for securitisation positions in an ABCP application that satisfies the conditions in point. The maximum value of 100% is used. and the highest risk weight that would have to be applied to one of the securitized exposures in accordance with the provisions of Annex 3.

31) If the treatment is in the fury. 30 shall apply, the securitisation position must satisfy the following conditions :

a) The position must be in a tranche that is economically positioned in a second loss position or better in securitisation, and the first loss-tranche must provide a relevant credit improvement of the second loss-tranche.

b) The quality of the positive position must correspond to 'investment grade'.

c) The company must not be placed in a position in the first loss-tranche.

Non-ratting cash flow facilities (institutes)

32) The risk weight of a position in a non-rated cash-flow facility that satisfies the conditions in point. 22 shall be placed at the highest risk weight that would be applied to one of the securitised exposures in accordance with Annex 3.

Credit trilateral coverage for securitisation positions (standard institutes)

33) For the purpose of taking into account the risk-weighted items for securitisation positions, the undertaking may include the effect of credit exposure in accordance with the provisions of Annexes 7 and 10.

Supplementary provisions for securitisation of exposures with pre-time inlet (standard institutes)

34) An exponating company and an organizing company that is covered by the furtive. 17 shall make the risk-weighted posts for the capital interest of the expulent company and the investor ' s capital interest in accordance with the provisions of the provisions of this Directive. 35-50.

35) For a revolving exposure, an exposure is understood where the Customer's outstanding can vary by the Customer's ability to choose to borrow and return up to an agreed amount limit. For the purpose of a pre-term intake, a contract clause which calls for the securitisation positions of investors shall be deemed to be fulfilled or ceased before the expiry date of the original date if specified events occur.

36) In case of securitisations, where securitised exposure includes both revolving and non-gunslingers, the exposure-supplying undertaking shall use the treatment described in the furtive. 37-50, on the part of the underlying pool of exponations involving the revolving exposure.

37) Exposure delivery is exempt from the risk-weighting of the risk-weighted outlines for the capital interest of the expulent company and the investors ' vested interest in the following types of securitizations :

a) Securitisation of the revolving exposures where investors remain fully exposed to future tiring by borrowers, so that the risk of the underlying exposure does not return to the exposures to the expulsion ; business, even if there is a pre-term intake.

b) Securitisation, where an option for early-refinement is only triggered by events that do not have any connection with the securitised exposure or the exponential activity, such as significant changes in tax legislation or other legislation.

38) The nominal size of the percentage of the amount of the pool of lucktowed exposures shall be the nominal size of the amount of the cash pool of the securitisation, where the proportion in question determines that part of the payment flow. from the principal, interest and other associated amounts, which are not available for payment to holders of securitisation positions and which are not intended for the investor ' s capital interest.

39) The capital interest of investors shall mean the nominal size of the remaining share of the pool of towed amounts of the securitised exposures which are subject to securitisation, i.e. the proportion of payment flows available to the holders of securitisation positions.

40) The pool of towed amounts of the revolving exposure to the pkt. 38 and 39 shall be made up in accordance with the provisions of paragraph 1. 18-21.

41) Exposure that connectees to the capital interest of the exponential undertaking shall not be treated as securitisation, but as a pro rata exposure to the securitised exposures which were not covered by these ; securitisation, cf. Annex 3.

42) The risk-weighted items for the investor ' s capital interest shall be made aware that the investor ' s capital interest is multiplied by the product of the relevant conversion factor determined in accordance with the provisions of the provisions of the provisions of the provisions of the provisions of this Directive. 43-48, and the weighted average risk weight that would apply to securitised exposure if they were not securitised.

43) For securitizations of detailing table sponges that you can terminate at any time, without conditions and without prior notice, and where securitisation is subject to a pre-term release which is triggered if the refaction is made to one specified severity, the company must use the conversion factors that are shown in Table 3.

44) In Table 3, Level A levels draw Level A levels for a three-month average-mer-beam-less-than-133.33%-rate-spread. of the level where the spreader is held (withholding), cf. Act. 45, but not less than 100%. of this level. Level B draws levels for a three-month-average mer-spread spread that is lower than 100%. of the level where the spreamer spreader is held but not less than 75%. of this level. Level C draws levels for a three-month-average mer-spread spread that is lower than 75%. of the level where the spreamer spreader is held but not less than 50%. of this level. Level D is designing levels for a three-month-average mer-spread-less-than-50-per-50-year-average. of the level where the spreamer spreader is held but not less than 25%. of this level. Level E draws levels for a three-month average-less-than-25-per-average-spread spread. of the level where the spreamer spreader is held.

45) The time of withdrawal, which is responsible for the calculation of the levels for mer-spread in Table 3, is the level of the mer-spread where the contract is required to hold the reproduction of the spreader. If the terms of the contract do not require the relocation to be retained, the withdrawal date shall be fixed at 4.5 percentage points higher than the level of the more-than the amount-spread where a pre-term waiver is replaced by a pre-term release.

46) An early-time period shall be deemed to have been checked once the following conditions are met :

a) The operator of exposure has drawn up a capital plan and liquidity plan in order to ensure that it has sufficient capital and liquidity in the event of pre-time intake.

b) During the duration of the transaction, interest payments, payments, expenses, losses and results of recovery operations are allocated to the capital interest of the expulent company and investors ' share interest on the basis of outstanding debts ; at one or more reference times of each month.

c) The repayment period is considered sufficient to 90%. of the total towed sum of the securitised exposures (the capital interest of exposure to the expulsion and investors) at the beginning of the pre-date import period either repayable or recognised as being defaulted.

d) The refund shall not be made more quickly than it would be for a linear repayment within the period laid down in (c).

47) For all other securitizations of gunslating exposures subject to a controlled possibility of pre-inage, a conversion factor of 90% shall be used.

48) For all other securitisations of unchecked exposures which are subject to a non-controlled option for early elation, a conversion factor of 100% shall be applied.

49) For an expulating undertaking to make the risk-weighted entries for securitised exposure which are part of a securitisation of low-time exposure, the overall risk-weighted items shall be subject to the risk-weighting of the risks for the purposes of early release. its positions in the investor ' s vested interest and the risk-weighted items shall not be greater than the highest of the following values :

a) The risk-weighted items calculated in respect of its positions in the investor ' s capital interest, or

b) risk-weighted items to be collected for securitised exposure, if they were not securitised with an amount equal to the investor ' s capital interest.

50) Net profits resulting from the capitalisation of future revenues from which the base capitale is deducted pursuant to section 129 (4). 5, in the Act of financial activities, shall not be taken into account by the balance of the maximum amount for the risk-weighted items indicated in point. 49.

Treatment of securitisation positions for IRB institutions

51) If the company uses the IRB method of credit risk (IRB institutes), cf. section 19-33, it shall make the risk-weighted items for securitisation positions in accordance with the provisions of the provisions of the provisions of this Directive. 52-89.

52) The risk-weighted amount for a securitisation position shall be calculated by multiplying the size of the exposure, cf. Act. 57-63, with a risk weight based on the positive quality of the positioning, which can be determined from a rating from an approved credit rating agency or otherwise, cf. Act. 64-84.

53) In addition, an expulating undertaking or an organizing company which allows the exposures to be included in securitisation which includes a possibility of early-release, shall also make the risk-weighted posts for the person concerned ; the capital interest of the operator and the investor ' s capital interest in accordance with the provisions of the provisions of the provisions of this Directive. 85-89.

54) The risk-weighted lines for a securitisation position attached to a risk weight of 1,250 pct; may be reduced by 12.5 times the amount of any depreciation or other value regulation that the undertaking has made in relation to them ; securitised exposures. To the extent that depreciation or other value regulation is taken into account in this respect, account shall not be taken of these in the context of the calculation, which is indicated in Annex 8, point. 256.

55) The risk-weighted lines for securitisation power can be reduced by 12.5 times the amount of any depreciation or other value adjustment carried out by the undertaking with regard to securitisation positions.

56) An expulating company, an organizing company or other companies which can make Kirb, may reduce the risk-weighted items charged for its positions in securitisation to the size of a result ; capital requirements, equivalent to 8%. of the risk-weighted items which would be discharged if the securitised exposure were not securitised and placed on the balance of the company plus the expected losses for the exposure concerned.

Size of the exposure (IRB institutes)

General (IRB institutes)

57) The size of the sponsor for a balance sheet securitisation position is made up to its value prior to depreciation or other value adjustment.

58) The size of the sponsor for a non-balance-sheet securitisation position shall be made up to its nominal value other than securitisation positions in the form of certain cash-flow facilities, cf. Act. 60-63.

59) The provisions of the act. Articles 20 and 21 shall apply mutatis mutis to undertakings using the IRB method.

Liquidation facilities (IRB institutes)

60) For non-ratty liquidity facilities that satisfy the requirements of the furtive. 22, which can only be used in the event of a general market disturbation, cf. Act. 23 may be used as a converter factor of 20%. on the nominal value of the liquidity facility.

61) For non-ratty liquidity facilities that satisfy the requirements of the furtive. 24 may be used as a converter factor of 0%. on the nominal value of the liquidity facility.

62) For non-ratty liquidity facilities that are risk weighed according to the provision in point. 77 may be used as a converter factor of 50%. on the nominal value of the cash-flow facility, if the original maturity is one year or less. If the cash-flow facility meets the requirements of the Pct. 60 may be used by a converter factor of 20%.

63) For all other liquidity facilities other than those referred to in the case of the item. 60-62, a conversion factor is applied to 100%.

Risk weights (IRB institutes)

Selection of method (IRB institutes)

64) A securitisation position with rating from an approved credit rating agency, cf. in Annex 6, or with a derived external rating, cf. Act. 68, or a transferred external rating, cf. Act. '69 and 70 shall be assigned a risk weight according to the' rate-based method ' described in point. 71-75.

65) Positions without rating from an approved credit rating institute and without a derived external rating, cf. Act. 68, or a transferred external rating, cf. Act. Sixty-69 and 70 can be assigned a risk weight in accordance with the "prudential formula method" as described in point. 76 and 77.

66. A company that is neither an exponential undertaking or an organizational undertaking shall seek the prudential supervision of the supervisory formula.

67) Positions without rating from an approved credit rating institute and without a derived external rating, cf. Act. 68, or a transferred external rating, cf. Act. Sixty-69 and 70 shall be assigned a risk weight of 1,250%. in the following cases :

a) The company is an exponating or organizing company, but is not able to calculate the Kirb during the prudential formula method.

b) The company is not an exponential or organizational company and has not been allowed to use the supervisory formula method.

Derived External ratings

68) When the following operational minimum requirements are met, a non-rated position shall be allocated to a rating equivalent to the best rating allocated to positions in securitisation with an external rating from an approved credit rating agency (the reference positions) where these positions in all respects are complied with by the relevant non-ratty securitisation position :

a) The duration of the reference positioning shall be equal to or longer than for the non-ratted position in question.

b) All derivative ratings must be updated continuously to reflect any changes to the rating in the reference positions.

Inherit external ratings for positions in ABCP applications

69 The company may apply for the Financial Availability's permission to use a transferred rating, derived from an internal evaluation of the positive quality of the positioning in accordance with the provisions of the provisions of the provisions of this Directive. 70, for positions without a rating from an approved credit rating agency in connection with ABCP applications. Authorisation requires the following conditions to be fulfilled :

a) All debt instruments which are issued under the ABCP programme shall be rated by an approved credit rating agency.

b) The company must be able to reimbursews to the Financial Authority that its internal assessments of the credit quality of the position reflect the publicly available valuation method used by one or more accrediting credit rating agencies in connection with with the rating of securities with security in exposure of the type which securitides. The requirement that the rating method of the rating agency should be publicly available may be waived in accordance with the authorisation of the Financial supervision, if specific characteristics of securitisation-such as a unique structure-are not yet to be granted, the public rating method is publicly available.

c) The credit rating agencies, which have drawn up an external rating for the debt instruments issued in the context of the ABCP programme, shall be included among the rating agencies referred to in (b). The quantitative factors-such as the stress factors-which are used in the assessment of whether a position corresponds to a particular credit quality must be at least as cautious as those used in the relevant assessment method of the relevant method, CRAs.

d) In developing the method of internal evaluations, the undertaking must take account of relevant published ratings by approved credit rating agencies, which assesses debt instruments in the ABCP programme. The undertaking shall demonstrate how this is done, and regularly updated the comparison with relevant published ratings methods as described in point g.

(e) The method of internal assessments must include rating classes. There must be consistency between these steering classes and the rating agencies approved by the rating agencies. This connection must be documented.

(f) The internal impact method must be used in the company ' s internal risk management processes, including by decision making, the management of the management and the capital allocation.

g) The internal or external auditors, a credit rating agency or company ' s internal credit risk control unit or risk management unit must periodically carry out a review of the method of internal assessments and the quality of internal audits ; ratings of the quality of the credit quality of the company ' s exposure to an ABCP application. If the company ' s credit risk control unit or risk management unit performs the review, these must be independent of the ABCP application business environment and customer relationships.

(h) The company must record the results of its internal ratings over time to evaluate the method of internal assessments. It shall make adjustments to the method when the rating of the exposure is periodically different from the farmer according to the internal rating.

i) The ABCP programme must be subject to guidelines for credit and investment. Where a decision is to be taken on the acquisition of an asset, the ADCP programme must assess the type of asset to be acquired, type and the economic value of the exposure to liquidity facilities ; and credit enhancements, loss of losses, as well as the legal and economic isolation of the derived assets from the unit that is selling assets. An analysis of the asset ' s credit risk profile must be analysed, which shall include analyses of the past and anticipated economic performance, the current market position, expected future competitiveness, leverage, payment flows, Interest coverage and debt rating. In addition, a review of seller's credit policy must be carried out, the capacity to service its lending portfolio and business performance for the recovery of amounts due and other charges related to the securitised assets.

j) The credit policy of the ABCP programme shall include minimum criteria for the approval of assets, in particular :

70) The company must place the unratted position in one of the rating classes that are described in point. 69 (e). The position must be assigned a transferred external rating, which is the same as the rating from an approved credit rating agency corresponding to the level of rating to be determined in point. 69 (e). When this transferred external rating at the beginning of securitisation corresponds to "investment grade", the transferred external rating may be regarded as the same as an external rating carried out by an approved credit rating agency in connection with the calculation of the risk-weighted posts in accordance with the method in point. 71-75.

Rating-based method (IRB institutes)

' 71) The company shall make the risk-weighted amount of a securitisation position with a rating, cf. Act. 64, using a risk weight in accordance with Table 4, for positions with a rating which is not short-sighted or table 5, for positions with a short-term rating. The relevant risk weight is multiplied by a factor of 1.06.

72) The risk code of the column A of the two tables shall be used when securitisation positions are securitisation's best-tranche, cf. Oh, my. 73 and 74. In determining whether a tranche is the most appropriate, the amounts due to be due under contracts relating to interest and exchange derivatives, due fees or equivalent payments may be discharged.

73) A risk weight of 6% may be used. in the case of a securitisation position of the best-placed tranche, if this tranche is in any way, a different tranche in the same securitisation which has a risk weight of 7%. in accordance with the act. 71, provided that :

a) The SEC considers this to be justified as a result of the trailing trancher's ability to absorb losses within securitisation, and

b) either has an external rating or a transfer external rating corresponding to the credit quality stage 1 in Tables 4 or 5, or, if it is a position of a derived rating if the reference position can be considered a position in a I put in a tranche that would get a risk-weight of 7%. in accordance with the act. 71.

74) The risk weighting in the table 4 and 5 shall be used when the position is in securitisation, where the actual number of securitised exposure is lower than six. When calculating the "actual" actual number of securitised exposure, multiple exposure to the same lender shall be treated as a single exposure. The "actual" number of exponates is calculated as :

75) The risk weights in the column B of table 4 and 5 shall be applied to all other positions other than the positions under section. 72-74.

The method of vision (IRB institutes)

76) Where the risk weight of a securitisation position is determined in accordance with the prudential formula, the risk weight must be the largest of 7%. or the hazard weight that is calculated in accordance with the following, cf. Oh, my. 77 :

Special provisions for cash-flow facilities when Kirb cannot be calculated

77) When it is not practicable for the establishment to make the risk-weighted outlines for securitised exposure, as though they were not securitised, the undertaking may be able to balance out the risk-weighted items for a non-rated securitisation position in the form of a cash-flow facility that satisfies the conditions in the case of the liquidity. The authorised use of the highest risk weight given in Annex 3 to any of the securitised exposures should be temporarily applied in exceptional circumstances and with the grant of the financial system, provided that in accordance with Annex 3, they would apply to any securitised exposures. The size of the sponsor shall be discharged in accordance with the method in the furtive. 62.

Credit trilateral coverage for securitisation positions (IRB institutes)

78) In the calculation of the risk-weighted items for securitisation positions, the undertaking may include the effect of the following types of credit cocuse under the steering-rate method and the method of supervision :

a) Guarantees and credit derivatives, cf. Annex 7 or, where appropriate, Annex 9.

b) Financial certainties, cf. Annex 7

c) Other credit risk coverage, cf. Annex 7.

The ratting method

79) When the risk-weighted items are collected using the steering rate method, the size and / or risk-weighted lines of a securitisation position covered by credit-coating shall be amended in accordance with the provisions ; in Annex 7.

Adoptical method-full credit-coasive coverage

80) When the risk-weighted items are collected by means of the supervisory formula, the company shall determine the ' actual ' risk weight for the position. This shall be done by divisive the risk-weighted items for securitisation positions with securitisation positions, cf. Act. 57-59, and the result of 100.

81) When a securitisation position is covered by financial security, credit linked notes or other credit risk cover, cf. Act. 78, the risk-weighted items for securitisation positions shall be achieved by multiplying the value of the fully adjusted size of securitisation spositions E*, cf. Annex 7, point. 70, (where E is securitisation station's size, cf. Act. '57-59'), with the 'actual' risk weight.

82) When a securitisation position is covered by credit risk coverage in the form of a guarantee or a credit derivative, except for a credit-to-note note, the risk-weighted items for securitisation positions shall be discharged by multiplying G A (The guarantee or credit derivatives coverage adjusted for possible currency-mismatch and maturity mismatch, cf. Annex 7, point. The risk weight of the hazmat shelter is 28. This amount shall then be added to the amount obtained by multiplication of the amount of the securitisation position, cf. Act. 57-59, deduced the amount covered, G A with the actual "actual" risk weight.

Adoptical method-partial credit risk-coafcover

83) If the credit risk cover covers the ' first loss ' tranche or cover proportionate losses on securitisation, the company may apply the provisions applying to full credit coaxing, cf. Act. 80-82.

84 In other cases, the company must treat securitisation positions as two or more positions, and the non-covered part should be considered to be the position of the lowest credit quality. When taking into account the risk-weighted items for the position of the lowest quality of credit, the provisions shall be laid down in a furtive. 76 use, however, with the following changes :

a) T must be changed to E * in the context of financial certainties, credit linked notes or other credit coccocsis, cf. Act. 78, and to T-g when there is a credit risk covering the form of a guarantee or a credit derivative other than credit linked notes, where :

Additional provisions for securitisation of revolving exposures involving early-inlet (IRB institutes)

85) The provisions of the act. However, 34 to 50 shall apply to securitisation under the IRB method of credit risk, however. The 38-41 is replaced by a fury. 86-89.

86) The capital interest of the exponating undertaking shall mean the sum of :

a) The nominal size of the proportion of the pool of lucktowed amounts of the amount of exposures shall be subject to securitisation where the proportion in question determines the part of the balance of payments from the principal, interest and other associated amounts, which are not available ; available for payment to the holders of securitisation positions and which are not left to the capital of investors.

b) The nominal size of the proportion of the amount of untowed amounts of unwithdrawn amounts of the securitisation corresponding to the proportion of the nominal size of the amount referred to in point (a) shall be the pool of lucktowed amounts, and which : it is a vested interest of the investors.

87) For the purpose of investors ' holdings, the nominal size of the amount of the pool of lucktowed amounts not covered by a furtive shall be taken into line. 86 (a), plus the amount of the share of the pool of non-towed commitments, where the corresponding towed amounts are covered by securitisation which do not fall under point. 86 (b).

88) The pool of towed amounts and extracted commitments on the revolving exposure to the pkt. Articles 86 and 87 shall be made in accordance with the provisions of paragraph 8. 57-59.

89) Exposure which is linked to the part of the company ' s capital interest which is covered by the exposure of the operator concerned. 86 (a) shall not be treated as a securitisation position, but as a pro rata exposure to the securitised exposure, as if they were not subject to securitisation, cf. Annex 8. Exposure which is linked to the part of the company ' s capital interest which is covered by the exposure of the operator concerned. 86 (b) is made up as a pro rata-exposure to the inferred amounts of the exposures whose drainage amounts are subject to securitisation, cf. Annex 8.

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Appendix 12

Position risk in commercial stock

Scope of application

1) This appendix contains, cf. Section 35, provisions on the standard method of taking into account the risk-weighted items for the positioning risk of debt instruments, shares and shares in collective investment schemes.

2) The provisions of the Annex shall not apply to items outside the trading book, cf. Chapter 3.

3) The provisions of the Annex do not include positions in which the undertaking is authorised to use internal models of market risk (VR models), cf. § 40 and 41.

4) The risk-weighted positions of the trading book are comprised of the following parts :

a) The positioning risk of debt instruments.

Nettopositions and so on.

5) A long position means a position which provides a win-win at a rate increase / rate reduction for the given securities or derivative. Acquired call options and sold input options are covered by the definition of a long position.

6) A short position means a position which gives a loss at a courier-rate increase / rate reduction for the security or derivative of the securities concerned. Sold call-options and acquired input options are covered by the definition of a short position.

7) In a net position, the difference between the length and the short position of identical securities and derivatives is the difference between the long and short position.

8) For a synthetic card or long position, a short or long-standing position means a short or long position which cannot be taken into account with other positions in the inventory of net positions.

Decision of delta and delta values for options and similar derivatives

9) For delta and similar derivatives and related derivatives, based on interest, debt instruments, shares, commodities and currencies, the company may be able to use the delta to be published by the stock exchange on which the options are recorded ; or clearing-central, which will be the termination contracts.

10) The company may as an alternative to the method in the pkt. 9 use their own models for calculating delta for the options concerned. The models must be able to be documented in the supervision of the Financial supervision.

Positioning risk of debt instruments

11) The positioning risk of debt instruments is included in the risk-weighted items with the sum of risk-weighted items for specific risk of debt instruments, cf. Act. 42-57, and risk-weighted items for general risk of debt instruments, cf. Act. 58-93.

Positions that are covered

12) The positioning of the positioning risk of debt instruments includes positions in a variable and fixed-interest debt. These positions include state and mortgage bonds (including extracted bonds), treasury certificates, state debt, corporate bonds, certificates of interest, commercial paper notes, convertible scrips, and similar fixed and variable the debt reindebted, cf. section 10 in the notice of financial reports for credit institutions and brokers ' brokers and others.

Net opositions

13) Each debt instrument shall be subject to their net positions in accordance with their net positions. Act. 7, set up market value according to the principle of enacting principle.

14) Net positions may only be calculated between long and short positions in identical debt instruments. For IPO listed debt instruments, it means that the positions must be in the same font. In the case of other debt instruments, it means that the issuer of the debt instrument, intentional interest, and the return profile and the currency must be identical. Net positions cannot be discharged between extracted and non-extracted bonds in the same font code.

15) In the calculation of the net position, spot and work terminates, as well as the short and long positions, which arise after the division of derivatives based on debt instruments, cf. Act. 17-30. In addition, the inventory shall be included in the inventory of the long and short positions which arise in accordance with the division of the stock-related instruments, cf. Act. 100-111 and which are not stock positions, and the long and short positions which arise after the division of raw material-related instruments, cf. Annex 13, point. 9 and not raw material positions.

16) The net positions shall be allocated according to the currencies of which the positions have been entered and are converted into Danish kroner per year. The day of the day. The weighted amount for the specific risk, cf. Act. 42 and the general risk, cf. Act. 58 is calculated for each currency separately.

17) Obligations and interest-rate futures, forward rate agreements (FRA-Contracts), termination obligations for the purchase or sale of debt instruments, repurchasing operations in debt instruments, options based on debt instruments, interest-rate and other financial resources instruments having equivalent characteristics are divided into long and short positions, cf. Act. 18-24. The calculation of the weighted amounts for the specific risk of these positions and for the positions in the items in the furtive. 26 publicised currency transactions shall be carried out in accordance with the meaning of Forty-three. Unexecuted spot purchases or sales of debt instruments shall be treated in accordance with the provisions of the case. Twenty-five, piracy, currency swaps, currency swaps, exchange rates, currency options and similar exchange transactions are treated in accordance with the furtive. 26.

18) A long bond or interest-rate concentration position is divided into a long position in the underlying instrument or the underlying position of the relevant future and a short position in a debt instrument that falls at the time of delivery of the The future. A short bond or interest-rate concentration position is divided into a short position in the underlying instrument or the underlying position of the relevant future and a long position in a debt instrument that falls at the time of delivery of the The future.

(19) A sold FROM is broken down into a long position in a debt instrument with due date of the time of payment plus the contract period and a short position in a debt instrument which is due to the time of payment. An acquired from a purchased equivalent in a map and a long position.

20) A display of a debt instrument is divided into a long position within the debt instrument itself and a short position in a debt instrument that is due to be due at the time of delivery. A midterm sales shall be divided accordingly in a map and a long position.

21) A rebuyout in the form of spot sales against terminals is included in the inventory as a short position in a debt instrument that falls at the time of expiry of the contract. An inverse-purchase agreement in the form of spotlights against Terminal sales is included in the inventory as a long position in a debt instrument that falls at the time of expiry of the contract. A re-purchase agreement in the form of midterm sales against terminals is included as a long position in a debt instrument that falls at the time of termination and a short position in a debt instrument that falls at the time of the work station. An inverse-purchase agreement in the form of terminals and terminals shall be included in the inventory as a short position in a debt instrument which is due at the time of terminus and a long standing position falling at the time of termination.

(22) In the interest of repurchase agreements and the lending of securities, it shall be withdrawn from the withdrawal of securities in the calculation of the risk-weighted items. In reverse repurchase agreements and loans of securities, the ready-made use of securities is not used in the inventory of the risk-weighted items for positioning or risk.

23) Options based on interest, debt instruments, bond futures, interest-futures or swaps are divided into two positions in the same way as futures, cf. Act. 17, since both positions are multiplied by the delta, made in accordance with the furtive. 9 and 10. Bought callings-options and sold input-options are divided into a long position in the underlying debt instrument and a short position in a debt instrument that falls on its expiration date. Solved call options and purchased input options are divided into a short position in the underlying debt instrument and a long position in a debt instrument that falls on its expiration date.

24) A interest rate, according to which the company receives variable interest rates and pays fixed interest rates, is divided into a long position in a variable-free instrument with a maturity equal to the period up to the next interest rate and a short position in a fixed position ; Interpreted instrument of the same term as the swap. A interest rate, according to which you receive fixed interest rates and pays variable interest rates, is divided into a short position in a variable-free instrument with a maturity equal to the period up to the next interest rate and a long position in a fixed ; Interpreted instrument of the same term as the swap.

25) In the case of unsettled spot purchases, the positions are included in the long positions of the relevant debt instruments, and in the case of unsettled spot sales, the positions are included in the short positions of the relevant debt instruments.

26) Currency management, currency swaps, currency swaps and similar exchange transactions shall be divided into long and short positions corresponding to the payments made by the business. Currency options are split up in a similar way, as the substations are multiplied by the delta, made in accordance with the furtive. 9 and 10.

27) Positions in futures on a bond index may, of the enterprise, can be optionally treated as futurepositions in each of the index, including single-bonds, or as futurepositions within the index itself.

28) If they're in the furs. The concentrations of 27 mentioned futures are treated as futures in each of the bonds covered, each of them, with the weight of which they are included in the index, multiply by the concentration position in the overall index. The positions are also treated as future-deep in the bonds covered.

29) If they're in the furs. The concentrations of 27 mentioned futures in the index themselves are included in the calculation of the specific risk of the weight associated with the maximum weight of the index which is the maximum weight under point. 42-57. For the purpose of calculating the general risk, the positions shall be taken with a duration of the weighted average of the duration of the bond concerned.

(30) In the case of futures based on multiple bonds in which a "cheapest two-dures" principle is applied, the undertaking must, at the time of the calculation of specific and general risk, that these futures are based on the bond that is at the time of the time of the decision ; cheapest to provide in accordance with the contract.

Treatment of credit derivatives by the specification of positioning the positioning risk of debt instruments

31) The company is a liability salesman if it reduces its risk by credit derivatives, and it is a risk that if the credit derivatives are increasing its risk.

32) If no other has been specified, the calculation of risk-weighted items for specific and general risk shall be based on the underlying principal chair of the credit derivatives.

33) In the case of risk-weighted items for specific risk, the company may use the maturity of the credit derivatives rather than the term of the debt commitment. However, this does not apply to "total return swaps".

34) For the purchaser of risk, a "total return swap" means a long position in the general and specific risk and a short position of a short position in a debt instrument with no specific risk and with a term corresponding to the period up to the next ; Interest fixing. For the seller of the risk, a total return swap shall be a short position in the general and specific risk and a long position of a long-term debt instrument with no specific risk and with a term corresponding to the period up to the next ; Interest fixing.

35) For the purchaser of risk, a "credit default swap" does not result in general risk. With regard to specific risks, the purchaser of risk is a synthetic long position in the reference obligation. However, this does not apply if the credit derivatives have an external rating and fulfil the conditions in the furtive. Forty-four or 45. In that case, the buyer of risk is a long-standing position in the credit derivatives. For the seller of a risk, a credit default swap does not present a general risk. With regard to specific risks, the seller of risk has a synthetic card position in the reference obligation. However, this does not apply if the credit derivatives have an external rating and fulfil the conditions in the furtive. Forty-four or 45. In that case, the seller of risk has a short position in the credit derivatives. If a credit default swap involves paying interest rates or consecutive premiums, a buyer and a seller of risk shall take account of the payments as if it were positions in government bonds.

36) For the purchaser of risk, a "single name credit note" means a long position in the credit derivative ' s general risk as a dry-cleaning product. With regard to specific risks, the purchaser of risk is a synthetic long position in the reference obligation. Additionally, the buyer of risk is a long position in the issuer of the credit derivatives. If the credit derive has an external rating and satisfy the requirements in the case of the credit card. Forty-four or 45, the buyer of the risk of the specification of specific risk shall only include a single long position with the specific risk of derivatives. For the seller of a risk, a single name credit note ' s card shall mean a short position in the credit derivatives ' s general risk as a dry-cleaning product. With regard to specific risks, the seller of risk has a synthetic card position in the reference obligation.

37) For both the buyer and the seller of the risk, a "multiple name credit note", which provides proportional protection against each reference commitment ' s share of the basket, a synthetic position in each reference obligation, where the credit derivatives the principal chair shall be allocated to the reference obligations in relation to their share of the basket. If there is a possibility of providing more than one debt obligation in respect of a given reference commitment, the obligation of debt to the highest risk to be included in the calculation of specific risks is the debt obligation. In addition, the buyer of risk is given a long-standing position in the specific risk to the issuer of the derivatives. If a multiple name credit linked note " has an external rating and satisfies the terms in point. Forty-four or 45, the buyer of the risk of the specification of specific risk shall only include a single long position with the specific risk of derivatives.

38) For the buyer and the seller of the risk, a ' first-asset-to-default ' credit derivative is a synthetic position corresponding to the underlying principal of the credit derivatives in each of the reference commitments. If the highest payment in the case of credit events is less than the risk weighted items divided by 12,5, the buyer and seller of risk allow the risk-weighted items for specific risk to be the highest payment in case of the credit events multiplied by 12.5. If the credit derive has an external rating and satisfy the requirements in the case of the credit card. Forty-four or 45, the buyer and the seller of the risk may only set up one target for specific risk reflecting the rating of the credit derivatives.

39) For the buyer and the seller of the risk, a ' second asset-to-default ' means the credit derive from a position corresponding to the nominal value of the credit derivatives in each of the reference commitments, where the risk-weighted items for specific risk are lowest. If the highest payment in the case of credit events is less than the risk weighted items divided by 12,5, the buyer and the seller of credit risk allow the risk-weighted items for credit risk to be the highest payment in cases of credit events multiplied by 12.5. If the credit derive has an external rating and satisfy the requirements in the case of the credit card. Forty-four or 45, the buyer and the seller of the risk may only set up one target for specific risk reflecting the rating of the credit derivatives.

40) If the seller of a risk has the possibility of a pre-termination of the credit derivatives and this option is combined with an increase in the cost of the derivation, the derivation time for the seller of the derivation must be set at the time of this possibility.

41) In the case of a 'nth to default' credit derivative, the seller of risk can make a net statement for the specific risk of non-1 reference commitments with the lowest specific risk.

Specific risk of debt instruments

42) In the calculation of specific risk of debt instruments, the company shall distribute its net positions in the commercial stock in accordance with the provisions of the provisions of this kind. 13-41 of the relevant categories in furtive. 44 to 47, on the basis of issuer / debtor, external or internal credit evaluation and the duration of the term. Nettopositions must be multiplied by the weights indicated. The risk-weighted posts for specific risk shall be calculated as the sum of the net positions where both short and long net positions are part of a positive sign.

43) After the splitting, cf. Act. Both the new positions with zero weights in the calculation of the specific risk are 18, 19, 23 and 24, of FRAs, interest-rate futures and interest rates based on underlying positions. The same applies to currency mining operations, currency swaps, currency exchange futures, currency options and similar currency transactions. By a term obligation to purchase a debt instrument and by a purchased future or an option based on a debt instrument, the short position shall be taken after the division in accordance with the point. the weight of the debt instrument, cf. 18, 20 and 23, with zero weight and the long position. Act. 44-47. In the case of a terminal obligation to sell a debt instrument and by a selling future or an option based on a debt instrument, the long distribution of the zero-weight division and the short position with the weight of the relevant debt instrument shall be taken into account in accordance with the said debt instrument. Act. 18, 20 and 23. A rebuyout agreement will include the short position of zero weight. An reverse repurpose agreement is included in the zero-weight long position. After the division of derivatives based on shares or commodities, cf. Act. 100-111 and furtive. 9 in Annex 9 are included in the non-stock positions, respectively, with zero weight. Unexecuted spot stores are included with the weight in accordance with point. 44-47 for that debt instrument.

44) The following items are included in the risk-weighted items with a weight for specific risk of 0% : Applicable instruments issued or guaranteed by central governments, issued by central banks, international organisations, multilateral development banks, and regional and local authorities. For all, it is a prerequisite that they can be attributed to the credit quality stage 1 or attached to a risk weight of 0%. in accordance with the standard method of credit risk, cf. Annex 3.

45) The following items are included in the risk-weighted items with a weight for specific risk to

46) The following items are included in the risk-weighted items with a weight for specific risk of 100% :

a) Applicable instruments issued or guaranteed by central governments, issued by central banks, international organisations, multilateral development banks, as well as regional and local authorities. For all, it is a prerequisite that they can be attributed to the credit quality stage 4 or 5 according to the standard method of credit risk, cf. Annex 3.

b) Applicable instruments issued or guaranteed by institutions which may be attributed to the credit quality stage 3 in accordance with the standard method of credit risk, cf. Annex 3 and which are not covered by the furtive. 45 (c).

c) Debt instruments issued by institutes which may be attributed to the credit quality stage 4 or 5 according to the standard method of credit risk, cf. Annex 3.

d) Applicable instruments issued or guaranteed by business undertakings, etc., which may be attributed to the credit quality stage (3) or (4) according to the standard method of credit risk, cf. Annex 3.

(e) Exposure to which a credit rating is not available from an approved credit rating agency.

47) The following items are included in the risk-weighted items with a weight for specific risk of 150%. :

a) Applicable instruments issued or guaranteed by central governments, issued by central banks, international organisations, multilateral development banks, as well as regional and local authorities. For all, it is a prerequisite that they can be attributed to the credit quality stage 6 in accordance with the standard method of credit risk, cf. Annex 3.

b) Debt instruments issued by institutes which may be attributed to the credit quality stage 6 in accordance with the standard method of credit risk, cf. Annex 3.

c) Applicable instruments issued or guaranteed by business undertakings, etc., which may be attributed to the credit quality stage 5 or 6 in accordance with the standard method of credit risk, cf. Annex 3.

48) For exposures which are subject to the credit risk-based rating method, cf. section 19-33, the following method applies when a debtor is placed on a credit quality stage in point. 44-47. The debtor shall have an internal rating with a likelihood of default (PD) that does not exceed the likelihood of non-compliance, which is associated with the credit quality of credit in question according to the standard method of credit risk, cf. Annex 3.

49) Covered bonds, cf. Annex 3, point. The risk-weighted items with a weight for specific risk dependent on the weight of specific risk to other debt instruments issued by the same institute shall be taken into account in the risk-weighted items. In the case of special covered bonds, the weights are reduced

a) The weight of 3.125%. in furs. Forty-five is reduced to 1.5625%.

b) The weight of 12.5%. in furs. Forty-five is reduced to 6.25%.

c) The weight of 20%. in furs. Forty-five is reduced to 10%.

d) The weight of 100%. in furs. 46 is reduced to 50%.

(e) The weight of 150%. in furs. Forty-seven is reduced to 100%.

50) With regard to securitisations, which would have to be included with a weight of 1,250%. in accordance with Annex 11 on securitisation, these shall also be included in the trade inventory with a weight of 1,250%.

Specific risk of debt instruments by covering with credit derivatives

General risk of debt instruments

58) Of the act. Eighty-89 is the statement of the risk-weighted items for general risk of debt instruments. The calculation of this is apparent from the fury. 59-88.

Modified duration

59) In the calculation of general risk of debt instruments, the net positions shall be made in accordance with the provisions of the net. Act. 13-30, among other weights with their modified duration. In addition, they must be weised in accordance with the furtive. Seventy-three. The modified duration specifies the percentage change in a debt instrument rate by a change in interest rate of 1 percentage points. The modified duration is measured this year. Of the act. Sixty-70 is apparent how modified duration is calculated.

Modified Duration Calculation

60) The modified duration shall be calculated for all positions, including the positions which arise after the division of positions in derivatives.

61) The modified duration shall be calculated by dividiating the duration of the relevant debt instrument with a 1 + r where the effective interest rate shall be used.

62) The duration and duration of the modified duration shall be calculated on the basis of the effective interest rate according to the following formula, cf. Oh, my. 65-70.

63) The effective interest rate is in effect. 62 is calculated as follows :

a) In the case of fixed transferable securities, the effective interest shall be calculated on the basis of the commercial value of the valueable market. For variable-interest debt instruments, the effective interest shall be calculated in the same way, but in the assumption that the principal of the debt instrument is decreed at the time of the interest rate next time.

b) In the case of the positions arising from the breakdown of the FROM ' s and futures based on interest and debt securities, which are not positions in transferable securities, the effective interest rate shall be the interest rate of a contract loan or loan of the same maturity interest rate.

c) In the case of the positions arising from the breakdown of swaps, the applicable swers shall be used at the time of the time of execution.

d) In the case of the positions which arise in the division of positions in options, the same method shall be used as in futures, as the positions are also multiplied by the part-ta of the department.

64) The company may instead calculate the modified duration in point. 62 against the background of a calculated zero rate interest structure. In such a case, the company must be able to document the calculation models that the company uses for the Financial supervision.

Calculation of modified duration for special instruments and so on

65) For IPO listed debt instruments, the company may use the duration and modified duration values published by the relevant stock exchange or clearing-up solution.

66. For variable-interest debt instruments, the principal of the debt instrument shall be assumed at the time when the interest rate may be changed next time.

67) For debt securities which may be obtained by the issuer ' s initiative to the pari prior to the expiry date of the debt debt securities (converter bonds), or which has a interest rate (guarantee bonds), the modified duration shall be reduced by the factors which : be published by the Financial supervision. However, the company may choose instead to use own calculation models for the calculation of duration and modified duration in converter bonds and / or guarantees bonds. The company must inform the Financial supervision of the models that the company uses for this purpose.

68) The duration of extracted bonds and other debt instruments shall be made equal to the duration of the period until the time of introduction. For extracted bonds shall not be deducted from the conversion risk or interest rate.

69 For other debt instruments which may be obtained to a fixed rate before expiry, the company may reduce the duration of a factor reflecting the conversion risk calculated according to the company's own calculation models. The company must inform the Financial supervision of the models that the company uses for this purpose.

70) In the case of the positions which arise from the division of derivatives and which are not positions in securities or raw materials, the duration of the modified duration may be reduced by the duration of the duration if it is not possible to establish a market interest rate.

Weights for the condition of interest rate change

' 71) In addition to a weighting of the renal portfolio (modified duration), the net position of the net position of the general risk of debt instruments must be multiplied by weight that depends on the prefixed interest rate change ; that is, interest volatility. The greater the duration of the debt instrument, the lower volatility of the debt is assumed to be on the instrument's effective interest rate, cf. Act. 72 and 73.

72) Positions in debt instruments, including the positions which have occurred following the division of derivatives shall be divided into the following three variations :

73) Each net position in the three duration zones shall be multiplied by one of the following weights that express the predicted interest rate change in each duration zone :

a) Positions in the duration of the duration of 1 : A weight of 12.5%. (corresponding to a rate change of 1 percentage points).

b) Positions in the Duration Zone 2 : A weight of 10,625%. (corresponding to a rate of interest rate of 0,85 percentage points).

c) Positions in the duration zone 3 : A weight of 8.75%. (corresponding to a rate of interest rate of 0,7 percentage points).

74) Positions that have been multiplied by the duration of the modified duration and the emphasis on the prefixed rate of interest shall be designated as the duration-weighted positions.

75) For each duration zone, the sum of the duration-weighted long positions and the sum of the duration-weighted short positions shall be calculated.

Calculation of matching and unmatched positions

76) At a matched position, the smallest of :

77) A variance weighted long position and a range of varied weighted cards shall cover a certain amount of risk in terms of the matched position depending on the difference in the position of the positioning.

78) For a duration weighted unmatched position, the difference between point (a) of point (b) shall be the difference between points (a). 76.

79) The duration-weighted position is long if the sum of the length-weighted long positions is greater than the sum of the duration-weighted short positions, and short, if the opposite is the case.

80) The match is done in a incremental manner within each duration zone and partly between the range zones.

81) There is no possible match between two long or two short positions. In this case, both positions are transferred to the next step of the match. There can also be no match between a short position in a currency and a long position in a different currency. The match shall be made separately for each currency in which the establishment is posited.

First Steps of the Match

82) First, the sum of the duration-weighted long positions in the duration of the duration of the duration shall be matched by the sum of the duration-weighted short positions in the same duration zone. In this way, the varied weighted position in the duration of the duration shall be 1. The difference between the sum of the long and the sum of the short positions shall constitute the unmatched position in the duration of the duration of 1.

83) It matches the summary summers in the duration of the duration of 2 and 3 in the same way.

The second step of the Match

84 The unmatched position in the duration zone 1 shall be matched to the unmatched position in the duration of the duration of the duration of the duration of the duration of the duration of the duration between the duration of the duration of 1 and 2.

85) If, after the matching between the duration zone 1 and 2, an unmatched position in the duration zone 2 shall be matched to the possible number-matched position in the duration of the duration in the duration of the duration in the same way as the match between the duration of the duration of 1 and 2. the varied weighted position between the duration of the duration of 2 and 3.

86) The company may choose to match the positions in reverse order, that is, that the positions in the duration zone 2 and 3 are matched first, after which the remaining positions in the duration zone two are matched with the position in the duration of the duration of 1.

The third step of the Match

87) If, according to the matches between the duration zones 1 and 2 and between the duration zones 2 and 3, unmatched positions in the duration of the duration of 1 and 3 shall be matched by the latter in the same way as the match between the duration of the duration of 1 and 2. the varied weighted position between the duration of the duration of 1 and 3.

Weights of matched and unmatched positions

88) The duration-weighted positions in each duration zone (the match ' s first step) between the duration zones 1 and 2 and between the duration of the 2 and 3 (the second step of the match) between the duration zones 1 and 3 (the number ' s third step) as well as the remaining items ; the unmatched duration-weighted positions are multiplied by the following weighs in the calculation of the general risk :

a) Weight 0.02 : The sum of the varied-matched positions in each duration zone.

b) Weight 0.4 : The duration-weighted positions between the duration of 1 and 2 and between Duration zones 2 and 3.

c) Weight 1.5 : The duration-weighted position between the duration of the duration of 1 and 3.

d) Weight 1,0 : The duration-weighted unmatched positions.

89) For each of the currencies in which the company has positions, all of the weighted amounts shall be added to the furtive. 88 together. The sum of all the amounts is the risk-weighted items of general risk of debt instruments.

90) For the calculation of the weight of the weights for the general risk, cf. Act. 88, the company may replace the positions in debt instruments and derivates, etc., with the net payment currants from the positions, cf. Act. 91-92. The method must in such cases be applied to all such positions in the trade inventory. However, in accordance with the authorisation of the Financial supervision, the company may use it in furtive. 91-92 led the way in a part of the trading book.

91) The net payment currents are calculated by calculating that the payment flows of the debt instruments based on an interpolation model are allocated to selected renal purity points at least one renal point of purity at each of the following intervals :

92) For each rendition point, the net payment current is calculated by withdrawing the sum of payments from the sum of payments. The rendition of each net payment stream shall then be assessed from the independent interest rate changes in the portfolio of the rendition of the Commission. This includes the net payment flow in each of the rendition point in the inventory in accordance with the point of the inventory. Eighty-eight. Positive net payment flows are a long-term position, and negative net payment flows are a short-distance. The sensitivity measured at the interest rate for the resulting net payment flows shall be the same as for the underlying payment flows. Separate calculations shall be made for each currency in which the company has positions in, including : Danish kroner. The model must be able to be documented with the Financial supervision.

93) A company choosing to calculate the duration-weighted positions of debt instruments according to the principles of furtive. The approval of these principles is not possible without the approval of these principles without the approval of the Financial Authority without the approval of the financial system.

Stole risk of shares

94) The positioning risk of shares is part of the risk-weighted items with the sum of risk-weighted items for a specific risk of stocks, cf. Act. 112, and risk-weighted items for general risk of shares, cf. Act. 113.

Positions that are covered

95) The balance of the stock position of shares covers the following :

a) shares in shares and other holdings, cf. Section 5 (5). 4, in the law of financial activities.

b) shares in shares and shares created by the distribution of derivatives based on shares and stock index.

Net opositions

96) Each stock shall be part of their net positions in accordance with their respective net positions. Act. 7, set up market value according to the principle of enacting principle.

(97) The inventory shall include spot and work terminus, and the short and long share positions which arise after the division of derivative instruments based on shares, cf. Act. 100-111.

98) In the calculation of net positions in shares, a net account shall not be made between different stock classes, between shares listed on different stock exchanges or between convertible bonds and so on and the shares which the debt securities can are converted to.

99) Net opositions in foreign currency shall be converted into Danish kroner per year. the day of recovery before the calculation of the specific and general risk.

100) Bought and sold options and futures on individual tactics, commitments to the purchase or sale of shares and other derivatives with similar characteristics are broken down in long and short positions, cf. Act. 101-106.

101) A purchased future on a single game is divided into a long position in the underlying stock and a short position in a debt instrument that falls at the time of delivery of the future. The short position is included in the calculations in accordance with the point. 42-93. A sold future on a single tactie shall be divided up accordingly in a short position in the underlying share and a long position in a debt instrument that falls at the time of delivery of the future. The long position is included in the calculations in accordance with the point. 42-93.

102) A work station is divided into a long-standing position within the asset itself and a short position in a debt instrument that falls at the time of delivery of the stock. The short position shall be included in the calculation in accordance with the meaning of point. 42-93. A display sale of an shares is similar in a short position in the stock and a long position in a debt instrument that falls at the time of delivery of the stock. The long term is included in the calculation in accordance with the point. 42-93.

103) Repurchase agreements and retracted rebuyers as well as loans and loans of shares are treated according to the same principles as specified in the furtive. 21 and 22.

104) A swap according to which the firm pays firm or variable rates and receives a return on the development of a stock price or a share index, split into a short position in a debt instrument and a long position in it underlying share or share index. The short position must have a maturity equal to the duration of the swapping period (at fixed interest rate) until the period up to the next interest rate (by variable interest). A swap according to which you will receive fixed or variable interest rates and pay a service that depends on the price of an asset or share index, are divided into a long position in a debt instrument and a short position in it underlying share or share index. The long term must have a maturity equal to the duration of the swapping period (fixed interest rate) until the period up to the next interest rate fixing (by variable interest).

105) Options based on shares and share index are split into two positions in the same way as futures, cf. Act. In addition, 101, since both positions are multiplied by the delta, made in accordance with the furtive. 9 and 10.

106) Warrants, including warrants issued by a person other than the emitter of the underlying securities (covered warrants), are treated in the same way as options.

107) In the case of unsettled spot purchases, the positions are included as long positions in the shares in question, and in the case of unsettled spot sales, the positions are included in the short positions of the shares in question.

108) Positions in futures on a stock index may be polated by the enterprise to be eligible to be treated as futurepositions in each of the individual tactics within the index or as futurepositions within the index itself.

109) If they're in the furs. The 108 mentioned futures are treated as futures in each of the shares covered, each of them shall be included with the weight by which they are included in the index, multiplied by the position of the future position in the total index. The positions are, by the way, are being treated as futurepositions in the shares covered.

(110) If they're in the furs. 108 mentioned futures are treated as futures in the index itself, are included in the positions below the following prerequisites in the projections of the general risk in point. 113, but not in the calculations of the specific risk in furs. 112 :

a) The shares in the index are liquid.

b) The number of shares in the index is at least 18.

c) The shares in the index represent at least 3 main industries.

d) The composition of the index will be adjusted periodically with a view to the fact that the index is held in a liquid and diversified basis.

111) In any case other than the furtive. 110 mentioned the concentration positions in the index, in the calculations of both the general and the specific risk.

Specific risk of shares

112) The total gross position of shares in shares shall be calculated as the sum of long net positions plus the numerical sum of the short net positions. To cover the specific risk, the overall gross position shall be included in the risk-weighted items with a weight of 50%.

General risk of shares

113) The inventory of the total net position in shares contains the following steps :

a) For each currency-intime Danish kroner-in which the company has shareholding positions, the difference shall be made between the sum of long net positions and the sum of the short net positions.

b) Numeric values of the split differences are added together.

c) To cover the general risk, the sum of the sum collected shall be included in the risk-weighted items with a weight of 100%.

Positioning in collective investment schemes

114) The risk-weighted positions of collective investment schemes in the trading book shall be set up in accordance with the methods used in point. 115-122.

115) Unless, of course, the company uses the methods described in the act. In 119-122, collective investment schemes shall enter into the risk-weighted items with a global weight for specific and general risk of 400%. However, the positions cannot be covered by a weight exceeding 500 pct;, for the sum of specific risk, general risk and exchange rate risk, cf. Annex 14, point. 10-17.

116) In the case of collective investment schemes which meet the criteria in the case of collective investment. 118, the company may dissolve the risk-weighted items according to the methods used in a furtive. 119-122.

117) Unless this is explicitly stated in the act. 118-122 may not be net balances between positions of collective investment schemes and other positions that the undertaking has.

General requirements for collective investment schemes

118) The following general requirements are required to apply the methods in point. 119-122 :

a) The prospectus or equivalent document of the collective investment scheme must contain the following :

Specific methods for collective investment schemes

119) If, on a daily basis, the company is aware of the underlying investment of the collective investment scheme, the company may use these underlying investments in order to make the risk-weighted posts for specific and general risk ; in accordance with this Annex. Net balance in accordance with the furtive. 7 are permitted between positions of the underlying investments of the collective investment scheme and the other positions of the company, provided that the undertaking has a sufficient quantity of shares to perform a solution or to an exchangetrust fund ; underlying investments.

120) If the investment of the collective investment scheme copies an index or basket of securities, the company may treat positions in the scheme as if the company had positions in the securities that are included in the index or basket. This requires, however, that the following are fulfilled :

a) The purpose of the collective investment scheme according to the statutes is to copy the composition and the results of an external index or a basket of shares or debt instruments.

b) The correlation coefficient between the daily prices of the collective investment scheme and the daily prices of the index or the basket of securities must over a period of not less than 6 months shall be at least 0,9.

121) If, on a daily basis, the company does not know about the underlying investment of collective investment scheme, the company may raise the risk-weighted items for specific and general risk in accordance with the methods laid down in this Annex, if : the following conditions have been met :

a) The undertaking must provide that the collective investment scheme has invested so much, it has the possibility under its statutes and other relevant provisions, in the categories of assets which provide the highest risk items for the sum of : specific and general risk. The company must then predict that the scheme has invested as much as possible in other asset categories, and it must continuously be assumed that there is investment in the remaining asset category where the sum of the risk-weighted posts for specific and overall risk is greatest. The company shall have to predict that the positions thus calculated are positions that the company directly has.

b) In the calculation of risk-weighted items for specific and general risk, the company shall take into account the highest indirect risk that it may have by means of collective investment scheme gearing its risk. This must be done in a proportionate way to increase the position of the collective investment scheme similar to the largest positions which may have in the underlying investments in accordance with its statutes and other relevant provisions.

c) If the sum of the risk-weighted items for specific and general risk shall be done in accordance with this point. exceeds the requirement in a furtive. One hundred and fifteen. That's the requirement in the pit. One-fifteen-four.

122) The company can base itself on a calculation and reporting from third parties as to the risk-weighted posts for specific and general risk of positions in collective investment schemes. This must be done in accordance with the methods of furtive. 119-121, and the company must be appropriately confident that the reporting is correct.

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Appendix 13

Raw alert risk

Scope of application

1) This appendix contains, cf. Section 38, provisions on the standard method of taking into account the risk-weighted positions in raw materials derivatives.

2) Both entries in and outside of the trade holdings are included in the Annex.

3) The provisions of the Annex do not include positions in which the undertaking is authorised to use internal models of market risk (VR models), cf. § 40 and 41.

Statement of raw material risk

4) Positions in raw material derivatives shall be included in the risk-weighted items with the sum of the weighted amounts, cf. Act. 11 and 12, discharged for each raw material.

5) Spotprices for the individual raw materials are made up in Danish kroner on the time of recovery.

6) The inventory shall include short and long commodity positions which arise after the division of raw materials derivatives, cf. Act. 9.

7) In the calculation of the net positions in raw materials, only a net inventory shall be made between positions in identical raw materials.

8) Positions in gold-based derivatives are not part of the declaration of commodity risk, but in the establishment of the company ' s currency position, cf. Annex 14.

9) Purchased and sold options and futures on raw materials and other derivatives with corresponding characteristics are divided into long and short positions according to the same principles as set out in Appendix 12, point. Eighteen and 23.

10) Positions in raw materials derivatives which are identical in relation to raw material, positioning size, expiration dates and instruments, but are short and long positions, weighs with zero.

The total net position of the net in each commodity,

11) A net position of net positions for each raw material shall be set up. Expiration time and per. instrument. The sum of the long net positions in the net, minus the numerical sum of the short net positions in a raw material, shall be the total net position of the raw material. The total net position in each raw material weighted by 187,5%.

The gross gross position in each raw material

12) The sum of long net positions per year. Expiration time and per. instrument plus the numerical sum of short net positions per one. Expiration time and per. the total gross position of the raw material in a raw material is the total gross position. The total gross position in each raw material weighted by 37,5%.

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Appendix 14

Exchange Rate Risk

Scope of application

1) This appendix contains, cf. Section 39, the standard method for taking into account the risk-weighted positions in foreign currency and gold.

2) Both entries in and outside of the trade holdings are included in the Annex.

3) The provisions of the Annex do not include positions in which the undertaking is authorised to use internal models of market risk (VR models), cf. § 40 and 41.

Currency Exchange Rate

4) In the inventory in accordance with this Annex, the positions in point shall be included in the inventory. 5-18. Positions are set up as specified in furs. 19-27. The risk-weighted positions in foreign currency and gold shall be made as Indicator 1 in accordance with the method in point. Twenty-eight and nine.

Currency-positions covered by the statement

Currency, etc., which are covered by the inventory

5) The exposition includes all foreign currencies.

6) Positions in gold-based derivatives are part of the inventory of the company's currency position and are calculated and weighted as well, according to the method specified in this Annex. Gold is seen in this Annex as a currency.

Positions covered by the inventory

7) In the calculation of the position of the single currency, intermediation ends in the currency in question, where the company itself bears the exchange rate risk. This applies to both posts in and outside the trade book.

The following positions are included :

a) Net spot position (i.e. all asset items minus all the passivity items, excluding own funds, including on the run-down, but not yet due interest as well as unexecuted spot stores in the currency concerned).

b) Net Terminated point sitions (i.e. any amount that will be included, minus all amounts to be paid pursuant to the currency mining operations, the currency futures and the underlying principal chair of the currency swaps, which are not included in the spot position).

c) Iricible guarantees and similar instruments that will be effective in safety.

d) The net participation value of the total amount of the currency options, in accordance with the principles set out in Appendix 12, shall be furtive. 9 and 10.

(e) The market value of options entered into in foreign currency but which is not currency options and the market value of certain other financial instruments, cf. Act. 23, point (i).

8) In the case of intermediates in foreign currency, the value of petals whose value is regulated in relation to the exchange rate of foreign currency shall also be understood.

9) All intermediaries are collected after deduction of depreciation.

Positioning in collective investment schemes

10) By the inventory, in accordance with the meaning of the act. 7 form part of collective investment schemes according to the principles of furtive. 11-17.

11) If the exchange position of the collective investment scheme at the time of the notice, then the inventory shall be required in the calculation. 7 conclude the proportion of those positions corresponding to the company ' s share of the overall investment scheme. The company may base itself on a third-party reporting on the currency positions of the scheme, if it is appropriate to ensure that the reporting is correct.

12) If the establishment does not know the currency positions of the collective investment scheme at the time of the notice, it shall be required by the exposition of the risk-weighted items for the exchange rate risk that the collective investment scheme has invested so much in foreign currency which the scheme may be provided for under its statutes and other relevant provisions. The company must take account of the highest indirect risk that the company may gain from the fact that the collective investment scheme is undertaking investments in foreign exchange. This must be done in a proportionate way to increase the position of the collective investment scheme similar to the largest positions which may have in the underlying investments in accordance with its statutes and other relevant provisions.

13) By balance in accordance with the furtive. 12 shall be treated as a separate currency by the prefixed indirect currency position by the collective investment scheme.

14) If the undertaking is aware that the collective investment scheme at the time of execution has a long net position in currency, the separate currency shall be the subject of the single currency in accordance with : Act. 13, together with the positions in the currencies in which the undertaking has a long net position, cf. Act. (b) 29 (a)

15) If you are aware of the fact that the collective investment scheme at the time of the time is a short net position in currency, the numerical value of the separate currency shall be the subject of the single currency in accordance with the procedure for the purposes of the establishment. Act. 13, together with the numerical values of the positions in the currencies in which the undertaking has a short net position, cf. Act. 29 (b).

16) If the undertaking does not have a knowledge of whether or not the collective investment scheme at the time of execution has a long or short net position in currency, then a merger must be carried out in accordance with the provisions of this Regulation. Fourteen and a merger in accordance with the pkt. 15.

17) In the inventory, in accordance with the act. In the case of 12 to 16, net balances shall not be carried out between indirect currency positions via the collective investment scheme and the other currency positions of the company.

Non-included positions

18) The following exchange value ends are not included :

a) Currency intermediates in connection with pool systems, where the whole positive return is to customers, and the whole negative returns of the customers.

b) Guarantee debtors and warranted guarantees, with the exception of guarantees which will be effective.

c) Future, familiar, non-financial performance records, such as salaries, fees and the rent.

d) Derived derivatives with one or more foreign financial instruments as the underlying asset (s), where the principal and the yield are fixed in Danish kroner.

Statement of Positions

Account to open net positions in the individual currencies

(19) The open net position in a currency shall be calculated as the difference between the sum of the long positions and the numerical sum of the short positions of the currency in question in accordance with the meaning of the relevant currency. 7-17.

20) The net opopositions of each currency shall be converted into Danish kroner on the market place rate at the time of the time of execution.

Value hire of intermediender

21) In the case of valuation of intermediation in foreign currency, the company must use the present value, cf. Act. 23.

(22) In the case of certain intermediate yards, there is the possibility of an alternative statement, cf. Act. 24-27.

Value employment by using the present value

Alternative valuation method

24) In the case of the balance sheet in the individual currency, the following shall be the opportunity for the following intermediate value to use the following alternatives to the value function of the ICT. 23 :

a) Fixed loans, deposits, correspondents and trailing capital deposits may be included in accordance with the valuation rules of the quarterly and annual reports. The company may fail to include debts owed and interest rates.

b) For valuekeeping, valutaterminsstores, currency spotshops, currency-store exchange futures, exchange rates and currency swaps, the calculation of the present value based on the market interest rate is replaced by the present value based on a historic market interest. This presupts that the intermediate is covered by another one that has the same present value at the time of the historic interest rate and that the other intermediate is also included in the present value at the time of the historic interest. Furthermore, the company may refrain from including debts owed and interest rates.

25) The company must, as far as possible, apply the present value principle for the intermediings concerned.

26) Spaces that are not covered by the furtive act. 24, must always be included with the current value, cf. Act. 23.

27) Intermediate values used to uncover each other must be included in accordance with equal principles.

Decision of the total currency position

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Appendix 15

Internal market risk models (VR models)

Scope of application

1) This Annex contains provisions for the assessment of risk-weighted items for market risk using internal models, cf. § 40.

2) The internal models that can be used to search for permission to use must be Value-at-Risk models (VR models), based on statistical conditions, the amount (VRs), with a given probability maximum, will lose within a specified period. As a result of fury. 6, the VR number of the models applied for, enter the amount, the company with 99%. The maximum probability will be lost within the next 10 days.

3) Appendix 22 contains a description of the requirements for applications to use internal models of market risk (VR models).

Qualitative requirements

4) The company ' s internal models may only be used for the calculation of market risks if the enterprise ' s internal risk management and controls are adequate and implemented in a reassuring manner. This means, inter alia, that the following qualitative requirements must be met :

a) The models must be closely integrated into the company ' s daily risk management and must form the basis for reporting risks to the management board and management of the company.

b) The company must have a risk control function that is independent of trade functions and which reports directly to the company's management. The risk control function must have a task to design, update and implement your risk management systems, including internal models. The function must be produced on a daily basis and analysing reports on the results of the models, including the reporting of compliance with the requirements laid down in instructions and so on. The risk control function must also carry out the initial and running validation of the internal models.

c) The company ' s management board and management must be active in the risk control process and the risk control operation's daily reports must be dealt with at a level of management that has sufficient powers to reduce the company positions and the risks.

d) The company must have a sufficiently large number of qualified employees in the, control and back office functions and internal audits.

(e) The company must have established control procedures to ensure that the company ' s written instructions and business practices for the use of models are complied with and monitored.

(f) The company must have sufficient evidence to ensure that the models historically have calculated the risks to the business, to reasonably accuracy.

g) The company must frequently carry out extensive stress tests, and the results will be reviewed by the management. The results of the stress tests carried out shall be reflected in instructions and limits to be determined by the Management Board and the Governing Board. The stress tests of the establishment shall include, in particular, the lack of liquidity under pressure market conditions, concentration risk, markets which cannot be traded, the risk of unexpected events (event risks) and the risk of sudden non-compliance ; non-linear products, positions that are "deep out-of-the-money", positions with tenders / supply straps and other risks, which are not sufficiently included in the internal models. The shocks to which the models are exposed must take into account the composition of the portfolio and the amount of time it may take to risk-cover or manage hazards in serious market conditions. The company must use hypothetical portfolios to ensure that models are able to take account of any particular structural circumstances that may arise, such as the base risk and concentration risk. The stress tests of the establishment shall not include the types of risk that the establishment does not, or only insignificant scopes, be exposed to.

(h) An internal audit shall carry out independent reviews of the models, including the use of these in trade and control functions.

i) At least once a year, the company must conduct a review of the models and risk management as a whole, which, at the very least, involves a study of the following :

5) The company must have procedures to ensure that its internal models are adequately validated by people with sufficient qualifications that are independent of the development process of models, in order to ensure that models are well functioning, and take sufficient account of all significant risks. This validation must be carried out in the context of the development of the model, and when significant modeling changes occur. Validation must also be carried out on a regular basis, but in particular in the context of major structural changes in the market or the portfolios composition, which may mean that the models are no longer comprehensive. In line with the development of methods, techniques and market practice, the establishment must ensure that the internal models are in accordance with that. Validation of models must, as well as the back tests, as a minimum include the following :

a) The company must carry out tests indicating that the prerequisites on which the internal models are based are appropriate and neither below-nor overestimates the risks.

b) The company must be in excess of those in the furtive. Twenty-one and 22 specified backtests make their own model validation tests in terms of the risks and structures of the portfolios.

Quantitative requirements

6) The company ' s internal models shall as a minimum apply the following quantitative criteria for the calculation of market risks :

a) Calculation of the company ' s potential risk (VRs) on a minimum daily basis.

b) A sily 99%. confidensinterval.

c) HIthon period corresponding to 10 days.

d) Effective observation period of at least one year unless a shorter observation period is justified as a result of a significant increase in price volatility.

(e) Least quarterly update of correlations, volatility, etc.

Backtests

7) The company must verify the accuracy and the results of the models by conducting backtests. Background tests are performed by that the daily potential risk of loss (VRs) computed using the company ' s internal models for the daily end-of-the-line portfolios will be compared with the daily change in the portfolio value at the end of the subsequent working day. The company must be able to perform backtests on the basis of both factual and hypothetical changes in the portfolio value.

8) Backtests on the basis of hypothetical changes in the portfolio value are carried out by consecuting the portfolio ' s daily end-value and under the assumption of unchanged positions, with its value at the end of the following day, i.e. that is ignored by the trades made on the following day. Backtests on the basis of actual changes in the portfolio value are run by hoiding the portfolio's daily end-value with the end value of the company portfolio on the subsequent day, i.e. account shall be taken of trades concluded on the following day, but in the case of revenues in the form of fees, commissions and net receipts.

9) The company must take appropriate measures to improve its backtests if these are considered to be inadequate.

Risk factors

10) The company ' s internal models shall take into account a sufficiently large number of risk factors depending on the activity level of the undertaking in the respective markets, including essential risks related to options and comparative positions. The following risk factors must be included in particular :

a) In the case of interest rates, the internal model shall use a series of risk factors corresponding to the interest of the individual currencies in which the company has interest-sensitive balancing and non-balancing positions. The company must estimate the debaskets of the use of generally accepted practices. In the most significant currencies and on the main markets, the purification friend must be divided into at least six maturity segments in order to catch differences in volatility along the rate of dry cleaners. The internal model must also capture the risk that the correlation between different excaste curves is not complete.

b) For exchange rate risks, the internal model shall use risk factors corresponding to the individual foreign currencies (gold counting) to which the company is in positions. For collective investment schemes, the actual currency position of the collective investment scheme must be taken into account. The company may base itself on external statements of the currency position of the collective investment scheme, provided that it has ensured that the inventory is correct. If the company is not aware of the currency position of the collective investment scheme, this position must not be included, but is dealt with in accordance with in Appendix 14, point. 10.

c) In the case of stock hazards, the internal model shall use at least one particular risk factor for each of the stock markets where the firm has significant positions.

d) In the case of on-call risk, the internal model must use at least one particular risk factor for each of the raw materials in which the enterprise has significant positions. The internal model must also take into account the risk of non-fully connected movements between comparable but not identical raw materials and the risk of changes in terminal prices due to the fact that the rennet tides are not coincide. It must also take account of market characteristics, including, in particular, delivery times and the ability of dealers to close positions.

11) The company must ensure that the impact of risks not covered by the model can be taken into account when assessing the base chapter, cf. § 124, paragraph 1. One, and paragraph 125, paragraph 1. 1, in the law of financial activities.

12) The SEC may authorize the undertaking to use empirical correlations within the risk categories and across risk categories if the establishment systems for the calculation and assessment of correlations are well-functioning and implemented ; in a very reassuring manner.

Calculation of specific risk

13) The financial supervision may be in accordance with section 40 (1). 4, give the company permission to use internal models for calculating specific risk of shares and debt instruments. The models must, in addition to the other requirements of this Annex, comply with the following :

a) Exame the portfolio's historic price volatility.

b) Consider the concentration expressed as size and changes in the portfolios composition.

c) Be robust to unfavorable changes in conditions.

d) Authenticate through backtests, which are aimed at assessing the specific risk of taking account of the specific risk. Carry out backtests on the basis of appropriate subportfolios, must be selected in a consistent manner.

(e) Take account of the base risk of the navel-related risk, i.e. the establishment must show that the models are sensitive to differences between uniform but not identical positions.

(f) Take account of the risk of unforeseen events (event risk).

14) The company must further comply with the following requirements :

a) If the company is exposed to the risk of unforeseen events (event rites) that are not included in the VaR number because it is outside a 10-day duration and 99% period of duration. the range of confidens; (i.e. an event of small probability and serious consequences shall ensure that its impact can be taken into account when assessing the base chapter, cf. § 124, paragraph 1. One, and paragraph 125, paragraph 1. 1, in the law of financial activities.

b) The company ' s models shall, at the discretion of the firm, calculate the risks resulting from less liquidity positions and positions with limited price transparency in realistic market scenarios. The models must also comply with minimum data standards. Appropriate values (proxies) must be appropriate prudent and may only be used where available data is not sufficient or does not reflect the true volatility of the position or portfolio.

15) In line with the development of methods, techniques and market practice, the establishment must ensure that the internal models are developed accordingly.

16) The company must also have a method for the calculation of risk-weighted items that make it possible to include the risk of non-compliance of positions in the commercial inventory beyond the risk of the internal model, non-compliance in accordance with the criteria in the furtive. 13 and 14 for specific risks. To avoid duplicating specific risk, the company may take account of the extent to which the risk of default is already included in the VaR calculation, especially at risk-filled positions that could, and would, be executed within 10 days of cases of unfavourable market conditions or other indications of deteriorating credit. If the undertaking includes an increased risk of default on the basis of a supplement, it must have established methods for validation of them.

17) The company must document the fact that its methods are in a furlshed light. 16 comply with well-functioning standards comparable to the requirements for the internal rating method for the credit risk (IRB method), cf. section 19-33, taking on a constant level of risk and, where necessary, adjusted to reflect the impact of liquidity, concentrations, decover and section elements.

18) If the undertaking does not include an increase in the risk of non-compliance by means of own-developed models, it shall calculate the Appendix, cf. Act. 16 through a method that complies with the requirements of the standard method of credit risk, cf. section 9-18, or the requirements for the internal rating method for the credit risk (IRB method), cf. § § 19-33.

(19) With regard to traditional or synthetic securitisations, which would have to be risk weights with 1,250%. in accordance with Annex 11 on securitisation, they shall be included in the risk-weighted items with an amount less than this treatment. However, companies that deal with these securitisations may apply the Financial supervision of the authorisation to use another method. This presupres that they can demonstrate that, in addition to the trade, there is a liqui-bible two-way market for trade in securitisations. For synthetic securitisations, which rely solely on credit derivatives, it assumes that they can document the existence of a bidirectional market for these securitisations or their risk components. A liquidate bidirectional market is deemed to exist if there are independent price growers in the market, so that a price related to the most recently traded / purchase / sales listing may be fixed within one day and may be settled for this ; the price of relatively short time in accordance with normal commercial tymes. A company wishing to seek authorization to use such a different method shall have adequate market data in order to ensure that it takes full account of the concentrated non-compliance risk for the securitisations in question ; the calculation of the increased risk of non-compliance in accordance with the standards defined above.

20) Refills your internal models not furtive. 13-19, the specific risk must be calculated using the standard method, cf. Annex 12.

Calculation of enterprise risk-weighted items with market risk

21) If the establishment uses internal models, the risk-weighted items shall be subject to the largest amount of the following values multiplied by 12.5 :

a) The VRs calculated for yesterday ' s positions plus a possible supplement, cf. Act. 16.

b) The average of the VaR number calculated the last 60 working days multiplied by the sum of a multiplication factor of at least 3 and a plus factor that depends on the number of overruns detected at the company's backtest over the past 250 working days. The value of the plusfactor is in the range between 0 and 1 in accordance with Table 1. The number of casualties shall be added to the appropriate number, cf. Act. 16.

(22) The company must calculate the daily overruns by backtests on the basis of either actual or hypothetical changes in the value of the portfolio, cf. Act. 8. An overshoot is a daily change in the value of the portfolio that exceeds the associated daily potential risk (VRs), which is calculated using the company ' s internal models. The number of overruns is continuously collected for the setting of the plusfactor.

23) In order for the Financial supervision to continuously check the plusfactor and the reliability of the model, the company must notify the Financial supervision as soon as possible, and within five working days within five business days, the company shall be informed of the daily baclabs within five working days.

24) The financial supervision may, in individual cases, and on the basis of exceptional circumstances, disregard the requirement for a pluck factor in accordance with Table 1 in point. 21 if, in the face of the Financial supervision, the company can demonstrate that such an increase is unfounded and that the internal model is correct in principle.

25) If an internal model has many overruns, indicating that it is not sufficiently accurate, the Financial Control Authority withdraws or imposes necessary measures to ensure that the internal model is used ; Improvements immediately

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Appendix 16

Resistance risk

Scope of application

1) This Annex contains provisions concerning the opposite-party risk, cf. § § 42-49.

2) Annex 23 contains a description of the requirements for applications to use EPE models for the specification of counterparty risks.

Definitions

3) A network group is a group of transactions concluded with a single counterpart and is covered by a legally valid bilaterally network system and for which netting satisfy the requirements of the act. 83-92 of this Annex and Annex 7. Any transaction which is not subject to a legally valid bilaterally network system which satisfies the requirements of the provisions of the Commission. In this Annex, 83-92 to this Annex shall be considered as its own network of service.

4) A margin agreement is a contractual agreement or provisions of an agreement, after which a counterpart shall make a party to another counterpart when the exposure of the other counterpart to the first party reaches a certain level.

5) The agent threshold value is the amount to which an exposure may not exceed, before any party has the right to require a guarantee.

6) A margin-risk period shall be the period of time from the most recent exchange of securities for a net party of transactions with a non-compliance until the net landing agreement is closed and the resulting market risk again is : decoated.

7) The current exposure is the highest value of zero and the market value of a transaction or portfolio of transactions in a network group with a counterpart where the value of these transactions is lost in the event of the non-compliance of the counterpart, as it is : in the event that it is not possible to recover amounts of money in the course of bankruptcy.

8) The distribution of the market values is a forecast of the probability distribution of the net values of transactions in a net party at a future time (forecast horizons) based on the reality of the market value of these transactions up to now.

9) An exposure distribution is a forecast of the probability distribution of market values where forecasted occurrences of negative net archeque values are set to zero.

Market value method of counterparty risk

10) The calculation of the level of exposure after the market value method of counterpart risk follows the following steps :

a) Contracts are to be placed on the market value to obtain the current restock cost for all contracts with a positive value.

b) In order to reach a number for potential future credit exposure, the nominal principal chairs or the underlying values of the percentages of the percentages of the percentages of Table 1 shall be multiplied. Swaps based on two variable interest rates in the same currency are exempt from the calculation of only the current restock cost.

c) The sum of the current restock costs and potential future credit exposure amounts to the exposure value.

11) Contracts that do not fall within one of the six categories of table 1 in point. 10, treated as contracts for the raw materials (excluding precious metals), cf. Oh, my. 12.

12) A contract for collective investment schemes, cf. Act. 32 in Annex 3, where the company is aware of the categories of assets which the scheme may invest in, may be treated as a contract for the category of asset, among the categories which the scheme may invest in which has the highest percentage in accordance with to Table 1 in point. 10.

13) For credit derivatives in the trading book, in the form of total return swaps and credit default swaps, where the reference commitment is a line that is apparent from the point. 45 (e), in Appendix 12, may be used a percentage of 5%. instead of the rate of credit derivatives in table 1 in point. 10. If the credit derive is a "nth to default" credit derivative, the percentage of 5% can be the percentage. only be used if the reference obligation with the newest credit quality of the newest credit quality is a line which appears in point. 45 (e) (e) of Annex 12.

14) For credit derivatives in the commercial stock in the form of credit default swaps, the party for which the swapping is a long position in the reference obligation (purchaser of risk), cf. Act. A percentage of 0% shall apply to 31 and 35 in Annex 12. instead of the rate of credit derivatives in table 1 in point. However, this does not apply if the swapping is covered by a sluglock in the case of insolvency of the counterpart, although the underlying position is not defaulted.

15) In the case of contracts involving several exchanges of the principal, the percentages of the table 1 in point shall be multiplied by multiplying. 10 with the number of payments that are missing to be effected in accordance with the contract.

16) The company must ensure that the nominal amount added to the calculation of potential future credit exposure is a relevant yardstick for the risk associated with the contract. For example, where a multiplication of the payment flows is required, the nominal amount shall be adjusted in order to take into account the multiplication effect of the risk structure of the contract.

17) For contracts composed with a view to liquidating outstanding risks on certain payment dates and where the terms are adjusted so that the market value of the contract is zero on these certain dates, the duration of the remaining period shall be equal to the time period up to that date ; the next adjustment date. In the case of interest contracts that meet these criteria and which have a duration of the duration of more than one year, the percentage must, in accordance with the conditions laid down in the Treaty, Table 1 in point. 10, however, shall not be less than 0,5%.

Default counterparty risk method

18) The default for the opposite-party risk method can be used only for derivatives and terminals. The size of the sponsor shall be calculated separately for each network. The value of the exposure when the security is taken into account is as follows :

(19) In a transaction in a derivative with a linear risk profile where a financial instrument is to be exchanged for a payment, the latter shall be referred to as the payment element. Transactions in which a payment is to be exchanged against a payment is made up of two payment items. The payment items shall be made up of the contractual gross payments made, including the nominal amount of the transaction. The company may refrain from taking into account the interest rate of the payment items for the following calculations if the transaction has a residual duration of less than one year. The company can process transactions that are composed of two payment items, denominated in the same currency, such as a bracket, as one total transaction. The processing of the payment items shall apply in the case of the total transaction.

20) Transactions in derivatives with a linear risk profile where the underlying financial instruments are made up of shares (including the stock index), gold, other precious metals or other raw materials, shall be assigned a risk position for the respective share (or the stock index) or raw material (including gold and other precious metals) and a renterisikoposition of the payment item. In addition, if the payment element is denominated in a foreign currency, it shall also be given a risk position in the currency in question.

21) Transactions in derivatives with a linear risk profile where the underlying instrument is a debt instrument is allocated to a cleansing position for the debt instrument and to another renterisikoposition for the payment element. Transactions with a linear risk profile where a payment is to be exchanged against a payment, including currency mining operations, will be allocated to a renterisikoposition for each payment item. If the underlying debt instrument is denominated in a foreign currency, the debt instrument shall be assigned a risk position in this currency. If the payment element is denominated in a foreign currency, the payment item is assigned to a risk position in the currency in question. The size of the sponsor for a foreign exchange exchange rate is set to zero.

(22) In the absence of debt instruments, the size of a risk position from a linear risk profile shall be equal to the actual nominal value (market price times the amount) of the underlying financial instruments (including raw materials) ; converted into Danish kroner.

23) For debt instruments and payment items, the amount of the risk position shall be equivalent to the actual nominal value of the outstanding gross payments (including the nominal amount) converted into Danish kroner and multiplied by the modified duration ; for the debt instrument or the payment element respectively.

24) The size of the risk position in the context of a credit default swap corresponds to the nominal value of the reference debt instrument, multiplied by the term ' credit default swaps ' time.

25) In the absence of an underlying debt instrument, the amount of the risk position of a derivative with a non-linear risk profile (including options and swapings) is equivalent to the nominal value of the delta-equivalence ; financial instrument which undertakes the transaction.

26) The size of the risk position concerning a derivative with a non-linear risk profile (including options and swapings) where the underlying instrument is a debt instrument or a payment item, corresponds to the delta-equivalent actual ; nominal value of the financial instrument or payment element multiplied by the debt instrument or the payment item modified duration.

27) In the case of the opting of risk positions in a derivative contract, the security received from a counterpart shall be treated as a claim against the party (long position) which is due to be treated as a liability for the sake of the safety of the counterpart ; the other side (short position) which is due to fall today.

28) The company may use the following formulae to determine the size and the sign of a risk position :

a) For all instruments, except for debt instruments, the risk oposium is calculated as the actual nominal value, including the nominal equivalent nominal value :

29) Risk-based groups of risk groups are grouped together, groups of risk positions relating to transactions belonging to the same network group. When determining the value of exposure it shall be the total net position that is relevant. The neurosikoposification, expressed as the numerical value of the sum of the risk positions forming part of the risk-covering group shall be calculated for each group. Nettorisikopositions are represented by

(30) In the case of cash deposits relating to cash deposits received from the counterpart as collateral for payment items and underlying debt instruments, as provided for in Annex 12, point. Forty-four, 45 and 49 are part of 20% weight. or less, six risk-covering groups have been set for each currency in Table 2 below. The risk-suppression groups are defined by means of a combination of the term "term" and "reference center".

31) For interest rate positions concerning underlying debt instruments or payment items, where the interest rate is associated with a reference rate reflecting the general market interest, the remaining duration of the period up to the next adjustment shall be the same ; interest rate. In all other cases, the underlying debt instrument is subject to the duration of the debt, or for a payment item, the duration of the transaction, for reasons.

32) A risk-suppression group shall be established for each issuer of a reference debt instrument which underlies the 'credit default swap'.

33) In the case of cash deposits relating to deposits with a counterpart as collateral, when this counterpart does not have outstanding debt obligations with a low-specific risk, and with regard to debt instruments which, according to Appendix 12, point. 46-49, weighted by more than 20 pct; a risk-suppression group shall be fixed for each issuer. When a payment item has the same characteristics as such a debt instrument, a risk-covering group shall also be established for each issuer of the reference debt instrument. The company may choose to collect risk positions associated with a specific issuer ' s debt instruments or to the same issuer ' s reference debt instruments in the same risk-taking group if they have the same characteristics as the payment element or are subject to a credit default swap.

34) Underlying financial instruments, which are not debt instruments, are only carried out to the same risk-covering groups if identical or similar instruments are available. In all other cases, they are assigned to different risk-taking groups. In the case of similar instruments, the following criteria shall be assessed :

a) Because shares are similar instruments, instruments that are from the same issuer. A stock index is treated as a separate issuer.

b) For precious metals, similar instruments are instruments relating to the same metal. A precious metal index is treated as a separate piece of metal.

c) For electricity, similar instruments are the delivery rights and obligations that relate to the same "load time interval" within and outside the peak in a 24-hour interval.

d) For commodities, similar instruments, instruments relating to the same raw material. A raw materials index is treated as a separate index.

35) The counterparty risk multiplier (CCRM) for the different categories of risk-suppression groups shall be as set out in Table 3 :

36) For transactions that have a non-linear risk profile, or to payment items and transactions with debt instruments as underlying instruments for which the company cannot calculate the delta or the modified duration respectively by means of a model which the Financial supervision can accept with a view to making the risk-weighted items on market risk, the SEC may fix the risk positions and the relevant counterpart risks (CCRMs) from which the Financial Regulation (CCRMs) is the size of : a prudent assessment. Alternatively, the Financial supervision can instruct the company to apply the method in a furtive. 10-17. Netting is not recognised, that is, the size of exposure shall be determined as if there was a network group containing only the individual transaction.

37) The company must have internal procedures to verify that a transaction is covered by a legally valid network agreement that satisfies the requirements of the contract. 83-92, before this transaction will be included in the net inggroup.

38) Use internal procedures to ensure that the security meets the legal standards referred to in Annex 7 prior to the recovery of the security of the security of the party ; the effects of the safety-style in its calculations.

The internal model method of counterparty risk (EPE models)

General conditions

39) The undertaking may, subject to the authorisation of the Financial Authority, see it in accordance with : § 49, use the internal model method of counterparty risk (EPE models) for the assessment of the level of exposure of derivative financial instruments, cf. § 42, for the securities financing instruments, cf. section 43, or, for derivative financial instruments and securities financing instruments, as a whole. Independently of the choice of method for derivative financial instruments and securities financing instruments, the company may use the internal model method for the midterm operations to be used in accordance with section 44. For exposures which are unimportant in terms of the size and risk, the company may choose not to use the internal model method. In order to apply the method, the establishment must satisfy the conditions in the case. 40-82.

40) The use of EPE models may be carried out in phases of the various type of transaction for the financial system and, during that time, the company may use the methods in point. 10-38. It is not necessary for the company to use a special model type.

41) For all transactions with derivatives and terminals that the company has not received approval to include in the EPE model, the company must apply the methods in a furtive. 10-38. It is permitted to permanently apply these two methods permanently in a group. The applicable application of these two methods in a legal entity is only permitted if one of the methods is used in the cases described in point. 36.

42) Undertakings authorised to use EPE models may not re-use the methods of furtive. Ten-eight, except for a good reason for doing so, and it has been approved by the Finance SEC. If the company no longer meets the requirements for the use of EPE models, it shall either provide the Financial supervision a plan for a timely renewed compliance or demonstrate that the impact of non-compliance is negligible.

Calculation of the size of the exponment

43) The size of the sponsor shall be calculated on the basis of the net ingrate. The model must specify the estimated distribution of changes in the net market value of the net market value that can be attributed to changes in market variables, such as interest and exchange rates. Then the model must calculate the size of exposure for the net for the net of all future dates given the changes to market variables. In the case of opposing parties, the model may also describe future changes in the security.

44) The company may take account of the financial security as defined in Annex 7, point. EUR 59 and 78 of the estimated allocations of changes in the market value of the net market, where the quantitative and qualitative requirements and data requirements for EPE models have been met for the security of the security.

45) The amount of exposure shall be calculated as :

46) The actual positive exposure (actual EPE) is the weighted average over time of actual expected exposure (Actual EE) for the first year, the exponations run. If all the exposure in a network group has a maturity of less than a year, the EPlE is, in fact, the weighted average of actual EE for the period during which the exposure of the net party that has the longest running time is covered. The weight is the maturity of each expected exposure relative to the total time interval. The actual EPE is calculated as :

47) The actual exposure (Actual EE) in a given date is the maximum expected exposure available on this or earlier date. Alternatively, it can be set to the maximum value of either the expected exposure on this date or the actual exposure on the previous date. The actual EE is recursively recalculated as :

48) The expected or maximum exposure shall be calculated on the basis of a breakdown of exposure that takes into account the fact that exposure may not necessarily be the standard distribution.

49) The company can use the size of exposure that is more cautious than the size that is calculated in the pkt. 45.

50) The actual maturity of a network group for a period of more than one year is the ratio between the sum of the expected exposure of the GL ' s life of the transaction with the risk-free interest rate and the sum of the expected exposure in the course of the operation, of a year in the net ingrate group with the risk-free interest rate. The actual maturity can be adjusted to reflect the risk of renewal ("rollover risk") by replacing the expected exposure to the actual projected exposure to forecast horizons in less than one year. Renewal risk is the amount by which the value of the expected positive exposure value is underestimated when a continuous renewal of transactions is expected with a counterpart. The further exposure that these future transactions result in are not included in the calculation of EPE.

51) The financial supervision can, whatever the provisions of it, be able to. 45 allow the establishment to apply the highest value of 1,2 and to the establishment ' s own estimates of the equivalent of the ratio of the internal capital based on a total simulation of market and credit risks of exposure to the counterparty risk ; (Counting) and the internal capital based on EPE (mentions). EPE must be used in the denominator as if there were a fixed outstanding amount. The company must demonstrate that its internal estimates of the counter in the counter reflect significant elements of stoic dependency in the distribution of the market values of the transactions in question or the portfolios of transactions across counterparts. Internal estimates of the services must take account of the diversification of portfolios.

52) The company shall ensure that the numerator and the denominator in the calculation of the calculation shall be calculated in a consistent manner with regard to modeling methods, parameter specifications and portfolio composition. The method used must be based on the company ' s internal capital models, be well-documented and the subject of independent validation. In addition, the company must revise its estimates at least four times a year or more frequently if the composition of the portfolio varies. The company must also assess the model risk.

53) The quality and correlation of the market risk factors used in the overall simulation of market and credit risk, where necessary, shall reflect possible increases in volatility or correlation during an economic downturn.

54) If the net landing group is subject to a margin agreement, the company shall measure EPE in one of the following ways :

a) Actual EPE without regard to the margin agreement.

b) The threshold value-if this is a positive-which is laid down in the margin agreement, plus a supplement that reflects the potential increase in exposure during the period of the margin. The supplement shall be calculated from the expected increase in the network ' s exposure, from a current exposure to zero and above the margin of risk. For network groups consisting of repo-similar transactions which are subject to a daily margin of margins and daily market valuation, a margin risk period shall be applied to a minimum of five working days, whereas for all other net groups ; shall be used at a minimum risk period of 10 working days.

c) If the model's estimation of EE reflects the meaning of margin, the EE value of the model can be used directly in the equation in the point of the equation. 47.

Minimum requirements for EPE models

55) The company ' s EPE model must meet the operational requirements of the 56-80.

Control of counterparty risks

56) The company must have a control unit responsible for the design and implementation of the management system for the counterpart risk, including the initial and ongoing validation of the internal model. This unit shall verify that the input data is reassuring and compiling and analysing reports of the results of the undertaking ' s risk model, including the evaluation of the relationship between risk exposure risk exposure and the exposure of credit and exposure to the risks of exposure ; market risk area. The unit must be independent of the entities responsible for the establishment and renewal of exposure and trade activity, and shall not be subject to inappropriate influence. It must have the appropriate personnel and report directly to the top management of the company. The unit's work must be integrated closely with the company's daily credit governance. As a result, the results must form an integral part of the planning, monitoring and management process for your credit risk profile and the parent risk profile.

57) The company must have management policies, procedures and systems for counterpart risks which are defenders and reassuring. A defensible management tool for counterpart risk shall include identification, measurement, management, approval and internal reporting of counterpart risk.

58) In its risk management policies, the company must take account of market and liquidity risks and to legal and operational risks that may be related to the counterparty risk. The company must not be in business with a counterpart without judging his credit rating and must take appropriate account of the credit risk that occurs in the conduct of the execution and prior to it. These risks must, to the extent that it is practicable, be handled for the entire company and at the counterparty level, with the risks associated with the counterparty risk linked to other credit exposure.

59) The company ' s management board and management must participate actively in the control procedure concerning the counterparty risk and consider this to be an essential aspect of the undertaking ' s activities, which it is necessary to allocate significant resources. The Executive Board shall be aware of the limitations and assumptions attached to the model used and the consequences that these may have on the reliability of results. The rection must also take into account the uncertainties that characterise market conditions and operational conditions and know how these are reflected in the model.

60) The daily reports of the company ' s exposure to counterpart risk must be reviewed at a sufficiently high level of management with the power to make both the reduction of positions which individual credit managers or dealers have ; carried out, and reductions in the overall exposure of the undertaking with counterpart risks.

61) The company ' s system for resilient risk shall be used in combination with internal credit and commercial slices. In this respect, the Credit and Trade Committee shall be related to the establishment ' s risk model in a way that is consistent over time and which is well known to the credit managers, dealers and management.

62) The company must measure the use of credit lines from day to day in the case of its specification of counterparty risk. The company must measure the current exposure both before and after the security is used. The company ' s portfolio and counterparty level must calculate and monitor the maximum exposure or potential future exposure (PFE) with the concurrent range selected by the company. The company shall take into account large or concentrated positions, inter alia, in relation to groups of mutually-related parties, industries and markets.

63) The company must have a systematic and rigorous programme of stress tests that support the analysis of the counterparty risk, which will be based on the day-to-day results of the undertaking's risk model. The results of these stress tests must be reviewed periodically by the management and must be reflected in the policies and credit limits of the counterparty risk that the management board and the board of directors shall determine. If stress tests reveal a particular vulnerability to certain circumstances, it must be ensured immediately that these risks are dealt with in an appropriate manner.

64) Business must have business practices that ensure compliance with documented internal policies, controls, and procedures concerning the management of the counterparty risk. The company ' s system for the management of the counterpart risk must be well documented and documentation must be available for the empirical techniques used to measure the counterparty risk.

65) The company must regularly perform an independent review of the management of the counterparty risk by means of its own internal audit procedure. This review shall include both the activities of the business departments referred to in the section. The activities of 56 and the independent counterparty risk control. A periodical review shall be carried out at regular intervals by the total management of the opposite-party risk, where at least the following :

a) Whether the documentation related to the modal risk management system and the counterparty risk (addura-risk) are adequate.

b) The organization of the resistance risk control.

c) The integration of counterparty risk measurements in the day-to-day risk management.

d) The procedure for the approval of the risk-vehicle models and value-function systems used by the staff in the front and back office.

(e) The validation of any major changes to the modal-risk measurement procedure.

(f) The extent of counterparty risks is taken into account in the risk model.

g) The integrity of the management information system.

(h) The accuracy and completeness of the reception risk data.

i) The check of whether the data sources that are used in connection with internal models are consistent, current and reliable, including whether such data sources are independent.

j) The accuracy and the relevance of the assumptions which undergo volatility and correlations.

c) The accuracy of valuation and the calculation of risk transforming.

I) The control of the model's accuracy in frequency of backtests.

Applicability test

66. The spread of exposure, which is calculated using the internal model used for calculating the actual EPE, must be closely integrated with the company ' s day-to-day management procedure for counterpart risk. The results of the internal model must, as a result, play a major role in the credit allocation, the management of the counterparty risk, the internal capital allocation and the company's rules for good company management.

67) The company must have experience with the use of internal models that show the spreading of exposure with counterpart risks. Thus, the company must document that it has applied an internal model to calculate the allocation of exposure that the EPlE is based on, and which, in the main and all for at least one year prior to the approval of the Financial Authority, have fulfilled ; the minimum requirements as set out in the furtive. 55-82.

68) The internal model that is used to calculate the distribution of exposure risk exposure must be part of a counterparty risk management structure to include identification, measurement, management, approval and internal reporting of counterparty risk. This structure must contain the use of credit lines (where exposure to counterpart risks are added together with other credit exposure) and the allocation of internal capital. In addition to EPE, the company must measure and manage its current exposure. The company must, where necessary, measure the current exposure both before and after the security is required. The use test is fulfilled if the company measures the opposite-party risk in other ways, e.g. in the form of the maximum exposure or the PFE, cf. Act. 62, based on the apportionment of exposure that is made using the same model used for the calculation of EPE.

69 The company must be able to estimate the EE every day unless it proves to the Financial supervision that the counterparty risk justifies a less frequent calculation. The company must calculate EE with forecast horizons that adequately reflect the time structure for future payment flows and the duration of the contract, and in a way that corresponds to the materiality and composition of exposure.

70) Exposure shall be measured, monitored and monitored throughout the period covered by each of the contracts in the network for covering (and not only the first year). The company must have procedures that make it possible to identify and control the counterparty risks where exposure is shown to have a maturity of more than one year. Estimated increments of exposure must be incorporated into the company ' s internal capital model.

Stresstests

' 71) The company must have worked through procedures for stress tests for the assessment of capital requirements in the case of counterparty risk. The results of the stress tests must be compared with the EPE value and must consider them to be part of the internal procedures described in Annex 1. Stress tests must also cover any events or future changes in economic circumstances that will affect the exposure of the business in a negative direction, and assess the capacity of the establishment to withstand such changes.

72) The company must carry out the stress tests of exposure to counterpart risks, including a total stress test of market and credit factors. Stress test of counterparty risks shall include concentration risks (related to a single counterpart or groups of counterparts), correlation risks for market and credit risks and the risk of winding-up proceedings of the counterpart ' s positions. These stress tests also have to take into account the impact of such market movements on its own positions, and that influence must be included in the company's assessment of the counterparty risk.

Correlation risk ("Wrong-way" risk)

73) The undertaking shall take sufficient account of exposure to a significant general correlation risk ; that is, the case may be : exposure where the likelihood of non-compliance (PD) is positively correlated with general market risk factors.

74) The company must establish procedures that enable the identification, monitoring and control of situations in which specific correlation risk-starting at the conclusion of the transaction and beyond its duration is required. Specific correlation risk occurs when an exposure to a given counterpart is positively correlated with the modal probability of default for non-compliance (PD) as a result of the properties of the transactions concluded with the counterpart. A company is considered to be exposed to specific correlation risk, if the expected exposure to a specific counterpart is expected to be high when the counterpart's PD is also high.

The integrity of the modeling process

75) The internal model must reflect the terms and specifications of the transactions, in a timely, comprehensive and prudent manner. These conditions shall include, inter alia, nominal contractual amounts, maturity, reference assets, markings and net agreements. The terms and specifications must be kept in a database to be subject to formal and regular audits. The procedure for the approval of network agreements means that legal staff are reviewing the agreement to verify that it can be enforced. The NettingAgreement must be placed on the database by an independent unit. The transfer of data related to transaction conditions and specifications to the internal model must also be subject to internal audits. There must be formal voting between the internal model and the source data system for the ongoing verification that transaction conditions and transaction specifications are reflected correctly or at least be careful in the EPE.

76) The internal model must use current market data for the calculation of current exposure. Where historical data are used for the estimation of volatility and correlation, historical data shall be included for a minimum period of three years, and they must be updated every three months or more frequently if market conditions are to be made necessary. The data must cover a broad spectrum of economic circumstances, such as a totally economic cycle. A unit without association with the trading department shall validate the price that is calculated by the Commercial Division. The data must be provided independently of the business areas, loaded into the internal model of a current and complete manner and stored in a database subject to formal and regular audits. The company must also have a well-developed data integrity procedure that enables the cleanup of data for erroneous and / or anomalous observations to be cleanly used. To the extent the internal model is based on market data in the form of indicators, including for new products that are not historical data for a period of three years, there must be internal guidelines to identify suitable indicators ; and the company must show empirical evidence that the indicated indicator gives a cautious manufacture of the underlying risk under adverse market conditions. If the model retains the impact of the security as a result of market changes to the value of the network, the company must have relevant historical data to calculate the volatility of the security.

77) The model must be covered by a validation procedure. The procedure must be defined more closely in the business of the business. The validation procedure must specify which studies are required to ensure the integrity of the model and identify conditions that cause the preconditions not met, which may result in EPE being underestimated. The validation procedure must include a review of where the comprehensive EPE model is.

78) The company must monitor relevant risks and have procedures to adjust the estimation of EPE when these risks take a certain amount of scope. This includes the following conditions :

a) The company must identify and manage its exponings against specific correlation risks.

b) If the risk profile of exposure after one year is increasing, the company must periodical comparing the EPE estimate for a year with the EPE Estimate for the entire life of the exposure.

c) In the case of exposure during a year, the company must periodically compare the cost of restock (the current exposure) with the exponable profile and / or keep data that makes it possible to carry out this ; comparison.

79) The company must, before transactions be included in a negation group, have business procedures for controls that the transaction in question is covered by a legally valid network agreement that meets the applicable requirements, cf. Act. 83-92.

80) A company that makes use of collateral in order to limit the counterparty risk shall have business procedures for verifying that the security meets the legal security standards set out in Annex 7, before taking into account the security requirements ; the effects of the safety-style in its calculations.

Validation requirements for EPE Models

81) The company's EPE model must meet the following validation requirements :

a) It must meet the qualitative validation requirements set out in Appendix 15, point. 4 and 5.

b) The company must provide long-term forecasts of the evolution of interest, exchange rates, stock prices, commodity prices and other market risk factors in order to calculate the counterparty risk. The capacity of the model to predict the development of market risk factors must be validated over a long timeframe.

c) The calculation models used for the determination of the counterparty risk of a given scenario of future impact to market risk factors shall be tested as part of the model validation procedure. The setting of options for setting up options must take into account the fact that the coherence between the value of the values and the risk factors of the market has a non-linear character.

d) The EPE model must include transactional information that makes it possible to aggregate the exposure that is part of the network of the network. The company must ensure that the transactions are applied to the appropriate network group within the model.

(e) The EPE model should also include transactional information that makes it possible to calculate the effects of the margin. It shall take account of both the present margins and the margin which may be transferred at a later date between the counterparties. Such a model must be taken into account for the margin agreements concluded (one or two-sidige), the frequency of the margins of the margins, the length of the margin, the maximum exposure the undertaking is willing to accept without the margin of charge ; and the minimum transfer amount at the margin of resettlement. The model must either model changes in the market value of the provided security or follow the rules set out in Appendix 7.

(f) In the context of the model validation procedure, a static historical backtest is performed by representative counterpart portfolios. The company shall, at regular intervals, carry out such checks on a number of representative counterpart portfolios (actual or hypothetical). These representative portfolios must be selected based on their sensitivity to key risk factors and correlations that the business is subject to.

82) If the backtest shows that the model is not sufficiently precise, the Financial supervision model permission is withdrawing or imposes appropriate measures to ensure that the model is immediately improved. The SEC may also require additional capital to be set aside in accordance with the provisions of Annex 1.

Netting

Risk Reducing Net Types

83) For the purposes of netting, the ' counterpart ' means any entity (including natural persons) legally permitted to enter into an agreement on netting, and by ' agreement on netting across products ` means a written bilateral agreement between a an undertaking and a counterpart, which creates a single legal obligation covering all parties involved, bilateral agreements and transactions within different categories of products. Agreements on netting across products cover exclusively netting on bilaterally grounds.

84 For netting across products, the following are considered different categories of products :

a) Re-purchase transactions and transactions relating to loans and deposits of securities or commodities.

b) Marrets.

c) The derivatives listed in Annex 17, as well as for the midterm shops.

85) The following types of netting agreements are risk-reducing when taking risk-weighted items :

a) Bilateral agreements on netting between a company and its counterpart.

b) Agreements relating to netting across the products of establishments which have been granted the Financial supervision to the method laid down in the case of the Financial Authority. 39-82, in the case of transactions falling within this method. Netting across transactions made by companies belonging to the same group are not recognized in the context of the calculation of the risk-weighted items.

Effects on netting agreements

86) As far as the methodology is concerned, 18-82, it is possible that netting can be taken into account as described in these points.

87) Applause the method in furtive. 10-17, the following applies to netting agreements :

a) In stage a) under point. 10 may be calculated by taking into account the current hypothetical net reacquisition costs resulting from the agreement in the current restock cost of contracts forming part of an agreement on netting. If netting leads to a net commitment to the company that calculates the net restock costs, the current restock costs shall be set at zero.

b) In stage (b) under point. 10 may be reduced in accordance with the following equation for the potential future credit exposure of all contracts forming part of an agreement on netting shall be reduced :

Conditions for the calculation of net arrangements

88) Contractual netting may be considered risk-producing only if the following conditions are met :

a) The company must, with its counterpart, have concluded an agreement on netting, which creates a single legal obligation covering all the transactions involved, in such a way as to ensure that a counterpart is not in a position to comply with its requirements ; obligations resulting from non-compliance, bankruptcy, winding-up proceedings or other similar circumstances will only be entitled to receive or obligation to pay the net total of the positive and negative transactions of the individual transactions. market values.

b) Subject to all the aforementioned circumstances, the company shall be able to make written and reasoned legal opinions available to the Financial supervision that the relevant courts and administrative authorities in the event of a financial statement are subject to : the actions of the establishment would find that the requirements and obligations of the undertaking in the cases referred to in point (a) are limited to the net sum, as described under (a), as described below :

89) The financial supervision shall, where necessary, if necessary after hearing other relevant competent authorities, that the relevant agreement on netting is legally valid in accordance with the law in each of the relevant countries. If one of the competent authorities is not concerned, the 'netting' agreement cannot be regarded as risk-reducing to some of the counterparties.

90) Reasonable legal opinions can be designed for each type of net agreement.

91) Contracts containing a provision, which shall allow a non-default to make limited payments or no payments at all to the insolvency estate, even if the default is the net creditor ("walkaway" clause), cannot be regarded as risk-reducing.

92) In addition to the above, the following criteria must be met in relation to netting across products :

a) The net sum described in the case of the net. (b) 88 (a) shall be the net sum of positive and negative slumber-making values of all the individual bilateral agreements and positive and negative market values of individual transactions.

b) The written and reasoned legal opinions referred to in point shall be made. (b) 88 (b) shall relate to the validity and enforcement of the whole agreement on netting across the products and the importance of the net agreement for essential provisions of any bilateral agreement concluded in this respect. A legal opinion is generally recognised as such by the legal system or by a legal document which describes all the relevant issues in a valid manner.

c) The company must have procedures in place, cf. Act. 88 (c) to ensure that all transactions subject to a network system have undergone a review of legal staff.

d) When the undertaking takes into account agreements on netting across products, it must continue to fulfil the conditions for the recognition of bilateral netting and the requirements of Annex 7 for the recognition of risk reduction, where applicable, as far as this is concerned ; each individual involved bilateral agreement and transaction.

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Appendix 17

Types of derivative financial instruments

Scope of application

1) This Annex contains a list of the types of derivative financial instruments covered by Section 6 (2). 1, no. 2, section 42, paragraph. 1, and section 44.

Included derivative financial instruments

2) The following types of derivative financial instruments are covered :

a) Options, futures, swaps, future interest rates (FROM) and any other derivatives, other than terminus, related to securities, currencies, interest or return, or other derivatives, financial indices, or financial objectives.

b) Financial differential contracts.

c) Options, futures, swaps, future interest rates (FROM) and any other derivative agreement on raw materials including agreements relating to climatic variables, cargo rates, emission permits or inflationary rates or other official financial services ; statistics, taking into account, inter alia, whether they are traded on a regulated market or an equivalent foreign market for securities or a multilateral trading facility (MHF), to be cleared and executed through recognised clearing houses or are ; subject to regular fixing of the margin.

d) All other derivative agreements relating to the assets, rights, obligations, indices and objectives referred to in this Annex, and which have the characteristics of other derivative financial instruments, taking into account, inter alia, whether they are traded ; in a regulated market or an equivalent foreign market for securities or a multilateral trading facility (MHF), are to be ordered and run by recognised clearing houses or are subject to regular fixing of the margin.

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Appendix 18

Base indicator and standard operational risk indicator

General

1) The risk-weighted positions for the operational risk shall be done in accordance with the methods set out in this Annex, cf. § 53.

2) Below is a set of examples of operational risks. The examples are not exhaustive.

Base indicator method

3) The risk-weighted outlines of operational risk shall be the basis of the basic indicator method as :

4) The Base Indicator is defined as a three-year average of the sum of net income and non-interest-based net revenue. Net earnings and non-interest-based net revenue shall be calculated as the sum of the following items :

5) The base indicator must be calculated prior to deduction of operating expenses and depreciation / provisions. Operating costs include costs paid for outsourcing by third party, which is not a parent company or a subsidiary to the company or subsidiary business of the parent company, which is also mother-business for the company. Costs from outsourcing by another credit institution, investment company or management company subject to the supervision of a country within the European Union, or in a country such as the Community, have made a deal with the financial services of the European Union ; area can be deduccated in the base indicator. The financial supervision may allow the cost of outsourcing by another credit institution, investment company or management company from non-EU countries to which the Community has not made a deal with the financial services of the Community ; territory may be deduccated in the base indicator if countries comply with the rules laid down by the rules laid down in the notice.

6) The following items shall not be included in the calculation of the base indicator :

a) Realized profit / loss when selling items outside of trading book.

b) One-time revenue and other extraordinary revenue.

c) Income from insurance undertakings. Income from intermediaries must not be deducting, as these are considered as normal business activities for the enterprise.

7) Companies that are not subject to the applicable financial reports for credit institutions must calculate the base indicator based on data which best reflects the basic indicator definition, cf. Act. 4.

8) The three-year average is calculated on the basis of figures obtained from the last three years of annual reports. For example, the calculation of the base indicator for the whole of 2007 will consist of accounting figures from the 2008-2006 annual accounts. When the revised figures are not available, the company ' s own estimates may be used.

9) If the sum of net receipts and non-interest-based net revenue for a given year negative or equal to zero, this figure shall not be included in the calculation of the three-year average. The base indicator is calculated as the sum of positive numbers divided by the number of years of positive numbers. This means that start-ups in the first three years only need to add to the year in which the company has been operating.

Default Indicator Method

10) The risk-weighted items for operational risks shall be calculated according to the standard indicator method as the sum of the risk-weighted items calculated for each of the business areas in point. 13.

11) When using the standard indicator method, a base indicator is calculated for each business area for each business area, the base indicator is a three-year average of the sum of net earnings and non-interest-based net revenue, cf. Act. 4-8.

12) In the year in which the risk-weighted items calculated for a single business area is negative due to a negative inflated base indicator for the business area, the negative calculated risk-weighted items for the individual business area may be included in : the calculation of the risk-weighted items for operational risk. If the sum of the risk-weighted items for all business areas for a given year is negative, the value for the year in question shall be set to zero.

13) The activities of the establishment shall be distributed on the said areas of business :

14) Companies may use the standard indicator method for the assessment of the risk-weighted risk items for operational risks if the following criteria are met :

a) The company has guidelines and business procedures for assessing and managing operational risks. Responsibility for the management of operational risks must be clearly defined.

b) The company has a well-documented system of identification and assessment of the exposure of the Foundation against operational risks, which may be able to detect relevant data concerning operational risks, including information about significant losses. The system must be regularly reviewed by an independent control function that has no business responsibility.

c) The identification and assessment of operational risks must form an integral part of the overall risk management of the establishment. The system output must form an integrated part of the monitoring and management of your Operational Risk Profile.

d) The company has business practices for reporting to management that ensures that management is regularly informed about the evolution of the company's operational risks. The company also has business practices that provide appropriate action on the basis of the information in the reports for the management.

15) Fulfillment of the above criteria must be defensiable in relation to the size, complexity and activity level of the company.

16) Organizations using the default indicator method must have business entries for the location of the company's activities under the different business areas. Criteria must be reviewed and adjusted whenever necessary in connection with new or changing business activities and risks. The criteria for the establishment of the undertaking ' s activities under the various business areas shall be in accordance with the following principles :

a) All activities must be placed under the business areas so that they do not duplicate, and together cover the whole area.

b) All activities that cannot directly be placed directly under a business area but which constitute a support function for the activity within the business area must be placed under the business area where they function as a support function. If the support function is more than a business area, the support function must be allocated on the respective business areas.

c) If an activity is not positioned in a specific business area, the business area with the highest percentage must be used. The same shall apply to any support functions.

d) The company can use internal pricing methods to distribute the default indicator between business areas. Costs rendered within a single business area to be entered under a different business area may be relocated to the business area they relate to, for example, by using a cost allocation according to internal Principles of the rules.

(e) The location of activities in the various business areas of the standard indicator method must be done in accordance with the company ' s division of activities by the inventory of credit and market risks.

(f) The recorder has the overall responsibility for the placement of assets under the different business areas.

g) The criteria for the deployment of activities under the various business areas must be reviewed by an independent control function that does not have a business responsibility.

17) Organizations that want to apply the default indicator method must before the standard indicator method inform the Financial supervision of this. At the same time, the company must, in writing, declare that the company complies with the criteria set out in the furtive. Fourteen and sixteen.

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Appendix 19

The advanced operating method of operational risk (AMA-models)

Scope of application

1) This Annex contains provisions for the assessment of the risk-weighted items for operational risk using the advanced measurement method (AMA-models), cf. § 57.

2) Annex 24 provides a description of the requirements for applications to use the advanced measurement method of operational risk.

Qualitative requirements

3) The Operational Risk (s) internal measurement system must be closely integrated with its daily risk management.

4) The company must have an independent operational risk management function.

5) A regular report on experience of exposure and loss to the operational risk must be carried out. The company must have business procedures for appropriate measures as a follow-up to these experiences.

6) The company ' s risk management system must be well documented. The company must have routines to ensure compliance with its compliance and policies concerning non-compliance.

7) Operating procedures and measuring systems for operational risk must be subject to periodic reviews performed by internal and / or external audits.

8) The company must ensure that the internal validation procedures are functioning satisfactorily and that data streams and processes relating to the risk system are clear and accessible.

Quantitative requirements

Procedures

9) For the purposes of applying the advanced measurement method, risk-weighted risk-weighted risk to 12.5 times the target of operational risk (s). The operational risk target must include both expected and unexpected losses, unless the company can demonstrate that the expected loss is caught in its business practices satisfactorily. The operational risk target shall take into account the impact of events in the spread of the spread, with potentially serious consequences in order to achieve a security standard comparable to a 99.9%. condensate interval over a one year period.

10) The operational risk of the establishment must include certain key elements in order to comply with the operational risk. 9 mentioned safety standards. These elements must, as described in the furtive. 14-25, include the use of internal data, external data, scenario analysis, and factors that reflect business practices and internal control systems. The company must have a well-documented method of weighting these four elements in its overall system for measuring operational risk.

11) The risk-going system must register the main drivers of the risk that affect the shape of the tail on the distribution of the loss estimates.

12) Correlation between loss as a result of operational risk across individual estimats of operational risk can only be taken into account if the financial supervision company can demonstrate that its systems for measuring correlations are well-functioning, implemented in a reassuring manner and take into account the uncertainty associated with all such correlation estimates, particularly in the stress situations. The company must authenticate its correlation conditions by means of appropriate quantitative and qualitative techniques.

13) The risk-making system must be consistent and must be ensured that qualitative assessments or risk-reduction techniques provided in other parts of the notice and its annexes shall not be counted on several times.

Internal data

14) Internally-developed target of operational risk must be based on a historical observation period of not less than 5 years. When the first time goes to use the advanced measurement method, a three-year historical observation period may be accepted.

15) The company must be able to split up its internal loss data in the event types and in the business areas that are shown by the tables in the section. 2 and 13 in Annex 18 on the basic indicator and standard indicator methods of operational risk. These divisions must be able to be presented at the request of the Financial supervision. There shall be documented, objective criteria for the distribution of losses in the specified event types and business areas. Loss of the operational risk linked to the credit risk, which has historically been included in the internal credit database databases, must be registered in the databases of operational risk and are identified separately. Such losses will not be part of the ousting of the risk-weighted items for operational risk, as long as they are still treated as credit risks in connection with the calculation of risk-weighted items. Loss of operational risk associated with market risks must be included in the risk-weighted risk-risk items.

16) The company ' s internal data relating to losses must be comprehensive, since all essential activities and exposure from all relevant subsystems and geographical locations must be registered. The company must be able to demonstrate that any unpaid activity or exposure, both individually and collectively, would not have a significant impact on the overall risk estimates. Appropriate limits must be laid down for losses so small that they should not be registered.

17) In addition to information on the size of gross losses, the company shall collect information about the date of the event, possible whole or partial recovery of gross loss, as well as the description of the driving forces behind or the causes of the loss.

18) Specific criteria for the allocation of losses due to an event in a centralized operation within the company or related to an activity that span more than a business area must be available. In addition, specific criteria must be provided for the allocation of losses due to related incidents occurring over a period of time.

(19) Business must have business assessments for assessing the ongoing relevance of historical losses. The business entrances must include situations in which discretionary or scaling or other adjustments can be made. The business corridors must also include the extent to which the aforementioned regulations are applicable and who has the authority to take decisions on this matter.

External Data

20) The operating system of the establishment of operational risk shall use relevant external data, in particular where there is a reasoned request that the company is exposed to rare but potentially serious loss. The company must have business entries for identifying situations in which external data is to be used, and to determine which methods should be used to include the information in the measurement system. Conditions and practices relating to the use of external data must be reviewed regularly, documented and subjected to periodic, independent examination.

Scenario Analysis

21) The company must use scenario analysis in the form of expert assessments, combined with external data to evaluate its exposure to very serious events. Over time, such assessments must be validated and reviewed by comparison with the actual losses to ensure that they are reasonable.

Business Practices and Internal Control Factors

(22) The risk assessment method that applies to the entire company must take account of significant factors related to both business practices and internal control that can change the company ' s operational profile.

23) The choice of individual factors must be justified in the fact that they are significant driving forces for the risk based on experience and with the involvement of expert assessments of the areas concerned.

24) The sensitivity of the risk estimates to changes in the factors and the relative weighting of the different factors must be well-founded. In addition to taking into account changes in risk because of improvements in risk checks, the system must take account of potential increases in the level of risk as a result of the increased complexity of activities or increased business scope.

25) This system must be documented and subjected to independent review internally within the company. Over time, the process and results must be validated and reviewed by comparison with the actual internal loss experience and relevant external data.

The importance of insurance and other risk transfers

26) The company can take account of the importance of insurance in accordance with the provisions of the provisions of this Directive. Twenty-seven to 30 and other forms of risk transfer if, in the face of the Financial supervision, it may show that a appreciable risk-giving effect has been obtained.

27) The provider shall be an insurance undertaking or a reinsurance undertaking which has an assessment of its ability to make compensation payments drawn up by an approved credit rating agency and where the rating corresponds to the credit quality stage 3 or in accordance with the rules set out in Annex 3 for the risk weighting of exposure to institutes according to the standard method of credit risk.

28) The insurance and the handling of the undertaking shall comply with the following conditions :

a) The insurance policy shall have an original maturity of at least one year. In the case of policies of less than a year, the establishment must make appropriate reductions to reflect the reduced duration of the policy, up to a reduction of 100%. for polices, with a duration of 90 days or less.

b) The period of termination of the insurance policy shall be not less than 90 days.

c) Regulatory measures shall not lead to exceptions or restrictions in the insurance cover. The insurance policy must not include exceptions or restrictions on damages for damage or expenditure on the grounds that the establishment is taken into insolvency proceedings, including the opening of negotiations on obsessive-compulsive terms ; the undertaking shall go into payment condition or be declared bankrupt unless the insurance event has occurred at the time of insolvency proceedings. However, the insurance policy may exempt or limit the losses in the form of fines, penalties or similar types of penalties.

d) The risk reduction calculations shall reflect the insurance cover in a way that is clear for the relationship with and is consistent with the actual probability of loss and impact of such losses, which are used for the overall determination of the risk-weighted items for operational risk.

(e) The insurance must be provided by a third party. In the matter of insurance through the captives and associated companies, the exposure must be transferred to an independent third party, for example through reinsurance, which meets the criteria in the field. 26, 27 and 28 (a-d and f).

(f) The framework for the inclusion of insurance must be well-founded and documented.

29) When insurance is taken into account, reductions in the amount of insurance involved shall be reduced if one or more of the following features occur :

a) The duration of the insurance policy when this is less than a year as specified in a furtive. 28 (a).

b) Opposition conditions for the policy when the termination period is less than one year.

c) Payment suction, as well as restrictions on the coverage of insurance policies.

(30) The reduction in the risk-weighted items as a result of the taking into account of insurance shall not exceed 20%. of the risk-weighted items for operational risk before taking account of risk reduction techniques.

Application for the use of the advanced measurement method for the entire group

31) When the advanced measurement method is used for the settlement of a parent company that is a financial institution, real credit institution, fund brokerage, investment management company, or financial holding company, and its subsidiary undertakings, the application to the Financial supervision shall contain a description of the method used to distribute the risk-weighted items for operational risk between the different companies of the group.

32) In the application in accordance with the act. The effect of the effects of diversification into the risk system must also be stated on 31, whether and not how it is intended to be.

Using the advanced measurement method in combination with other methods

33) The company can use the advanced measurement method, combined with either the basic indicator method or the standard indicator method, on the following conditions :

a) All its operational risks must be included. The financial supervision must approve the method used to cover various corporate companies, activities, geographical locations or other relevant divisions established internally.

b) The conditions set out in annex 18 and furtive. 3-32 of this Annex must be fulfilled for the part of the activities covered by the basic indicator method, the standard indicator method and the advanced measurement method.

34) The authorisation of the financial system for the use of the advanced measurement method assumes that the following conditions are met, except where there is a good reason for non-deviations :

a) At the time when the company takes AMA models in use by the capital coverage statement, a significant part of the operational risks must be done by means of these models.

b) The company undertakes to use AMA models for an essential part of its remaining operational risks, in accordance with a timetable to be approved by the Financial supervision.

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Appendix 20

Enlighment obligations of the undertaking

On general requirements

Objectives and risk policies

1) The company must publish the objectives and policies of risk management at the individual risk categories, including the risks referred to below in the case. 2-23.

Scope of application

2) The company must state the following information :

a) Name of the company.

b) The differences in the consolidation base between accountancy and consolidation in accordance with Chapter 12 of the Act of Finance, with a brief description of items that are :

Basic capital

3) The company must inform the following of their basic capital :

a) A summary of the main characteristics of all items in the base capital and the underlying components.

b) The size of the core capital with separate information on all allowances and deductions.

c) The size of the supplementary capital with separate information on all allowances and deductions.

d) Deduction in kernel capital and additional capital under Clause 131 and 139 of the Act of Financial Company. A specification corresponding to schema CS02, item 2, schema CS02, item 6, and schema CS03, item 11, shall be considered to meet this requirement.

(e) The size of the base capsule after deduction.

Solvenus requirements and sufficient basic capital ;

4) The establishment must provide the following information on the fulfilment of solvency requirements and the base capital of the following :

a) A summary of the company ' s method of assessing whether its basic capital is sufficient to support current and future activities, cf. § 124, paragraph 1. One, and paragraph 125, paragraph 1. 1, in the law of financial activities.

b) For establishments using the default credit risk method for the calculation of risk-weighted items, cf. section 9 is given 8%. of the risk-weighted expulsions for each of the categories listed in section 9.

c) For undertakings using the internal rating method for credit risk for the calculation of risk-weighted items, cf. section 19, specifies 8%. of the risk-weighted expulsions for each of the exposure categories listed in Annex 8, point. In the case of table sponges, this requirement applies to all the sub-categories of exposure (real estate sponges, qualified gunslings, and other table sponges) that are listed in Appendix 8, point. 16-18. In the case of the stock exposure, this requirement shall apply to :

Individual solvency requirements and individual solvency requirements for establishments covered by Section 1 (1). 1, no. 1 and 2

5) Businesses covered by Section 1 (1). 1, no. 1 and 2 must deepen them in point. 4 (a) with regard to the following conditions :

a) A description of the company ' s internal process for the establishment of adequate base capital and the solvency requirement.

b) A description of the company ' s method to account the appropriate base capital and the prerequisites for the use of the model. The description must also include methods and the essential preconditions for the undertaking ' s use of stress tests in the calculation of the adequat-most basic capital.

6) Businesses covered by Section 1 (1). 1, no. 1 and 2 shall inform the appropriate base capital, cf. § 124, paragraph 1. 1, in the case of the financial undertaking, and the solvency requirement, cf. § 124, paragraph 1. 4, in the Act of Financial Company, and specify the decisions thereof on at least the following categories :

a) Creditrisici.

b) Market risks.

c) Operational risks.

d) Other conditions which are part of the achievement of the adequatable base capital and the solvency requirement.

(e) Any additional charges resulting from the adequalcapital of the basic capital, cf. § 124, paragraph 1. 1, in the case of the financial undertaking, and the solvency requirement, cf. § 124, paragraph 1. 4, in the law of financial activities, shall comply with statutory requirements, cf. no. 8.

7) They're in the furs. Point 6 (a) shall have a separate and complete comment to be made by the undertaking, in such a way that it clearly indicates the risks and other factors forming part of the different categories.

8) Businesses covered by Section 1 (1). 1, no. 1 and 2 shall indicate where the adequatable basic capital and the solvency requirement are determined by legal requirements, including the following :

a) The solvency requirement, cf. § 124, paragraph 1. 2, no. 1, in the law of financial activities.

b) One of the Financial supervision laid down by the Financial Directive, cf. § 124, paragraph 1. Five, in the law of financial activities.

c) A solvency requirement laid down by the Financial supervision as a result of tendering measures after Article 350 (3). 1, in the law of financial activities.

d) The minimum capital requirement, cf. § 124, paragraph 1. 2, no. 2 and paragraph 1. 3, in the law of financial activities.

9) Businesses covered by Section 1 (1). 1, no. 1 and 2 shall also provide information on :

a) The basic capital of the company after deduction and the solvency rate.

b) The size of a possible capital requirement after the transitional rules for IRB institutes.

10) Businesses covered by Section 1 (1). 1, no. 1 and 2, in connection with the establishment of the adequatable base capital as well as the solvency requirement, information on the result of the undertaking ' s internal process prior to any applicable additions resulting from legal requirements, in which case the undertaking must apply ; the terms ' internal solvency requirements ', respectively, respectively, respectively, respectively, respectively, the basic capital of the solvency requirement of this result. If the establishment has an objective to maintain a basic capital above a certain level, the undertaking may inform the establishment of this objective in connection with the establishment of the adequatable basic capital and the solvency requirement, and the establishment must, in such cases, be applied ; the term ' target ', ' target ' or ' objective ` in the measurement of this target.

Resistance risk

11) The company must provide the following information on the exposure of counterpart risks :

a) Statement by the method which has established the basis for establishing adequate base capital and credit limits in connection with discardable credit exposure.

b) The deposition of the policies to ensure security and create credit reserves.

c) Statement for the policies applicable to 'wrong-way' risk exposure, cf. Annex 16.

d) Statement on the impact of the security required by the undertaking when a creditrating downgraded is adjusted.

(e) The positive gross day value of contracts, net profits, the Internet currently credit commitment and security. A net credit commitment is a creditliability for transactions in derivatives, including the profit arising from net agreements which are legally enforcing and seatbelts.

(f) The measures for an engagement value according to the applicable relevant method in Annex III, Part 3-6, of Directive 2006 /48/EC of 14. June 2006, on the admission and pursuit of business as a credit institution (recast version).

g) The nominal value of risk-taking by means of credit derivatives and the current credit line between different types of creditments.

(h) Transactions in credit derivatives (nominal value) by use in the company ' s own credit portfolio and in its intermediaries, including the distribution of the credit derivatives used, further distributed on purchases and sold risk-taking within each product group.

i) Estimation of the services provided that the Agency has been granted the approval of the SEC or other competent authority to estimate the subject of the approval of the Financial Authority.

Credit Risk and Immigration Risk

12) The company must provide the following information on credit risk and water risk :

a) The accounting definitions of defaults receivable and valueated claims, as well as a description of the methods used to define value adjustments and depreciation. Companies following the announcement of financial reports for credit institutions and brokerage brokers and brokerage parties may refer to section 51-54.

b) The total value of the exponations on value adjustments and precipitation and, before taking account of the impact of credit risk reduction.

c) The average value of the exposure during the period between the various types of exposure categories is divided into the various types of exposure. These categories are specified in section 9 for companies that use the standard method for the uptake of credit risk and annex 8, point. 3, for establishments which use the internal rating method to account for the specification of credit risk.

d) The geographical distribution of exposure, broken down in significant areas of significant exposure categories. The classification of types of exposure categories is specified in section 9 for companies that use the standard method for the uptaking of credit risk and annex 8, point. 3, for establishments which use the internal rating method to account for the specification of credit risk. Companies that have 95%. or more of their exposure in Denmark, by failing to make this distribution.

(e) An industry or modal distribution of exposure, broken down on the exposure categories, which are specified in section 9 for undertakings using the standard method for the uptaking of credit risk, and annex 8, point. 3, for establishments which use the internal rating method to account for the specification of credit risk. The breakdown in section 93 of the notice of financial reports for credit institutions and brokers ' brokerers and others may be used.

(f) A distribution of the duration of exposure, broken down by exposure categories, specified in section 9 for undertakings using the standard method for the uptaking of credit risk, and annex 8, point. 3, for establishments which use the internal rating method to account for the specification of credit risk. The duration of the duration specified in section 91 of the financial reporting for credit institutions and brokerage brokers and other funds may be used.

g) For each significant industry or counterpart type, the total value of :

13) Organizations using the default method for the uptake of credit risk, cf. Section 9 shall indicate on each of the standardized exposure categories specified in section 9.

14) The company that uses the internal rate-based approach method to account the credit risk, cf. Section 19 must provide the following information about exposures which constitute specialized borrowing, and share exposure :

a) Exposure that has been applied to the individual categories from the table in Appendix 8, point. 82.

b) Exposure which has been assigned to the individual risk weights from the simple risk-weight method, cf. Annex 8, point. 94-96.

15) The undertaking shall provide a separate information on the solvency requirements for each of the following risks, which are to be done under the risk area :

a) Posts with positioning risk : debt instruments.

b) Posts with positioning risk : shares, etc.

c) Posts with positioning risk : raw materials.

d) Posts with counterparty risks.

(e) Posts with delivery risk, etc.

(f) Total currency position.

16) The company that uses internal models (VRs), cf. Section 40 and Annex 15 to the statement of the risk of positions in the trading book shall state the following :

a) For each of the involved subportfolios :

17) The company must provide the following information on the operational risk :

a) the methods of assessing the operational risk of an operational risk, which is applicable to the undertaking, and

b) where the enterprise uses the advanced measurement method.

18) The company must indicate the following exposure to shares and so on which do not form part of the trade book :

a) The purpose of the company with the exposure, as well as specification of used accounting practices and valuation methods, including key preconditions and practices that affect the valuation, as well as significant changes in these practices.

b) Types and type, as well as the size of positions in listed stock (private equity exposure), unlisted stock positions in sufficiently diversified portfolios and other exposure.

c) The total cost of benefits or losses resulting from sales and winding-up proceedings during the period.

d) The total unrealized gains or losses, the overall latent gains and losses in accordance with the valuation and the possible inclusion in the capital or additional capital.

(19) The company must provide the following information on exposure to interest rate risk in positions outside of the trade stock :

a) the nature of the interest rate and the essential prerequisites, including the preconditions for repayment of loans and the development of the indeterminate maturity, and how often the interest rate is to be cleaned up and

b) variation of revenue, financial value or other relevant measurements, which the management of the company uses to measure the interest rate risk of upward or downward rentechok, broken down according to currency.

20) The company must provide the following information regarding securitizations :

a) a description of the company ' s objectives relating to securitisation activities ;

b) the roles of the establishment in the securitisation process,

c) an indication of the degree of undertaking ' s involvement in each of these ;

d) the methods of taking into account the risk-weighted items used by the undertaking in the context of its securitisation activities ;

(e) a summary of the company ' s accounting principles for securitisation activities, including :

On the subject of application requirements for the use of special instruments or methods

21) The company that uses the internal rate-based approach method to account the credit risk, cf. Section 19 shall indicate :

a) What a competent authority which has authorised the method and the transitional provisions approved by the competent authority.

b) An explanation for, and a review of :

(22) The company using the credit risk reduction techniques shall indicate :

a) Policies and procedures as well as an indication of the extent to which the undertaking avaunts the netting and netting under the line.

b) Policies and procedures for the valuation and management of securities.

c) A description of the basic categories of collateral to be received by the company.

d) The main types of counterparts in the form of guarantee-making and credit derivatives and their credit rating.

(e) Information on market or credit concentration information in the field of credit risk reduction.

(f) Organizations that calculate the size of the risk-weighted exposures according to the standard method, cf. Annex 3, or in accordance with the internal rate-based approach, cf. Annex 8, but which does not make its own estimates of LGD or conversion factors related to exposure categories, must separate for each exposure category, from the total value of the expulsions (after any balance-sheet netting ; or netting under the line), which is covered by the use of volatility adjustments of the recognised financial securities and other recognised security.

g) Organizations that calculate the size of the risk-weighted exposures according to the standard method, cf. Annex 3, or in accordance with the internal rate-based approach, cf. in Annex 8, separate for each exposure category shall give up the total exposures (after possible balancing netting or netting under the line) covered by guarantees or credit derivatives. For the stock category category, this requirement shall apply to each of the methods set out in Section 1 (17-26 of Annex VII) of Directive 2006 /48/EC of 14. June 2006, on the admission and pursuit of business as a credit institution (recast version).

23) Entities using the advanced measurement method for making operational risk must provide a description of their use of insurance in order to reduce the risk.

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Annex 21

Application for the internal credit risk method for credit risk

This Annex contains the provisions concerning the application for permission to use the IRB method, cf. § 19.

1. Application process

A financial group with a Danish parent company must submit an overall application for the use of the IRB method for the supervision. The application includes all of the consolidated companies in the group which are subject to the rule set, cf. Section 19 (1). 2 and 5.

The enterprise may take the IRB method in the use of capital cover, when the approval of the IRB method has been notified to the group's parent undertaking and after the individual companies of the group which are subject to the rules set must be used, The IRB method has been granted separately to the authorisation for the use of the IRB method for the purpose of capital-covering purposes. The authorization shall be granted by the supervision or, where any foreign subsidiaries of the group, of the foreign regulatory authority concerned.

Where an application has been submitted, the supervision of the application shall be carried out with a view to assessing the fulfilment of the requirements relating to the use of the IRB method. The supervision expects that the assessment of the material will take approximately EUR 30 000. Three months. During this period, the primary contact with the applicant group will consist of the submission of any supplementary documentation to be used for the assessment.

If the evaluation of the material in the application provides the basis for that, the inspection will plan a study on the site in the group. The primary purpose of this study is to confirm whether the group meets the minimum requirements for the approval of the RRING RRs for Capital coverage purposes. As part of the survey, the supervision expects, among other things, to review some pre-selected exposures as part of the assessment of the use of the rating systems in the risk management system. Planning, implementation and follow-up of the survey on the spot are expected to take up to two months.

Any approval of the IRB method and the subsequent authorisation granted to each company in the group shall be notified not later than six months after receipt of a complete application. Similarly, where appropriate, the approval of the group's parent company shall be notified within six months of receipt of a full application in accordance with the requirements of this Annex.

Where supervision in relation to the examination of the application considers significant deficiencies in the material submitted in relation to the requirements of this Annex, the supervision of an alternative to a rejected application may temporarily set the clock in proportion to : the period referred to in six months shall be subject to the examination of the application and shall wait for the group to dispend the deficiencies in its submitted application.

It can be beneficial to the application process, to be informed at an early stage and prior to the application itself on the plans for the group to cover a future application. This will allow us to discuss the preparation of the application with the supervision. When the group has decided on a future application, the supervision will contact any foreign authorities involved in the examination of the application, in order to prepare for the examination of the application.

1.1. Parallel Reporting

In order to assess, inter alia, the effect of the use of the IRB method, the group in the next quarter after submission of the application and quarterly forward to the intended use, must do so and report the risk-weighted posts after it is submitted ; the IRB method applied in parallel to the statement and the alert of the risk-weighted posts after the method of the intemperance used.

The enterprise must make parallel reporting at a consolidated level for all of the consolidated companies. In addition, the group must carry out parallel reporting at the level of solonisation of the consolidated companies which are under supervision.

The parallel reporting shall be made in the reporting set of the IRB method available on the GL-synet website, cf. § 67. The degree of detail of the notification in accordance with the application procedure shall be agreed with the supervision in each case.

1.2. Application letter

An application for the use of the IRB method shall consist of an application letter attached to any additional applications, cf. section 1.3, the application dossier, cf. section 2, and summary forms, cf. Paragraph 3.

The letter of application shall be expressed as to the IRB method, which the group seeks to use for the purpose of capital cover, will include the own estimates of losses conforfeit (LGD) and conversion factors (CF) for business, institute-and State sponsorship. The letter of application shall also account for any planned and significant changes in the group which may affect any authorisation to use the IRB method, if any. The letter of application shall be signed by the Executive Director of the parent company and the Executive Directors of the Group's other legal entities (subsidiaries) covered by the application and under individual supervision.

The letter must include a statement that the submitted material gives a true and relevant picture of the areas covered by the application.

The application shall include the portfolios which the group wishes to benefit from the IRB method from the time of approval. Information on other portfolios shall only include information that is necessary for supervision to assess whether the group meets the requirements for exceptions from the IRB methodology and phased implementation. A group's later use to cover the rating systems which are not covered by the IRB method at the time of approval shall require the prior authorisation of the synet.

For some groups, it may be beneficial to the group and in view of the fact that the application letter and larger or smaller parts of the other application shall be available in English. The language selection will be agreed with the supervision in each case.

1.3. Supplementary applications for phased implementation and permanent derogations from the IRB method

In the case of an application, the group may, as appropriate, submit a number of additional applications.

Additional applications may be submitted concerning :

-WHAT? Incremental Implementation (Rolling Plans)

-WHAT? Permanent exception from the IRB method of state sponsorship, institution exposure, unimportant business units and / or portfolios, corporate exposures and share exposure

-WHAT? The data history rave when calculating PD for business, institute and state sponsorings, as well as the calculation of PD, LGD and CF or EL for table-sponges

-WHAT? Application of the PD/LGD method for the share explicates

-WHAT? Applicability of the VaR method of share exposure

-WHAT? Fulfillment of the minimum group level

1.3.1. Incremental Implementation

The enterprise can search for the implementation of the IRB method implementation in the group in increments, in accordance with a pre-approved schedule of rolling up, cf. ~ ~ ~ 24 and 25 ~ ~

The draft action plan shall demonstrate when the areas to which the incremental implementation of the IRB method is expected to be included as well as a description of the implementation process.

It must be stated in the application for phased implementation, why the relevant areas are temporarily exempted from the IRB method. In addition, the application must include the group's own assessment of the uncertainty factors associated with the rolling schedule.

If the group is in accordance with paragraph 25 (1). 3, seeking a longer time-limit for the implementation of implementations than three years, the group shall state the nature of the circumstances necessitates an extension of the time limit, and the timetable for implementation pursuant to an extension.

1.3.2. Permanent exception from the IRB method

The cernable group may seek authorisation to exempt certain exposure from the IRB method and use the standard method of credit for the exposure in question, cf. SECTION 26.

The concerts must justify the desired permanent derogations from the IRB method. In addition, a number of specific information requirements for applications for different permanent derogations have been specified below :

1) State sponsorship and institution exposure

For each exponation category, the group shall indicate the number of opposing parties, including the number of major counterparts, the volume of the portfolio (balance sheet and unbalanced items) and a estimatory of the risk-weighted items according to the IRB method. In addition, the group must state the extent to which the conditions for exemption are fulfilled, including the fact that it is estimated to be disproportionately burdensome for the group to implement a steering system for these counterparts.

2) The Enterprise's insignificant business units and / or portfolios

The enterprise must lead to the business units and / or portfolios that are exempt from the IRB method. The enterprise must account for the fact that the business end-end business and / or portfolios are assessed as insignificant. In addition, the group must describe why it is assessed to be disproportionately burdened to implement the internal steering system for the relevant business units and / or portfolios. The certify shall indicate the volume (balance sheet and unbalanced items) as well as a estimate of the risk-weighted items according to the IRB method for each of the business units and / or portfolios that are to be excluded.

3) Corporate engagements

The enterprise shall indicate the volume (balance sheet and unbalanced items) of these exposures. In addition, it must be specified, between which companies intergroup the group internal engagements have been made.

4) Asset Exposure

The certify shall indicate which positions are to be excluded in accordance with section 26 (4). 1, no. 5, as well as the size of the relevant stock positions. The reason for the principal to seek the exception of the portfolio concerned shall be indicated on the application. The concerted group shall submit separate applications whose share exposure is subject to section 26 (4). 1, no. 6, and section 26 (4). 1, no. 9, wish for the exception.

1.3.3. Data history rave

The concerts can, cf. Act. Exclusion from data history raved by calculation of the PD and State Sponings, as well as the calculation of PD, LGD and CF or EL for table sponges, the exception of data history rave.

1) Erenvs-, institute and state sponges

Concerns that do not use their own estimates for the LGD and CF for business, institute and state sponsorship shall have the possibility of applying for the supervision of a portfolio level of basing their pd-estimates for business, institute and state sponsors ; on data based on a period of time shorter than five years, for at least two years, cf. Annex 8, point. 189. This includes the data history rave by using the PD/LGD method to share exposure. The application must include a reason for the group's request for an exception. It must also be stated in the application whether the calculated parameters are considered to be representative of the experience of the group over a longer period. The enterprise must attach the pd-estimates to a precautionary margin that relates to the expected margin of error associated with the estimation. The less data a group has, the more prudent estimates are to be. The application shall show the extent and the method by which the group has added a precautionary margin as a result of a period of data shorter than five years.

2) Detailec sponges

Concerns have for table-room sponges the ability to seek the supervision of the base of their PD, LGD and CF estimates, or the EL, where appropriate, on data based on a period of time shorter than five years, subject to at least two years, cf. Annex 8, point. 191. The application must include a reason for the group's request for an exception. It must also be stated in the application whether the calculated parameters are considered to be representative of the experience of the group over a longer period. The enterprise must attach to its estimates a prudential margin, which relates to the expected margin of error related to the estimation. The less data a group has, the more prudent estimates are to be. The application shall show the extent and the method by which the group has added a precautionary margin as a result of a period of data shorter than five years.

1.3.4. PD/LGD Method for Asset Exposure

The Enterprise can seek permission for the use of the PD/LGD method for the share exposure, cf. Annex 8, point. 91. The application must include a description of the method and a statement for compliance with the requirements of Annex 8, point. 97-100.

1.3.5. The VaR Method of Asset Exposure

The enterprise may seek permission to use the VaR method of share exposure, cf. Annex 8, point. 91. The application must include a description of the method and a statement for compliance with the requirements of Annex 8, point. 101-103 and furtive. 234-242.

1.3.6. Fulfillment of the minimum group level

The cernable cervix may apply to the minimum requirements set out in Annex 8, point. 113-242 is fulfilled for the parent company of the group and subsidiaries as set out in accordance with one, cf. Section 20 (2). 2. The application must include information on the units to be exempt from meeting the minimum requirements and the minimum requirements for which the derogation relates.

1.4. Self-assessment

The certify shall make an assessment of the conformity of the requirements relating to the use of the IRB method. In addition to an assessment of each requirement, the self-assessment must include an overall assessment.

If the group estimates that it does not fully meet all requirements, the group shall describe the deviations and draw up an action plan for when and how the group will comply with the requirements.

The enterprise must have made the self-assessment before the supervision can examine the request of the group.

The self-assessment must form the basis for the completion of the checklier, cf. section 3 on summary forms.

1.5. Internal Audit

In accordance with Annex 8, point. 124, internal audit or an equivalent independent audit unit shall review at least once a year review the group rating systems and their use. The review shall include the compliance of the group with all minimum requirements.

There is no requirement that the audit has been carried out before a group is applying for the approval of the IRB method. This will, however, be included in the appraisal of the application, the extent to which the review has carried out tasks in the field.

2. Applause Material

The following material shall be accompanied by the application :

1. Overstuffed View and Checkout themes (see Section 3)

2. Scope

-WHAT? Description of the use of the ratings system estimated risk parameters for different internal purposes

3. Organization

-WHAT? Organization Chart for Corporate / Companion

-WHAT? Organizational diagram for departments and internal committees with tasks related to the application rating systems

-WHAT? Description of the tasks and responsibilities of the departmental and Committees of Committees

-WHAT? Expected resource usage description for. the development and implementation of the IRB method (incl. allocation of resources before and after rolling out)

4. Credit Policy and Written Business Times

-WHAT? Copies of credit structions

-WHAT? Copy of written practices for the sharing of borrowers in exposure categories

-WHAT? Copy of written procedure for assigning ratings and placement of ratings in steering classes or pools

-WHAT? Copy of written business procedures for authentication of internal models used in the steering systems

-WHAT? Copies of written business procedures for the implementation of stress tests

-WHAT? Copy of written procedures for the preparation of management reporting based on the ratings systems

-WHAT? List of written business procedures for internal controls relating to the steering systems, where appropriate, if any references to the list of internal documentation in schema 7

5. Documentation of steering systems

-WHAT? Summary description of ratings systems (Schema 4)

Descriptions for each of the internal models used in the steering control system, including the documentation of statistical models, cf. Annex 8, point. 160

-WHAT? Description of data basis

-WHAT? Copy of written documentation for the calibration of the parameters PD, LGD and CF parameters

-WHAT? Description of the authentication methods used (can be omitted if the methods are described in the group's written business entries during the written procedure. 4 above)

-WHAT? Copy of written documentation for validation of internal models used in the steering system, including validation of assigned ratings and parameter estimates

-WHAT? Documentation concerning. definitions of defaults and losses, cf. Annex 8, point. 159

6. Stress test

-WHAT? Description of the stress tests used

-WHAT? Documentation of tests carried out

7. Leadership Reporting for credit risk and rating systems

-WHAT? Copy of report to board, management

-WHAT? Copy of Reporting to Internal Committees

8. Audit

-WHAT? Description of the previous tasks in the area, including the description of the division between internal and external audits,

-WHAT? Copy of audit reports for completed audits related to the applied rate of steering

-WHAT? Description of future tasks in the area including planned revisions relating to the steering systems ;

9. IT structure for IRB method

-WHAT? Description of the IT structure that supports rating systems, including integration with other systems in the group

-WHAT? Description of IT security

10. Self-assessment

-WHAT? A summary of the results of the self-assessment

-WHAT? A brief description of the self-assessment process carried out

-WHAT? The action plan drawn up with an indication of identified deviations. The current status of the application date of the identified deviations must be specified

11. Contacts

-WHAT? Overview of relevant contacts in the group in relation to the processing of the group's application

As a starting point, the submitted material may consist of copies of the internal documentation of the group.

The material may be either submitted electronically or in paper form. If the material is submitted in paper form, it shall be available in five copies.

If the application process appears to be required to submit a modified version of an already submitted document, it must clearly show what was edited and the version of the edited document replaces the document.

The monitoring may, as appropriate, request the group to submit additional material in the context of the assessment of the application.

3. Summary Schemas

Table 1 through 7 is completed when the following guidelines are observed. The number of rows in the schemas is increased as needed :

Table 1 : Portfolio covered by the IRB Method

The purpose of the scheme is to give the overview an overview of the rating systems the group's application includes, including which portfolios, business areas, and legal entities are covered by the respective rating systems.

The breakdown in the schema will be based on the internal splitting of the subportfolios of the group. The internal designation of the Enterprise for each of the portfolios is requested.

For the completion of the scheme, the following shall be specified :

-WHAT? Portfolio of the Portfolio (Enterprise ' s internal name for the portfolio)

-WHAT? For portfolios, a delimitation of the group's business areas is based on, for example, customer group, product, or geographical attachment. To the extent it is not clear from the portfolio ' s description of the scope of the portfolio, please indicate that it is specified in a related note.

-WHAT? Exponement Category, cf. the grouping of exposures in Annex 8, point. 3-24.

-WHAT? Legal entities (the legal entities where the IRB method is used for the portfolio concerned)

-WHAT? the steering system (the internal designation of the group for the steering systems used for the portfolio concerned),

-WHAT? If the group does not use its own estimates of LGD and / or CF, please mark the word G (G for the "Basic" IRB method) in the schema.

-WHAT? If the group wants to roll out the LGD and / or CF dimension out, the expected time of the expected use is entered in the cell.

-WHAT? In the case of cross-border groups, please indicate a C (central) or an L (local), depending on whether the model was developed on the group data or on local data.

-WHAT? Volumen

-WHAT? The volumen for balance sheet items shall be entered as the amount of the book-held (be made in accordance with the accounting provisions). The volumen for unbalanced positions shall be indicated as the nominal amount multiplied by the weight of full risk, intermediate risk and intermediate / low risk, cf. ~ 10 (1)) 5.

-WHAT? Risk-weighted items

-WHAT? For each portfolio, the risk-weighted items shall be used in accordance with the applicable method and the method applied.

-WHAT? The proportion of the portfolio (the portfolio ' s risk weighting post) in accordance with the applicable application date, in relation to the aggregate risk-weighting records of the group, as well as the existing method, in the case of the group.)

Table 2 : Exceptions from the IRB method and portfolios covered by the rolling tables

The purpose of the scheme is to give the overview an overview of the portfolios that are exempt from the IRB method and provide an overview of the group's performance scrolling plans at the portfolio level.

For the portfolios, the group wants a step, a roll-up plan must be available, indicating the expected time in which the portfolio will be included in the IRB method. This time is specified for the PD, LGD and CF dimension respectively. For portfolios that the group wants to permanently wish to exempt from the IRB method, an S (standard method) is specified in the columns.

With respect to the completion of the other columns, refer to the guidelines for schema 1.

Table 3 : Portfolio covered by the IRB method in the group's legal entities

The purpose of the scheme is to give the supervision an overview of the application of the IRB method by individual legal entities. The concerts must complete a schema for each applicable legal entity.

In order to complete the schema, reference is made to the guidelines for schema 1.

Table 4 : Ratings

The purpose of the scheme is to provide a view of the group's steering control systems. In this context, steering systems shall be understood as the systems and processes that the group is using in the allocation of PD, LGD or CF for a borrower or feature.

The schema must be completed for each rating system that is part of the group's IRB method.

Table 5 : Supplementary applications

The purpose of the scheme is to provide an overview of the additional applications submitted by the group, cf. section 1.3.1-1.3.5.

Table 6 : Checkout

The purpose of the checklier is to give the overview a summary of how the group finds that compliance with the requirements is documented. In addition, the overview shall allow the possibility at a later stage to designate any documents to which the supervision of the Commission has been submitted.

The trajectable shall be based on a number of minimum requirements in the provisions relating to the IRB method.

The group shall, for each point in the tar, have to :

1) refer as accurately as possible to appropriate documentation for compliance with the requirement. The referral may refer to documentation submitted with the application or to the list of internal documentation in schema 7. In the case of documentation related to conditions that are not yet fully implemented at the time of the application, the implementation of the implementation of the implementation must be reported and the action plan is to be referred to ;

2) where appropriate, briefly describe how the requirement is met. If the group at the time of the application is not yet fully in compliance with the requirement, this must be stated.

As a starting point, it will not be necessary to describe how the group fulfils the claim, as the evidence to which the group is referred. However, there may be a requirement where it is beneficial to supplement the documentation with a short description. For example, in the case of general requirements or requirements, where there is no immediate overall documentation (here, it is assumed that there is no explicit call for documentation). Examples include the requirements set out in Appendix 8, point. 116-119, on the duties of the board and the Board of Directors.

There may be points in the checklie which are not relevant to the group-in that case the group will have to inform you why the requirements are not relevant.

The group may have different responses concerning each section of the checklier, as the response may differ for different legal entities, business areas, countries, steering systems, etc. If so, the different responses must be specified. and it must be stated why there are different responses.

Table 7 : List of documentation material

The purpose of the scheme is to provide a summary of the group's documentation in relation to the IRB method.

The schema shall contain a complete list of all relevant documentation, as well as the documentation that the group has submitted, as the documentation to which the group refers alone. There must also be a descriptive document name and a brief description of the contents of the material. The Enterprise is asked to please enumerate each document in accordance with the number in the schema. It must appear in the view when the document is approved and whether the document reflects relationships that are not finally implemented in your organization. If the document is not fully implemented, the implementation status of the document must show the implementation status. In addition, the last column of the schema must be specified whether the document is submitted for the supervision.

Table 1 : Porportfolios covered by the IRB method

Table 2 : Exceptions to the IRB method and portfolios covered by rolling tables

Table 3 : Porportfolios covered by the IRB method in the group's legal entities

Legal entity :

Table 4 : Ratings systems

Table 5 : Supplementary applications

Table 6 : Checkout

Table 7. View of internal documentation

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Appendix 22

Application for internal models of market risk (VR models)

Application for internal models of market risk (VR models)

This Annex contains the provisions on the application for authorisation to use internal models of market risk (VR models), cf. § 40.

Section 40 and Annex 15 contain requirements for internal models of market risk.

1. Approval process for internal models

A financial group with a Danish parent company must submit an overall application for the use of internal models (VRs) to the Financial supervision. The application shall include all the consolidated companies in the group which are subject to the regulatory framework.

The enterprise may take internal models in the use of capital cover when the decision to approve the models has been notified to the group's parent undertaking and after the individual companies in the group which are subject to the rules set are to be used, internal models, a separate subject, has been granted for the use of the models for the purpose of capital intended for use. The authorisation shall be granted by the Financial supervision or, as regards any foreign subsidiaries of the group, by the competent foreign authority.

Where an application has been submitted, the supervision of the application shall be carried out in order to assess compliance with the requirements associated with the application of internal models. The amount of time available for evaluation of the material will depend on the specific application. During this period, the primary contact with the applicant group will dispatch the submission of any supplementary documentation to be used for the assessment.

If the evaluation of the material in the application provides the basis for that, the inspection will plan a study on the site in the group. The primary aim of this study is to confirm whether the group meets the minimum requirements for the approval of the applications for capital-covering purposes.

Any type of approval of internal models and the subsequent authorisation for each company in the group shall be notified within six months of receipt of a complete application. Similarly, where appropriate, the approval of the group's parent company shall be notified within six months of receipt of a full application in accordance with the requirements of this Annex.

Where supervision in relation to the examination of the application considers significant deficiencies in the material submitted in relation to the requirements of this Annex, the supervision of an alternative to a rejected application may temporarily set the clock in proportion to : the period referred to in six months shall be subject to the examination of the application and shall wait for the group to dispend the deficiencies in its submitted application.

It can be beneficial to the application process, to be informed at an early stage and prior to the application itself on the plans for the group to cover a future application. This will allow us to discuss the preparation of the application with the supervision. When the group has decided on a future application, the supervision will contact any foreign authorities involved in the examination of the application, in order to prepare for the examination of the application.

1.1. Application letter

An application for the use of internal models shall consist of an application letter attached to the material provided for in Section 2.

The letter of application shall account for any planned and significant change in the group, which may affect any authorisation to use internal models. The letter of application shall be signed by the Executive Director of the parent company and of the Executive Directors of the Group's other legal entities (subsidiaries) covered by the provisional application and under individual supervision.

The letter must include a statement that the submitted material gives a true and relevant picture of the areas to which the provisional application covers.

For some groups, it may be beneficial to the group and in view of the fact that the application letter and larger or smaller parts of the other application shall be available in English. The language selection will be agreed with the supervision in each case.

1.2. Use of a combination of standard methods and internal models

The enterprise shall be able to use the standard methods, cf. by the establishment of risk-weighted positions with a market risk. § § 35-39, or internal models, cf. sections 40 and 41, or a combination of these.

In some cases, it is expected that supervision does not allow a group's internal models, provided that the group chooses to calculate market risks by combining the standard methods and internal models. This will include cases where the group chooses to use internal models to calculate market risks to products in which it leads to reduced capital requirements to market risk items other than the use of the standard methods, whereas the group chooses to apply the standard methods of products in which this leaves the lowest capital requirement.

The use of internal models in combination with standard methods shall ensure that the group has sufficient capital to cover all market risks and also provide the group with a good overview of its overall market risks.

Permission to use a combination of standard methods and internal models to calculate market risks will also depend on the enterprise business performance of products in which market risks should be calculated by default.

If a combination of standard methods and internal models is to be used, the enterprise will be allowed to use a combination of the market risk to use a higher multiplication factor than 3, cf. Annex 15, point. 21.

Where the group has authorised the group to use internal models for a range of products, the group cannot later choose to return to the use of standard methods for these products.

1.3. Renterisiko outside of trade stock

Section 40 states that the application may also include the company ' s interest in the subject of trade in outside the trade book.

In assessing an application for this purpose, consideration shall be given to the consideration of the internal models of the proficyclopedia of and outside the trading book the group ' s overall interest-rate risks shall be appropriate.

1.4. Model Selection

The concept of internal models covers a range of different types of models, including historical simulation, Monte Carlo simulation and variance models.

The supervision does not require any of the models described above to be used to obtain authorisation to use them. The enterprise selection of internal models must be based on which model types are best reflecting the risks of the group's portfolio.

The cernable group may choose to use different internal models of different products. If different models are used, they must all meet the requirements of this Annex.

As a general rule, the overall market risk of the concert must be calculated as the numerical sum of the risks calculated by the individual internal models. If a different form of aggregation is taken from calculated correlations, this method shall be stated in the application.

1.5. Specific risk

The group may choose to include a specific risk of shares and / or debt instruments in the internal model. An exception will cause the specific risk to be calculated using the standard methods.

Concerns seeking permission to take specific risks should be made aware of this in the application. This must indicate how the specific requirements for specific risk in Annex 15 shall be deemed to have been met. The specific requirements for specific risk must be met in parallel with the basic requirements for internal models.

The methods of withdrawal of the specific risk, as for the other internal models, must be validated, partly through back-through tests, partly through the requirements for authentication that apply to internal models in general.

If the operator gives the company permission to include the specific risk, it shall be made up for each risk category, i.e. shares and debt instruments, or to sub-portfolios of these, which involve a specific risk.

If the company chooses to make specific the sub-portfolios specific, it must be prepared in advance for the composition of its sub-portfolios and must not alter these without the consent of the synet.

In the case of the total specification of the capital requirement, which contains both general and specific risks, correlations between the two separate inventories may be taken into account, however, which requires the method to be validated.

1.6. Variants and covariants

The supervision does not require that calculated variants and covaries should be established as a balanced moving average of historical variations and covariants.

1.7. Limits determined by the group

The supervision sets out that the group should establish verifiable limits for risks calculated by internal models. However, the supervision does not provide the basis for verifiable limits for risks calculated by internal models at the single level.

1.8. Backtests

The enterprise shall, by applying for authorisation to use internal models, shall be able to demonstrate, inter alia, the reliability of modeling, on the basis of completed back-test tests.

As a starting point, the models can only be allowed when the group has completed backtests for a 12 month period. The supervision, however, will, in concrete cases, be able to accept a shorter backstage period.

If the supervision accepts a shorter backtest period, it may result in the group when calculating the market risk to use a higher multiplication factor than 3, cf. Annex 15, point. 21 until the backtest period is up to 12 months.

The cernable must be able to implement both actual and hypothetical backtests. In addition, the group should be able to carry out backtests at both the portfolio and product level.

Daily backtests must be based on the basis of positions in the trading book which is covered by the internal models of the group, unless the application includes the interest rate of the group outside the trade inventory.

The reason for this is that back-test-based positions, both in the trading book and outside the trading book, could result in fewer overruns and consequently a lower pluction factor, cf. Annex 15, point. 21, other than backtests based on positions in the trading book alone.

A group whose application does not include interest in the area of trade outside the trading book, but which wants to carry out daily bacterial bacterial positions, as well as in the commercial and outside trade position, in relation to the application, demonstrate that the deviation does not give the group a lower capital requirement by a lower plusfactor.

Backtests, as mentioned above, must be carried out at both the portfolio and product level. Positions in and out of the trading book will be defined as two sub-portfolios in which the group is to carry out back-tested tests.

1.9. Stresstests

The certify must have the capacity to prepare stress tests on a daily basis. In addition, the group will have to carry out more extensive stress tests on an ad hoc basis. The selected scenarios for stress tests need to be tailor-made to the group's business area and historical market events.

The direction of stress tests must in particular reflect the abnormal market conditions that are not sufficiently captured in the backtests of the internal model. This applies, for example, to illiquid markets and special concentration hazards in the specific portfolio of the group, cf. That's right. 4 (g) (g) of Annex 15.

As a starting point, the monitoring will not set out specific scenarios for stress tests, but will reserve the possibility of significant market events.

1.10. Internal Audit

According to annex 15, point. Paragraph 4 (h) shall conduct an internal audit undertaking independent reviews of the models, including the use of these in trade and control functions.

There is no requirement that the review has carried out a review before a group's application for approval of internal models. This will, however, be included in the appraisal of the application, the extent to which the review has carried out tasks in the field.

1.11. Adjust the setting of multiplication factor

The supervision may, in the context of the authorisation procedure, choose to establish a multiplication factor greater than 3 if the group has not done so itself, cf. Annex 15, point. 21.

Examples of this might be that the group :

-WHAT? calculates market risks by combining the standard methods and internal models,

-WHAT? bases its calculations on data from external sources, such as the data of the J. P. Morgan, and thus not always be able to be sure that the data is fully updated and correctly calculated,

-WHAT? does not use integrated IT systems and have problems with data feeds for the systems ;

-WHAT? in individual days, it is not in a position to perform a VR calculation or that the calculation is flawed,

-WHAT? failed at the time of authorisation to complete backtests on internal models for a 12 month period ;

-WHAT? have a deadline to change the models at the time of the permit so that the models within a specified period meet the minimum requirements in accordance with the minimum requirements, cf. Appendix 15.

The above examples are indicative, and so there is no conclusion that supervision in any case would impose a higher multiplication factor in each case. For example, the determination of a higher multiplication factor for the use of external data will depend to a large extent on the appraisal of the group's instigating internal controls of external data.

When changes to models, the multiplication factor will also be increased in a shorter period.

It does not, as a general rule, indicate an explicit weighting of the causes of a heigh-multiplication factor, increasing the multiplication factor of a total assessment of concrete conditions in the group's model.

In the model of the permitted model, which is subject to a multiplication factor, the general rule shall be taken up to the reassessment of the initiative at the initiative of a period.

1.12. The subsequent reporting of the group

If internal models are permitted, the scope of the decision will indicate the extent to which the group will have to report to the supervision, including to the extent to which modeling changes, such as new products and new locations, must be approved by the supervision before they can, Implemented. The detailed definition of modeling changes that must be approved by the supervision will be determined individually, as the demarcation will depend to a large extent on the model selection and organisation of the group.

1.13. Time limits set by the supervision

If the performance models of the group are not fully in compliance with the minimum requirements or not calculate the risks of the group ' s portfolio sufficiently correctly, the supervision may either be rejected or to give the group the time frames. when missing modeling (s) to be despired.

Selecting the supervision of giving the group a time limit to change the models, may choose either to charge the group to calculate market risk by standard methods or choose that the group when calculating the market risk on internal models should apply one higher multiplication factor than 3, cf. Annex 15, point. 21.

If the group does not comply with the time limits or meet the changes made to the group, the performance of the group will not be permitted to be used for the calculation of market risks in accordance with Appendix 15.

2. Internal Models Applause Material

The following material shall be accompanied by the application. To the extent that it is appropriate, the information shall be given both for the group and for each of the undertakings covered by the application.

2.1. Background for the application and calculation of effects

2.2. Organization Description

2.3. Scope

2.4. Limits laid down in instructions and so on.

2.5. Businesses

2.6. Product Scope

2.7. Model Description

2.8. Withdrawal of specific risk

2.9. Description of calculation methods

Value function models

Risk management models

2.10. Input Description

2.11. Validation of the models, including tests

Assumptions Validation

Backtests

Stresstests

2.12. IT Systems

2.13. Reports

2.14. Internal audit review of the area

3. Inserenation of material for supervision

As a starting point, the submitted material may consist of copies of the internal documentation of the group.

The material may be either submitted electronically or in paper form. If the material is submitted in paper form, it shall be available in five copies.

If the application process appears to be required to submit a modified version of an already submitted document, it must clearly show what was edited and the version of the edited document replaces the document.

The monitoring may, as appropriate, request the group to submit additional material in the context of the assessment of the application.

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Appendix 23

Application for the internal model method of counterparty risk (EPE models)

This Annex contains the provisions on the application for authorisation to use the internal model method of counterparty risk (EPE), cf. § 49.

Section 49 and Annex 16, point. 39-82 contains requirements for the internal model method for the counterparty risk.

1. Approval process for the internal model method

A financial group with a Danish parent company must submit an overall application for the use of the internal model method (EPE) to the Financial supervision. The application shall include all the consolidated companies in the group which are subject to the regulatory framework.

The enterprise may take the EPlE models in use for capital coverage purposes when the decision to approve the models is notified to the group's parent company and after the individual companies in the group which are subject to the rule set are to be used, EPE models, having been granted a separate authorisation for the use of the models for capital covering purposes. The authorisation shall be granted by the Financial supervision or, as regards any foreign subsidiaries of the group, by the competent foreign authority.

Where an application has been submitted, the supervision of the application shall be carried out with a view to assessing the fulfilment of the requirements associated with the use of EPE models. The amount of time available for evaluation of the material will depend on the specific application. During this period, the primary contact with the applicant group will dispatch the submission of any supplementary documentation to be used for the assessment.

If the evaluation of the material in the application provides the basis for that, the inspection will plan a study on the site in the group. The primary purpose of this study is to confirm whether the group meets the minimum requirements for the approval of the EPlE models for capital coverage purposes.

Any approval of the EPE models and the subsequent authorisation granted to each company in the group shall be notified not later than six months after receipt of a complete application. Similarly, where appropriate, the approval of the group's parent company shall be notified within six months of receipt of a full application in accordance with the requirements of this Annex.

Where supervision in relation to the examination of the application considers significant deficiencies in the material submitted in relation to the requirements of this Annex, the supervision of an alternative to a rejected application may temporarily set the clock in proportion to : the period referred to in six months shall be subject to the examination of the application and shall wait for the group to dispend the deficiencies in its submitted application.

It can be beneficial to the application process, to be informed at an early stage and prior to the application itself on the plans for the group to cover a future application. This will allow us to discuss the preparation of the application with the supervision. When the group has decided on a future application, the supervision will contact any foreign authorities involved in the examination of the application, in order to prepare for the examination of the application.

1.1. Application letter

An application for the use of EPE models shall consist of an application letter attached to the material set out in section 2.

The letter of application shall account for any planned and significant change in the group, which may affect any approval to use EPE models. The letter of application shall be signed by the Executive Director of the parent company and of the Executive Directors of the Group's other legal entities (subsidiaries) covered by the provisional application and under individual supervision.

The letter must include a statement that the submitted material gives a true and relevant picture of the areas to which the provisional application covers.

For some groups, it may be beneficial to the group and in view of the fact that the application letter and larger or smaller parts of the other application shall be available in English. The language selection will be agreed with the supervision in each case.

1.2. Self-assessment

The certify shall make an assessment of the conformity of the requirements relating to the use of EPE models. In addition to an assessment of each requirement, the self-assessment must include an overall assessment.

If the group estimates that it does not fully meet all requirements, the group shall describe the deviations identified and draw up an action plan on which the group will comply with the requirements.

The self-assessment is included, cf. section 2.2 of the material to be sent to the supervision.

1.3. Use of a combination of EPE models, market value method and standard method

The enterprise can use EPE models in combination with market value method and the default method, cf. the conditions set out in Annex 16, point. 39.

The combined use of methods must be well-founded. In this case, it shall not result in the group having a lower capital requirement for counterpart risk than the capital requirement to be expected if the group used EPE models for all its activities.

The use of EPE models in combination with the market value method or the standard method must ensure that the group has sufficient capital to cover all the counterparty risks and the use must also provide a good overview of its performance ; overall counterparty risks.

Where the group has authorised the group to use EPE models for a number of types of transaction, the group cannot later choose to return to the use of the method of market value or the standard method for these products ; transaction types, cf.. Annex 16, point. 42.

1.4. Model Selection

The concept of EPE models covers a range of different types of models. The supervision does not require the model types of group to use in order to allow these. The model selection of models should be based on which model types will best reflect the group's counterpart risk. If the group faces different models, they must all comply with the requirements of this Annex.

As a general rule, the overall counterpart of the group shall be calculated as the numerical sum of the risks that are calculated by the individual EPE models. If a different form of aggregation is taken from calculated correlations, this method shall be stated in the application and it shall, cf. Act. 2.11.1 will show how it has been authenticated.

1.5. Limits determined by the group

The certify shall establish verifiable limits for risks calculated by EPE models, cf. Annex 16, point. However, the supervision does not, as a basis, make demands of verifiable limits for risks calculated by EPE models at the single level.

1.6. Backtests

The interest shall be able to document the reliability of modellers on the basis of the backtest of representative counterpart portfolios, in accordance with the application of the EPE models, in the application of EPE models. Annex 16, point. 81 (f).

1.7. Stresstests

The certify must have the capacity to prepare stress tests on a daily basis. In addition, the group will have to carry out more extensive stress tests on an ad hoc basis. The selected scenarios for stress tests need to be tailor-made to the group's business area and historical market events.

The establishment of stress tests must in particular reflect the abnormal market conditions that are not sufficiently captured in the back-test of the EPE model. This applies, for example, to concentration risks and correlation risks between credit and market risks, cf. Annex 16, point. 72.

As a starting point, the monitoring will not set out specific scenarios for stress tests, but will reserve the possibility of significant market events.

1.8. Internal Audit

In accordance with Annex 16, point. 65, procedures for the management of counterpart risks must be subject to periodic reviews carried out by internal audits.

There is no requirement that the review has been carried out before a group's application for approval of EPE models. This will, however, be included in the appraisal of the application, the extent to which the review has carried out tasks in the field.

1.9. The subsequent reporting of the group

If the EPE models are permitted, the scope of the decision will indicate the extent to which the group will report to the supervision, including to what extent modeling changes must be approved by the supervision before they can be implemented. The detailed definition of modeling changes that must be approved by the supervision will be determined individually, as the demarcation will depend to a large extent on the model selection and organisation of the group.

1.10. Time limits set by the supervision

If the performance models of the group are not fully in compliance with the minimum requirements or not calculate the risks of the group ' s portfolio sufficiently correctly, the supervision may either refuse the models or to give the group time-outs when missing modeling (s) to be despired.

Selecting the supervision of giving the group a deadline to change the models, may choose either to charge the group to calculate the counterparty risk at the market value method or the default method or select that the group when calculating the modpartrisiko EPE models must use greater caution.

If the group does not comply with the time limits or meet the changes made to the group, the performance of the group will not be permitted to be used for the calculation of counterparty risk in accordance with Annex 16, point. 39-82.

2. Appeal-EPlE-Model Appeal

The following material shall be accompanied by the application. To the extent that it is appropriate, the information shall be given both for the group and for each of the undertakings covered by the application.

2.1. Background for the application and calculation of effects

2.2. Self-assessment

2.3. Organization Description

2.4. Scope

2.5. Working with EPE models combined with other methods

2.6. Model Description

2.7. Model-specific conditions

2.8. Documentation material, cf. schema 1

2.9. In general about the models

2.10. Data for each model

2.11. Validation of each model, including tests

2.12. IT Systems

2.13. Reporting

2.14. Internal and / or Revisions Review of the Area

3. Inserenation of material for supervision

As a starting point, the submitted material may consist of copies of the internal documentation of the group.

The material may be either submitted electronically or in paper form. If the material is submitted in paper form, it shall be available in five copies.

If the application process appears to be required to submit a modified version of an already submitted document, it must clearly show what was edited and the version of the edited document replaces the document.

The monitoring may, as appropriate, request the group to submit additional material in the context of the assessment of the application.

Table 1. View of internal documentation

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Appendix 24

Application for the advanced measurement method of operational risk (AMA-models)

This Annex contains the provisions on the application for authorisation to use the advanced measurement method of operational risk (AMA-models), cf. § 57.

Appendix 19 contains requirements for the advanced measurement method of operational risk.

1. Approval process for AMA models

A financial group with a Danish parent company must submit an overall application for the use of the advanced measurement method of the Operational Risk (AMA-models) to the Financial supervision. The application shall include all the consolidated companies in the group which are subject to the regulatory framework.

The enterprise may take AMA models in the use of capital cover when the decision to approve the models has been notified to the group's parent undertaking and after the individual companies in the group which are subject to the rules set are to be used, AMA models have been granted separately to the authorisation to use the models for the purpose of capital-covering purposes. The authorisation shall be granted by the Financial supervision or, as regards any foreign subsidiaries of the group, by the competent foreign authority.

Where an application has been submitted, the supervision of the application shall be carried out with a view to assessing the fulfilment of the requirements associated with the application of AMA models. The amount of time available for evaluation of the material will depend on the specific application. During this period, the primary contact with the applicant group will dispatch the submission of any supplementary documentation to be used for the assessment.

If the evaluation of the material in the application provides the basis for that, the inspection will plan a study on the site in the group. The primary purpose of this study is to confirm whether the group meets the minimum requirements for the approval of the AMA applications for capital coverage purposes.

Any approval of the AMA Models and the subsequent authorisation granted to each company in the group shall be notified within six months of receipt of a complete application. Similarly, where appropriate, the approval of the group's parent company shall be notified within six months of receipt of a full application in accordance with the requirements of this Annex.

Where supervision in relation to the examination of the application considers significant deficiencies in the material submitted in relation to the requirements of this Annex, the supervision of an alternative to a rejected application may temporarily set the clock in proportion to : the period referred to in six months shall be subject to the examination of the application and shall wait for the group to dispend the deficiencies in its submitted application.

It can be beneficial to the application process, to be informed at an early stage and prior to the application itself on the plans for the group to cover a future application. This will allow us to discuss the preparation of the application with the supervision. When the group has decided on a future application, the supervision will contact any foreign authorities involved in the examination of the application, in order to prepare for the examination of the application.

1.1. Application letter

An application for the use of AMA models shall consist of an application letter attached to the material provided for in Section 2.

The letter of application shall account for any planned and significant changes in the group which may affect any authorisation to use AMA models. The letter of application shall be signed by the Executive Director of the parent company and of the Executive Directors of the Group's other legal entities (subsidiaries) covered by the provisional application and under individual supervision.

The letter must include a statement that the submitted material gives a true and relevant picture of the areas to which the provisional application covers.

For some groups, it may be beneficial to the group and in view of the fact that the application letter and larger or smaller parts of the other application shall be available in English. The language selection will be agreed with the supervision in each case.

1.2. Self-assessment

The certify shall make an assessment of the conformity of the requirements relating to the application of AMA models. In addition to an assessment of each requirement, the self-assessment must include an overall assessment.

If the group estimates that it does not fully meet all requirements, the group shall describe the deviations identified and draw up an action plan on which the group will comply with the requirements.

The self-assessment is included, cf. section 2.2 of the material to be sent to the supervision.

1.3. Use of a combination of AMA models and the base indicator method or the standard indicator method

The enterprise can use AMA models in combination with the base indicator method or the standard indicator method, if the conditions set out in Annex 19, point. Thirty-three and thirty-four are fulfilled.

The combined use of methods must be well-founded. In this case, it shall not cause the group to have a lower capital requirement for operational risk than the capital requirement to be expected if the group used AMA models for all its activities.

1.4. Model Selection

The concept of AMA Models covers a range of different types of models. The supervision does not require the model types of group to use in order to allow these. The model's choice of models should be based on which model types best reflect the operational risk of the group.

The enterprise can choose to use different AMA models for different classes of operational risks. For classes, they are understood here categories of operational risk, which are consistent with regard to the risk and the data available to dissolve this risk. If different models are used, they must all meet the requirements of this Annex.

The overall operational risk of the Enterprise shall be calculated as the main rule as the numerical sum of the risks calculated by the individual AMA models. Selects a different form of aggregation based on calculated correlations must this method, cf. Act. 2.7.7. shall appear on the application and it shall, cf. Act. 2.15.1..................

1.5. Internal Audit

In accordance with Annex 19, point. 7, the operational risk and measurement systems for operational risk must be subject to periodic reviews performed by internal and / or external audits.

There is no requirement that the audit has been carried out before a group's application for approval of AMA models. This will, however, be included in the appraisal of the application, the extent to which the review has carried out tasks in the field.

1.6. The subsequent reporting of the group

If the AMA models are permitted, the decision will indicate the extent to which the group is to report to the supervision, including to what extent modeling changes must be approved by the supervision before they can be implemented. The detailed definition of modeling changes that must be approved by the supervision will be determined individually, as the demarcation will depend to a large extent on the model selection and organisation of the group.

1.7. Time limits set by the supervision

If the performance models of the group are not fully in compliance with the minimum requirements or not calculate the risks of the group ' s portfolio sufficiently correctly, the supervision may either refuse the models or to give the group time-outs when missing modeling (s) to be despired.

Selects supervision to give the group a deadline to change the models, the supervision may choose either to charge the group to calculate operational risk at the base indicator method or the standard indicator method, or choose that the enterprise is calculated by the operational calculation ; The risk of AMA models needs to be more prudent.

If the group does not comply with the time limits, or meet the completed changes not made to the requirements, the performance of the group will not be permitted to be used for the calculation of operational risk in accordance with Annex 19.

2. Application for AMA Model (s)

The following material shall be accompanied by the application. To the extent that it is appropriate, the information shall be given both for the group and for each of the undertakings covered by the application.

2.1. Background for the application and calculation of effects

2.2. Self-assessment

2.3. Organization Description

2.4. Scope

2.5. Using AMA models combined with other methods

2.6. Documentation material, cf. schema 1

2.7. In general about the models

2.8. Internal data for each model

2.9. Remote data for each model

2.10. Scenario analysis for each model

2.11. Business practices and internal control factors for each model

2.12. The weight of the elements in the furs. 2.8.-2.11.

2.13. Insurance and so on.

2.14. Distribution of capital requirement in the group and the effects of diversification

2.15. Validation of each model

2.16. IT Systems

2.17. Reporting

2.18. Internal and / or Revisions Review of the Area

3. Inserenation of material for supervision

As a starting point, the submitted material may consist of copies of the internal documentation of the group.

The material may be either submitted electronically or in paper form. If the material is submitted in paper form, it shall be available in five copies.

If the application process appears to be required to submit a modified version of an already submitted document, it must clearly show what was edited and the version of the edited document replaces the document.

The monitoring may, as appropriate, request the group to submit additional material in the context of the assessment of the application.

Table 1. View of internal documentation

1) The announcement contains provisions that implement parts of Directive 2006 /48/EC of the European Parliament and of the Council of 14. June 2006, on the admission and pursuit of business as a credit institution (recast), (EU-Official Journal of the European Official Journal of the European Official Journal (EU In 177, s. (1) (credit institution Directive), parts of the Directive 2006 /49/EC of the European Parliament and of the Council of 14. June 2006 on the capital base (recast) of investment firms and credit institutions (recast), (EU Official Journal of the European Official Journal (EU Official Journal). In 177, s. Directive 201) (Capital Requirements Directive), Commission Directive 2007 /18/EC of 27. March 2007 amending Directive 2006 /48/EC of the European Parliament and of the Council with regard to the exclusion or withdrawal of certain institutions under its scope and treatment of engagements with multilateral development banks (EU Official Journal). 2007 no. L 87, s. 9) and parts of Commission Directive 2009 /83/EC of 27. July 2009 amending certain Annexes to Directive 2006 /48/EC of the European Parliament and of the Council with regard to the technical provisions relating to risk management (EU Official Journal 2009) In 196 s. 14).