Key Benefits:
The Minister of Economy, Finance and Industry,
Given Directive 2006 /48/EC of the European Parliament and of the Council of 14 June 2006 On access to the activity of credit institutions and its financial year;
In view of Directive 2006 /49/EC of the European Parliament and of the Council of 14 June 2006 on the capital adequacy of investment firms and institutions Credit;
In view of Council Directive 86 /635/EEC of 8 December 1986 on the annual accounts and consolidated accounts of banks and other financial institutions;
In view of the fourth Council Directive 78 /660/EEC of 25 July 1978 On the annual accounts of certain types of companies;
Having regard to Council Directive 83 /349/EEC of 13 June 1983 on consolidated accounts;
Having regard to Regulation 1606 /2002/EC of the European Parliament and of the Council of 19 July 2002 on the application of international accounting standards;
Given the monetary and financial code;
In view of the regulation of the Committee on Banking Regulation No. 90-02 of 23 February 1990 on own funds;
In view of the regulation of the Committee on Banking and Financial Regulation n ° 2000-03 of 6 September 2000 on consolidated prudential supervision;
In view of the Rules of Procedure of the Committee on Banking and Financial Regulation n ° 97-02 of 21 February 1997 Relating to the internal control of credit institutions and investment firms;
In view of the Regulation of the Committee on Banking Regulation 93-05 on the control of major risks;
In view of the Rules of Procedure of the Committee on Banking Bank Regulation 91-05 on the solvency ratio;
In view of the Regulation of the Banking Regulatory Committee n ° 95-02 on prudential supervision of market risks;
In view of the opinion of the Advisory Committee on Legislation And financial regulation as of October 16, 2006;
In view of the opinion of the Autorité des marchés financiers as of November 20, 2006,
Stop:
Subject institutions are required to maintain a solvency ratio of at least 8 % at all times.
This solvency ratio is equal to the ratio of global equity to sum:
- The amount of exposure-weighted exposure and dilution exposures;
-capital requirements for prudential supervision of market risks and operational risk multiplied by 12.5.
For The application of this Order, the own funds shall be determined in accordance with Regulation No 90-02 of the Banking and Finance Committee of 23 February 1990 on own funds.
The amount of credit risk and dilution exposures for bank portfolio items is calculated using the standard credit risk approach referred to in Title II or Internal credit risk rating approaches under the conditions laid down in Title III.
Subject to Article 6 (a) of Regulation No 90-02, the amounts of the exposures weighted on securitisation positions calculated in accordance with The provisions of Title V shall be included in the total amount of the weighted exposures of the institutions subject to the calculation of capital requirements for credit and dilution risk.
The capital requirement for market risk prudential supervision is calculated in accordance with Title VII.
The capital requirement for operational risk is calculated in accordance with the basic approach or standard approach to operational risk referred to in the title VIII, or advanced measurement approaches under the conditions set out in Title VIII.
By way of derogation from Article 2-1, investment undertakings which are not authorised to provide one of the investment services referred to in Article L. 321-1 points 3, 5 and 6 of the Currency Code and
a) The sum of the requirements of sections 2-2 and 2-3;
(b) One-quarter of their general expenses for the previous year or when The business has been operating for less than one year, one-quarter of the overall cost of the activity program. General expenses within the meaning of this Order shall include staff costs, taxes and duties relating to staff remuneration, other taxes and external services as defined by the accounting rules applicable to staff. Investment firms. The Banking Commission may adjust this requirement in the event of a significant change in activity from the previous year.
By way of derogation from Article 2-1, investment undertakings subject to authorisation for the investment service referred to in Article L. 321-1 (3) of the Monetary and Financial Code shall Permanent holdings of an amount at least equal to the sum of the amounts referred to in subparagraphs (a) and (b) of Article 3-1, therefore:
-that they negotiate for own account exclusively in exchange for the order of a customer or exclusively To participate in a clearing and settlement system as a settlement agent or a regulated market in order to execute orders from a customer; or
-they hold neither fund nor customer-owned securities, They negotiate exclusively on their own account, they do not intervene on behalf of customers and the execution and settlement of their operations are placed under the responsibility and are guaranteed by an adherent to a room of Compensation.
When all the investment firms in a group are companies referred to in item 3-1 and where the group does not include a credit institution:
(a) The parent investment business Own funds permanently consolidated at or above the greater of the following two amounts:
i) the sum of the requirements of sections 2-2 and 2-3; and
ii) a quarter of its general expenses under conditions determined to Paragraph (b) of Article 3-1.
For the purposes of calculating the above requirements, the provisions of Article 295 shall apply;
(b) The financial company referred to in Article 3 of Regulation 2000-03 shall hold permanently consolidated own funds Equal to or greater than the greater of the following two amounts:
i) the sum of the requirements of sections 2-2 and 2-3; and
ii) a quarter of its overhead expenses under paragraph b of section 3-1.
For the calculation of Above, the provisions of Article 295 shall apply.
When all the investment firms in the group are companies referred to in items 3-1 and 3-2 and where the group does not include a credit institution:
a) The investment firm Parent holds consolidated own funds at all times equal to or greater than the sum of the requirements of paragraphs (a) and (b) of section 3-1. For the purposes of calculating these requirements, the provisions of Article 295 shall apply;
(b) The financial company, referred to in Article 3 of Regulation No 2000-03, shall hold own funds permanently bound to or above the sum of the requirements Paragraphs (a) and (b) of Article 3-1. For the calculation of these requirements, the provisions of Article 295 shall apply.
For the purposes of this Order:
a) Exposure: an asset or an off-balance sheet item;
b) Establishments: for the purposes of Titles II and III, credit institutions And investment firms, including those recognised from third countries. For the purposes of this paragraph, recognised credit institutions and investment firms in third countries are those which comply with the following conditions:
-they are approved by the competent authorities of a third country;
-they Could be regarded as credit institutions and investment firms if they were established in a Member State;
-they are subject to regulation and a supervisory regime equivalent to the provisions In force in France;
(c) Operational risk: the risk of loss resulting from maladjustment or failure due to internal procedures, personnel and systems, or external events, including weak events Probability of occurrence, but at high risk of loss. The operational risk, thus defined, includes legal risk, but excludes strategic and reputational risks;
(d) Risk of dilution: the risk that the amount of a debt is reduced by the granting of any form of remission or Cancellation granted to the debtor;
e) Probability of default (probability of default, PD in English): the probability of default for consideration over a period of one year;
f) Loss: for the purposes of applying the risk provisions of Credit, economic loss, taking into account significant discount effects, as well as significant direct or indirect costs related to recovery;
g) Losses in default (loss given default, LGD in English): the report Between the loss on an exhibition in the event of default of a counterparty and the amount of the exposure at the time of default;
h) Conversion factor (credit conversion factor, CCF): the ratio of the amount not yet used of a Commitment, which will be drawn and at risk at the time of default, and the amount not yet used of the commitment, the amount of which is calculated on the basis of the authorized limit or, where applicable, not authorized when it is greater;
i) Percentage of expected loss (expected loss, EL in English): for the purposes of the credit risk provisions, the ratio of the expected loss, in case of default in the coming year, to credit risk and Dilution and the value exposed to the risk of exposure;
(j) Security: security or equivalent security allocation having the effect of reducing the risk of credit incurred on exposure taking account of the right of the taxable establishment, In the case of default or other specific credit events relating to the consideration, to liquidate, to retain, to obtain the transfer or ownership of certain amounts or assets;
(k) Personal safety: security having the effect of reducing The risk of credit incurred on an exhibition, taking into account the commitment of a third party to pay an amount in the event of default of the counterparty or other specific events;
(l) Financial instrument assimilated to species: a certificate of Deposit or other similar instrument issued by the lending institution;
m) Titrisation: an operation or arrangement by which the credit risk associated with an exhibition or set of exposures is subdivided into slices with The following characteristics:
i) payments in the context of the operation or the assembly depend on the collected flows from the exposure or the set of exposures;
ii) the subordination of the slices determines the allocation of the losses During the duration of the operation or the assembly;
n) Securitisation position: an exhibition on an operation or a securitisation assembly. Securitisation positions include exposures on securitisation arising from derivative contracts on interest rates or on exchange rates;
(o) Recognized market: a responding market, regardless of country of establishment, to the definition of Regulated market referred to in Article L. 421-3 of the Monetary and Financial Code and having a clearing mechanism allowing daily margin calls on the contracts referred to in Annex II;
p) Member State: any Member State of the Union European Economic Area or Party to the Agreement on the European Economic Area;
(q) External credit assessments: for the purposes of the credit risk provisions, credit assessments prepared by an external evaluation body Credit recognised by the Banking Commission and used in accordance with Chapter IV of Title II and, where appropriate, in accordance with Chapter V of Title V;
(r) Public sector entities: administrative bodies Non-commercial entities in which the central, regional or local administrations exercise control, the authorities carrying out similar responsibilities to regional or local authorities, or any other body presenting Similar characteristics;
s) Value adjustment: individual depreciation corresponding to the loss of value of an asset related to credit risk and found in accounting either directly as a partial loss, or via A value correction account;
(t) The residual value at risk under a financing lease or lease: the estimated value at the end of the rental period for the leased property:
i) Where it is not excluded that this value may, in accordance with the contractual provisions, have to contribute to the depreciation of the initial investment of the lessor under the contract, and in particular where it was reasonably certain to The origin of a contract that the leased property would be assigned to the lessee and that reasonable certainty disappeared during the rental period;
(ii) and in the absence of a guarantee of ownership by the lessee or by a third party not related to the lessor Fulfilling all the conditions laid down in Title IV relating to the eligibility of protection providers, any possible inadequacy of that value in relation to the undepreciated portion of the financial outstanding at the end of the contract;
u) Bank portfolio: set of assets or off-balance sheet items that do not belong to the negotiating portfolio as defined in Title VII;
v) Value of exposure: for assets, as part of the standard approach of the Credit risk, the book value after deduction, where applicable, of the collective impairments applicable to these elements in the manner determined by the Banking Commission and, within the framework of the internal risk ratings of Credit, book value excluding adjustment of value and more or less latent values not taken into account in the result and in own funds, and without taking into account the most or unrealised gains on items covered; for non-profit elements Balance sheet, the nominal amount;
w) Capital leases: the lease contracts having the effect, at the start of the contract, of transferring to the lessee almost all the risks and benefits inherent to the property of the leased property, Where they are entered into by subject institutions subject to IFRS, which are those which publish consolidated accounts in accordance with international accounting standards within the meaning of Regulation (EC) No 1606-2002;
x) Leases to Financial: leases, leases with option to purchase and lease, and leases without a purchase option whose purpose is to provide the tenant with the disposal of a property Movable or immovable property acquired at his request by the lessor, the lessor having in principle not intended to keep the property at the end of the transaction, including, in particular, the leases for which the present value of the payments Minimum expected is the value of the leased property, when entered into by taxable institutions not subject to IFRS.
y) Minimum payments under a financing lease or lease agreement Financial: the payments that the lessee is or may be required to make during the term of the contract, as well as, where applicable:
i) the guaranteed value of the leased assets at the end of the contract where this guarantee is given by the Holder or by a third party not related to the lessor fulfilling all the conditions referred to in Title IV relating to the eligibility of the protection providers;
(ii) or the transfer price of the property to the lessee where there is reasonable certainty The property will be assigned to the lessee.
For the purposes of this Order, the definitions in Article 1 of Regulation No. 2000-03 apply.
Except as otherwise provided in this Order, the valuation of assets and off-balance-sheet items shall be carried out in accordance with the accounting framework to which the taxable establishment is subject.
The Banking Commission may at any time allow a taxable establishment to temporarily derogate from the provisions of this Order by providing it with a period of time to regularize its situation
Banking Commission may object to a taxable establishment applying a provision of this Order whose benefit is subject to special conditions if it considers that these conditions are not met Satisfactory.
The Banking Commission shall establish the following model and frequency to be reported to it for the calculation of the solvency ratio, and any other relevant information to assess the adequacy of the Capital and internal capital of taxable institutions.
The Banking Commission may, in addition, request any establishment to calculate its solvency ratio on other dates determined by it in accordance with the requirements of the Monitoring, in particular to control the impact on this ratio of the allocation of own funds within the group to which it belongs
The risk exposure of a balance sheet item is determined by taking into account, where appropriate, the effects of credit risk reduction techniques on its exposure value.
The risk exposure of an off-balance-sheet item referred to in Annex I shall be a percentage of its exposure value, after taking into account, where appropriate, the effects of the risk reduction techniques of Credit, determined according to the category of risk to which this element belongs:
-100 % of its value when it is classified in the high risk category;
-50 % of its value when it is classified in the Category with an average risk;
-20 % of its value when it is classified as a moderate risk category;
-0 % of its value when it is classified as low risk;
Percentages These are referred to as regulatory conversion factors.
For exhibitions in the form of securities or basic products sold, sheed or loaned in the context of pensions, or loans or loans of securities or commodities, or on margin loans, where Subject institutions shall use the general method to take account of the effects of financial collateral in accordance with Title IV, the risk exposure shall take into account the volatility adjustments in accordance with Articles 178-2 to 178-6.
The risk exposure of a derived instrument referred to in Annex II shall be evaluated in accordance with the methods referred to in Title VI, taking into account the effects of novation agreements or compensation agreements Following the provisions of this Title.
Value exposed to the risk of repo transactions or loan or loan transactions of securities or commodities, or deferred settlement or margin loans may, where applicable, be Calculated:
-in accordance with Chapter V of Title VI on evaluation according to the internal model method; or
-in accordance with Section 3, Chapter 4 of Title IV relating to internal models for Taking into account the effects of compensation mechanisms for such operations.
The risk exposure of exposures to a clearing and warranty chamber may be zero under the conditions set out in Section 2, Chapter I of Title VI.
The value exposed to the risk of capital leases and financial leases, corresponding to their book value, can be broken down into two elements, the present value The minimum lease payments, on the one hand, and, where applicable, the present value of the residual value at risk, on the other hand, to which separate weighting rates are applied, the present value of the residual value Being treated as a tangible capital asset.
Where the assignment of the leased property to the lessee is reasonably certain at the commencement of the contract, the taxable establishment shall ensure at least once a year that the assignment remains Reasonably certain.
The weighted exposure amount is obtained by applying to each value at risk a weighting rate according to the provisions of this Title.
The elements deducted from own funds In accordance with the provisions of Regulation No 90-02 shall be excluded from the calculation of the amount of the weighted exposure.
Except as otherwise provided in this Title, exposures of taxable persons are weighted to 100 %.
The weights shall be based on the exposure category referred to in Chapter II to which the exposure belongs and, where appropriate, its credit quality in accordance with the provisions of the Chapter IV.
For real estate loans for the acquisition or development of a home secured by a mortgage or security of equivalent effect, as well as for financing leases or rental contracts In the case of immovable property, where the operation is established with an assigned counterpart lower than that which would result from the application of the preceding paragraph, the taxable establishments shall retain the weighting Applicable to an exhibition on that consideration.
The effects of credit risk reduction techniques shall be considered in accordance with Title IV.
For pension operations, for other transfers with a recovery commitment and for forward purchasing commitments, the weights are for the assets themselves, not the counterparties to the Operations.
Establishments subject to IFRS may apply retreatments to outstanding amounts to the denominator before weighting, by symmetry with the reprocessors on the numerator of the ratio of Solvency. These reprocessing operations are detailed by an instruction from the Banking Commission. The choice to reprocess the denominator is irreversible and must be applied to all the instruments concerned by reprocessing on the numerator. Institutions are required to inform the General Secretariat of the Banking Commission as soon as they opt for the reprocessing of the denominator.
The Banking Commission may object to a given weight being applied to an asset or off-balance sheet if it considers that this element is not fulfilling the conditions satisfactorily Fixed
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c) Exhibitions on the European Central Bank are weighted at 0 %;
d) Exhibitions on central administrations and central banks of the Member States denominated and Financed in the currency of the borrower shall be weighted to 0 %;
(e) Where the competent authorities of a third country permit the use of a weight less than 100 % or the weighting referred to in paragraph a for exhibitions on their Central administration or their central bank, which are denominated and financed in their national currency, the taxable institutions may apply the same weighting to their exhibitions on the said central and bank administrations Central, provided that the prudential regulation and supervisory regime are judged by the Banking Commission equivalent to the provisions in force in France;
f) Taxable institutions that use assessments External credit established by an export credit agency apply the following weighting rates:
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g) Credit assessments issued by an export credit agency may be used when one of the following two conditions is met:
-they are established by export credit agencies that Participate in the Arrangement on Guidelines for Official Export Credits supported by the Organization for Economic Cooperation and Development; and
-the Export Credit Agency publishes its Credit assessments and adhere to the method approved by the Organisation for Economic Co-operation and Development, and its assessment is associated with one of the eight minimum export insurance premiums that this method establishes.
For exhibitions on public sector entities, the following treatment applies:
a) Exhibitions on public sector entities are weighted as exposures to institutions, to Less to be treated as exhibitions on central government with regard to their level of risk;
b) Taxable institutions apply to their exhibitions on public sector entities established in other Member States The treatment adopted by the competent authorities of these states;
(c) When the competent authorities of a third country lay the exhibitions on public sector entities established on their territory as exhibitions on the Establishments, taxable establishments may apply the same weighting to their exposures on such entities, provided that the rules and the prudential supervision regime are judged by the Banking Commission Equivalent to the provisions in force in France.
A weighting rate of 0 % applies to exhibitions on the following international organisations:
-the European Community;
-the Monetary Fund International;
-the Bank for International Settlements.
For exhibitions on institutions, the following treatment applies:
a) The exhibitions on the institutions are weighted according to the level of credit quality of the state in which they Are established under the following conditions:
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b) Exhibitions on establishments established in a A state that does not have an external credit assessment is weighted at 100 %;
(c) exposures to establishments with an initial duration of less than or equal to three months are weighted to 20 %;
d) Less favourable weighting Of a category to that applied to central authorities shall apply to exhibitions on institutions denominated and financed in the currency of the borrower whose residual maturity is less than or equal to three months. This weighting may not be less than 20 %;
e) Investments in the equity components of other institutions shall be weighted to 150 % unless they have been deducted from the capital of the taxable establishment In accordance with the provisions of Regulation No 90-02;
(f) Exposures of a taxable establishment subject to its parent undertaking, its subsidiaries, on one or more subsidiaries of its parent undertaking, or on another affiliate of the group for The networks of credit institutions with a central organ, including their subsidiaries, shall be weighted to 0 % where the following conditions are met:
(i) the consideration is a taxable institution, a financial institution, a Portfolio management company or " Enterprise " As defined in Article 1 (f) (v) of Regulation No 2000-03;
(ii) the counterparty is included in the consolidation scope of the group to which the taxable person belongs ;
(iii) the counterparty is subject to the same risk assessment, measurement and control procedures as the reporting institution;
(iv) the counterparty is established in the same Member State as the taxable establishment;
(v) There are no impediments to the transfer of own funds or the repayment of liabilities by the counterparty to the taxable establishment.
The provisions of this section do not apply to exposures of the institution subject to the form Investment in components of the own funds of other institutions in the group;
g) Exhibitions on institutions in the form of minimum reserves required by the European Central Bank or by the banks National central banks shall be weighted as exhibitions on the central administration or central bank of the State where the establishment is established provided that:
-the reserves are held in accordance with Regulation No 1745/2003 of 12 September 2003 of the European Central Bank on minimum reserves or equivalent national rules;
-in the event of bankruptcy or insolvency of the institution holding these reserves, these are entirely and Promptly refunded and cannot be used for the reimbursement of other liabilities of the institution;
(h) Exhibitions on financial institutions authorized and controlled by the competent authorities responsible for accreditation and Supervision of credit institutions, and subject to a prudential supervisory regime equivalent to that applied to credit institutions, are weighted as exhibits on institutions.
For business exposures, the following treatment applies:
(a) When subject institutions use, under the conditions specified in Chapter 4, external credit assessments, The following weighting rates apply:
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b) Where taxable institutions do not have External credit assessments, the exhibitions on enterprises are weighted at 100 % or 150 %, when the exhibitions on the state in which the undertaking is established are weighted at 150 %;
c) For exhibitions on enterprises which Benefit from a short-term external credit assessment, the following weighting rates apply in the conditions referred to in Article 37-4:
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Without prejudice to the provisions of Title IV, real estate loans for the acquisition or development of real estate for professional use guaranteed by a Mortgage or equivalent effect security are weighted according to counterparty.
For exposures subject to a payment backlog of more than 90 days or more days defined in Title X, the following processing applies:
a) The weight rate The unsecured portion of an exposure that is subject to a payment arrears is:
i) 150 % if the value adjustments account for less than 20 % of the unsecured portion of the exposure before value adjustments;
ii) 100 % If the value adjustments do not account for less than 20 % of the non-guaranteed portion of the exposure prior to adjustments of value.
Unless there are special circumstances that show that the backlog is due to causes unrelated to the Debtor.
For the purposes of this section, the secured part of an exhibition is the security and personal security interest referred to in Title IV; and
(b) Real estate loans for the acquisition or development of a dwelling Secured by a mortgage or security of equivalent effect are weighted at 100 % when they are subject to a 180-day payment arrears subject to the provisions of Title X.
Where value adjustments represent at least 20 % Exhibits before adjustment of value, the applicable weighting is reduced to 50 %;
c) Exhibits relating to leasing contracts or financial leasing contracts for real property for use Professional are 100 % weighted when they have been in arrears for more than 180 days subject to the provisions of Title X.
For high risk exposures, the following treatment applies:
a) Exhibits on equity and equity components of other institutions are 150 % weighted;
b) Establishments subject to high risk exposures, which are not subject to a 90-day payment arrears, the following weights:
-100 % when adjustments to Value represent at least 20 % of the exposures before value adjustment;
-50 % when value adjustments represent at least 50 % of the exposures before value adjustment.
Exposure to securitisation positions is weighted according to the provisions of Title V.
For exposures in the form of investments made in shares of collective investment organizations, the following treatment applies:
a) Taxable institutions that use assessments External credit to weight the shares of the collective investment organisations they hold apply the following weighting rates:
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b) When the reporting institution is aware of the underlying exposures of the collective investment agency, it can be weighted according to a transparency approach. An average weight for the collective investment organization shall then be calculated in accordance with the provisions of this Title;
(c) Where the reporting institution is not aware of the underlying exposures of the investment agency The collective investment body may calculate an average weight for the collective investment body in accordance with the provisions of this Title as follows: it is presumed that the collective investment body invests, for the maximum amount allowed by Its mandate, in the exposure category requiring the highest capital requirement, and then in those with lower requirements until the maximum investment limit is reached;
(d) For the purposes of both Above, taxable institutions may charge a third party to calculate and report the weighting that applies to the shares of the collective investment agency. Taxable institutions shall ensure the accuracy of this calculation and declaration;
e) Subject establishments may apply the weights referred to in paragraphs b to d, where the following eligibility conditions are met: Respected:
i) the collective investment body is managed by a company controlled by an authority of a Member State, or a third country where the supervisory regime in that country is judged by the Banking Commission equivalent to the Provisions in force in France;
ii) the prospectus of the collective investment agency or equivalent document, such as a management mandate, contains:
-the exposure categories in which the collective investment organization Is authorized to invest;
-where applicable, the relative limits applied to investments and the methodologies used to calculate them; and
iii) the activity of the collective investment agency is the subject of an annual report Allowing an assessment of its balance sheet, results and operations;
(f) Where a competent authority of a Member State recognises a collective investment body of a third country as eligible under the provisions referred to in Paragraph (e) above, this collective investment body may be treated in accordance with paragraphs (b) to (d);
g) Subject institutions shall apply a 150 % weighting to exposures in the form of investments made in Shares of collective investment undertakings with a high risk and consisting exclusively of instruments referred to in Article 23 (a) and to investments in shares of undertakings for collective investment in transferable securities Leveraged investment rules, mutual fund investment agencies with reduced investment rules for hedge funds, collective investment funds in contractual securities and funds Common intervention in futures and mutual fund investment funds.
The following treatment applies to items other than those included in the exposure categories referred to in the preceding sections:
(a) Tangible capital assets are 100 % weighted;
(b) Accrued interest and accrual accounts receivable for which a taxable person is not able to determine the consideration, are weighted at 100 %;
c) The values under recovery are weighted at 20 %. Cash and assimilated items are weighted to 0 %;
d) Gold reserves held materially or on file up to the amounts covered by gold liabilities are weighted to 0 %;
e) Where a taxable establishment sells Credit protection for a basket of exposures in the form of default credit derivatives, the weights provided for in Title V shall be applied when the instrument concerned receives an external credit
. Otherwise, the weights of the exposures included in the basket shall be aggregated, excluding n-1 exposures, within the limit of 1 250 % and then multiplied by the nominal amount of the protection provided by the credit derivative, in order to Obtain the amount of the requirement
The n-1 exposures that are excluded from the aggregate are determined to include each exposure that results in a weighted exposure amount that is less than that of any exposure included In this aggregate
The Banking Commission recognizes external credit scoring organizations on the basis of the criteria in this chapter.
The external credit rating agency demonstrates that the methodology used to allocate its credit assessments is rigorous, ongoing, subject to a Validation procedure based on historical data and applicable to all credit assessments.
Post-clearance checks must have existed for at least one year for each market segment.
The external credit assessment body shall keep the scope of contacts available to the Banking Commission It maintains with the members of the executive body of the entities it evaluates.
The external credit rating agency demonstrates that its methodology is not subject to political influences or economic pressures that may affect credit assessments.
The external credit rating agency demonstrates the independence of its methodology, including:
a) its shareholding and organization;
b) Its financial resources ;
c) Its personnel and expertise;
d) Its corporate governance.
The external credit rating agency demonstrates that its credit assessments are regularly reviewed and reflect any changes in the financial environment. It shall carry out this examination after any significant event and at least once a year.
In recognition, the Banking Commission ensures that external credit reporting agencies conduct a regular review of their credit assessments for each market segment.
External credit assessment bodies shall inform the Banking Commission of any significant changes in their credit risk assessment methods.
External credit rating agencies demonstrate that the methodological principles used to establish their credit assessments are public, in order to enable taxable institutions To assess their merits.
External credit scoring organizations demonstrate that their external credit ratings are recognized as reliable and credible by their potential users.
The credibility of these assessments is assessed in particular with respect to the following factors:
(a) The market share of the external credit assessment body under consideration;
(b) Income generated by The external credit assessment body and, more generally, its financial resources;
(c) The use of the evaluation to fix a price;
(d) The use by at least two credit institutions of these assessments in the Framework for the issuance of securities or their credit risk management policies.
The Banking Commission decides which grades of credit quality are associated with external credit ratings established by an external credit assessment body. This mapping takes into account the following:
-quantitative factors, in particular the long-term default rate associated with each evaluation category. Recently established external credit assessment bodies and those with limited data history provide the Banking Commission with their estimates of the long-term default rates associated with each evaluation category. ;
-qualitative factors, including the population of the covered emitters, the granularity of credit assessments, the significance of each rating category, and the definition of default.
The Banking Commission compares the The default rate associated with each evaluation category of an external credit rating agency at reference defect rates. These reference rates are calculated on the basis of data from other external credit rating agencies for a population of issuers with equivalent credit risk levels.
When the Banking Commission considers that the rate of Default credit rating category of an external credit rating agency is significantly and consistently higher than the reference rate, it assigns it to a higher level of credit quality.
The Banking Commission may decide to reassign the credit rating category to its initial level if the external credit rating agency demonstrates that the calculated default rate is no longer significantly and consistently higher than the Reference rate
A taxable establishment means, where appropriate, one or more external credit assessment bodies recognised by the Banking Commission to determine the rates of weightings applicable to its Exposures.
Subject institutions may use external non-solicited credit assessments established by external credit assessment agencies under the conditions specified in the recognition of these organizations by Banking Commission.
The use of external credit assessments by an external credit assessment body recognised by the Banking Commission and appointed by the reporting institution must be consistent for all exposures The same exposure category.
The use of external credit assessments is consistent and ongoing over time.
A reporting institution can only use external credit assessments of an external organization A credit assessment that covers both principal and interest.
When, for a given exposure, there is only one external credit assessment, the institutions subject to it use it to determine the applicable weighting To this element.
When, for a given exhibition, there are two external credit ratings, which give rise to different weights, the highest weight is retained.
When, for a given exhibition, there are more than two external credit assessments, the reporting institution refers to the two evaluations that give rise to the lowest weights, and
When there is an external credit rating for a specific program of issue, the institutions subject to it use it to weight this exposure.
When there is no external credit assessment directly applicable to an exhibition, but there is a general credit rating for the issuer or a credit assessment for a program This evaluation is used in one of the following conditions:
i) it gives rise to a higher weight;
ii) it gives rise to a lower weight, but The exposure considered is of rank:
-at least equivalent, in all respects, to that of the specific program of issue;
-at least equivalent to that of the non-guaranteed first-rank exposures on the issuer.
The above provisions Do not preclude the application of the provisions of Article 24 relating to land obligations.
External credit assessments applied to a company forming part of a consolidated group within the meaning of Article L. 233-16 of the trade code shall not be used for the other companies in the group.
External short-term credit assessments are used only to weight short-term business exposures.
External short-term credit assessments are used Only when they relate specifically to the exhibition.
When a short-term exposure on a debtor benefiting from an external credit assessment is weighted to 150 %, all exposures that do not have any Credit protection and do not benefit from an external credit assessment on this debtor are weighted at 150 %, whether in the short or long term.
When a short-term exposure is weighted at 50 %, short-term exposures Who do not have a short-term external credit assessment are weighted to a minimum of 100 %.
An external credit assessment for an exhibition denominated in a currency cannot be used to determine the weighting of an exhibition denominated in another currency, even if these exposures Refer to the same debtor.
Where an exhibition results from the participation of a credit institution in a loan contracted by a multilateral development bank whose preferred creditor status is recognized in the market, The reporting institution may use an external credit assessment for that exposure even if the exposure is denominated in the currency of the borrower
To calculate the amount of their weighted exposures, taxable establishments use:
a) Their default probability estimates in approach internal ratings foundation;
b) Their Default probability estimates and their estimates of default losses and their estimates of conversion factors into advanced internal ratings.
Use of foundation and advanced internal ratings is Subject to the authorisation of the Banking Commission, under the conditions specified below.
To be allowed to use internal credit ratings, taxable institutions must have credit risk management and credit rating systems based on Sound principles and implemented in an integrated manner, carried out according to the following qualitative criteria:
(a) The rating systems of the reporting institution allow a relevant assessment of the characteristics of the debtor and The transaction, as well as relevant differentiation and precise and consistent quantification of risk;
(b) Internal ratings and estimates of default and loss used in the calculation of capital requirements, such as Associated systems and procedures play an essential role in risk management and decision-making, as well as in the credit approval mechanism, the allocation of internal capital and the corporate governance of the institution Subject matter;
(c) Subject institutions have a credit risk control unit that is responsible for rating systems. This unit carries out its permanent control functions independently;
d) Subject institutions collect and record all data to effectively support their risk assessment and risk management procedures. Credit;
e) Subject institutions document their rating systems and the reasons for their choice when designing these systems;
f) Taxable institutions validate their rating systems Internal.
When a taxable establishment, a parent company in the European Union, and its subsidiaries apply the internal ratings approach in a uniform manner, the Banking Commission may allow the requirements Minimum requirements referred to in Chapter V shall be satisfied at the group level.
Without prejudice to the provisions of Title X, a taxable establishment applying for authorisation to apply the internal rating approaches demonstrates, for the exposure categories concerned, that it has used the Internal, for the measurement and management of risks, credit rating systems in accordance with the minimum requirements referred to in Chapter V for at least the three years preceding this
. The provisions of Title X, a taxable establishment applying for authority to use the advanced internal ratings approach demonstrates that it has estimated and used its own estimates of losses in the event of default and of the conversion factors of a Broadly in accordance with the minimum requirements referred to in Chapter V for at least the three years preceding such authorisation.
Taxable institutions that have been authorized to use the foundation or advanced internal ratings approach will not be able to revert to the standard approach to credit risk, except for a given reason Justified, and after authorisation by the Banking Commission.
Subject establishments which have been authorised to use the advanced internal ratings approach, will not be able to revert to the internal ratings foundation approach, except for a given reason
the requirements of this Title are no longer satisfied, the institutions subject to the Banking Commission shall submit to the Banking Commission a rapid recovery plan, except to demonstrate that the Effects of non-compliance are not significant.
Without prejudice to the provisions of Section 3, subject institutions shall implement the internal ratings approaches for all their exposures, subject to the conditions specified below.
The Banking Commission may authorize establishments subject to the implementation, within a reasonable time frame, of the internal notation approaches sequentially for each of the exposure categories Referred to in section 2, within the same operating unit, or for the different units of operation of the same group, and for the use of loss estimates in the case of default or conversion factors for calculation Weights for exposures to businesses, institutions, central governments and central banks.
For retail customer exhibits, sequential implementation can be done by: Subportfolio.
As part of the sequential implementation of internal ratings approaches, when subject institutions use internal ratings approaches for a given exposure category, they Apply the provisions of Title III to the category of exhibitions on shares.
The time and conditions for the sequential implementation of internal ratings are approved by the Banking Commission.
These conditions are intended to ensure that sequential implementation of the Internal ratings approaches is not used selectively to reduce minimum capital requirements.
During the sequential implementation of internal ratings approaches, taxable institutions ensure that credit risk reduction techniques used in operations Intercompany are not motivated by regulatory arbitrage considerations
Each exposure is assigned to one of the following exposure categories under the conditions specified below:
a) Central and central banks;
b) Establishments;
c) Enterprises;
d) Retail customers;
e) Actions;
f) Securitization positions;
g) Other assets that do not match credit obligations.
The following exhibitions are treated as exhibitions on administrations and central banks:
a) Exhibitions on administrations Regional and local or public sector entities that are treated as central administrations in accordance with the provisions of Title II;
(b) Exhibitions on multilateral development banks and organisations International Weighted at 0 % in accordance with Title II.
The following exposures are treated as exhibits on institutions:
a) Exhibits on regional and local governments that are not treated as exhibits on the Central administrations in accordance with the provisions of Title II;
(b) exhibitions on public sector entities which are treated as exhibitions on establishments in accordance with the provisions of Title II;
(c) Exhibitions on multilateral development banks which are not weighted at 0 % in accordance with Title II.
The exposure category of other assets that do not correspond to credit obligations includes the present value of the residual value at risk of assets under contract Rental-financing or financial leasing contracts and exhibitions on shares in undertakings referred to in Article 1 (f) (v) of Regulation No 2000-03.
Any credit obligation that falls outside the categories listed above is assigned to the business exposure category.
The method used by the reporting institution to assign its exposures to the above categories is appropriate and consistent over time.
Exhibitions that confer residual and subordinate rights on the assets or income of the issuer, or which have a similar economic nature, are treated as exhibitions on Actions.
Subject to the authority of the Banking Commission, subject institutions may apply the standard credit risk approach for the following exposures:
(a) Exhibitions on Central governments, central banks and institutions, where the number of significant counterparties is limited and the implementation of a system of internal ratings for these counterparties would represent a constraint Excessive for the reporting institution;
(b) Exposures in operating units or categories of exposures that are not significant in terms of their size and risk profile;
(c) Exhibitions on Central administrations of the Member State of origin, on its regional or local administrations and on administrative bodies, provided that:
i) there is no difference in risk between exhibitions on The central administration and other exhibitions mentioned above, due to specific public arrangements;
(ii) exposures on the central administration are weighted at 0 %, in accordance with the provisions of Title II;
(d) Exhibitions on shares of entities subject to a 0 % weighting in accordance with the provisions of Title II;
e) exhibitions on shares held in legislative programmes to promote certain sectors of the The economy, and grant significant subsidies to the taxable institution for the investments it carries out. These programmes are carried out under the control and within the limits defined by the public authorities. The amounts of the exhibitions subject to this treatment shall be limited to 10 % of the capital of the taxable establishment;
(f) Exhibitions on establishments in the form of minimum reserves required by the European Central Bank or National central banks under the conditions referred to in Article 16 (g);
g) Exposures with security rights provided in the framework of mutual guarantee schemes, or provided or counterbacked by entities such as Under Article 192-2.
Taxable institutions may weigh exposures on their parent undertaking, their subsidiaries, one or more subsidiaries of their parent undertaking, or another affiliate of the parent company for the purposes of Networks of credit institutions with a central body, including their subsidiaries, at 0 % under the conditions referred to in Article 16 (f).
The Banking Commission may allow institutions subject to the standard approach to exhibitions on shares for which this treatment has been authorised in other states Members.
For the purposes of Article 44-1 (b), the category of exposure on shares of a taxable establishment shall be deemed to be significant if the aggregate value of such exposures, excluding Of those held in the framework of the legislative programmes referred to in subparagraph (e) of that article, exceeds on average over the previous year 10 % of the capital of the taxable establishment. If the number of such exhibitions on shares is less than ten separate entries, the threshold is 5 % of the capital of the taxable establishment
Subject institutions applying the foundation internal ratings approach use their default probability estimates and default loss values and defined conversion factors Respectively in sections 84 and 76.
Establishments that apply the advanced internal ratings approach use their default probability estimates and their estimates of default losses and conversion factors In accordance with Chapter V.
Weighted exposure amounts for exposures that meet the requirements of sections 188 and 192-4 can be adjusted by the following formula for processing the following double default:
Weighted amount = RW x risk exposure value x (0.15 + 160 x PDpp)
where:
-PDpp is the default probability of the protection provider;
-RW, the weight calculated in accordance with the formula referred to in the previous item with the PD of the The debtor, the LGD associated with a comparable direct exposure on the protection provider and an adjustment related to the due date (b) calculated on the basis of the lower of the following two amounts: the probability of default of the protection provider and The default probability of the debtor.
To calculate the weighted exposure amounts of the exhibitions on enterprises, taxable establishments may apply the following correlation formula, when the annual turnover Consolidated the group of which the company is a part is less than 50 million euros.
R = 0.12 * (1-EXP (- 50 *PD))/(1-EXP (- 50)) + 0.24 * [1 - (1-EXP (- 50 *PD))/(1-EXP (- 50))] - 0.04 * (1 - (S-5)/45)
where S is the turnover Consolidated annual figures in millions of euro.
Any declared turnover of less than EUR 5 million is treated as equivalent to this amount. For purchased receivables, the consolidated annual turnover is the average of the creditors' business figures, weighted by the amount of their exposures in the lot of claims.
Where the consolidated annual turnover is not A good indicator of the size of the enterprise and that the consolidated asset is more relevant, the institutions subject to the consolidated annual turnover of the group's consolidated assets.
When subject institutions cannot demonstrate that, for specialized financing exposures, their default probability estimates satisfy the minimum requirements referred to in Chapter V, they Apply the following weights:
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Subject institutions attribute the above weights Relating to specialised financing exhibitions in accordance with Annex III on the basis of the following factors: financial soundness, the political and legal environment, the characteristics of the transaction or the asset, the strength of the Sponsor and sponsor, including revenue from public-private partnerships, and warranty mechanisms.
The Banking Commission may authorize a taxable establishment to apply a weight of 50 % on the portfolio as a whole to exhibitions in the category " Solid " Of the above table and 70 % of exhibitions in the category " Good ", regardless of the residual period, provided that the methods of allocation for this establishment are more stringent than those set out in Annex III.
When market conditions warrant, the Banking Commission may require higher weightings for high volatility commercial real estate.
For their claims purchased on enterprises, taxable establishments satisfy the minimum requirements referred to in Articles 141 to 144.
For claims purchased on undertakings that satisfy the Comply with the requirements set out in section 54-5, the institutions subject to the retail customer risk quantification standards set out in Chapter V, to the extent that the application of the Quantifying the risks to businesses defined in this chapter represents an undue hardship.
For claims purchased on businesses, security deductions, security rights, or partial personal security rights that Provide a guarantee of first loss protection to the institution for credit risk losses or dilution risk, may be treated as first-loss positions in accordance with the provisions of the Title V applicable to establishments using the internal rating-based approach.
When a taxable institution sells credit protection for a basket of exposures in the form of default credit derivatives, the weights provided for in Title V are applied when The instrument concerned is subject to an external credit assessment.
In the contrary case, the weighted exposures included in the basket are aggregated, excluding n-1 exposures, for which the sum of the expected loss Multiplied by 12.5 and the weighted exposure does not exceed the nominal amount of the protection provided by the credit derivative, multiplied by 12.5.
The exposures that are excluded from the aggregate are determined in such a way that they Include each exposure that results in a lower weighted exposure amount than any exposure included in the aggregate
Subject institutions use their default probability estimates and their estimates of default losses and conversion factors, in accordance with the provisions of Chapter V.
The weighted exposure amounts for retail customers are calculated in accordance with the following formulas:
R = 0.03 * (1-EXP (- 35 *PD))/(1-EXP (- 35)) + 0.16 * [1 - (1-EXP (- 35 *PD))/(1-EXP (- 35))]
RW = (LGD* N [(1-R) - 0.5 *G (PD) + (R/( 1-R)) - 0.5 * G (0.999)] - PD* LGD) * 12.5 * 1.06
where:
-N (x) is the distribution function of a random variable following a reduced-centric normal law;
-G (z) represents the
The amount of the weighted exposure is equal to the weight (RW) multiplied by the value exposed to the risk.
When the default probability is 100 %, that is, if the default is Weighting is equal to Max 0, 12.5 * (LGD-ELBE), ELBE is the best estimate by establishing the expected loss for the default exposure as defined in section 129.
The exposure-weighted exposure amounts for small or medium-sized entities falling within the retail customer category that satisfy the requirements referred to in Articles 188 and 192-4 may be adjusted In accordance with the formula referred to in Article 48.
For the subportfolio of retail customer loans secured by a mortgage or equivalent effect security, a correlation of 0.15 is substituted for the result of the correlation formula Pursuant to section 54-1.
A correlation of 0.15 shall also be considered for representative exhibitions of liabilities related to rechargeable mortgage or mortgage loan products, provided that these products present Risk parameters globally similar to real estate loans.
For qualifying retail customers as defined below, a correlation of 0.04 applies.
Eligible exhibitions meet the following conditions:
a) Exposures are for natural persons;
(b) Exhibitions are renewable, are not subject to credit protection and are unconditionally cancellable by the reporting institution in the event that the credits are not Immediately used. Renewable exposure means the credits for which the outstanding amount of customers can fluctuate according to their borrowing and repayment decisions, within a limit set by the taxable establishment. Unused appropriations may be regarded as cancellable without conditions, where the contractual provisions allow the taxable person to cancel them to the full extent permitted by the provisions of the consumer law ;
(c) Maximum exposure in the form of credit granted to a given natural person under this sub-portfolio does not exceed EUR 100 000;
d) Subject institutions shall demonstrate to the Banking Commission that the use of the The above correlation formula is limited to subportfolios showing low volatility in loss rates relative to the average level of these rates, especially in the low probability ranges of default.
Establishments Subject to the relative volatility of the loss rates of the subportfolio of renewable exposures to retail customers to ensure that this treatment is consistent with the underlying risk characteristics of the Subportfolio.
To benefit from the processing of retail customer exposures, purchased receivables meet the minimum requirements set out in sections 141 to 144 and meet the following conditions:
(a) The reporting institution has purchased the claims from third parties who do not have a connection with it, and its exhibitions contain no claims of which it is directly or indirectly the issuer;
(b) Purchased claims are born in Conditions of independence between seller and debtor. As such, inter-company claims and cross-business transactions between undertakings are not eligible;
(c) The acquiring taxable person owns a right in all the revenue generated by the Receivables purchased or proportionate to these revenues;
d) The portfolio of purchased receivables is sufficiently diversified.
For claims purchased, holdbacks, security rights, or partial personal security rights that provide a guarantee of protection of first losses to the institution for the purposes of Losses in respect of credit risk or dilution risk may be treated as first loss positions in accordance with the provisions of Title V applicable to establishments using the internal rating approach.
In the case of lots falling under different subportfolios of purchased receivables, the retail customer exposure weighting function producing the highest capital requirements For this type of exposure applies where the recipient institution is not able to distinguish between real estate loans and retail customers secured by a mortgage or equivalent effect security and renewable exposures Other exhibitions on retail customers
The weighted exposure amounts for stock exposures shall be calculated in accordance with the simple weighting method referred to in Articles 58-1 to 58-3 or the method of internal models referred to in the Sections 59-1 to 59-3.
After authorisation by the Banking Commission, taxable establishments may apply one of the above two methods to different portfolios, provided that they already use them for the purposes of Internal management. They demonstrate to the Banking Commission that their choice is made in a consistent manner and does not respond to regulatory arbitrage considerations.
Using the simple weighting method, the weighted exposure amounts are equal to the values exposed to the risk multiplied by the following weights:
-190 % for the Exhibitions in the form of investment capital held in sufficiently diversified portfolios;
-290 % for listed stock exposures;
-370 % for all other equity exposures.
Short positions on shares and derivatives belonging to the bank portfolio may offset long positions on the same headings, line-to-line, subject to having been Explicitly assigned to cover these positions and to have a residual maturity of at least one year. The other short positions are treated as long positions, applying the appropriate weights to the absolute value of each position. In the case of positions that are subject to maturity asymmetry, the method that applies is that of the business exposure category as referred to in section 90.
Taxable institutions using the simple weighting method may take into account personal security rights and non-funded credit derivatives in the Conditions under Title IV. For the purposes of Article 195-4, they shall retain by substitution, the likelihood of failure of the protection provider for the part of the exposure subject to protection, a period (M) of 5 years, a loss in the case of a default of 65 % for Exhibitions in the form of investment capital held in sufficiently diversified portfolios and 90 % for all other equity exposures.
In application of the internal model method for actions:
a) Taxable institutions compare amounts at each exposure level Weighted exposure calculated according to the method of internal models referred to in subparagraph (c), (ii) applied line-to-line at thresholds corresponding to the weighted exposure amounts which would result from the application of the simple weighting method in Using the following weights:
-190 % for exposures in the form of investment capital held in sufficiently diverse portfolios;
-200 % for listed stock exposures;
-300 % for all Other equity exposures;
(b) Subject institutions distinguish within their portfolio:
i) actions for which weighted exposure amounts calculated using the internal model methodology referred to in paragraph C, ii) are below the above thresholds;
ii) other actions for which the weighted exposure amounts calculated using the internal model method exceed the above thresholds;
c) The exposure amounts Weighted is equal to the sum:
i) the weighted exposure amounts calculated using the simple weighting method with the weights referred to in paragraph a for the actions referred to in paragraph (b); and
ii) of the amounts Weighted exposure for the shares referred to in subparagraph (i) of paragraph (b) corresponding to the potential loss on shares of the taxable institution as calculated by means of type models " Value at risk " Applied to portfolio with a A 99 % unilateral confidence interval on the differences between the quarterly yields and an appropriate risk-free rate, calculated on a long-period sample, multiplied by 12.5.
For the purposes of paragraph (c) (ii) of the preceding Article, the taking into account of unrealised gains by taxable establishments applying the internal method for the shares shall be subject to The authorisation of the Banking Commission, which shall examine whether such consideration is compatible with the objectives of prudential supervision and may make its authorisation subject to compliance with conditions laid down for that purpose.
Taxable institutions using the internal model method for shares may take into account personal security rights and non-funded credit derivatives for their share exposures.
Weighted exposure amounts are equal to 100 % of the values exposed to the risk
In the case of claims purchased with recourse to the seller, in terms of credit risk and dilution risk, taxable establishments may treat the exposure as an exposure with a Real security instead of applying the treatment defined in this section.
Dilution risk weights shall be calculated in accordance with the formula set out in section 47 using the probability of default, the loss in the event of default and the value exposed to the specified risk In accordance with Chapter IV, and for a period of one year.
Where taxable establishments may demonstrate to the Banking Commission that the risk of dilution is insignificant, they may not take this into account
When exposures in the form of investments in collective investment organizations meet the criteria set out in paragraphs (e) and (f) of section 26 and the institutions subject to Have knowledge of all the underlying exposures, they take it directly into account when calculating the amounts of weighted exposure and expected losses, by applying the principle of transparency.
When subject establishments do not comply with the terms and conditions of use of the internal rating approaches, the weighted exposure and expected loss amounts are calculated using the Next method:
a) For stock exposures, the simple weighting method applies. If, for this purpose, taxable institutions are not able to distinguish between exposures in the form of investment capital held in sufficiently diverse portfolios, exhibitions on listed shares and Other equity exposures, they treat the relevant exhibitions as other equity exposures;
(b) For all other underlying exposures, the standard approach to credit risk applies, subject to The following modifications:
i) the exposures are classified in the appropriate exposure category and are assigned the weight corresponding to the credit quality level immediately above that normally expected to be Assigned;
ii) high risk exposures, to which a weight of 150 % should normally be applied, are weighted to 200 %.
When exposures in the form of investments in collective investment organizations do not meet the criteria set out in paragraphs e and f of Article 26 or where taxable establishments are not aware of all the underlying exposures, they apply the principle of transparency in calculating the amounts of weighted exposure and expected losses in accordance with the A simple weighting method referred to in sections 58-1 to 58-3. If, for this purpose, taxable institutions are not able to distinguish between exposures in the form of investment capital held in sufficiently diverse portfolios, exhibitions on listed shares and Other exhibitions on shares, they treat the exhibitions concerned as other exhibitions on shares. For this purpose, non-action exhibitions are classified in one of the following categories: exhibitions in the form of investment capital held in sufficiently diversified portfolios, non-equity exposures. Listed or other equity exposures. Unknown exposures are classified as other stock exposures.
In place of the treatment referred to in Article 64, taxable establishments may calculate themselves or charge a third party to calculate and report, on the basis of the underlying exposures of The collective investment organization, the average amounts of the weighted exposures, provided that the institutions subject to the assessment verify the accuracy of the calculation and the statement. The calculation is as follows:
(a) For exposures falling within the equity exposure category, the simple weighting method applies. If, for this purpose, the reporting institution is not able to distinguish between exposures in the form of investment capital held in sufficiently diversified portfolios, exhibitions on listed shares and Other equity exposures, it treats relevant exhibitions as other equity exposures;
(b) For all other underlying exposures, the standard approach to credit risk applies subject to modifications The following:
i) exposures are assigned to the appropriate exposure category and are assigned a weight corresponding to the credit quality level immediately above that expected to be assigned;
(ii) exposures of high risk to which a weighting of 150 % should normally be applied shall be weighted to 200 %.
When performing this calculation themselves, the institutions subject to the Management of the collective investment agency under the conditions referred to in paragraphs (c) and (e) of Article 26
For exhibitions on businesses, institutions, central administrations and central banks and retail customers, the amount of the expected loss is equal to EL multiplied by the value Exposed to risk, with EL = PD * LGD.
When the default probability is 100 %, that is, in the case of default, EL must be equal to ELBE, as defined in section 129, where the reporting institution uses its loss estimates in
For exposures that are the subject of a double default under section 48, EL is equal to 0.
In the case of specialized financing exposures for which subject institutions apply the method referred to in sections 50-1 to 50-3, the percentage of expected losses is determined in accordance with The following table:
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When a taxable institution is authorized to apply, in general, a 50 % weighting for exhibitions in the category " Solid " And 70 per cent for exhibitions in the category " Good ", the expected loss percentage is 0 % and 0.4 %, respectively.
For stock exposures whose weighted exposure amounts are calculated in accordance with the simple weighting method, the expected loss amounts are equal to the values at risk Multiplied by the following expected loss percentages:
-0.8 % for exposures in the form of investment capital held in sufficiently diversified portfolios;
-0.8 % for listed stock exposures ;
-2.4 % for all other stock exposures.
For equity exposures whose weighted exposure amounts are calculated in accordance with the internal model methodology, the expected loss amounts are zero.
For purchased receivables, the expected loss amounts for dilution risk are equal to EL multiplied by the risk-exposed values, with EL = PD * LGD.
For assets other than credit obligations, the expected loss is zero.
The expected loss amounts calculated in accordance with sections 66-1, 66-2 and 67-3 are subtracted from the sum of the value adjustments and collective impairments relating to the affected exposures. The amounts of expected losses on securitized exposures and value adjustments and collective impairments in these exposures are not taken into account in this calculation. Positive and negative deviations are treated as indicated in Articles 4 e and 6c of Regulation 90-02.
Where taxable institutions calculate capital requirements for the counterparty risk covered by Title VI, the Adjustments in value made to account for the credit quality of the counterparty may be included in the total value adjustments made and the collective writedowns for the positions in the portfolio Negotiation.
Subject to the authority of the Banking Commission, if the credit risk of the counterparty is adequately taken into account in the assessment of a position included in the negotiating portfolio, the amount of the counterparty 's Expected loss associated with counterparty risk is zero
The risk exposure of an asset is equal to the value of the exposure. The value of the risk shall be based on the amount drawn and the amount not drawn up in accordance with Articles 76 to 79.
When taxable institutions use novation framework agreements or compensation framework agreements for their pension, loan or loan operations for securities or commodities, the Exposure to risk shall be calculated in accordance with the provisions of Title IV or Chapter V of Title VI on internal model evaluation.
When the loans and deposits of the same counterparty to a taxable institution are the subject of balance sheet compensation, the values exposed to the risk are Determined in accordance with Title IV.
The value exposed to the risk of capital leases and financial leases, corresponding to their book value, can be broken down into two elements, the present value Minimum lease payments, on the one hand, and, where applicable, the present value of the residual value at risk, on the other.
The present value of the residual value at risk of goods subject to a contract Lease financing or financial leasing is included in the exposure category of other assets that do not meet credit obligations.
Where the assignment of the leased property to the lessee is reasonably At the beginning of the contract, the taxable establishment shall ensure at least once a year that the assignment remains reasonably certain.
For the derivatives referred to in Annex II, the risk exposure value shall be determined in accordance with the methods referred to in Title VI.
The value exposed to the risk of purchased receivables corresponds to the value of these claims, as a result of the application of Article 69, decreased the amount of Capital requirements for dilution risk before taking into account the effects of credit risk reduction techniques.
When an exhibition is in the form of securities or commodities that are wealthy or loaned in the course of a pension or loan or loan operation of securities or commodities, or Deferred settlement or margin lending operations, the risk exposure value is the value of the base securities or products in question, calculated in accordance with Article 4-3. Where taxable persons use the general method to take account of the effects of financial collateral in accordance with Title IV, the risk exposure shall take into account the volatility adjustments in accordance with Articles 178-2 At 178-6.
The risk value of pension operations or loan or loan transactions of securities or commodities, or deferred settlement or margin loans, may be calculated, if applicable:
- In accordance with the provisions of Chapter V of Title VI on evaluation according to the internal model method; or
-in accordance with Section 3, Chapter IV, of Title IV relating to internal models for the taking of Account for the effects of compensation mechanisms for such operations.
The risk exposure of exposures to a clearing and warranty chamber may be zero under the conditions set out in Section 2, Chapter I of Title VI.
The risk value of the following is the amount on which the reporting institution has committed, but has not been used, multiplied by a conversion factor. Taxable institutions use the following conversion factors:
(a) For credit lines that are revocable without conditions at any time and without notice by the reporting institution or that effectively permit revocation Automatic in the event of a deterioration in the credit quality of the borrower, a conversion factor of 0 % applies provided that the institutions subject to active control of the debtor's financial situation, and that their systems of Internal control allows them to immediately detect any deterioration in the credit quality of the debtor. Credit lines not drawn on retail customers may be considered as cancellable without conditions, where the contractual provisions permit the taxable establishment to cancel them to the full extent permitted by the Provisions of consumer law;
(b) For short-term letters of credit from movements of goods, a conversion factor of 20 % is applied for issuers and confirmators;
(c) For Purchase commitments not drawn on renewable purchased receivables that are revocable without conditions or that effectively permit automatic revocation at any time and without notice by the taxable establishment, a conversion factor 0 % applies, provided that taxable institutions actively control the financial situation of counterparties, and that their internal control systems enable them to detect immediately any deterioration in the quality of the counterparties Counterparties' credit;
(d) For other lines of credit, the emission facilities (note issuance facilities, NIF in English) and the revolving facilities (revolving underwriting facilities, RUF in English), a 75 % conversion factor applies.
When a commitment relates to the extension of another commitment, the weakest of the two conversion factors associated with this commitment is used.
For all off-balance-sheet items other than those mentioned above, the value exposed to risk is the percentage of their value determined according to the risk category to which they belong In accordance with Annex I, which is:
-100 % of their value when classified in the high risk category;
-50 % of their value when classified in the category of medium risk;
-20 % of their value Value when classified in the category of moderate risk;
-0 % of their value when classified in the low risk category;
The above percentages are referred to as conversion factors Regulations.
Without prejudice to the provisions of Article 39-2, subject institutions applying the advanced internal ratings approach use their estimates of conversion factors for the different elements Off-balance sheet under the conditions referred to in Chapter V, with the exception of those items falling within the category of high risk referred to in Annex I for which a 100 % regulatory conversion factor applies
For taxable establishments using the simple weighting method referred to in sections 58-1 to 58-3, the risk exposure value is the value recorded on the balance sheet, under the following conditions:
a) For Investments valued at their fair value and whose value changes are directly taken into account in the profit and loss account and, hence, in equity, the value at risk is equal to the fair value recorded in the balance sheet ;
b) For investments valued at fair value and for which changes in value are integrated, not in the profit and loss account, but in a separate equity component adjusted for tax incidence, the value Exposure to the risk is equal to the fair value recorded on the balance sheet, under the deduction, if any, of the amount of unrealised gains not included in the prescribed capital funds;
(c) For investments valued at historical cost or The lowest value between this cost and the market value, the risk exposure value is equal to the historical cost or market value on the balance sheet
The risk exposure of other non-credit assets is their book value
The default probability of an exposure to a business or establishment is at least 0.03 %.
For default debtors, the default probability is 100 %.
Institutions subject to the Foundation's internal ratings approach take into account non-funded personal security rights and credit derivatives in accordance with Title IV
Institutions subject to the advanced internal ratings approach may take into account unfunded personal and credit derivatives by adjusting the default probabilities, subject to the provisions of Article 86.
In the case of claims purchased on undertakings, where a taxable establishment cannot demonstrate that its default probability estimates satisfy the minimum requirements referred to in Chapter V, it shall Determines the value of the default probability associated with these claims in accordance with the following methods:
(a) For first-ranking claims, the probability of default corresponds to the estimate of expected losses established by the establishment Subject, divided by loss in the event of default;
(b) For subordinated claims, the probability of default is the estimate of the expected loss established by the taxable person.
Where a taxable establishment is using The advanced internal ratings approach, it can use its default probability estimates for receivables purchased on firms when it reliably decomposes its expected fault estimates of default probabilities and Default losses.
For the dilution risk attached to receivables purchased on enterprises, the default probability is equal to the estimated loss expected for dilution risk.
When a taxable establishment Uses the advanced internal ratings approach, it can use its default probability estimates for receivables purchased on firms when it reliably decomposes its expected loss estimates for dilution risk in Probability of default and loss in case of default.
Institutions subject to the Foundation's internal ratings approach take into account non-funded personal security rights and credit derivatives in accordance with the provisions of the Title IV.
Institutions subject to the advanced internal ratings approach to the risk of dilution on receivables purchased from enterprises may take into account non-financed personal rights and credit derivatives in Adjusting their default probabilities subject to the provisions of Article 86
Taxable institutions that apply the foundation internal ratings approach use the following default losses percentages:
a) 45 % for first-ranking claims that do not Are not accompanied by a recognized security right;
(b) 75 % for subordinated claims that do not have a recognized security interest;
(c) 12.5 % for land and other resources benefiting from the privilege mentioned in 2 ° Of Article L. 515-13 of the Monetary and Financial Code, as well as similar obligations issued by an establishment having its registered office in a Member State.
Until 31 December 2010, the above rate shall be reduced to 11.25 % where the The following conditions relating to land-based credit societies, and institutions having their registered office in a Member State issuing similar obligations to land obligations, are respected:
-exhibitions on persons Public, as referred to in Article L. 515-15 of the Monetary and Financial Code, and the safe and liquid securities and values referred to in Article L. 515-17 of the said Code, shall benefit from the best credit quality established by a External credit assessment body recognised by the Banking Commission;
-the share of mutual funds or similar entities does not exceed 20 % of the nominal amount of land and other resources Equivalent privilege;
-ships are not retained as eligible assets; or
-land and other resources benefiting from the privilege mentioned in 2 ° of the I of Article L. 515-13 of the Monetary and Financial Code, or Similar obligations issued by an establishment having its registered office in a Member State shall benefit from the best credit assessment established by an external credit assessment body recognised by the Banking Commission for that purpose Category of obligations;
(d) 45 % for first-tier claims purchased on undertakings, where the taxable establishment cannot demonstrate that its default probability estimates meet the minimum requirements set out in Chapter V ;
e) 100 % for subordinated claims purchased on enterprises, where the taxable institution cannot demonstrate that its default probability estimates meet the minimum requirements set out in Chapter V;
f) 75 % for the Risk of dilution attached to receivables purchased on businesses.
Subject institutions that apply the foundation's internal ratings approach take into account, where appropriate, the effects of security and personal security in accordance with The provisions of Title IV.
Taxable institutions using the advanced internal ratings approach take into account non-financed personal and credit derivatives by substituting Their estimates of the probability of default and, where applicable, losses in the event of default, or by adjusting the estimates of losses in the event of default, subject to compliance with the minimum requirements referred to in Chapter V after authorisation by the Commission Bank. They shall not assign to an exposure with a personal security interest an adjusted probability of default or loss in the event of default such that the adjusted weighting would be less than that applicable to a comparable direct exposure On the protection provider.
Notwithstanding the provisions of Articles 84 and 86, for the application of the treatment of the double defect, the value of the loss in the event of default applicable to a comparable direct exposure on the supplier of Protection is that associated with a transaction that is not accompanied by personal security:
-with the debtor where the available information and the characteristics of the security enable it to be considered that A joint default of the debtor and the protection provider, the amount recovered would depend on the debtor's financial situation;
-with the protection provider in all other cases
Institutions subject to the Foundation's internal ratings assign to exposures resulting from repo transactions or loans or borrowings of securities or commodities for a duration of 0.5 Year and all other exposures a period of 2.5 years.
Establishments subject to the advanced internal ratings shall calculate the duration associated with each exposure in accordance with paragraphs a to g, subject to the provisions of Articles 89-2 and 90. In all cases, the duration (M) cannot be longer than five years.
a) For an instrument subject to a cash schedule, the duration is calculated according to the following formula:
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where CFt (cash flow, CF in English) indicates the cash flow in principal, interest and commissions that the debtor is Contractually obligated to pay during the period t, expressed in years;
(b) For derivative instruments subject to a framework de novation agreement or a compensation framework agreement, the duration is the weighted average of the terms Residuals of each exposure weighted by its notional amount. It may not be less than one year;
(c) For derivative instruments wholly or substantially associated with security rights, for margin lending operations wholly or substantially with security interests, and for Transactions of pensions, loans and borrowings of securities or commodities that are included in a compensation framework agreement, the duration (M) is the average residual time weighted by the notional amount of the transactions. (M) may not be less than 10 days;
(d) Where a taxable institution uses its estimates of default probabilities for claims purchased on undertakings, the duration of the amounts drawn is equal to the weighted average duration of the Receivables. It cannot be less than 90 days.
The same value of (M) is applied to the part not obtained from an authorized purchase commitment, provided that the contract provides for effective restrictive covenants, trigger triggers Anticipated or other devices intended to protect the recipient institution against a significant deterioration in the quality of the receivables it is required to purchase under the terms of the contract.
In the absence of such protections, the value Of (M) applicable to undrawn amounts is equal to the sum of the maximum possible maturity of a claim according to the terms of the contract and the residual maturity of that contract. It shall not be less than 90 days;
e) For any instrument other than those referred to in that Article, or where a taxable establishment is not in a position to calculate (M) in accordance with paragraph a, (M) shall be equal to the maximum period in years Which a debtor has in order to comply fully with its contractual obligations. It may not be less than one year;
f) Where a taxable institution uses the internal model method for the counterparty risk referred to in Title VI, the value of (M) of the exposures to which that method is applied when these Exhibitions are included in a set of compensation where the contract with the longest lifespan is longer than one year is determined according to the following formula:
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where dfk is the risk-free discount rate for the future tk period.
When using an internal model to calculate a Unilateral adjustment of the credit assessment, a taxable establishment may, subject to the authorisation of the Banking Commission, take for the value of (M) the actual duration of the credit as estimated by that model
Of the provisions of Article 89-2, the previous formula shall apply for sets of compensation comprising only contracts with an initial maturity of less than one year.
For the purposes of applying the double default, the duration (M) Corresponds to the effective date of the credit protection. (M) cannot be less than one year.
Notwithstanding the provisions of paragraphs a, b, d and e of the preceding Article, the duration (M) must be at least one day for:
-derivatives wholly or almost entirely with security rights Real;
-margin-lending operations wholly or almost entirely with security rights; and
-pension, loan and debt operations of securities or commodities,
that are the subject of daily margin calls, A daily evaluation that allows for rapid or compensating security in the event of default or inability to meet a margin call;
-and any other element that is not part of the current funding of the Debtor.
Maturity asymmetries are processed in accordance with Title IV
The default probability of a retail customer exposure is at least 0.03 %.
For default debtors, or when a transaction approach is used for the default claims, the Default probability is 100 %.
For the dilution risk attached to the purchased receivables, the default probability is equal to the expected loss estimates for dilution risk. When a taxable establishment can reliably decompose its expected loss estimates for risk of default and default in default, it can use its default probability estimates.
Notwithstanding the provisions of the foregoing Article, for the application of the treatment of the double defect, the value of the loss in the event of default applicable to a comparable direct exposure on the supplier of Protection is that associated with a transaction that is not accompanied by personal security:
-with the debtor where the available information and the characteristics of the security enable it to be considered that A joint default of the debtor and the protection provider, the amount recovered would depend on the debtor's financial situation;
-with the protection provider in all other cases
Rating system refers to all methods, processes, controls, data collection systems, and computer systems that enable credit risk assessment, rating Exposure or assignment to a lot and quantification of default and loss estimates for a given type of exposure.
Regulated institutions regularly review the criteria and procedures for marking exposures or assignments to a lot in order to determine whether they remain appropriate for the composition of the Portfolio and external environment.
When a taxable institution uses multiple scoring systems, the reasons underlying the use of a particular system for a type of debtor or transaction type are documented and Must reflect the level of risk.
When a taxable institution uses its direct estimates of risk parameters, they are considered to be the result of a rating scale on a continuous rating scale.
The scoring system meets the following requirements:
a) It takes into account the risk characteristics of the debtor and the transaction;
b) There is a rating scale for the debtors who Exclusively reflects the quantification of their default risk. This scale contains at least seven notes for debtors who are not in default and a note for default debtors. Note by debtors is a category of risks belonging to a rating scale of debtors in a rating system to which debtors are assigned, on the basis of a set of distinct and distinct criteria from which Estimates of probability of default are established;
c) Subject institutions document the relationship between the debtor notes associated with a default risk level and the criteria used to determine this level;
d) Taxable establishments whose portfolios are concentrated in a specific market segment and within a certain range of default risk must have a sufficient number of debtors' notes within that range to avoid a Excessive concentration of debtors on a particular note;
e) In the case of large concentrations on a particular note, the establishment demonstrates that the debtor's note covers a reasonably narrow probability of default And that the default risk of all the debtors to whom this mark is assigned falls within this range.
Establishments subject to specialized financing exposures in accordance with the provisions of Articles 50-1 to 50-3 shall be exempt from the requirement to have a rating scale of Accounts receivable that exclusively reflects the quantification of their default risk. For these exhibitions and for the application of the provisions of Articles 50-1 to 50-3 and Annex III, they shall have at least four notes for debtors who are not in default and a note for the debtors in default
The rating system meets the following requirements:
a) It reflects the risk attached to both the debtor and the transaction and takes into account all of their relevant characteristics;
b) The Degree of risk differentiation guarantees the assignment, to each note or batch, of a sufficient number of exposures to allow adequate quantification and validation of the characteristics of losses at the level of this note or lot. The distribution of exposures and accounts receivable by note or batch should be used to avoid excessive concentrations;
c) Subject establishments demonstrate that the exposure allocation system for notes or lots permits:
-adequate risk differentiation;
-their grouping together in sufficiently homogeneous sets;
-a precise and consistent estimate of the loss characteristics at each note or lot.
For purchased receivables, this Consolidation reflects the management policy of the client position;
d) When distributing their exposures by note or batch, the following risk factors are taken into account:
-risk characteristics The debtor;
-the risk characteristics of the transaction, including the nature of the product or the nature of the security rights. Taxable institutions explicitly consider cases where multiple exposures have the same security interest;
-incidents of payment, unless the reporting institution demonstrates to the Banking Commission that it is not Not a significant risk factor
In their system, subject institutions have specific definitions, procedures and criteria for the marking of exposures or their assignment to different lots. In particular, the following requirements are met:
a) The definitions and criteria are sufficiently detailed to allow those responsible for assigning ratings to assign accounts receivable or transactions with the same Risks the same score or batch, in a consistent manner across trade lines, departments or geographic locations;
b) Documentation of the scoring procedure allows third parties:
-to understand the Procedures for scoring exposures or assignments to different lots;
-to assess whether this assignment is appropriate; and
-to do so, if any, by themselves;
c) The criteria used are consistent with the rules In the case of difficulties.
All relevant information is taken into account by subject institutions for assigning accounts receivable and transactions to individual notes or lots. This information is up to date and allows us to predict the future performance of the exhibition. The less information a reporting institution has, the more prudent it must be in its rating or assignment policy. When a taxable institution relies on external notation as the first factor in determining its internal notation, it ensures that other relevant information is taken into account.
The marking of exhibitions on enterprises, institutions, central administrations and central banks shall be carried out in accordance with the following procedures:
(a) Each debtor shall be assigned a Debtor's note as part of the credit approval process;
b) For taxable establishments using the advanced internal ratings, a transaction note is assigned to each exposure, as part of the process Approval of credits;
(c) Subject establishments applying the method referred to in sections 50-1 to 50-3 to weight their specialized financing exposures, shall affect each of these exposures to a score determined in accordance with Article 100;
(d) Each separate legal entity on which a taxable person is exposed shall be noted separately. The taxable institution shall establish procedures for the marking of individual customers which take account of their belonging, if any, to a set of counterparties considered to be the same beneficiary within the meaning of Article 3 of the Regulation No. 93-05;
e) The same receivable is attributed to different exposures on the same debtor, regardless of the nature of the transactions. The only exceptions are taken into account when:
i) there is a risk of non-transfer;
ii) the guarantees attached to an exhibition imply an adjustment of the debtor's note;
iii) the exchange of relative information Customers are prohibited, particularly in relation to banking secrecy, consumer protection or any other regulation.
Each retail customer exposure is noted or assigned to a lot, as part of the credit approval process.
Subject institutions document cases where expert judgement can override input parameters or results produced by the system Of notation. In particular:
a) Taxable institutions indicate which staff are responsible;
b) Subject institutions analyze the credit quality of the exposures that are the subject of these discrepancies. This analysis includes an assessment of the appropriateness of the deviations decided by the person responsible for these changes
The procedure for marking exhibitions on enterprises, institutions, central administrations and central banks includes the following requirements:
a) The assignment of Exhibitions as well as their regular reviews are carried out or approved by an independent person, who does not directly benefit from renewal or credit decisions;
b) Establishments subject to update Their exposure ratings at least once a year. Debtors considered particularly risky and exposures that raise significant difficulties are subject to a more frequent review;
c) Subject institutions assign a new rating to any debtor or Any exposure if significant new information is known;
d) Taxable institutions are implementing an effective process to obtain and update relevant information on the Characteristics of the accounts receivable that affect the default probabilities, as well as the characteristics of transactions that affect default losses and conversion factors.
For retail customer exposures, subject institutions update, at least once a year, the notation or assignment to a lot of accounts receivable and transactions based on factors Of the risk set out in section 101 (d). The subject institutions shall review, at least once a year, for a representative sample, the individual exhibits for each lot, to ensure that they remain assigned to the good lots
When a taxable institution uses a statistical model or other automated device to allocate the various notes or lots to exposures, the following conditions must be met :
a) The reporting institution demonstrates to the Banking Commission that the model has a good forecasting capacity and that its use does not distort the capital requirements. The variables that feed the model form a consistent and effective basis for calculating forecasts. The model is not the subject of significant bias;
b) The reporting institution has a procedure in place to verify the input data of the model, and in particular to control its accuracy, completeness, and Relevance;
c) The reporting institution demonstrates that the data used to construct the model are representative of all of its debtors or exhibits;
d) The reporting institution implements a regular program Validation of the model, which includes the monitoring of its performance and reliability, the revision of its specifications and the evaluation of the results it produces with regard to the results found;
e) To control the ratings that it And to ensure that the model is used appropriately, expert analysis and judgement complement the statistical model. Review procedures are used to detect and limit errors related to weaknesses in the model. The expert judgement takes into account all relevant information that the model does not incorporate;
(f) The reporting institution documents the way in which the model results and expert judgements are articulated.
Subject institutions have appropriate documentation including:
a) The design and operation of their rating systems. Such documentation shall attest to compliance with the minimum requirements laid down in this Chapter and shall cover in particular the differentiation of portfolios, the rating criteria, the responsibilities of those responsible for recording and assigning accounts receivable, and Exposures, frequency of review of these ratings or assignments, and procedures for monitoring the scoring system;
b) The reasons and analysis that led to the selection of the scoring criteria;
c) Any significant change To the scoring device. This documentation shall reflect the changes implemented as a result of the observations made by the Banking Commission at the institution, where appropriate;
(d) The whole scheme for the marking and assignment of exhibitions, as well as the Associated internal control;
e) The specific definitions of default and loss used by the reporting institution. The documentation must show that these definitions are consistent with those set out in this Order.
When a taxable institution uses statistical models as part of its marking scheme, it documents the methodology, including:
a) The details of theories, assumptions and The mathematical foundations and empirical analysis from which estimates are assigned to notes, debtors, exhibits, or lots;
b) The sources of the data used to develop the model;
c) The device Statistics that should be used rigorously to validate the model, including performance tests out of time and out of sample;
d) All circumstances in which the model does not work correctly.
The use of a model originating from a third party claiming an exclusive right in its technology does not exempt establishments subject to compliance with the requirements of this Chapter relating to systems of Notation, including the provision of appropriate documentation
For exhibitions on businesses, institutions, central governments and central banks, subject institutions collect and record the following information:
a) One Complete history of ratings assigned to debtors and recognized guarantors;
b) Dates of assignment of ratings;
c) The method and main data used to establish the ratings;
d) The identity of the person who Assigned the ratings;
e) Identification of defaulting debtors and default exposures;
f) The date and circumstances of these defects;
g) Data on default probabilities and loss rates associated with Each notation and the migration of ratings;
(h) For taxable establishments that use the internal foundation ratings, data comparing the value of the losses in the event of default to the values set out in the article 84 and the value made of the conversion factors to the values set out in Article 76.
Subject institutions that use the advanced internal ratings approach collect and store the following information:
a) A complete history of transaction notes as well as Estimates of default losses and conversion factors associated with each rating scale;
(b) The dates for assigning transaction notes and estimates of default and conversion factors;
(c) The method and main data used to establish the transaction notes, as well as the estimates of default losses and conversion factors;
d) The identity of the person who assigned the transaction notes, so The identity of the person who established the loss estimates in the case of default and conversion factors;
e) Data on default losses and estimated and realized conversion factors associated with each exposure in Default;
f) Data on default losses associated with each exposure before and after taking into account the effects of a guarantee or a credit derivative, where taxable establishments adjust their loss estimates to Failure to take account of the effects of these credit risk reduction techniques;
g) Data on the components of the losses recorded for each exposure in default, including amounts recovered, source of recovery And administrative cost recovery costs.
For retail customer exhibits, the institutions collect and record the following information:
a) The data used in the exposure assignment process by note or Lot;
b) Data on estimates of default probabilities, default losses, and conversion factors associated with each note or batch;
c) identification of defaulting debtors and default exposures;
d) For any exposure in default, the data relating to the notes or batches to which the exposure was assigned in respect of credit risk in the year preceding the default and the values of the loss in the event of default and the factor Conversion;
e) Data on loss rates recorded for the subportfolio of retail customer exhibits
Subject institutions have relevant crisis simulation processes that they use to assess the adequacy of internal capital. These crisis simulations should, inter alia, identify the events or changes in the economic environment likely to have adverse effects on exposures to credit risk institutions and Assess the capacity of subject institutions to deal with them.
Regulated institutions conduct a credit risk crisis simulation on a regular basis to assess the impact of the assumptions used on the total of their capital requirements. Title of credit risk. The crisis simulation used by the reporting institution has the following characteristics:
-it must be relevant and reasonably prudent, considering at least the consequences of a moderate recession scenario that Can be two quarters of zero growth;
-subject institutions assess the migration of exposures from one note to another depending on the assumptions used by the different scenarios;
-the portfolios subject to the Crisis simulation covers the vast majority of exposures of the reporting institution.
Reporting institutions provide the Banking Commission Secretariat with a description of the assumptions and methodological principles As well as the results of these crisis simulations in the context of the Annex on crisis simulations of the report on the measurement and monitoring of risks referred to in Article 43 of Regulation No 97-02 of the Regulatory Committee Banking and Finance of 21 February 1997 on the internal control of credit institutions and investment firms.
Subject institutions that apply double-default processing take into account in their crisis simulation device the impact of a deterioration in the credit quality of suppliers of Protection and, in particular, assess cases where they no longer meet the eligibility criteria
A specific debtor is in default when one of the following two conditions is satisfied:
(a) The reporting institution considers that it is unlikely that the debtor will fully comply with the Credit obligations to it, its parent undertaking or any of its subsidiaries, without the reporting establishment having recourse to possible measures such as the enforcement of a security right;
(b) There is a backlog of payments by the debtor on a Obligation of credit to the reporting institution, its parent company or any of its subsidiaries over 90 days, unless special circumstances show that the backlog is due to causes unrelated to the situation of the Debtor.
For overdrafts, the payment arrears are counted as soon as:
-the debtor exceeded an authorized limit that was brought to its knowledge by the taxable person; or
-the debtor was Warned that its stock exceeds a limit set by the taxable person under its internal control system; or
-the debtor has drawn amounts without authorization.
In place of the above criteria, the Subject institutions may count the payment arrears where the discovery has been the subject of a claim for a total or partial refund from the debtor, provided that the claim for the Reimbursement is part of a daily and rigorous monitoring of overdrafts by the institution and a documented procedure by setting the trigger criteria.
For credit cards, payment arrears are counted as follows: From the payment date fixed contractually.
Without prejudice to the provisions of Title X, for exhibitions on rent-financing or financial leasing of immovable property, the number of days of arrears of payment shall be 90.
For exhibitions on homebuyers, central, regional and local administrations and public sector entities, when counterparties are established on French territory, the number of days in arrears Payment is 180.
Where the requirements of the internal rating system warrant and where this treatment does not lead to regulatory arbitrage, taxable institutions may retain a number of days in arrears Payment of more than 90 for retail customer exhibitions, on central, regional and local administrations, on public sector entities and, until 31 December 2011, on enterprises, where counterparties are Established in other Member States. This number must not exceed that set by the competent authorities of the said Member States.
For retail customer exposures, the definition of the defect can be applied at the transaction level.
The following points indicate that it is unlikely that the debtor will fully comply with its credit obligations:
(a) The reporting institution ceases to account for uncashed accrued interest ;
b) The taxable establishment proceeds to a value adjustment based on the perception of a significant deterioration in the quality of the debt relative to the time the credit was granted;
c) The taxable establishment sells its Debt with a significant economic loss due to the deterioration in the quality of the debt;
d) The taxable establishment consents to a forced restructuring of its debt which is likely to result in its reduction by reason of The cancellation or postponement of a significant portion of the principal, interest or, where appropriate, the commissions;
e) The reporting institution has requested the commencement of a collective judicial proceeding against a debtor or The debtor of its parent company or its subsidiaries, or has declared its claim on such debtors in the course of such proceedings;
(f) The debtor has applied for or obtained the benefit of a protection against the lawsuits that may be avoided or Delay the repayment of its credit obligation to the taxable institution, its parent company or any of its subsidiaries.
Taxable institutions that use external data deviating from the default definition demonstrate to the Banking Commission that they have made the appropriate adjustments to achieve a result Which is roughly equivalent to this definition.
Where the subject establishments consider that a default exposure no longer meets the characteristics defined in Articles 118-1 to 118-3, this exposure shall be reclassified and treated As an exposure that is not the object of a defect. In the case of a subsequent default, the reporting establishment considers that another defect has occurred
Estimates of PD, LGD, CCF and EL risk parameters take into account all relevant data, information and methods in accordance with the The following provisions:
a) Estimates are based on historical and empirical findings, not just from subjective considerations;
b) Estimates are plausible and based on factors Significance determining the evolution of the different risk parameters;
c) An establishment's estimates must be all the more conservative as it has less data;
d) Subject institutions are able to Provide a history of their losses, decomposed in default, losses in the event of default, conversion factors or losses when using estimates of expected losses, depending on the factors that they consider to be critical to the Estimation of different risk parameters;
e) Subject institutions demonstrate that their estimates are based on long-term experience;
f) Any change in lending practices or procedures Recovery during the compliance periods referred to in this Chapter shall be taken into account;
(g) The estimates of taxable establishments shall take into account the implications of any technical developments, any new data and Any other information, as soon as they become available;
h) Subject institutions review their estimates as soon as they are aware of any new information and at least once a year.
In the case of purchased receivables, the estimates take into account all relevant information available to the reporting institution regarding the quality of the underlying claims, including data Relating to lots of similar claims provided by the seller or by external sources. The acquiring institution shall verify any data supplied by the seller on which it bases its estimates.
Subject institutions add a margin of prudence to their estimates to take into account the expected range of estimation errors. The margin of caution is all the more important because the data and methods used are less satisfactory, and the expected range of errors is greater.
When using different estimates for their calculations of weighted exposure amounts and for their internal need, taxable establishments Document the reasons for this choice and demonstrate to the Banking Commission their consistency.
Subject institutions may use data collected before the date of application of this Order, provided they demonstrate to the Banking Commission that they have made adjustments To achieve a result that generally satisfies the definition of defect or loss.
Exposure samples meet the following requirements:
a) The samples retained for the estimates and the internal standards used by the reporting institution at the time of granting the Credit and any other relevant characteristics are comparable to existing exhibits and internal rules;
b) Subject institutions demonstrate that the economic or market conditions on which these data are based are Relevant to the current and foreseeable environment;
(c) The number of exposures included in the sample and the reference period used in the calculations are sufficient to provide the institution subject to the The accuracy and robustness of its estimates.
When a taxable institution uses a database shared by several institutions, it demonstrates that:
a) The scoring systems and criteria of other participating institutions are Similar to its own;
b) The base data is representative of the portfolio for which it is used;
c) Shared data is used consistently over time to calculate estimates;
d) It Has in-house sufficient knowledge of its rating systems, as well as the effective capacity to monitor the marking scheme, in accordance with the provisions of Article 37 (2) of Regulation No 97-02. A reporting institution that uses a database shared by several institutions remains responsible for the integrity of its rating systems and retains full control
For exhibitions on businesses, institutions, central governments and central banks, the default probability estimates meet the following requirements:
a) The Taxable establishments estimate the value of default probabilities for each debtor note, based on averages of annual default rates calculated over a long period of time;
(b) For claims purchased on businesses, Taxable establishments may estimate the value of expected losses for each receivable, based on averages of effective annual default rates calculated over a long period of time;
(c) Where, for claims purchased on Enterprises, a taxable establishment sets its average estimates over the long period of default and loss in case of default based on an expected loss estimate and an appropriate estimate of probability of default or Loss in the event of default, the procedure for estimating total losses satisfies the requirements of this chapter for estimating default probabilities and losses in case of default. The result is consistent with the features of the default loss referred to in section 126-1;
d) The techniques for estimating default probabilities should be the subject of a preliminary analysis. Taxable institutions take into account the importance of expert judgments to combine the results produced by the different techniques and to make the necessary adjustments;
e) Where a taxable establishment Uses, to estimate its default probabilities, data from its own experience in default, it demonstrates, in its analysis, that its estimates take into account its credit granting conditions and any difference between the The rating system that generated the data in question and the current scoring system. When the credit conditions or rating systems have been changed, the taxable establishment adds a greater margin of prudence to its estimates of default probabilities;
f) Where a taxable establishment Correspondence the notes of its internal rating system and the credit quality levels used by an external credit assessment body or similar organization, the following requirements must be met:
-the Correspondence is based on a comparison of the rating criteria of the institution with those of the external organization, as well as a comparison between internal ratings and external evaluations of the same debtors;
- The reporting institution avoids any bias or inconsistency in its mapping process and the level of the underlying data;
-the criteria and data used by the external body for its calculation of estimates Exclusively to understand the risk of default of the debtor and not the characteristics of the transaction;
-the analysis of the taxable institution includes a comparison of the definitions of the default used, subject to the provisions referred to in Sub-section 1. The reporting institution documents the approach used to match the external ratings to its internal notes;
g) A taxable establishment using statistical models for forecasting default, can Take as estimates of default probabilities the average of the estimates of the default probabilities of each debtor for a given note. The use, by the reporting institution, of default probability prediction models must meet the criteria set out in section 109;
h) The data observation period is at least 5 years for at least one source of the Data used by the reporting institution that they are external, internal or shared. When the observation period available for a data source is longer than for other sources, the data source is retained provided that the relevant data are relevant.
Have data histories of at least two years at a time when they are authorized by the Banking Commission to use the Foundation's internal ratings approach. These histories increase by one year every year to cover a period of 5 years.
For retail customer exposures, the default probability estimates meet the following requirements:
a) Taxable settlements estimate default probabilities by A note or lot of accounts receivable, based on averages of annual default rates calculated over a long period of time. Estimates of default probabilities can be calculated on the basis of realized losses and appropriate estimates of default losses;
b) Taxable settlements are assumed to be the primary source of characteristics Losses, internal data that they use to record exposures or assign them to a lot. They may use external data, including shared data, or statistical models for quantification, subject to demonstrating a robust relationship between:
i) their rating or assignment to A lot and the one used by the external data source;
ii) their risk profile and the composition of the external data.
For receivables purchased under the retail customer category, subject institutions may Refer to internal and external data. They use all relevant data sources for comparison purposes;
c) Where a taxable institution sets its average estimates over a long period of default and default probabilities, from a Estimate of total losses and an appropriate estimate of default or loss probabilities in case of default, the process for estimating total losses satisfies the requirements of this chapter for estimating probabilities of Default and default losses. The result is consistent with the features of the loss in the event of a defect referred to in section 126-1;
d) The data observation period is at least 5 years for at least one of the data sources used by the reporting establishment, Be external, internal, or shared. When the observation period available for a data source is longer than for other sources, the data source is retained provided that the relevant data are relevant.
Have data histories of at least two years at a time when they are authorized by the Banking Commission to use internal ratings. These histories increase by one year every year to cover a 5-year period;
e) Subject institutions identify and analyze expected variations in risk parameters over the duration of exposures, including effects Seasonal.
Taxable settlements estimate the value of losses in the event of default by transaction note or by lot from the average loss rates in case of default by transaction note or batch Of exposure. They take into account all the default cases observed from the different data sources using a defect-weighted average.
Taxable institutions use estimates of default losses that would apply in the event of an economic downturn, if these estimates are more conservative than the average Calculated over a long period. To the extent that it is expected that the values of the loss rates in case of default by note or batch are relatively stable over time, subject institutions provide their estimates of risk parameters by note or batch, The necessary adjustments to limit the impact of an economic downturn on their own funds.
Where estimates of default losses take into account the existence of security rights, the following requirements are met:
a) Institutions subject to the degree of The dependence between the risk of the debtor and the risk of the instrument constituting the security interest or the provider of protection. Where this level of dependence is significant, taxable establishments are subject to careful treatment;
b) In their estimates of losses in case of default, taxable establishments treated with caution in cases where the undertaking Underlying and the constituent instrument of the security interest are not denominated in the same currency;
(c) The loss estimates in the case of default are not solely based on the market value of the security instrument. These estimates take into account the potential cost of the time required to exercise security rights;
d) Subject institutions establish internal management rules and procedures Security rights, legal certainty and risk management arrangements that are broadly consistent with the requirements of Title IV.
Where a taxable institution applies the internal model method or the standard method for the counterparty risk referred to in Title VI, and takes into account the security interests in the Calculation of the risk-exposed value, the default loss estimates do not take into account the amounts expected to be recovered under these security rights.
When exposures are in default, taxable institutions take into account:
a) Their best estimate of expected losses (ELBE) for each Exposure given current economic conditions and exposure characteristics; and
b) Unexpected losses (unexpected loss, UL in English) that may occur during the recovery period.
Taxable institutions add outstanding risk and loss penalties when they are recorded in the result account.
For exhibitions on enterprises, institutions, central administrations and central banks, estimates of losses in case of default are based on data collected on a Minimum period of 5 years, at least for a data source, at the time when taxable establishments are authorised by the Banking Commission to use the advanced internal ratings approach. These histories increase by one year each year to cover a period of 7 years.
When the observation period available for a data source is longer than for other sources, the data source is retained subject to the Relevant data is relevant.
For retail customer exposures, the following requirements are met:
a) Default loss estimates can be based on realized losses and estimates Appropriate probability of default;
(b) Notwithstanding paragraphs (c) and (d) of section 133, taxable institutions shall take into account future draws either in their conversion factors or in their estimates of default losses ;
(c) For receivables purchased from retail customers, subject institutions may refer to internal and external data to estimate the default value of losses;
(d) Estimates of losses in case of default. Default is based on data collected over a minimum period of 5 years.
Notwithstanding Article 126-1, taxable establishments may not accord the same importance to all historical data, provided they demonstrate to The Banking Commission that the most recent data have better predictive power of loss rates.
Subject institutions may have data histories of at least two years at the time they are authorized by the Banking commission to use internal ratings approaches. These histories increase by one year each year to cover a 5-year period
Institutions that use their conversion factor estimates meet the following requirements:
a) Conversion factors are estimated by transaction note or batch, starting with the Average of expected conversion factors. This average, calculated for any transaction or batch note, is weighted by the number of defects observed in the different data sources;
b) Subject establishments use the estimates of conversion factors that Would apply in the event of an economic slowdown, if these estimates are more conservative than the average over the long period. To the extent that the values of the conversion factors per note or batch are expected to be relatively stable over time, subject institutions provide their estimates of risk parameters by note or batch Adjustments necessary to limit the impact of an economic downturn on their own funds;
(c) In their estimates of conversion factors, taxable institutions take into account the possibility of additional draws The debtor to the date of the default and after the default;
d) Where the taxable establishments can reasonably predict a stronger positive correlation between the frequency of the defect and the change in the Conversion, the estimation of the latter is particularly prudent;
e) The institutions subject to the specific policies adopted for the monitoring of accounts receivable and the monitoring of payments, thus Their policy of monitoring and managing new prints in the event of circumstances close to the defect, in particular in the event of violations of specific contractual conditions and other events considered to be technical defects;
(f) Suitable institutions shall establish appropriate procedures and systems to control lines of credit, outstanding amounts in relation to the lines granted and changes in outstanding amounts by debtor and note. They are able to track balances on a daily basis;
g) When using estimates of different conversion factors for the calculation of weighted exposure amounts and for their internal needs, institutions Document the reasons for this choice and demonstrate its consistency with the Banking Commission.
For exhibitions on enterprises, institutions, central administrations and central banks, estimates of conversion factors are based on data collected over a period of time. At least five years for a data source at a time when taxable institutions are authorised by the Banking Commission to use the advanced internal ratings approach. These histories increase by one year each year to cover a seven-year period. When the observation period available for a data source is longer than for other sources, the data source is retained provided that the corresponding data is relevant.
For retail customer exposures, estimates of conversion factors are based on data collected over a minimum period of five years. Notwithstanding paragraph (a) of section 133, taxable establishments may not accord the same importance to all historical data provided that they demonstrate to the Banking Commission that the most recent data have a better Predictive power of prints
Subject institutions may have data histories of at least two years at a time when they are authorized by the Banking Commission to use the internal ratings approach. These histories increase by one year every year to cover a period of 5 years.
For retail customer exhibits, notwithstanding paragraphs (c) and (d) of section 133, the subject institutions shall take into account future draws either in their conversion factors or in Their default loss estimates
For exhibitions on retail customers and for exhibitions on businesses, institutions, central governments and central banks when the taxable establishment uses its Estimates of default losses, the requirements of this subsection do not apply to personal security rights provided by institutions, central governments and central banks where the taxable establishment has been Authorized to apply the standard credit risk approach to exposures on these entities. In this case, the requirements referred to in Title IV shall apply.
In the case of personal security rights provided by retail customers, the requirements of this subsection apply to the marking of exposures or their assignment to a lot and to the estimate Default probabilities.
Subject institutions have clear and precise criteria defining the types of protection providers recognized for the calculation of weighted exposure amounts. Such protection providers shall be subject to the provisions referred to in Articles 102 to 108.
Personal security rights recognized by institutions using their loss estimates in the event of default meet the following requirements:
a) They are the subject of a written contract;
b) They do not Must not be allowed to be cancelled by the protection provider;
(c) They are valid as long as the credit obligation has not been fully implemented;
(d) They may actually be implemented in a jurisdiction where the Security provider has assets that can be seized by a court decision.
The Banking Commission may object to the consideration of a conditional guarantee.
Subject institutions demonstrate that the criteria Appropriate consideration of any reduction in risk reduction effects.
To take into account the impact of personal security in the calculation of weighted exposure amounts, taxable establishments have clear criteria for adjusting their notes, lots, or Estimates of losses in the event of default and to adjust their exposure rating or batch assignment processes for retail customer exposures and retail receivables. These criteria are consistent with the minimum requirements set out in sections 102 to 108 and take into account:
-the ability and willingness of the security provider to enforce security;
-the likely date of payment of the supplier of the Protection;
-the degree of correlation between the security provider's ability to perform the security and the debtor's ability to repay; and
-the degree of residual risk to the debtor.
The minimum requirements referred to in this subsection apply to credit derivatives with a single name. In the event of an asymmetry between the underlying commitment and the reference asset referred to in the credit derivative contract or between the underlying commitment and the asset used to determine whether a credit event occurred, the requirements referred to in Article 192-3 shall apply. In the case of retail customer exposures and receivables purchased from retail customers, this paragraph shall apply to the process of marking or assigning exposures by lot.
The criteria referred to in section 138 take into account the structure of the credit derivative payments and carefully assess its impact on the level and timing of recoveries. Taxable institutions take into account any other form of residual risk
The structure of the transaction ensures that, in all foreseeable circumstances, the taxable establishment owns the property and an effective right to any payment in Cash made in respect of purchased debt. In the event of direct payments by the debtor to a seller or a provider responsible for recovery, the taxable institution regularly verifies that the payments are made in full and in accordance with the contractual conditions. A collection provider is defined as an entity that manages, on a daily basis, a lot of purchased debt or the underlying credits. Regulated institutions have procedures in place to ensure that the ownership of the claims to be recovered and the cash flow is protected against any conservatory measure or legal action that may significantly delay the The ability of the lender to liquidate, assign the claims, or retain control of cash flow in cash.
Subject-matter institutions control the quality of the claims purchased and the financial position of the vendor and the recovery provider. In particular, the institutions subject to:
a) Assess the correlation between the quality of the claims purchased and the financial situation of the seller and the provider responsible for recovery and put in place procedures for Guard against this risk, including by awarding an internal rating to each seller and the provider responsible for the recovery;
b) Clear and effective procedures for determining the eligibility of the seller and the provider Responsible for recovery. The institutions subject to or their agent shall regularly monitor the vendors and the providers responsible for the recovery, in order to verify the accuracy of their reports, detect possible fraud or operational weaknesses and Monitor the quality of the vendor's credit policies and collection procedures for the collection provider. The subject institutions document the findings of these reviews;
(c) Assess the characteristics of the batches of receivables purchased, including excess advances, the history of the vendor's arrears, bad debts, and Provisions for doubtful accounts of the seller, the conditions of payment and any counterparty accounts;
(d) Dispose of effective procedures to control, on an aggregate basis, the concentration of risks on the same debtor, at the Within a given lot of purchased receivables and all of the lots;
e) Ensure that sufficient detailed reports are received from the claimant in charge of recovery over the life and dilution of the claims in a timely manner. Be able to monitor compliance with the eligibility criteria and the policies for issuing advances for the claims purchased, and to monitor and confirm the seller's conditions of sale and the dilution.
Establishments subject to effective systems and procedures:
a) To detect any deterioration in the vendor's financial position and the quality of claims as soon as possible Purchased and to deal with any new difficulties with due diligence, in particular to identify violations of the terms of the contract and enable them to initiate legal proceedings and manage the purchased receivables that raise Difficulties;
b) To control purchased receivables, credits and cash flow. These procedures shall specify all significant elements of the debt acquisition programme, including the financed shares, the eligible security rights, the necessary documentation, the concentration limits and the treatment applicable to the Cash flow entries. These factors take into account all relevant and significant factors, including the financial position of the seller and the provider responsible for the recovery, the concentrations of risk and the evolution of the quality of the claims as customers Of the seller. Internal systems ensure that funds are only advanced against presentation of security rights and related documentation.
Subject institutions are implementing an effective system to monitor compliance with internal policies and procedures. This includes:
a) Periodic inspections of all critical phases of the debt acquisition program;
b) Verification of segregation of duties between vendor and provider evaluation Collection and valuation of the debtor, and between the assessment of the seller and the provider responsible for the recovery and on-the-spot checks of the seller and the provider responsible for the recovery;
(c) An evaluation of the operations of the entities Post-market, in particular on the qualifications and experience of staff, on the level of staff and on the automated systems used
Subject institutions are establishing a reliable system to validate the accuracy and consistency of scoring systems, scoring procedures, and risk parameter estimates Relevant. They demonstrate to the Banking Commission that their internal validation framework enables them to assess, in a consistent and substantiated manner, the performance of their internal systems for scoring and estimating risk.
For this purpose, subject institutions use:
a) Ex post controls allowing them to regularly compare default rates to default probabilities estimates for each note. When these default rates are outside the expected range for a given note, they analyze the reasons for this discrepancy. Taxable institutions that use the advanced internal ratings approach perform a similar analysis for their loss estimates in the case of default and conversion factors. These comparisons are based on historical data for as long as possible. Subject institutions document the methods and data used and update their analyses and related documentation at least once a year;
b) Comparisons with relevant external data sources. This analysis is based on data adapted to the portfolio, updated regularly and covering a relevant observation period. Internal assessments of the performance of rating systems are based on as long a period as possible.
The methods and data used for quantitative validations are consistent over time. The reporting institutions document any changes to the methods and data, be it data sources or periods covered, used for estimates and validation.
Establishments subject to robust internal rules to account for situations where differences between default probabilities of default, default losses, Conversion and total losses and the estimates are sufficiently significant to question the validity of the estimates. These internal rules take into account business cycles and any other similar fluctuation in the observed default rates. When the realized values remain above the estimated values, the taxable establishments increase their estimates to account for the observed default and loss rates
Subject institutions meet the following requirements:
a) The estimate of potential losses is robust enough to cope with developments Adverse market conditions affecting the long-term risk profile of the various equity exposures of the reporting institution;
b) The data used to represent the yield distributions are derived from the most Long potential composed of relevant data to represent the risk profile on shares of the reporting institution. These data are sufficient to obtain estimates of conservative, statistically reliable and robust losses that are not based solely on subjective considerations;
c) Subject institutions demonstrate to the Commission Bank that the shock used provides a conservative estimate of potential losses on a long-term business or market cycle. Subject institutions associate, with an empirical analysis of available data, adjustments based on a set of factors to achieve sufficiently realistic and conservative results. When establishing risk value models (VaR) to estimate potential quarterly losses, taxable establishments may use quarterly data or convert shorter-horizon data into equivalents Quarterly by an appropriate analytical method, based on empirical evidence, on well-established and documented analysis and processes. This approach is applied in a prudent and consistent manner over time. When only a limited amount of relevant data is available, subject institutions add an appropriate margin of caution;
d) Internal models used take into account all significant risks to returns On shares, in particular the general market risk and the specific risk of the portfolio of shares of the taxable establishment. These models explain the historical variations in prices, the extent of potential concentrations and changes in their composition, and are robust enough to cope with adverse market conditions. The exposures taken into account for the estimates are very similar or at least comparable to the equity exposures of the reporting institution;
e) The internal model is tailored to the risk profile and complexity of the portfolio Of the taxable establishment. Where a taxable institution has significant shareholdings that are, by its nature, a highly non-linear profile, the internal model is designed to understand the risks associated with these instruments;
f) Correspondence between different positions with risk factors for substitution, stock market indices or risk factors is done in a clear and rigorous manner;
g) Subject institutions demonstrate, through analysis Empirical, the relevance of the risk factors they hold, including their ability to understand the general risk and the specific risk;
h) Estimates of the volatility of the performance of equity exposures take into account All relevant data, information and methods available. Independently reviewed internal data or data from external sources, including data shared with other institutions;
i) A rigorous and comprehensive crisis simulation program is being developed. Place
Subject institutions establish policies, procedures and controls to ensure the integrity of internal models and the modeling system that take into account the Minimum of the following:
a) Internal models are fully integrated into the information and management systems and the management of bank portfolio equity positions. Internal models are fully integrated with the risk management device of the reporting institution when they are particularly used for:
-measuring and evaluating the performance of the equity portfolio;
-allocating capital Economic at equity exposures;
-assess the overall adequacy of internal capital;
-assess investment management practices;
(b) Management systems, procedures and control functions are in place To ensure the independent review, at regular intervals, of all elements of the internal modeling process, including approval of model revisions, validation of input parameters and analysis of its results. This review evaluates the accuracy, completeness, and adequacy of the model's input parameters and results and aims in particular to detect and limit potential errors related to known weaknesses in the model and to identify any other Weakness. This review is carried out by an independent internal unit;
c) Responsive systems and procedures are in place for monitoring investment limits and equity exposure amounts;
d) Units loaded with The design and implementation of the model are functionally independent of those responsible for investment management;
e) Responsible officers are appropriately qualified for each aspect of the modeling system. A sufficiently qualified and qualified staff is assigned to the modeling service
Subject institutions are implementing a reliable system to validate the accuracy and consistency of their models and their modeling process in the The following conditions:
a) All significant elements of the internal models, modeling processes, and validation device are documented;
b) The validation device enables subject institutions to evaluate the Performance of internal models and their systems in a consistent and well-founded manner;
c) Quantitative validation is based on methods and data that are consistent over time. Subject institutions document any changes to the methods and data used for estimates and validation, whether they are data sources or periods covered;
d) Subject institutions compare On a regular basis the actual performance of their equity investments on the basis of realized and latent gains and losses, with their modelled estimates. These comparisons are based on historical data for as long as possible. The reporting institutions document the methods and data used. These analyses and documentation are updated at least once a year;
e) Subject institutions make use of comparisons with external data sources. This analysis is based on data adapted to the portfolio, updated regularly and which cover a relevant observation period. Internal assessments of model performance are based on as long as possible;
f) Subject institutions have robust internal rules to address situations in which performance is compared Of their equity investments and the estimates of their models question the validity of these estimates or their model. These internal rules take into account business cycles and any other similar fluctuation in equity investments. Any adjustments made to an internal model as a result of its revision are documented and must conform to the internal rules of the reporting institution for model follow-up;
g) Internal models and the modeling process do The purpose of documentation that specifically specifies the responsibility of the persons involved in the modeling, and the procedures for approving and tracking models
All significant aspects of the rating and estimation systems shall be approved by the executive body referred to in Article 4 of Regulation No 97-02, which shall have a general control over the rating systems of The reporting institution and a thorough understanding of the management reports linked to it.
The executive body shall be informed of any changes to established policies or derogations that will have a significant impact on the Operating the scoring system.
The executive body ensures that there is a good grasp of the design of the scoring system and its mode of operation, and the means used to ensure that it functions properly on an ongoing basis. Credit risk control units report on the performance of the scoring system, the areas to be improved, and the status of measures to address the deficiencies identified.
Analysis of the credit risk profile of the taxable establishment on the basis of internal credit rating systems is an essential element of the statements submitted to the executive body. These declarations contain at least the following information: the risk profile by note, the migration from one note to the other, the estimation of the relevant parameters by note and the comparison of the default rates, estimates of losses in case of Defect and conversion factors performed with the estimates and the results generated by the crisis simulations.
The frequency of the declarations depends on the importance, the type of information provided and the level Recipient's hierarchy
Subject institutions have credit risk control units that:
-are independent of individuals and units responsible for setting up or renewing lines of credit;
- Reports to the executive;
-is responsible for the design or selection, implementation, monitoring, and performance of the scoring system;
-regularly develops and analyzes results reports Products by rating systems.
The credit risk control unit is loaded:
a) Test and control notes and lots;
b) Develop and analyze syntheses about the operation of scoring systems;
c) Implement procedures to ensure that the definitions of notes and lots are applied consistently across different services and geographic locations;
d) Review and document any changes The scoring procedure, including the reasons for this change;
e) Review the scoring criteria to determine whether they retain their risk prediction capability. Changes to the scoring process, criteria, or other individual scoring parameters are documented and retained;
f) Actively participate in the design or selection of models, their implementation, and Validation;
g) Monitor and monitor models used in the scoring process;
h) Review and make continuous changes to the models used in the scoring process.
Subject to compliance with Article 37 (1) of Regulation No 97-02, taxable persons using shared data, as described in Article 123-2 may externalise the The following activities:
a) Production of relevant information to test and control notes and lots;
b) Production of syntheses on the operation of the scoring system;
c) Production of relevant information For tracking the scoring criteria to determine if they retain their full risk prediction capability;
d) Documentation of changes to the scoring process, criteria or other individual parameters of Notation;
e) The production of relevant information to review and make continuous changes to the models used in the scoring process
The periodic internal control unit or other similar independent internal unit shall review, at least once a year, the rating systems and their operation, and ensure compliance with the requirements Minimum of this title. This review includes the operation of credit decision procedures, including estimates of default probabilities, default losses, expected losses, and conversion factors
The provisions of this Title shall apply to taxable establishments, using the standard approach or the internal credit risk foundation approach, to take account of the effects of the Credit risk reduction techniques in the calculation of the weighted exposure amounts or, where applicable, the expected loss amounts as referred to in Section 2, Chapter III, of Title III.
For the purposes of this title, the following means:
(a) Lender establishment: the reporting institution exposed, whether or not the exposure in question corresponds to a loan agreement;
(b) Loan operation With a security right: any transaction that generates an exposure with a security interest and does not confer on the taxable person the right to frequently receive a margin;
(c) Market-adjusted operation: all A transaction giving rise to an exposure with a security right that confers on the taxable person the right to frequently receive a margin;
(d) Main index: a broadly diversified index consisting of sufficiently liquid values.
Subject institutions have risk analysis and risk measurement systems that enable them to control the risks associated with using credit risk reduction techniques.
Institutions, taking into account the effects of credit risk reduction techniques, continue to assess the credit risks associated with the underlying exposures. In the case of repo operations and loans or loans of securities or commodities, the underlying exposure shall mean the net amount of exposure for the purposes of this paragraph.
The application of the provisions of this Title shall not give rise to weighted exposure amounts, or, where appropriate, expected losses, higher than those calculated for an identical exposure which does not The purpose of no reduction in credit risk.
Where the weighted exposure amounts calculated in accordance with Titles II and III already take into account, where appropriate, the effects of credit risk reduction techniques, these effects shall not Shall not be taken into account again pursuant to this Title.
When a taxable institution, using the standard credit risk approach, has several credit risk reduction techniques for the same exposure, it splits the exposure into different Parts, each of which is the subject of only one of the above techniques. The amount of the weighted exposure of each share is then calculated separately, in accordance with the provisions of Title II and this Title.
The same method shall be applied when a credit protection is provided by the same supplier.
The provisions of Articles 185 and 195-1 to 195-4 specify the applicable treatment where the institutions subject to the Foundation's internal ratings approach have several techniques of Reduced credit risk for the same exposure
Regardless of the credit risk approach used and the terms and conditions for taking into account the credit risk reduction effects referred to in section 3 of this chapter, The following instruments are eligible as security subject to compliance with the minimum requirements of Section 2:
(a) Cash deposits which are the subject of a pledge or equivalent guarantee to the The lending institution;
(b) Debt instruments issued by central governments or central banks when they receive an external credit assessment corresponding to at least level 4 as referred to in Article 11. For the purposes of this paragraph, the debt instruments issued by central governments or central banks shall be assimilated to:
i) debt instruments issued by regional or local governments treated as Central administrations as referred to in Article 12;
(ii) debt instruments issued by the multilateral development banks referred to in Article 14 (b);
(iii) debt instruments issued by the European Community, The International Monetary Fund, the Bank for International Settlements; and
(iv) debt instruments issued by public sector entities where exposures to such entities have the same weight as that applicable to Central Authorities in accordance with Article 13;
(c) Debt securities issued by institutions where such securities benefit from an external credit assessment corresponding to at least level 3 as referred to in Article 16
Debt instruments issued by institutions may also be taken into account when they have no external credit assessment subject to compliance with the following provisions:
-debt securities are first and foremost Rated on a recognised market;
-any other issue of the same institution and of the same rank, benefiting from an external credit assessment shall have a credit evaluation at least at step 3 as referred to in Article 16;
- The lending institution does not have any information to consider that the issuance would justify a credit rating lower than that mentioned in the preceding paragraph;
-the debt instruments are
For the purposes of this paragraph, for the purposes of this paragraph, debt obligations issued by institutions:
i) debt instruments issued by regional or local governments other than those treated as Central governments;
(ii) debt instruments issued by public sector entities where exposures to such entities have the same weighting as that applicable to establishments in accordance with Article 13;
(iii) debt instruments issued by multilateral development banks other than those referred to in Article 14 (b);
d) Debt securities issued by other entities when they benefit from external credit assessment At least at step 3 as referred to in Article 17;
(e) Debt securities where they receive a short-term external credit assessment corresponding to at least level 3 as referred to in Article 17 (a) ;
f) Convertible shares or bonds included in a main index;
g) Gold.
Shares of collective investment undertakings are also eligible as security, subject to compliance with the minimum requirements of the Section 2, where they are the subject of a daily public rating and consist of the instruments referred to in this Article. Where the collective investment agency uses, or intends to use, derivative products to cover the constituent instruments, the latter remain eligible.
For the purposes of paragraphs b to e of the previous article, when there are two external credit ratings for a given title, the least favorable assessment
When there are more than two external credit ratings for a given title, the two most favourable ratings are taken in reference and the less favourable of both is retained.
The following instruments are also eligible as security, subject to compliance with the minimum requirements of Section 2, irrespective of the credit risk approach used and the terms and conditions of the Taking into account the credit risk reduction effects referred to in section 3 of this chapter:
(a) Cash deposits that are the subject of a pledge or equivalent security allotment to the lending institution To a third-party institution, other than a depositary institution;
(b) Life insurance contracts that are the subject of a pledge or equivalent security assignment with the lending institution;
(c) Instruments of Any nature issued by a third party and refundable upon request.
Where taxable institutions use the general method for taking into account the effects of financial security defined in Section 3 of this Chapter, the following instruments shall also be used Eligible as security subject to compliance with the minimum requirements of Section 2:
(a) Convertible shares and bonds not included in a main index, but listed on a recognized market;
(b) Units of organizations Collective investment where they are the subject of daily public valuation and consist of the instruments referred to in Articles 164-1 and subparagraph (a) of this Article. Where the collective investment agency uses, or intends to use, derivative products to cover instrument components, the latter remain eligible.
In addition to the instruments mentioned in the preceding articles, institutions subject to the internal ratings approach foundation of credit risk May use the instruments listed below as eligible security subject to compliance with the minimum requirements of Section 2.
Housing that is or will be occupied or leased by the owner, as well as real estate for professional use, may be eligible as security subject to compliance with the
a) The value of the real property does not depend substantially on the credit quality of the debtor;
b) The risk to the borrower does not depend substantially on the performance of the underlying property, but The ability of the borrower to repay the debt from other sources of income.
For the purposes of this section, the partners of the real property civil society are treated as the borrower when the real property civil society is Exclusively made up of natural persons not acting in a professional setting.
For exposures guaranteed by a dwelling, the Banking Commission may authorise establishments subject to derogation from the condition Referred to in subparagraph (b), where the real estate market is sufficiently developed and has sufficiently low rates of loss to justify this treatment.
For capital leases or leases to Financial character in respect of immovable property for professional use, the Banking Commission may authorise establishments subject to derogation from the condition referred to in subparagraph (b) where the rental-financing and leasing market Financial character on this type of property is sufficiently developed and presents rates of losses that meet the following conditions:
-the losses generated each year by lease contracts and leases to Financial nature of which the financial stock is less than or equal to 50 % of the market value or 60 % of the mortgage value of the underlying immovable property does not exceed 0.3 % of the total financial outstanding of the capital leases And financial leasing contracts;
-all losses generated each year by leasing contracts and financial leases do not exceed 0.5 % of the total financial stock of the Lease financing and financial leases.
If one of these two conditions is no longer met for a given year, the exemption will expire until they are met again.
Accounts receivable are eligible as security when they are in the form of a commercial transaction or an operation with an initial maturity of less than or equal to one year
Securitisation, sub-shareholdings, credit derivatives, or corresponding to amounts owing by an entity belonging to the same group as the taxable establishment are not eligible.
Physical security rights, other than those previously covered, are eligible subject to compliance with the following:
-there is a liquid market on which the property can be sold quickly and Effective from an economic perspective;
-there is a well-established and public market price for the property. The taxable establishment may show that the net amount received when the security was carried out does not deviate significantly from that market price.
When the minimum requirements of section 171 are met, lease-financing contracts or financial leases for which there is no Residual value at risk are treated as loans guaranteed by the financed property subject to the provisions of article 184-1
The instruments eligible as security referred to in Article 164-1 must meet the following minimum requirements:
(a) The credit quality of the debtor and the value of the instrument are not correlated Significantly positively. Debt securities issued by the debtor, or by any entity belonging to the same group, are not eligible.
Land obligations, or other resources benefiting from the privilege referred to in Article L. 515-13 of the Code Monetary and financial, issued by the debtor are eligible when they are received in pension and when the credit quality of the debtor and the value of those obligations or resources are not significantly correlated positively;
(b) Subject institutions shall take the necessary measures to ensure the effective implementation of the security rights in question, in particular by satisfying all applicable contractual obligations and regulations. They shall carry out a legal examination to ensure that such security rights can be effectively implemented in all the jurisdictions concerned. This examination shall be carried out as necessary;
(c) Security shall be duly documented and accompanied by a rigorous procedure authorising rapid recovery;
(d) In accordance with the provisions of Regulation No 97-02, the institutions subject to Implement procedures and control systems to control the risks associated with the use of security rights, including residual risk and risk of concentration;
e) Subject institutions have procedures, duly Documented, adapted to the different types and amounts of instruments used;
f) Taxable institutions determine the market value of the device, and reevaluate it accordingly, at least every six months, or more frequently If the institutions consider a significant deterioration in this market value;
(g) Where the instrument is retained by a third party, the taxable establishment shall take appropriate measures to ensure segregation of the assets Of this third party and the said instrument.
In addition to the conditions set out in the preceding article, where taxable institutions use the simple approach to take into account the effects of financial security described in section 3, the deadline Security residual shall be at least equal to the residual maturity of the exposure.
Eligible real property as a security right must meet the following minimum requirements:
(a) Property rights may be effectively implemented in all jurisdictions Concerned at the time of the conclusion of the loan agreement and, where appropriate, duly registered so that the privilege is fully established. The legal characteristics of such security rights enable the taxable person to realize the value of the protection within a reasonable period of time;
(b) The value of immovable property shall be subject to frequent inspection at least annually for the purposes of Real estate for professional use, at least once every three years for housing, or more frequently if there are significant variations in the market. Statistical methods can be used to control the value of assets and to identify those requiring a new assessment. The valuation of real estate must be reviewed by an independent expert if it appears that their value has fallen significantly from the general level of prices. For guaranteed loans of more than EUR 3 million, or representing more than 5 % of the capital of the taxable institution, the valuation of immovable property shall be reviewed by an independent expert at least every three years. For the purposes of this paragraph, an independent expert shall be defined as any person, independent of the decision-making process relating to the granting of credit, who possesses the qualifications, competence and experience necessary to carry out the Assessment;
(c) The classes of housing or real property for professional use used by the institution subject to security, as well as related credit procedures, are duly documented;
(d) Institutions subject to procedures enabling them to verify that the property eligible as a security right is adequately insured against damage.
Eligible claims as security referred to in Article 166-3 shall meet the following minimum requirements:
(a) The legal act establishing the security right is strong and effective, and clearly defines The rights of the lender to the proceeds of the debt;
(b) Subject institutions shall take the necessary measures to meet the local requirements for the implementation of the security. In the context of the applicable law in this case, the lender must benefit from a lien on all unsecured creditors;
c) Subject-matter institutions conduct a legal review to ensure that That security can be effectively implemented in all jurisdictions concerned;
(d) Security rights are duly documented and accompanied by rigorous procedures so that they can be rapidly implemented. These procedures shall, in particular, ensure compliance with any legal conditions relating to the declaration of the borrower's default and to the speedy realization of the security right. In the event of a default or financial difficulty of the borrower, the taxable institution must have the opportunity to transfer or transfer the receivables to third parties without the debtor's agreement;
e) Subject institutions have Adequate procedures for determining the credit risk associated with eligible claims as security. These include analyses of the sector and the activity of the borrower as well as its clientele. When the reporting institution relies on the borrower's analysis to assess client credit risk, it ensures the rigour and relevance of the credit policy implemented by the borrower;
f) Amount of exposure and the value of the claims shall take into account all relevant factors, including the cost of the enforcement of the security right, and the concentration of the claims in a lot of secured claims, or ceded as security, by the same Borrower. Subject-matter institutions shall take into account the risk of possible concentration, for all their exposures, including the claims referred to in this paragraph. They have an appropriate system to monitor these claims on an ongoing basis. Compliance with contractual terms, or any other legal requirement, is monitored on a regular basis;
g) Guarantees, or ceded as collateral, by a borrower are sufficiently diversified and are not excessively correlated with The latter. In the case of a significant positive correlation, taking into account the corresponding risks must lead to an increase in the amount of receivables necessary to reduce the credit risk considered;
(h) Accounts receivable on entities belonging to the Same group as the borrower, or the staff of those entities, are not eligible;
i) The reporting institution has a documented system to recover amounts due in the event of default or financial hardship of the borrower, including: Including the borrower.
The security rights eligible as security, other than those mentioned above, must meet the following minimum requirements:
(a) Security rights may be effectively implemented In all jurisdictions involved and permit the taxable person to realize the value of the property within a reasonable period of time;
(b) Except as otherwise related to the existence of priority claims as referred to in paragraph b of the Article Precedence, only first security rights and privileges can be recognized;
c) The value of the asset is frequently monitored at least annually, or more frequently if there are significant variations in the market;
(d) The loan agreement includes a detailed description of the security and the terms and frequency of reassessments;
e) The categories of physical security used by the reporting institution are specified in its procedures. These shall indicate the appropriate amount of each security category in relation to the amount of the exposure on which it relates;
(f) In respect of their credit procedures, the institutions subject to the Eligible as a security right with respect to:
-the amount of the exposure;
-the ability to achieve security;
-the ability to objectively set a price or market value of the property;
-the Frequency at which the value of the asset can be readily obtained, including by professional expertise or evaluation;
-the volatility of this value or an approximation thereof;
g) The initial assessment and re-evaluation of the Eligible as a security right take account of its deterioration or obsolescence;
h) Subject institutions have the right to control the eligible asset as a security right in the field and have procedures in place;
i) Taxable institutions have procedures in place to verify that the assets eligible for security are adequately insured against damage.
Capital leases or financial leases for which there is no residual value at risk can be processed As loans secured by the financed property where the following requirements are met:
(a) The provisions of sections 168 or 170 apply depending on the nature of the property being financed;
(b) The lending institution has a system of Rigorous risk management taking into account the conditions of use of the financed asset, its length of service and its intended duration of use and the procedures for controlling the value of the financed asset;
c) There is a strict legal framework Giving the lessor the legal ownership of the property and enabling it to exercise its rights quickly;
(d) Where it has not already been taken into account, where applicable, in calculating the level of loss in the event of default, the difference between the amount not Amortized and the market value of the property remains sufficiently low that the impact of credit risk reduction is not overestimated.
The collateral, or equivalent security assignments, of cash deposits, eligible as security referred to in paragraph a of Article 164-3, must meet the following requirements:
May actually be implemented in all the courts concerned;
-the third-party institution has been notified in order to be able to proceed in an exclusive manner to the payment of the lending institution or any other party with Agreement of the latter;
-they are irrevocable and unconditional.
The collateral, or equivalent security assignments, of life insurance contracts, eligible as a security interest referred to in paragraph b of Article 164-3, must meet the following requirements:
a) The entity in the insurance sector, within the meaning of Article L. 517-2-I of the monetary and financial code, responsible for the contract satisfies the conditions of eligibility referred to in Article 186. It must be notified of the pledge, or the assignment as security, and accordingly cannot pay the sums due under the contract without the agreement of the lending institution;
b) The purchase value fixed contractually cannot be Decreased;
(c) The lending institution has the right to cancel the insurance contract and to receive early redemption value in the event of default of the borrower;
(d) The lending institution shall be informed in the event of non-payment of the premium By the subscriber of the life insurance contract;
g) The nanti life insurance contract, or posted as security, is valid for the duration of the loan. Where this condition cannot be met, given the expiry of the life insurance contract before the term of the loan, the lending institution shall take the necessary measures to ensure that the sums due to the policyholder at the end of the contract Insurance until the expiry of the loan agreement;
(h) The pledge, or equivalent guarantee, may actually be implemented in all the courts concerned at the time of the conclusion of the agreement. Loan agreement
Cash, securities or commodities purchased, borrowed or received in the context of pensions or loans or loans of securities or commodities are treated as eligible instruments as Security
The simple method defined in the following articles for the consideration of the effects of financial security is applicable only to exposures processed in accordance with the standard approach to credit risk. Without prejudice to the provisions of Article 39-2, a taxable establishment shall not use both the simple method and the general approach defined in subsection 2.
Subject institutions attribute to eligible instruments as financial security a value equal to their market value as determined in accordance with The provisions of Article 167-1.
The weighting that would be applicable, using the standard credit risk approach, to a direct exposure on the eligible instrument as financial security is applied, by substitution, to the share The value exposed to the risk of the exposure with this security.
With the exception of the cases referred to in the following sections, the weighting applied to that part is at least 20 %. The weight of the non-security interest remains unchanged.
A weighting of 0 % is applied to the share of an exposure with a financial security when this exposure results from the repo transactions and loans or loans of securities that respect the Conditions set out in item 178-6. When the consideration for the transaction is not a primary market player as defined in that section, a weighting of 10 % is applied.
A weighting of 0 % shall be applied to the values exposed to risk resulting from operations on derivative instruments referred to in Annex II as determined in accordance with Title VI, which shall be subject to Daily revaluation at market prices, for the part accompanied by a security consisting of cash, or similar instruments, and where there is no currency asymmetry. A weighting of 10 % is applied to the values exposed to the risk of these transactions for the part with a security right consisting of debt instruments issued by central or central banks and benefiting from an assessment External credit corresponding to the first step as referred to in Article 11.
For the purposes of this Article, it shall be treated as debt instruments issued by central or central banks:
i) Debt issued by regional or local governments treated as central governments as referred to in Article 12;
(ii) debt instruments issued by the multilateral development banks referred to in subparagraph (b) Article 14;
(iii) debt instruments issued by the European Community, the International Monetary Fund and the Bank for International Settlements.
Subject to the exposure and the instrument of financial security in the same currency, a 0 % weighting is applied in the following cases:
-la Security is made in cash, or assimilated instruments; or
-security consists of debt instruments issued by central or central banks and benefiting from an external credit assessment corresponding to the The first step as defined in Article 11. In this case, a haircut of 20 % shall be applied to the market value of debt securities.
The debt instruments referred to in the second paragraph of the preceding Article shall also be treated as debt instruments issued by the central administrations and Central banks for the purposes of this Article.
The market value of a financial security instrument shall be corrected for volatility adjustments, in accordance with the provisions of this subsection, to take into account the volatility of Price.
Subject to the provisions of the following paragraph, where there is an asymmetry of currency between the exposure and the instrument of financial security, an adjustment taking into account the currency volatility is also Applied.
For transactions on OTC derivatives subject to a novation agreement or a compensation agreement recognised in accordance with Title VI, an adjustment shall be applied in the case of asymmetry between the currency of the The instrument and currency of the regulation. Where the transactions subject to the novation agreement or the compensation agreement are denominated in several different currencies, the taxable institutions shall apply only one volatility adjustment.
Subject institutions calculate the adjusted value of a financial security instrument for all their operations, except for those subject to a novation framework agreement or A compensation framework agreement for which the provisions of Chapter IV of this Title apply, as follows:
CVA = C x (1-HC-HFX)
where:
-CVA is the value of the security instrument Financial after volatility adjustment;
-HC is the volatility adjustment corresponding to the financial security instrument calculated in accordance with Articles 178-2 to 178-6;
-HFX is the volatility adjustment Corresponding to currency asymmetry calculated in accordance with Articles 178-2 to 178-6.
Subject institutions calculate the adjusted value of the exposure which takes into account the volatility of the security instrument and the Credit risk reduction effects as follows:
EVA = E x (1 + HE)
where:
-EVA is the adjusted value of the exposure;
-E is the exposure value;
-HE is the volatility adjustment applied to the value of Exposure and calculated in accordance with sections 178-2 to 178-6.
For transactions on OTC derivatives, EVA is equal to E.
Subject institutions calculate the value of the exposure fully adjusted Next:
E* = max 0, [EVA-CVAM]
where:
-E* is the fully adjusted exposure value that takes into account the volatility and credit risk reduction effects of financial security;
-CVAM is CVA taking into account, the Time asymmetry in accordance with Chapter V of this Title.
The above volatility adjustments can be calculated using the regulatory parameters approach defined in Article 178-3 or according to the internal estimates approach defined at Section 178-4.
The choice between one of these two approaches is independent of the credit risk approach used by the reporting institution. When subject institutions use the approach based on internal estimates, they cover all exposures, excluding non-significant portfolios for which the parameter-based approach
Where financial security is made up of several eligible instruments, the volatility adjustment is equal to the sum of the volatility adjustments of each weighted instrument to the extent of its proportion In the security.
As part of the regulatory parameter approach, in the case of daily revaluation, the adjustments defined in the following tables apply:
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The liquidation period is:
-20 working days for security lending operations;
-5 working days for pension transactions, except those involving the Transfer of basic goods or a right of ownership corresponding to these products;
-5 working days for loans or loans of securities or commodities;
-10 working days for all other transactions Adjusted to market conditions
For the purposes of this section, credit quality levels are those used in the standard approach to credit risk. The provisions of section 164-2 of Section 1 of Chapter II shall apply to this section.
For pension or loan transactions involving instruments not mentioned in the tables above or on Basic products, the volatility adjustment is identical to that applied to the shares, not forming part of a main index but listed on a recognised market.
For the shares of collective investment undertakings eligible as security Financial, the volatility adjustment is the weighted average of the volatility adjustments that would be applicable to the assets that make up the shares by holding the previously defined liquidation periods. Where the reporting institution is not aware of the assets forming the units, the volatility adjustment is the greater of the volatility adjustments that would apply to the assets that make up the fund.
For debt securities issued By an institution which does not benefit from any external credit assessment complying with the conditions set out in Article 164-1, the volatility adjustments shall be identical to those applicable to debt instruments issued by an institution or Undertaking whose external credit assessments correspond to levels 2 or 3 as referred to in Title II.
Subject to compliance with the criteria set out in this Article, taxable establishments may use their estimates to calculate the volatility adjustments applicable to exhibitions and Instruments of financial security.
Where eligible debt instruments as financial security benefit from an external credit assessment corresponding to at least step 3 (investment grade in English), the Taxable institutions may use internal estimates for each class of debt obligation.
Subject institutions determine each of these classes of debt instruments, taking into account their external evaluation of Credit, the nature of the issuers, their residual maturity and their modified duration. Internal volatility estimates are representative of the debt instruments included in each category.
For debt securities with an external credit rating lower than level 3 and for any other Instrument eligible as a recognized financial security, taxable institutions calculate volatility adjustments for each of these instruments.
Volatility adjustments are estimated without taking into account correlations between Non-security exposure, financial security instrument or exchange rate.
For the calculation of volatility adjustments, the following quantitative criteria must be met:
a) Level of confidence Unilateral requirement is 99 %;
b) The liquidation period is:
-20 working days for security lending operations;
-5 working days for pension transactions, with the exception of those involving Transfer of basic goods or a right of ownership corresponding to these products;
-5 working days for loans or loans of securities or commodities;
-10 working days for all other transactions Adjusted to market conditions;
(c) Taxable institutions may use volatility adjustments calculated on the basis of shorter or longer liquidation periods than those referred to in the preceding paragraph by applying the Formula:
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where:
-HM is the volatility adjustment retained by The reporting institution;
-TM, the liquidation period as determined in the preceding paragraph;
-TN, the period of liquidation retained by the taxable establishment to derive HN;
-HN, the volatility adjustment calculated on the Basis of the liquidation period TN;
(d) The institutions that are subject shall take into account the lack of liquidity of the bad-quality assets. The period of liquidation shall be adjusted upwards in the event of uncertainty on the liquidity of the financial security instrument. Taxable institutions identify cases where historical data may lead to an underestimation of potential volatility. These specific cases are subject to crisis simulation;
e) The historical observation period used for the calculation of volatility adjustments is at least one year. For taxable establishments using a weighting system, or any other method, to determine the historical observation period, the actual historical observation period must be at least one year with a time interval Weighted average between individual observations that cannot be less than 6 months. When volatility increases significantly, the Banking Commission may require that volatility adjustments be calculated using shorter observation periods;
f) The data sets used by the institutions Are updated at least once a quarter, or more frequently in the event of a significant increase in volatility. Subject institutions calculate volatility adjustments at least once every 3 months.
For the calculation of volatility adjustments, the following qualitative criteria must be met:
a) Estimates of Volatility are integrated into the daily risk management of the taxable establishment, including in terms of internal limits;
(b) Where the period of liquidation used by the reporting institution in the daily management of its Risk is greater than that determined in accordance with the provisions of this Section, the volatility adjustments shall be corrected using the formula defined in paragraph (c) above;
(c) The reporting establishment shall have procedures To verify and ensure the proper functioning of the system put in place to estimate the volatility adjustments and its integration into risk management. These procedures are duly documented;
d) The system put in place by the reporting institution to estimate volatility adjustments is subject to a regular independent review as part of the internal control process. Establishment. This review focuses on the system of estimating volatility adjustments as a whole and on its integration into the risk management system. It is performed at least once a year and covers at least:
-the integration of estimated volatility adjustments to the daily risk management;
-validation of any significant change in the estimation process Volatility adjustments;
-the consistency, accuracy, reliability and independence of the data sources used;
-the accuracy and relevance of the volatility assumptions.
The volatility adjustments referred to in Articles 178-3 and 178-4 are calculated on the basis of a daily revaluation. When revaluations are performed less than once a day, taxable institutions calculate increased volatility adjustments by applying the following formula:
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where:
-H is the increased volatility adjustment;
-HM, the volatility adjustment in the case of daily revaluation;
-NR, the Effective number of working days between two revaluations;
-TM, the liquidation period as determined in item 178-4.
Subject to compliance with the conditions set out in this Article, taxable establishments, using the regulatory parameters approach or the internal estimates approach for The calculation of volatility adjustments, may apply a 0 % volatility adjustment in the case of pension, loan or debt operations in lieu of adjustments calculated in accordance with the provisions of the Articles Previous. The provisions of this Article shall not apply to taxable persons using internal models in accordance with Chapter IV.
For the purposes of the treatment provided for in the preceding paragraph, the following conditions shall apply: Must be satisfied:
a) The exposure and financial security consist of cash or debt instruments issued by entities referred to in paragraph b of Article 164-1 and weighted to 0 % in accordance with Title II;
b) The exhibition and The instrument of financial security shall be denominated in the same currency;
(c) The maturity of the transaction shall not exceed one day, or the exposure and financial security shall be evaluated at the daily market price or are Subject to daily margin calls;
(d) The period between the last evaluation at the market price prior to an inability of the counterparty to honour a margin call and the liquidation of the security right shall not exceed four days Working;
e) The payment of the transaction is made using a settlement system adapted to this type of transaction;
f) The transaction is the subject of standard contract documentation relating to pension or loan transactions or Borrowings of the securities concerned;
g) This documentation provides for the immediate termination of the transaction where the counterparty is unable to meet its cash or securities payment obligations, Margin or other default situation;
h) The counterparty is a primary market player. For the purposes of this paragraph, the main market player shall be:
i) the entities referred to in paragraph b of Article 164-1 and weighted to 0 % in accordance with Title II;
ii) the establishments;
iii) the others Financial undertakings as defined in Article 1 of Regulation No 2000-03 and entities in the insurance sector within the meaning of Article L. 517-2-I of the Monetary and Financial Code, where the exhibitions on these Companies or entities are weighted at 20 % as part of the standard credit risk approach or, for taxable institutions using the internal credit risk foundation approach, when they have an internal rating Associated with a default probability of at least level 2 as referred to in section 17 for business exposures; and
iv) regulated collective investment organizations subject to funding requirements Own or leverage effect;
v) regulated pension funds; and
vi) recognised clearing houses.
Where the competent authorities of another Member State apply to pension and loan or loan operations Securities on debt instruments issued by their central or central banks a volatility adjustment of 0 %, taxable institutions may apply this treatment to their pension and loan operations or loans Securities relating to these same debt obligations.
For the calculation of their weighted exposure amounts, taxable institutions using the standard credit risk approach retain the value of the fully adjusted exposure (E*), such as As defined in sections 178-1 to 178-5, such as:
-the risk exposure value for balance sheet assets;
-the value to which the conversion factors for off-balance-sheet items are applied to determine the value exposed to the Risk.
Taxable institutions using the internal credit risk foundation approach retain as a default for the application of Title III the actual loss in the event of default (LGD*) calculated as follows:
LGD* = LGD x (E* /E)
where:
-LGD is the loss in the event of default that would be applicable to the exposure in the absence of credit risk reduction;
-E*, the value of the fully adjusted exposure as defined in sections 178-1 to 178-5;
-E, the value of exposure.
Where the conditions referred to in Article 172-1 are met, the collateral, or equivalent guarantee, of cash deposits to the lending institution to a third-party institution May be treated as personal security provided by the third party.
Where the conditions referred to in Article 172-2 are met, the collateral, or equivalent security assignments, of life insurance contracts may be treated as a personal security provided by The entity in the insurance sector that is the source of the contract. The value of credit protection is the commuted value of the life insurance contract.
Instruments of any kind issued by a third-party and refundable upon request referred to in Article 164-3 may be treated as personal security provided by the institution Issuer.
The value of the credit protection is:
-the face value of the instrument when it is refundable to that value;
-the value of the instrument determined in a manner similar to that of the debt obligations Paragraph (c) of Article 164-1, where it is repayable at market value.
In the case of security rights, the value of the security is the market value or the mortgage value of the reduced property, if any, to take account of the results of the control of the property referred to in Article 168
The property shall be evaluated by an independent expert at most of its market value or mortgage value.
For the purposes of this section, the term:
(a) Market value: For which the property should be exchanged at the valuation date under normal market conditions, that is, where each party to the exchange acts knowingly, in a prudent and unconstrained manner. The market value shall be determined in writing in a clear and transparent manner;
(b) Mortgage value: the value of the property as determined on the basis of a prudent assessment of the future market value of the property, its characteristics Long-term, normal and local market conditions, current use of the property and other uses that could be given to it. The mortgage value is determined in writing in a clear and transparent manner.
In the case of receivables, the value of security is the amount to be recovered from claims.
In the case of security rights, other than those mentioned above, the property is valued at its market value defined as the amount for which the property should be exchanged at the valuation date.
The calculation of the weighted exposure amounts and expected losses taking into account the effects of the security rights referred to in this section shall be carried out in accordance with the following
. Title III, taxable institutions using the internal credit risk foundation approach substituted for the loss in the event of default (LGD) the effective loss in the event of default (LGD*) calculated as follows:
-when the The value of the security (C) and the value of the exposure (E) is less than a minimum threshold (C*) as defined in the table below the institutions subject to the security exposure an effective loss in Default case (LGD*) equal to the default loss (LGD) defined in Title III for a similar non-security exposure;
-where the ratio of the value of the security (C) to the value of exposure (E) is greater than one The second threshold (C* *) as defined in the table below, the institutions subject, by substitution, to the exposure with the security of the effective loss in the event of default (LGD*) as defined in the following table at the place and Place of the loss in the event of default (LGD) defined in Title III;
-where this second threshold (C* *) is not reached for the whole of the exhibition, the institutions subject fractional said exposure on the one hand for which this second Threshold (C* *) is reached, and another part corresponding to the residual exposure.
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Until 31 December 2012, subject to the application of the above thresholds, taxable institutions retain the following default (LGD) losses:
-30 % for financing leases or financial leases Relating to immovable property for professional use, in the case of first-class exhibitions;
-35 % for capital leases or financial leases of movable property, when it is concerned First-class exhibitions;
-30 % for real estate loans for the acquisition or development of housing secured by a mortgage or a security of equivalent effect, in the case of first-class exhibitions.
For exhibitions, or any part of the exhibition, completely guaranteed by a dwelling the Banking Commission may authorise the institutions subject to apply, instead of the treatment provided for in the Previous articles, a weighting of 50 % at the value exposed to the risk, or the guaranteed share of the risk exposure, where the real estate market is sufficiently developed and presents rates of losses responding to the The following characteristics:
-the losses generated each year by exposures guaranteed by a dwelling whose stock is less than or equal to 50 % of the market value or 60 % of the mortgage value of the underlying real property More than 0.3 % of the total exposure of these exhibitions;
-all losses generated each year by exhibitions guaranteed by a dwelling do not exceed 0.5 % of the total outstanding exposure.
For contracts of Rental-financing and financial leasing contracts relating to immovable property for professional use, the Banking Commission may authorise the institutions subject to application, instead of the treatment provided for in the Previous articles, a weighting rate of 50 % at the value fraction exposed to the risk corresponding to the present value of the minimum payments under the contract when the lease-financing and character rental market Financial on this type of property is sufficiently developed and has loss rates that meet the following conditions:
-the losses generated each year by leasing contracts and character leases Financial outstanding amount of less than or equal to 50 % of the market value or 60 % of the mortgage value of the underlying immovable property shall not exceed 0.3 % of the total financial stock of the exhibitions in that market;
- All losses generated each year by leasing contracts and financial leases do not exceed 0.5 % of the total financial exposure of the exhibitions in that market.
If one of these two conditions Is no longer complied with for a given year, the derogation shall end until such time as the latter are met again.
Where the competent authorities of another Member State apply the treatments referred to in this Article to the exhibitions Secured by housing or lease-financing contracts and financial leases on real property for professional use, taxable persons may apply these treatments to exhibitions Guaranteed by a dwelling located in that State or to the financing leases and financial leases relating to immovable property for professional use situated in that State.
When an exhibition is accompanied by both financial security and other recognized security rights, the institutions subject to the internal credit risk foundation approach Replace, for the purposes of Title III, the loss in the event of default (LGD) the effective loss in the event of default (LGD*) as follows:
-first, the adjusted value of the exposure, referred to in Article 178-1, shall be divided into Different shares, each of which is accompanied by one of the aforementioned security rights. Taxable institutions split, where appropriate, the adjusted value of the exposure in one part with financial security, a share for which claims are recognized as security, a share with security rights, A share with other eligible security rights and a share that is not protected;
-second, the actual loss in the event of default (LGD*) is calculated for each of those shares in accordance with the provisions of the present Chapter.
Regardless of the credit risk approach used and subject to compliance with the minimum requirements referred to in Section 2, taxable establishments may recognize the following entities as follows: Protection providers:
a) Central governments or central banks;
b) Regional or local governments;
c) Multilateral development banks;
d) The European Community, the Monetary Fund International, the Bank for International Settlements;
e) Public sector entities when they are treated as central governments or as institutions in accordance with the provisions of Title II;
(f) Establishments;
g) Other businesses, including those belonging to the same group as the reporting institution, where the following conditions are met:
-these enterprises benefit from an external credit assessment At least at step 2 as referred to in Article 17;
-for taxable establishments using the internal credit risk foundation approach and in the absence of external credit assessment, these enterprises shall benefit An internal rating associated with a probability of default corresponding to at least level 2 as referred to in Article 17.
Financial institutions authorised and controlled by the competent authorities of another Member State responsible for The accreditation and control of credit institutions may be recognized as protection providers when they are subject to a prudential supervisory regime equivalent to that applied to taxable institutions.
When subject institutions use the internal credit risk foundation approach, the protection provider must benefit from an internal rating that meets the minimum requirements Chapter V of Title III.
For the application of the treatment of the double defect referred to in Article 48, the institutions, the entities in the insurance sector within the meaning of Article L. 517-2-I of the monetary and financial code, the Export credit agencies may be recognized as protection providers when the following requirements are met:
a) The provider of the protection has sufficient expertise to provide personal security And non-financed credit derivatives;
(b) The protection provider shall be subject to supervision equivalent to that exercised pursuant to this Order, or, as of the date on which the protection was set up, to be assessed External credit at least at step 3 as referred to in Title II;
(c) The protection provider shall benefit from an internal rating associated with a probability of default corresponding to at least level 3 as referred to in the title II.
Nevertheless, at the time of protection, the protection provider must have an internal rating associated with a probability of default corresponding to at least level 2 as referred to in Title II. Where, at the time of the establishment of the protection, the protection provider has an internal rating associated with a probability of default corresponding to step 3 as referred to in Title II, the protection shall become eligible only from The time the protection provider receives an internal rating associated with a default probability corresponding to step 2 as referred to in Title II.
For the purposes of this section, the protections provided by the organizations Export credit should not be subject to explicit countermeasures by a central government.
Regardless of the credit risk approach used, taxable institutions may recognize as credit risk reduction techniques default swaps (credit default Swaps, CDS in English), total return swaps (total return swaps, in English), credit linked notes (CLN in English), and instruments assimilated to these credit derivatives.
For Taxable persons who purchase protection in the form of a total return exchange contract (total return swap in English) and record net income as a net result, credit protection is not recognized when The deterioration in the value of the asset with protection does not result in a value adjustment.
When subject institutions use credit derivatives included in their trading portfolio to cover bank portfolio exposures, credit protection is recognized and taken In accordance with the provisions of this Title where the credit risk that has been transferred to the negotiating portfolio is transferred to one or more third parties
Personal security and credit derivatives referred to in section 1 must meet the following requirements:
a) Credit protection is direct;
b) The level of protection is clearly defined and Established in an irrefutable manner;
c) There are no clauses in the contract, without the lender being able to oppose it, and which:
i) would allow the protection provider unilaterally to cancel the protection;
ii) Increase the effective cost of protection as a result of a deterioration in the credit quality of the exposure;
(iii) could prevent the protection provider from meeting its obligation to pay as soon as possible when The initial consideration does not remit the amounts due;
(iv) could authorize the protection provider to reduce the amount due;
(d) The protection may be effectively implemented in all the courts concerned in the Moment of conclusion of the loan agreement.
Establishments subject to the use of systems to control the risk of concentration related to the use of personal security or credit derivatives. Taxable institutions must be able to demonstrate the interaction between their personal security and credit derivatives strategy and their risk profile.
When an exhibition has a personal security right itself contresed by a central administration or a central bank, by a regional administration Or an entity of the public sector treated as a central administration in accordance with the provisions of Title II, by a multilateral development bank referred to in Article 14 (b), it may be regarded as accompanied by Personal security provided by the aforementioned entities where the following conditions are met:
(a) The countermeasures cover the credit risk of the claim in its entirety;
(b) Personal security and countermeasures Satisfy the minimum requirements set out in Articles 190-1, 190-2 and 192-1, with the exception of the direct nature of the protection in the case of countermeasures;
(c) Protection is robust and data histories show that the Protection provided by the countermeasures is at least equivalent to that of a direct personal security provided by the same entity.
The treatment referred to in the preceding paragraph shall apply to countermeasures by entities other than Those referred to above, where the countermeasure itself is the subject of a direct guarantee provided by one of the aforementioned entities.
In addition to the requirements referred to in Articles 190-1 and 190-2, recognised personal security rights must satisfy the following requirements:
(a) In the event of default or non-payment of the consideration, The creditor institution has the right to sue the protection provider as soon as possible so that the supplier pays the sums due in respect of the debt. The payment by the protection provider is not conditional on an obligation on the lender to continue the borrower first. In the case of personal security rights relating to real estate loans for the acquisition or development of a dwelling, the requirements set out in subparagraph (iii) of Article 190 (1) and those referred to in this paragraph Must be satisfied only within an appropriate and reasonable time frame;
(b) Security is the subject of an act explicitly documented and accepted by the security provider;
(c) Security covers all types of payment To the borrower in respect of the debt. When certain types of payments are not covered, the value of the security is adjusted to reflect the limited nature of the protection.
In the case of security rights obtained in the framework of mutual guarantee schemes, or supplied or contresed by the entities referred to in Article 191, the requirements set out in paragraph a of the Article Is considered satisfied when one of the following conditions is met:
(a) The lending institution shall have the right to receive from the protection provider, as soon as possible, a provisional payment representing a A rigorous estimate of economic loss, including losses resulting from the non-payment of interest or any other amount owed by the borrower, and likely to be borne by the lender in proportion to the level of Protection provided;
(b) The lending institution may demonstrate that the effects of security, including the coverage of losses resulting from the non-payment of any amount owing by the borrower, justifies this treatment.
In addition to the requirements referred to in Articles 190-1 and 190-2, recognized credit derivatives shall meet the following requirements:
(a) Subject to the provisions of paragraph b, the events of Credit includes at least the following cases:
i) non-payment of amounts owing under the underlying commitment then in effect. The regulations made under protection shall occur no later than after the expiry of a period of grace of a duration similar to or less than that provided for in the contract of the underlying commitment;
(ii) the bankruptcy of the debtor, his Insolvency, inability to settle debts or meet payment deadlines or other similar events, or the recognition in writing of such incapacity;
(iii) the restructuring of the underlying commitment involving The abandonment or postponement of the principal, interest or commissions and an adjustment of value or other assimilated debit to the profit or loss account;
(b) Where the restructuring of the underlying commitment is not considered to be A credit event, the value of the protection shall be adjusted in accordance with the provisions of Article 194;
(c) Where the credit derivatives permit a cash settlement, the institutions subject to valuation shall have an evaluation system Robust to reliably estimate losses. A period is clearly defined to assess the underlying commitment subsequent to the credit event;
(d) Where the settlement presupposes the right or ability of the buyer of protection to transfer the underlying commitment to the seller of Protection, the terms of the contract of the underlying commitment provide that any consent required for such a transfer cannot be reasonably refused;
e) The parties to determine whether a credit event has occurred are Clearly identified. This determination cannot be made solely by the seller of protection. The buyer of protection has the right or ability to inform the seller of the protection of such an event.
Where there is an asymmetry between the underlying commitment and the reference asset, or between the underlying commitment and the asset Used to determine whether a credit event occurred, the following conditions must be met:
a) The reference asset or asset used to determine whether a credit event occurred is equal to or less than The underlying commitment;
b) The reference asset or asset used to determine whether a credit event occurred, relates to the same debtor, that is to say on the same legal entity, as the underlying commitment. In this case, cross-flaw or cross-acceleration clauses can actually be implemented.
Personal security and credit derivatives taken into account in the processing of the double defect referred to in section 48 satisfy the following requirements:
a) The underlying commitment is:
-an exhibition Falling within the category of undertakings within the meaning of Article 40-1, excluding exposures to entities in the insurance sector within the meaning of Article L. 517-2-I of the monetary and financial code; or
-an exhibition on a Regional or local administration or a public sector entity that is not treated as an exhibition on central government or central banks as referred to in sections 40-1 to 40-6; or
-an exhibition on a small (b) The debtor under the underlying commitment does not belong to the same group as the provider of the protection;
(c) The exhibition is accompanied by one of the following collateral or credit derivatives:
-unfunded credit derivatives or personal security rights on a single name;
-default credit derivatives for baskets Of assets. In this case, the processing applies to the asset that, within the basket, has the lowest weighted exposure amount;
-default credit derivatives for asset baskets. In this case, the protection obtained shall be eligible only on the condition that protection eligible for the (n-1) th defect has already been obtained or that there has already been a default on (n-1) assets of the basket considered. When these conditions are met, the treatment is applied to the asset which, within the basket, has the lowest weighted exposure amount;
d) The protection complies with the requirements set out in Articles 190-1, 190-2, 192-1 and 192-3 ;
e) The effect of the protection is not already taken into account in the weighting of the exposure prior to the application of the treatment of the double defect;
(f) The taxable establishment benefiting from the protection is not subject to an obligation Prior to continuing the consideration for receiving the regulations for protection. Wherever possible, taxable institutions will take the necessary steps to ensure that the provider of protection will quickly run in the event of a credit event;
g) Purchased protection absorbs all losses Arising from one of the credit events provided for in the contract for the part of the exhibition with protection;
(h) For contracts providing for a physical regulation, the institutions subject to the contract shall ensure the legal certainty of the Regulation. When a taxable institution intends to deliver an asset other than the underlying asset, it ensures that the asset to be delivered is sufficiently liquid to be acquired for delivery in accordance with the terms of the contract;
i) Terms and conditions The contract establishing the protection shall be legally confirmed in writing by the provider of the protection and by the taxable person benefiting from it;
j) The institutions subject to the protection shall Identifying any undue correlation between the credit quality of the protection provider and the debtor of the exposure with the protection, due to the dependence of their financial situation on common factors other than The general or sectoral economic situation;
(k) In the case of protection against dilution risk, the seller of receivables purchased must not belong to the same group as the protection provider
Credit linked notes (CLN) issued by a lending institution are treated as real securities in cash.
Personal security and non-financed credit derivatives are evaluated in accordance with the following provisions:
(a) The value of protection is the amount that the protection provider has committed to Pay in the event of default, non-payment by the borrower, or any other credit event under the contract;
(b) In the case of credit derivatives for which the restructuring of the underlying commitment is not considered to be A credit event involving the abandonment or deferral of the principal, interest or commissions, resulting in a loss event, such as an adjustment of value or any other deemed debit to the result account, the Establishments subject to the following provisions:
-where the seller of protection has committed to pay an amount less than or equal to the value of the exposure, the value of the protection as defined in paragraph a is reduced 40 %;
-where the seller of protection has committed to pay more than the value of the exposure, the value of the protection may not exceed 60 % of the value of the exposure;
(c) Where personal security and Non-funded credit derivatives are denominated in a currency different from that of the protected exhibits, the institutions subject to the value of the protection a volatility adjustment calculated as follows :
G* = G x (1-HFX)
where:
-G is the nominal amount of protection;
-G*, G adjusted to account for currency asymmetry;
-HFX, volatility adjustment for currency asymmetry.
In the absence of asymmetry of Currency, G* is equal to G.
The above volatility adjustments can be calculated using the regulatory parameters approach or according to the internal estimates approach as defined in Section 3 of Section 3 of the Chapter II.
The calculation of the weighted exposure amounts and, where applicable, the expected losses taking into account the effects of personal security and non-financed credit derivatives shall be carried out in accordance with the Provisions below.
Where a taxable person transfers a share of the credit risk into one or more slices, the provisions of Title V shall apply. Where there are materiality thresholds below which a credit event does not trigger payment for coverage, taxable establishments hold positions of first loss.
Institutions subject to the standard credit risk approach take into account the effects of personal security or non-funded credit derivatives in accordance with the following provisions :
(a) Where an exposure is accompanied by an unfunded personal security or credit derivative, the institutions subject to the exposure shall apply, by substitution, the weighting that would be applicable to the Direct exposure to the protection provider as part of the standard approach to credit risk.
To determine the scope of coverage, taxable institutions retain the nominal amount of protection adjusted to hold Account for currency asymmetry in accordance with the provisions of Article 194 and the asymmetry of maturities in accordance with Chapter V of this Title;
(b) Where an exhibition is partially accompanied by a personal security or derivative Of non-financed credit, and where the non-protective units are identical in seniority, the taxable institutions shall calculate the weighted exposure amount for the application of Title II as follows :
(E-GA) x r + GA x g
where:
-E is the exposure value;
-GA, the nominal amount of protection adjusted to account for currency asymmetry in accordance with the provisions of Article 194 and the maturity asymmetry In accordance with Chapter V of this Title;
-r, the weighting applicable to exposures on the debtor as part of the standard approach to credit risk;
-g, the weighting applicable to the provider of protection in the context of The standard approach to credit risk.
The treatment set out in Article 11 (d) and (e) shall apply to exhibitions or parts of exhibitions with a personal security or credit derivative provided by central administrations Or central banks and denominated in the currency of the borrower, when the exposure is financed in that currency.
For the application of the provisions of Sections 2 and 3 of Chapter IV of Title III, taxable establishments using the internal credit risk foundation approach take into account the effects of the Non-financed personal security or credit derivatives in accordance with the following provisions:
(a) Where an exhibition is accompanied, in whole or in part, by an unfunded personal security or credit derivative, Subject institutions retain, by substitution, the likelihood of failure of the protection provider for the portion of the exposure that is the subject of the protection. When subject institutions consider this substitution to be inappropriate, they retain a probability of default between that applicable to the borrower and that applicable to the provider of protection;
(b) In the case Subordinated exposures with a personal security or non-subordinate credit derivative, institutions subject to the internal credit risk foundation approach retain the loss in the event of default that would be Applicable to first-place exposures;
(c) Where an exposure is partially accompanied by an unfunded personal security or credit derivative, the institutions subject to the exhibition shall retain for the part of the exhibition The object of no protection the probability of default of the borrower and the loss in the event of default associated with the underlying exposure;
(d) In determining the scope of coverage, taxable institutions retain the nominal amount of the Adjusted protection to account for currency asymmetry in accordance with the provisions of Article 194 and the maturity asymmetry (GA) in accordance with Chapter V of this Title;
(e) Notwithstanding paragraph a, establishments Subject to substitution the weighting of the protection provider when the latter is subject to the standard approach to credit risk.
When taxable institutions are granted credit protection for a basket of exposures in the form of credit derivatives in the first default, the following treatment applies: Calculation of the weighted exposure amount and, where applicable, expected losses, for exposure within the basket which, in the absence of protection, would be associated with the lowest weighted exposure amount under Titles II or III According to the approach chosen, may be modified in accordance with the provisions of this Chapter only where the value of the exposure is less than or equal to the value of the protection
Protection of credit for a basket of exposures in the form of credit derivatives in the nth default, the effects of protection may be treated in accordance with the provisions of the preceding paragraph in the calculation of exposure amounts Weighted and, where applicable, expected losses when the establishment benefits from a default of 1 to n-1, or where n-1 defects have already been recognized
Subject to compliance with the minimum requirements referred to in Section 2, the clearing of balance sheet transactions concluded by the taxable establishment with the same counterparty shall be recognised as a technical Reduction of credit risk.
Without prejudice to the provisions of the following article, such recognition shall be limited to loans and deposits with the lending institution of the same counterparty.
Subject to compliance with the minimum requirements referred to in Section 2, where taxable institutions use the general method for taking into account the effects of security rights defined in the Section 3 of Chapter II, bilateral de novation agreements or bilateral netting agreements, concluded with the same counterparty and relating to the operations of pensions, loans or loans of securities or commodities, or others Operations adjusted to market conditions are recognized as credit risk reduction techniques. Without prejudice to the provisions of Chapter V of Title VII, the debt obligations or basic products covered by the abovementioned operations are those set out in Articles 164-1 and 165
Compensation for balance sheet operations recognized as a credit risk reduction technique must meet the following requirements:
-the compensation agreement can be effectively implemented In all jurisdictions involved, including in the event of the insolvency or bankruptcy of the counterparty;
-the taxable establishment is able to determine at any time the assets and liabilities that are the subject of the agreement Compensation;
-the taxable establishment assesses and controls the risks associated with the end of the credit protection;
-the reporting institution follows and controls the exposures on a net basis.
Framework agreements de novation or compensation framework agreements covering the operations of pensions, loans or loans of securities or commodities, or other transactions adjusted to the conditions of Market, recognised as a credit risk reduction technique must meet the following requirements:
-they can be effectively implemented in all jurisdictions involved, including in the event of insolvency or bankruptcy The counterparty;
-they confer on the non-defaulting party the right to denounce and unsettle as soon as possible the transactions covered by the agreement or the agreement in the event of default, including in the event of insolvency or Failure of the counterparty;
-they authorize the clearing of gains and losses on transactions in the agreement or in the agreement so that a single net balance owing by one of the parties may be In
to the above requirements, the requirements referred to in Article 167-1 for the recognition of financial rights must be met
Loans and deposits with the lending institution of the same counterparty that are offset by balance-sheet transactions are treated as instruments of real security in Species.
To take into account the effects of novation framework agreements or compensation framework agreements for the operations of pensions, loans or loans of securities or commodities, or others Adjusted to market conditions, taxable establishments calculate the value of the exposure fully adjusted in accordance with the following provisions by using for the calculation of volatility adjustments the approach based on Regulatory parameters or the approach based on the internal estimates referred to in Section 2 of Chapter II. Where subject institutions use the in-house estimate approach, the conditions and requirements set out in section 178-4 must be met.
Taxable institutions first determine:
a) A net position by category of debt securities or by types of commodities subject to a Same framework agreement de novation or the same compensation framework agreement. This net position is calculated by subtracting from the total value of the debt or basic goods lent, sold or supplied in the same class, the total value of the debt obligations or commodities borrowed, purchased or received from that class
For the purposes of this paragraph, a class of debt obligation means those issued by the same entity, with the same date of issue, the same maturity, the same period of liquidation as referred to in section 3 of Chapter II And subject to the same contractual arrangements;
(b) A net position by currency other than the currency of settlement provided for in the framework agreement de novation or the compensation framework agreement. This net position is calculated by subtracting from the total value of the securities lent, sold or supplied, denominated in the same currency, and to which the amount of cash borrowed or received is added, the total value of the securities borrowed, purchased Or received in the same currency.
Subject institutions apply in the second place:
(a) The absolute value of the long or short net position for each class of debt securities, or of cash positions, the adjustment of Appropriate volatility for this category;
(b) The long or short net position for each currency, other than the settlement currency provided for in the framework agreement or the compensation framework agreement, the volatility adjustment for Appropriate currency asymmetry.
The subject institutions calculate the value of the fully adjusted exposure, taking into account the effects of the novation framework agreement or the compensation framework agreement, as follows:
E* = max 0, [(E)-(C)) + (net position of each category of title x Hsec) + (Efx x Hfx)]
where:
-E* is the value of the fully adjusted exposure;
-E, the value of the exposure before consideration of the effects of the reduction Credit risk for each exposure subject to the agreement or agreement; and
-C, the value of debt securities or commodities borrowed, purchased or received, or borrowed or received, as part of the transactions Subject to the agreement or convention;
- (E), the sum of the values of the exposures (E);
- (C), the sum of the values of the debt instruments, commodities or species (C);
-Efx, the net position, long or short, in a Currency other than the settlement currency provided for by the agreement or convention;
-Hsec, the appropriate volatility adjustment for a given category of debt securities;
-Hfx, volatility adjustment for currency asymmetry.
In place of the application of Articles 202-1 to 202-4 above and irrespective of the approach to the credit risk adopted, the Banking Commission may authorise establishments subject to the use of Internal models for:
a) Take into account the effects of compensation or de novation mechanisms relating to the operations of pensions, loans or loans of securities or commodities, or other transactions adjusted to the conditions of Market, where these models take into account the correlations between the positions on debt securities subject to the novation agreement or the compensation agreement, as well as the liquidity of the instruments concerned. These models are used to estimate the potential variation in the value of exposure amounts that are not protected (E-C);
b) Margin lending operations when these transactions are the subject of a bilateral framework agreement. Novation or bilateral compensation framework agreement respecting the requirements referred to in Title VI.
Authorized institutions authorized to use an internal model for the calculation of capital requirements for risk Market pursuant to Title VII may use an internal model for the application of this Article. The Banking Committee may object to the use of such a model.
Internal models shall cover all counterparties and instruments, excluding non-significant portfolios for which the approach referred to in Articles 201 and 202-1 to 202-4 may be Used.
For the use of internal models, taxable institutions must have a risk management system for operations covered by either novation framework agreements or framework agreements. Compensation based on sound principles and implemented in an integrated manner. In particular, the following qualitative criteria are met:
a) The internal model used to calculate the potential volatility of transaction prices is closely integrated into the daily risk management of the institution Reporting, and is used in the development of internal reports;
b) Subject institutions have a risk control unit responsible for the configuration and operation of the risk management system. This unit is independent of bargaining units and reports to the executive body. This unit prepares daily reports on the results produced by the model as well as an evaluation of the use of negotiation limits;
c) Daily reports prepared by the independent risk control unit are reviewed By a sufficiently high level of authority to require a reduction in the positions taken and a decrease in the overall risk exposure;
(d) The risk control unit shall include a sufficient number of Experienced model collaborators;
e) Subject institutions have a program to verify compliance with internal rules and procedures related to the overall operation of the risk measurement system. These rules and procedures are properly documented;
f) Models have demonstrated that they measure risks with reasonable accuracy. This is demonstrated on the basis of an ex-post control of their results based on at least one year of data;
g) Regulated institutions regularly conduct a rigorous programme of crisis simulations. The results of these tests are reviewed and taken into account in the boundary device;
h) An independent analysis of the risk measurement system is carried out as part of the institution's periodic internal control process. It covers both the activities of the bargaining units and the activities of the independent risk control unit;
i) The analysis of the risk control system is conducted at least once a year;
j) Internal models Satisfy the requirements set out in paragraphs b and c of Article 290 and Article 291.
For the calculation of potential value variations, the following quantitative criteria are met:
-potential changes in value are calculated at least daily;
-the level of Unilateral confidence required is 99 %;
-a liquidation period of 5 working days is applied for transactions other than securities, loans or loans of securities for which a liquidation period 10 working days is retained;
-the observation period (historical sample) for the calculation of the potential variation is at least one year, except where a shorter period is warranted due to a significant increase in Volatility;
-institutions update their data sets at least once every three months.
The risk measurement system integrates a sufficient number of risk factors to address all price risks
The reporting institutions may take into account the empirical correlations within a risk category, or between risk categories, provided that the correlation measurement system is reliable and Work with integrity.
The value of the fully adjusted exposure, taking into account the effects of the novation framework agreement or the compensation framework agreement, is calculated as follows:
E* = max 0, [(E-C) + (VaR of the Model)]
where:
-E* is the fully adjusted exposure value;
-E, the exposure value for each exposure that is the subject of the agreement or convention;
-C, the value of debt securities or commodities Borrowed, purchased or received, or borrowed or received, as part of the transactions subject to the agreement or convention;
- (E), the sum of the values of the exposures (E);
- (C), the sum of the securities of the Debt, commodity or currency (C).
Subject institutions use the potential value of the previous working day as estimated by the internal model for the calculation of weighted exposure amounts.
For the purposes of Titles II and III, taxable establishments retain the fully adjusted exposure value (E*), as defined in the previous sections, such as the risk exposure Exposures resulting from transactions subject to either a novation framework agreement or a compensation framework agreement
For the calculation of the weighted exposure amounts, a maturity asymmetry exists when the residual maturity of a credit protection is less than that of the exposure with the Protection. When the remaining term of protection is less than three months and when there is an asymmetry of maturity, protection is not recognized.
In the case of maturity asymmetry, credit protection is not recognized when its Initial maturity is less than one year or when the exposure with protection is a short-term exposure for which the duration (M) must be at least one day in accordance with the provisions of section 89-2.
The effective expiry date of the exposure with protection is the longest remaining term possible before the debtor has to discharge its obligations. This is a maximum of 5 years. Subject to the following paragraph, the term of a credit protection shall be the remaining term up to the earliest date on which the protection may terminate or be terminated.
Where the protection provider has the opportunity to terminate Protection, the term of protection is the remaining term up to the earliest date on which this option can be exercised. Where the taxable person has the possibility of unilaterally giving up protection, the term of protection shall be the remaining term up to the earliest date on which that option can be exercised when the provisions Protection contract includes an incentive for the taxable establishment to exercise its option before the term of the contract. Otherwise, this option does not affect the expiry of the protection.
Where the protection provided by a credit derivative is likely to terminate before the expiry of a grace period granted for a defect on the The underlying commitment resulting from a default of payment, the term of protection shall be reduced by the duration of this grace period.
Taxable institutions using the simple method to take into account the effects of financial security cannot recognize these security rights when there is an asymmetry of maturity.
When subject institutions use the general method to take into account the effects of financial security, the maturity asymmetry is taken into account in the adjusted value of the instruments These security interests are as follows:
CVAM = CVA x (t-t *)/(T-t *)
where:
-CVA is the value of the financial security instrument after adjusting for volatility as referred to in section 3 of Chapter II, Or the amount of the exposure when it is lower;
-t, the number of years remaining until the due date of the credit protection as defined in section 206, or the value of T as defined below when it is Less;
-T, the number of years remaining until the expiry date of the exposure as defined in section 206, or 5 years when T is greater than 5 years;
-t * is equal to 0.25.
Subject Establishments retain CVAM for The calculation of the value of the fully adjusted exposure (E*) in accordance with the provisions of Subsection 2 of Section 2 of Chapter II.
In the case of unfunded personal security or credit derivatives, the maturity asymmetry is taken into account in the adjusted value of the credit protection as follows:
GA = G* x (t - T *)/(T-t *)
where:
-G* is the nominal amount of protection adjusted to account for currency asymmetry;
-GA, G* adjusted to account for maturity asymmetry;
-t, the number of years remaining until the date The term of the credit protection as defined in Article 206, or the value of T as defined below when it is lower;
-T, the number of years remaining until the due date of the exposure as defined in Section 206, or 5 years when T is greater than 5 years;
-t * is equal to 0.25.
Subject institutions retain the value of credit protection for the purposes of sections 194 and 195-1 to 195-4.
For the purposes of this title, the following means:
a) Classical securitization: a securitization involving the economic transfer of securitized exposures to an ad hoc entity that issues securities. The operation or the assembly involves the transfer of ownership of the exhibitions securitized by the original taxable person or via a sub-participation. The securities issued do not represent payment obligations for the original taxable person;
(b) Synthetic securitization: a securitization where the transfer of credit risk is effected by the use of credit derivatives or Guarantees and where the portfolio of exhibitions is kept on the balance sheet of the original taxable person;
(c) Slice: a fraction of the credit risk established contractually that is associated with an exhibition or a certain number Of exhibitions. Each fraction has a credit risk that is specific to it given the rank of subordination, regardless of the credit protection directly obtained from third parties;
d) Originator:
-an entity that, by itself or by The intermediary of related entities, has taken part directly or indirectly in the original agreement giving rise to the obligations of the debtor or the potential debtor, including the conditional obligations, which give rise to the transaction or the Securitization assembly;
-an entity that securitizes exposures purchased from a third party on its balance sheet;
e) Sponsor: a taxable establishment, other than an original taxable establishment, that establishes and manages a program of Asset backed commercial paper (assets backed commercial paper) or any other securitization transaction or arrangement in which it purchases third party exposures;
f) Credit enhancement: a contractual arrangement Improving the credit quality of a securitisation position, which may take the form of tranches more subordinated to securitisation or other types of credit protection;
(g) Ad hoc securitisation entity: an entity, other than an entity A taxable establishment whose purpose is to house one or more securitizations and whose activities are limited to the attainment of that objective. The structure of this entity is intended to isolate its obligations from those of the original taxable establishment. Investors of this entity may nantir or exchange their unrestricted shares;
h) Net margin (excess spread, in English): amounts of financial products and any other remuneration received in respect of securitized exposures, net Costs and expenses;
i) Early retirement option: a contractual option that allows an originator institution to redeem or terminate securitization positions before all underlying exposures are reimbursed, Where the stock of the latter is below a specified level;
j) Liquidity line: the securitisation position resulting from a financing contract to ensure the punctuality of payment flows to investors;
k) KIRB: 8 % of the sum:
-the amounts of the weighted securitized exposures as calculated in accordance with the provisions of Title III in the absence of securitization; and
-expected losses associated with these exposures;
(l) Asset-backed commercial paper program: a securitization program that predominantly emits securities in the form of commercial paper with an initial maturity of less than or equal to one year ;
m) Credit protection financed: security rights and securities linked to credit linked notes (CLN in English) or assimilated;
n) Unfinanced credit protection: personal security and credit derivatives, With the exception of credit linked notes (CLN in English) or similar.
The weighted exposure amount on a securitisation position shall be calculated by applying the weighting determined according to the provisions of this heading to the risk of that heading. Title.
When a taxable institution uses the standard credit risk approach referred to in Title II for the category to which the securitized exposures belong, the amount of the weighted exposures of the Securitisation positions shall be calculated in accordance with the provisions of Chapter III.
Where a taxable institution uses the internal credit risk rating approaches referred to in Title III, the amount of the weighted exposures of the Securitisation positions shall be calculated in accordance with Chapter IV.
When transferring a significant credit risk under the terms of Chapter II, an original taxable person:
(a) In the case of conventional securitization, excludes securitized exposures from the Calculation of the amounts of its weighted exposure and, where applicable, the amounts of the expected losses;
(b) In the case of a synthetic securitisation, calculate the amounts of the weighted exposure and, where applicable, the relative expected losses Securitized exposures;
(c) Calculate the weighted exposure amounts for the positions held in the securitization.
When no significant credit risk is transferred, an original reporting institution does not calculate Not the weighted exposure amounts for the headings it holds in the securitisation but applies the provisions of Titles II and III.
An original taxable institution, which calculates its weighted exposure amounts, in accordance with the provisions of the preceding article, or a taxable establishment Sponsor should not provide support, beyond its contractual obligations, with the objective of reducing potential or actual losses of investors.
If not, for a given securitization, the institutions Subject to the capital requirements that would apply to securitized exposures in the absence of securitization. Taxable institutions shall make public any support beyond their contractual obligations and the impact of this support on their capital requirements.
In the case of an exhibition on different slices of a securitisation, the exposure on each slice is considered to be a separate securitisation position. Taxable institutions that provide credit protection on securitization positions are considered to hold such positions.
Where a taxable establishment has two or more overlapping securitisation positions, the position or fraction of the overlapping position shall be included in the Calculation of the weighted exposure amounts using the highest weighting applicable to the said headings. The overlapping positions must, in whole or in part, represent an exposure on the same risk so that the part of the overlapping positions is only one exposure.
The risk exposure of a securitization position is determined as follows:
(a) Where a taxable establishment uses the standard approach referred to in Chapter III, the risk exposure is Book value when it is a balance sheet asset;
(b) Where a taxable institution calculates the weighted exposure amounts in accordance with the approach based on the internal ratings referred to in Chapter IV, the value exposed to the risk A balance sheet asset is its carrying value out of value adjustments and excluding unrealised gains which are not taken into account in the profit and regulatory capital account. Unrealised gains or losses shall not be taken into account in calculating the risk of hedged items;
(c) Notwithstanding section 216, the risk exposure of a securitisation position which constitutes an element outside the Balance sheet shall be equal to its nominal value multiplied by a conversion factor of 100 % unless otherwise provided for in this Title;
(d) The risk of a securitisation position resulting from a secondary instrument referred to in Annex II is Determined in accordance with Title VI;
e) When a securitisation position is the subject of financed credit protection, the value exposed to the risk may be adjusted in the conditions of Title IV
A typical taxable securitization originator may exclude securitized exposures from the calculation of the weighted exposure amounts and, where applicable, expected losses when a share Significant credit risk associated with securitized exposures has been transferred to third parties and the transfer meets the following requirements:
a) The documentation of the securitization reflects the economic substance of the assembly or The transaction;
b) The institution has written and reasoned legal opinions to consider that:
-the securitized exposures are effectively transferred to the securitization ad hoc entity;
-the underlying claims are not May be used by the originator institution and its creditors;
-if a collective procedure is opened against the institution, the assets of the ad hoc securitisation entity are beyond the debtor's assets;
(c) The securities issued do not constitute payment obligations for the original taxable person;
d) The consignee of the transfer is an ad hoc securitization entity;
e) The originating institution does not retain any Effective or indirect control over transferred exposures. An originator institution shall retain effective control over the exposures transferred when it has the right to redeem the exposures to the recipient of the transfer for the purpose of producing the product or when it retains the obligation to resume the transfer. Transferred risk. The fact that the originator institution retains the rights or obligations relating solely to administrative management and the management of the recovery of the transferred claims does not in itself constitute indirect control;
f) Where there is an option Early withdrawal, the following requirements must be met:
-the option may be exercised at the initiative of the original taxable establishment;
-the option can be exercised only when 10 % of the initial value of the Securitized exposures remain to be repaid;
-the option is not structured to avoid charging losses on credit enhancement positions or other positions held by investors, or to provide any other form Credit enhancement;
g) The documentation for the securitization operation or mount does not contain any clauses that:
-apart from early repayment terms, require that the risks associated with securitization positions be Reduced by the original taxable establishment, in particular by substitution of the underlying exposures or by an increase in the premium payable to investors in response to a deterioration in the credit quality of the exhibitions Securitized;
-in case of deterioration in the credit quality of the underlying portfolio, increase the premium payable to holders of securitization positions.
A taxable person who is the originator of a synthetic securitisation calculates the amounts of the weighted exposure and, where applicable, the expected losses relating to the Exposures securitized in accordance with the provisions of Section 2, where a significant portion of the credit risk associated with securitized exposures has been transferred to third parties through funded or unfunded credit protection and Transfer satisfies the following requirements:
a) The documentation of the securitization reflects the economic substance of the assembly or operation;
b) Credit protection used to transfer the credit risk is eligible in accordance with The provisions of Title IV and satisfies the requirements of that Title. Ad hoc entities are not eligible as an unfunded credit protection provider;
c) The instruments used to transfer credit risk are not covered by any contractual clauses that:
-set thresholds Significant under which credit protection is deemed not to be triggered by a credit event;
-allows the end of protection in case of deterioration of the credit quality of the underlying exposures;
-outside Early repayment terms, requires that the risks associated with securitization positions be reduced by the original taxable person; and
-increases in the event of a deterioration in the credit quality of the underlying portfolio Credit protection for the original taxable person or the premium payable to holders of securitisation positions;
(d) A written and reasoned legal opinion confirms that credit protection may be effectively Work in all jurisdictions involved;
e) Where an early retirement option exists, the requirements referred to in paragraph f of the preceding section apply
Where the requirements referred to in Section 1 are met, the originating establishment of a synthetic securitization shall use, for the entire portfolio of securitized exposures, the methods of Calculation referred to in Chapter IV instead of the provisions of Titles II and III.
For institutions subject to the internal credit risk rating approaches, the expected loss on securitized exposures is equal to
Subject to the provisions of Article 221, the original taxable establishment shall calculate the amounts of the weighted exposures corresponding to all the instalments in accordance with the provisions of Chapter IV, including the provisions Regarding the consideration of credit risk reduction techniques.
The maturity asymmetries between the credit protection through which the bracket structure is operated and the securitized exposures are taken into account in accordance with the following provisions:
a) The maturity of the securitized exposures is that of the longest-term exposure. The latter cannot be more than five years. The term of credit risk protection shall be determined in accordance with the provisions of Title IV;
(b) An originating institution shall not take into account the processing of maturity asymmetries in the calculation of the amounts of the Weighted exposures for slices with a weight of 1 250 %;
(c) For slices that are not weighted at 1,250 %, the maturity asymmetries are processed according to the following formula:
RW* = [RW (SP) x (t-t *)/(T-t *)] + [RW (Ass) x (T-t)/(T-t *)]
where:
-RW* is the weighted exposure amount for the calculation of capital requirements for credit and dilution risk;
-RW (Ass), the amount of exposure Weighted as it would have been calculated, on a proportional basis, in the absence of securitization;
-RW (SP), the weighted exposure amount as calculated under section 220 in the absence of maturity asymmetry ;
-T, the number of years remaining until the due date of the exposure;
-t, the number of years remaining until the due date of the credit protection;
-t * is 0.25
Subject to the provisions of Section 2, the amount of the weighted exposure of a securitisation position benefiting from an external credit assessment shall be calculated by applying to the risk exposure value The following weights:
a) For positions other than those benefiting from a short-term external credit assessment:
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b) For positions with a short-term external credit rating.
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Subject to the provisions of Section 3, the amount of the weighted exposure of a securitisation position that does not benefit from an external credit assessment shall be calculated by applying to the risk exposure a weighting of 1 250 %.
When a securitisation position has credit protection, the credit risk reduction effects shall be taken into account in accordance with Title IV.
In accordance with the provisions of Article 6 bis of Regulation No 90-02, taxable establishments may deduct the risk of a weighted securitisation position at 1,250 % of their funds Instead of including the said heading in the calculation of the amounts of the weighted exposure. The calculation of the risk exposure shall take into account the effects of the eligible financed credit protection under the conditions of Title IV.
For the purposes of Section 2, an amount equal to 12.5 times the amount deducted shall be deducted from the amount Maximum exposure-weighted exposure
Weighted exposure amounts of securitization positions of originators or sponsors may be limited to amounts that would have been calculated in the absence of securitization under Reserve for the application of a weighting of 150 % to all securitized exposures subject to payment arrears or high risk within the meaning of Article 23
Subject to the fact that they are aware, at any time, of the composition of the securitized exposure portfolio, taxable establishments may apply the weighted average of the weights that would have been Applied in accordance with the provisions of Title II to the securitized exposures multiplied by a concentration ratio. This concentration ratio is equal to the ratio of the sum of the nominal amounts of all the tranches of the securitisation and the sum of the nominal amounts of the ranges below or equal to that of the tranche in which the position considered Shall be held, including the said tranche. The weighting resulting from this calculation cannot be lower than the weighting applicable to a higher ranking group benefiting from an external credit assessment. This weighting cannot exceed 1 250 %.
When they cannot determine the weights that would be applicable to the securitized exposures, the taxable establishments apply a weighting of 1,250 % to the securitization position.
Subject to the provisions of Section 5, taxable establishments shall apply to securitisation positions a weighting of 100 % or the maximum weighting that would be applied to the securitized exposures In accordance with the provisions of Title II by an establishment holding such exposures where it is greater than 100 %.
For the purposes of this treatment, the securitisation positions shall comply with the following conditions:
(a) They deal with a slice that is economically " Second loss " Or on a more favourable tranche of securitisation, knowing that the " First loss " Must provide a significant credit enhancement to the " Second loss " ;
(b) They receive credit quality at least at step 3 (investment grade, in English);
(c) They are held by a credit institution that has no position in the tranche of " First loss ".
The risk exposure value of a liquidity line is equal to its assigned nominal amount of the following conversion factors:
(a) 20 % when the liquidity line has an initial duration Less than or equal to 1 year;
b) 50 % in other cases, subject to the following conditions:
-the documentation for the specified liquidity line and clearly delineate where it can be used;
-the Liquidity line cannot be used to cover losses already incurred at the time of the draw, in particular to finance default exposures or acquire assets at a price higher than their fair value;
-the liquidity line should not Provide permanent or regular financing for the assembly or operation of securitisation;
-repayment of the line drawn must not be subject to the rights of investors other than those resulting from derivative contracts Of interest or currency, commissions or other remuneration, and does not qualify for a waiver or deferral;
-the line of liquidity cannot be drawn after all credit enhancements are exhausted. May benefit;
-the liquidity line provides for an automatic reduction in the amount available for the amount of the default exposures within the meaning of Article 118-1 or permits the revocation of the line where the average quality of the Portfolio composed of securitized exposures benefiting from external credit assessment becomes less than level 3 credit quality (investment grade, in English).
The weighting applied to liquidity lines is the highest of the Weightings applicable in accordance with the provisions of Title II to exhibitions securitized by a taxable person holding such exhibitions.
The risk exposure of a liquidity line that can be used only in case of market disruption is equal to its nominal amount assigned to a conversion factor of 0 %, when the Conditions referred to in the preceding Article are met.
A market disturbance is a situation where several ad hoc entities covering different transactions are unable to refinance commercial paper arriving at And that this incapacity is not the result of a deterioration in the credit quality of the said entities or of the securitised exhibitions.
The value exposed to the risk of an unconditional revocable liquidity line in the form of a cash advance is equal to its assigned nominal amount of a conversion factor of 0 %, subject to reserve That the conditions referred to in Article 228 are met and that the refund of the line drawn is higher than any other right in the cash flow generated by the securitized exposures
When assigning renewable exposures as part of a securitization with an early repayment clause, taxable institutions calculate a weighted exposure amount Additional for the sum of the interests of the originator institution and the interests of investors.
When both revolving and non-renewable exposures are securitized, the institutions subject to Originators apply the treatment of this section only to the portion of the portfolio of underlying assets consisting of renewable exposures.
The interest of the originator is defined as the risk exposure Corresponding to the notional portion of the portfolio of outstanding amounts transferred in the framework of securitisation, the percentage of which in relation to the total amount assigned determines the proportion of cash flows generated by the recovery of the principal, of Interest and other associated amounts that cannot be used to honour payments owed to holders of positions in securitization. The interests of the originator should not be subordinated to the interests of investors.
The interest of investors is defined as the risk exposure to the balance of the notional portion of the stock portfolio The
for which the stock of customers can fluctuate according to their borrowing and repayment decisions within a contractual limit fixed with the reporting institution, and by Early repayment term, a contractual clause imposing, in the event of defined events, the repayment of investors' positions before the original agreed maturity of the securities issued
The originator credit institution associated with the interest rights of the originator establishment is not considered to be a securitization position, but as a proportional exposure to the securitized exhibits in the absence of Securitization.
Subject institutions are not subject to an additional capital requirement when they are originators of the following securitization (s):
(a) Renewable exposure securitization in Which investors are exposed to all future draws of borrowers, so that the risk corresponding to the underlying exposures never returns to the original taxable person, including after the Triggering an early repayment clause;
b) securitizations where early repayment is triggered only by events that are not related to the performance of the securitized assets or the taxable establishment Originator, such as a significant change in tax legislation or regulation.
The amount of the additional weighted exposure is equal to the amount of investor interest multiplied by the product of the appropriate conversion factors listed below and the weighted average by the Exposure to the risk of the underlying assets of the weights that would apply to the securitized exposures in the absence of securitization.
When securitization has an early repayment clause of retail customer exposures that are unconfirmed and revocable unconditionally at any time and without notice, and Early redemption is triggered by the shift from the net margin below a specified threshold, the taxable institutions compare the three-month average net margin level with the level of net margin from which it is retained in Securitization.
When the securitization does not provide a retention clause for the net margin, the retention threshold is 4.5 percentage points higher than the net margin level that triggers the early repayment.
Applicable conversion are determined on the basis of the three-month average net margin level, as shown in the table below:
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A prepayment clause is considered to be controlled when the following conditions are met:
a) The originating institution has a program in place to enable it to Ensure a sufficient level of capital and liquidity in the event of early repayment;
(b) For the duration of the transaction, payments for interest, principal, expenses, losses and recoveries are allocated to the In proportion to the interests of the original establishment and the interests of investors, on the basis of the credit balances of the original establishment at one or more reference points each month;
(c) The repayment period is Sufficient to ensure that 90 % of the total debts due in respect of the interests of the original establishment and the interests of investors at the beginning of the early repayment period are refunded or recognised in default;
d) The rhythm of the Refunds shall not be faster than that resulting from a straight-line depreciation over the period referred to in the preceding paragraph.
In the above table, the following shall mean:
-level A: a net margin level of less than 133.33 % of the Retention threshold and greater than or equal to 100 % of the said threshold;
-level B: a net margin level of less than 100 % of the retention threshold and 75 % of that threshold;
-level C: a net margin level of less than 75 % of the Retention threshold and greater than or equal to 50 % of that threshold;
-level D: a net margin level of less than 50 % of the retention threshold and greater than or equal to 25 % of the threshold;
-level E: a net margin level of less than 25 % of the threshold
Where securitization includes an early repayment clause of unconfirmed and unconfirmed retail customer exhibits at any time and without notice, and early repayment is triggered By reference to a quantitative threshold other than the average net margin over three months, the Banking Commission may apply a different treatment to determine the conversion factor. This treatment must be close to the one referred to in the preceding Article.
The Banking Commission shall consult the competent authorities of all other Member States of the European Union and shall take account of the views expressed. The views expressed during this consultation and the treatment adopted are made public by the Banking Commission.
The conversion factor for other securitization transactions or montages with a controlled clause for early repayment of renewable exposures is 90 %.
The conversion factor is 100 % for other securitizations with an unchecked clause for early repayment of renewable exposures.
The sum of the weighted exposure amounts for positions in the interests of investors and the additional weighted exposure amount referred to in Article 230 shall not exceed the highest of The following two amounts:
-the weighted exposure amount for the investor interest positions; or
-the weighted exposure amount, as calculated by a reporting institution holding the Exhibitions in the absence of securitization, for an amount equal to the interests of investors.
The deduction of any net gains arising from the capitalization of the future income of securitized assets and which constitute the securitisation position credit enhancement referred to in Article 2 of the Regulation N ° 90-02, shall be treated irrespective of the maximum amount of the capital requirement referred to in the preceding Article
Subject-based institutions use:
a) The rating method referred to in Section 3 for positions with external credit rating or for which an implied rating May be used;
(b) The method of the prescribed form referred to in Section 4 for positions that do not have an external credit assessment, unless the internal evaluation approach is permitted under the conditions set out in the Subsection 3.
A taxable establishment other than a parent or sponsor establishment may apply the method of the prescribed form only after the authorization of the Banking Commission.
Originating or sponsoring institutions that are not able to calculate KIRB and who have not been allowed to use the internal evaluation approach for their positions in programs of Asset-backed commercial paper, as well as non-licensed establishments that have not been authorized to use the regulatory formula method or, for their positions in asset-backed commercial paper programs, the approach Internal evaluation, apply a weighting of 1,250 % to securitisation positions that do not benefit from external credit assessment and for which implicit notation cannot be used
Subject institutions attribute to a securitization position that does not have an external credit rating an implied notation equivalent to that of the reference positions. Reference positions shall be understood to be the positions benefiting from an external credit assessment which have the highest rank among the positions totally subordinated to the position not benefiting from external credit assessment. For the purposes of this treatment, taxable establishments must meet the following minimum requirements:
a) Reference positions are completely subordinate to the securitisation tranche that does not benefit from an evaluation External credit;
(b) The maturity of the reference positions is equal to or longer than the maturity of the position without external credit assessment;
(c) Any implied notation must be permanently updated, of To take account of changes in the credit assessment of reference positions
Subject to the authorisation of the Banking Commission, a taxable institution may award a derived rating to a position which does not benefit from an external credit assessment in a programme of Asset-backed commercial paper where the following conditions are met:
a) Positions on commercial paper issued under the program benefit from external credit assessment;
b) Taxable settlements Demonstrate to the Banking Commission that their method of internal evaluation of the credit quality of the position considered is also reliable, from the point of view of the objectives of prudential supervision, that the methodology implemented for the The rating of securities backed up to exhibitions of the same type as exhibitions securitized by one or more external credit assessment bodies recognised by the Banking Commission. This methodology shall be publicly accessible;
(c) External credit assessment bodies whose scoring methodology is referred to in the preceding paragraph shall include those bodies which have provided an external credit assessment of the Commercial paper issued under the program. Quantitative elements such as the crisis simulation parameters used in the allocation of a given credit quality to a securitisation position are at least as cautious as those used by the external agency methodology Credit assessment;
d) When developing their internal evaluation methodology, institutions subject to appropriate rating methodologies made public by recognized external credit assessment bodies By the Banking Commission, which assesses the commercial paper of the asset-backed commercial paper program. This analysis is documented and updated on a regular basis;
e) The internal evaluation methodology of subject institutions includes notes that are properly documented with external credit assessments ;
f) Subject institutions use the internal evaluation methodology in their risk management system, including in the decision-making process, in management reports and in the internal capital allocation system ;
g) The internal evaluation system and the quality of internal assessments of the positions held by the institution subject to an asset-backed commercial paper program are subject to periodic review by the institution Subject. This review may be conducted by external credit scoring organizations;
h) To assess their internal evaluation methodology, subject institutions observe the performance of their internal ratings over time. They make the necessary adjustments, when the performance of the exposures regularly deviates from the performance of the internal ratings;
i) The asset-backed commercial paper program includes the form of commitment procedures. Guidelines on credit and investment. When deciding on an asset purchase, the program administrator takes into account the type of asset, the type of exposure, and the value of exposures resulting from the provision of liquidity lines and credit enhancement. Losses, as well as legal and economic separation between the transferred assets and the entity that sells them. A credit analysis of the asset vendor's risk profile is performed. It includes, in particular, an analysis of past and forecast financial performance, competitive position in the market, future competitiveness, the debt ratio, cash flows, the interest-to-money ratio, and the Rating of issued titles. A review of the seller's commitment criteria, capacity and recovery procedures is carried out;
j) The commitment criteria for the asset-backed commercial paper program set minimum eligibility criteria for the Assets, which, in particular:
-exclude the acquisition of assets that have significant payment arrears or are in default;
-limit the concentration of risks on the same or the same geographical area;
-delineated the nature and duration of assets to be acquired;
k) The asset-backed commercial paper program establishes collection procedures that take into account the operational capability and credit quality of the organization Responsible for administrative management and recovery management. The programme must reduce the risks to this body and the assignor by different means, in particular by setting thresholds based on the quality of credit, to prevent any risk of confusion of funds (comingling In English);
l) The aggregate estimate of losses on a portfolio of assets for which the asset-backed commercial paper program envisages the acquisition takes into account all sources of potential risk, including credit risk and The risk of dilution. Where the credit enhancement provided by the transferor is sized solely on the basis of credit losses, a separate reserve is created for the dilution risk, where the dilution risk is significant for the exposure portfolio Considered;
m) To assess the level of enhancement required, historical series over several years including losses, late payment, dilutions and the rate of turnover of the receivables are reviewed;
n) The paper program Asset-backed business includes structural elements, such as recharging stop thresholds, for the acquisition of exposures, in order to reduce the risk of deterioration in the credit quality of the underlying portfolio.
La Banking Commission may authorise an establishment subject to derogation from the public access requirements referred to in subparagraph (d) above where there is not yet a publicly accessible evaluation method due to the specific characteristics of the Securitization such as the uniqueness of the structure.
Establishments subject to the non-external credit rating position shall assign one of the notes referred to in the foregoing Article. A derived rating equivalent to the credit ratings corresponding to the said mark shall be attributed to that position. When this derived notation corresponds, at the start of securitisation, to a credit quality level greater than or equal to 3 (investment grade in English), it is treated as an external credit assessment for the calculation of amounts Weighted exposures
The weighted exposure amounts for a securitization position of a parent or sponsor taxable establishment, or any other reporting institution that can calculate KIRB, are Limited to the sum of the amounts that would have been calculated for the underlying exposures in the absence of securitization and expected losses related to the exposures
The weighted exposure amount of a securitisation position benefiting from an external credit assessment shall be calculated by applying the following weighting to the risk exposure value according to the Transfer decision of the Banking Commission and multiplying the result obtained by 1.06. This multiplicative factor is not applied to positions weighted at 1 250 %.
Positions not benefiting from an assessment External
of short-term credit
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Evaluation Positions External
of short-term credit
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Subject institutions apply the weights in column A of the above tables when the position is in the portion of the securitization that has The highest rank. To this end, taxable institutions may not take into account amounts due in respect of derivative contracts on interest rates or on currencies, commissions, or similar payments.
Subject establishments may apply a 6 % weighting to a position having a rank of subordination in all respects beyond the other headings of a securitisation, and in particular to a position which Would receive a weighting of 7 % provided that:
(a) The Banking Commission does not object to this weighting given the absorption capacity of the losses by the lower ranking positions of securitisation;
(b) The Position benefits from an external credit rating associated with the credit quality level 1 in the tables above. Where the position does not benefit from an external credit assessment and the requirements referred to in subparagraphs (a) and (c) of Article 238 are satisfied, the reference positions shall be the positions of the subordinate group to which a Weighting of 7 %.
Subject establishments shall apply the weights referred to in column C of the tables referred to in Article 242-1 where the heading relates to a securitisation in which the number of exposures securitized is Less than 6. To this end, all exhibitions on the same debtor are treated as one and the same exhibition. The actual number of exposures is calculated as follows:
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where EADi is The sum of the values exposed to the risk of all exposures on the Tth Debtor.
In the event of securitization of securitization positions, the reporting institution takes into account the number of securitization positions in its portfolio, not the Number of underlying exposures to the original portfolio of securitized exposures. Where the taxable establishment is aware of the share of the portfolio associated with the largest exposure, C1, the reporting institution may calculate the actual number of exposures, N, as 1/C1.
Subject institutions apply the weights in column B of the tables referred to in item 242-1 to all other headings.
The effects of credit risk reduction techniques on securitisation positions are taken into account in accordance with the provisions of Articles 247 and 248.
Subject to the provisions of paragraph c of Article 246, the weighting applicable to a securitisation position shall be 7 % or the weighting determined in accordance with the following formula when the latter Is higher:
12.5 x (S [L + T] - S [L]) /T
where:
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and:
t = 1 000,
= 20.
-Beta [x; a, b] is the value of the distribution function beta at point x, parameterized by a and b;
-T is the thickness of the slice in which the position is held that is equal to the ratio of the amount Of the said range and the sum of the values exposed to the risk of the securitized exposures. The risk exposure of a derived instrument referred to in Annex II shall be equal to the future potential credit risk calculated in accordance with Title VI, where the current replacement cost is not a positive value;
-KIRBR is equal to the report Between KIRB and the sum of the values exposed to the risk of securitized exposures. KIRBR is expressed in decimal form;
-L is the level of credit enhancement. It is equal to the ratio of the nominal amount of all subordinate units to the slice in which the position is held and the sum of the values exposed to the risk of the securitized exposures. Future capitalized profits shall not be included in the calculation of L. The amounts due by the counterparties of derivative instruments referred to in Annex II which represent ranges below the relevant tranche may be measured on the Base of the current replacement cost, excluding future potential risk;
-N is the effective number of securitized exposures, calculated in accordance with the provisions of Article 242-4;
-ELGD is the weighted average value of losses in case of default Securitized exposures, calculated as follows:
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where:
-LGDi is the loss In the case of an average defect in the set of exposures of the i-th debtor;
-EADi, the sum of the values exposed to the risk of all exposures on the i-th debtor.
The loss in the event of default is determined in accordance with the provisions Title III. In the case of securitisation of securitisation positions, a loss in the case of a default of 100 % is applied to the securitized positions again. Where the risk of default and the risk of dilution of purchased claims are treated in an aggregated manner in a securitisation such that a single reservation or oversize is available to cover losses in respect of the risk of Credit and dilution risk, the default loss is the weighted average loss in case of default for credit risk and loss in case of default of 75 % for dilution risk. This average is weighted respectively by the capital requirements for credit risk and by capital requirements for the risk of dilution.
When the risk exposure of the most important securitized exposure, C1, does not exceed 3 % of the sum of the values exposed to the risk of all exposures securitized, the institutions subject to a default loss of 50 % and allocate N, one of the following two values:
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where:
-N = 1/C1;
-Cm is the ratio of the sum of the values exposed to the Risk of major exposures and the sum of the values exposed to the risk of all securitized exposures. The level of m is fixed by the reporting institution;
-for securitizations consisting only of retail exposures h and v are zero, except as opposed by the Banking Commission.
The effects of credit risk reduction techniques on securitisation positions are taken into account in accordance with the provisions of Articles 247, 249-1 and 249-2
The risk exposure of the liquidity lines referred to in this section is determined in the following manner when they do not benefit from an external credit assessment:
a) A factor of 20 % conversion is applied to the nominal amount of a liquidity line which can only be used in case of market disruption where the conditions referred to in Article 228 are met;
(b) A conversion factor of 0 % is applied The nominal amount of a liquidity line in the form of a cash advance where the conditions referred to in Article 229 (2) are met;
(c) Where a taxable establishment cannot calculate KIRB, the Banking Commission may authorise Exceptionally and for a limited period, an establishment subject to the following method of liquidity lines which do not benefit from an external credit assessment and comply with the conditions referred to in Article 228 or subparagraph (a) This article:
-the highest of the weights that would have been applied to the exposures securitized in accordance with the provisions of Title II in the absence of securitization is applied to the liquidity line;
-to determine the Exposure to the risk of the position, a conversion factor of 50 % is applied to the nominal amount of the liquidity line, where it has an initial maturity of less than or equal to one year;
-when the liquidity line complies with the Conditions referred to in Article 228, a conversion factor of 20 % is applied;
-in cases other than those mentioned above, a conversion factor of 100 % is applied
Taxable institutions may use:
-funded credit protections recognized for the standard approach to credit risk when the minimum requirements under Title IV are Satisfied;
-the unfunded credit protections and the protection providers recognized in accordance with the minimum requirements of Title IV.
When weighted exposure amounts are calculated according to the method based on the ratings, the value exposed to the risk or the amount of the weighted exposure A securitisation position with credit protection shall be adjusted in accordance with the provisions of Title IV relating to taxable establishments using the standard credit risk approach.
When weighted exposure amounts are calculated according to the method of the prescribed form, taxable establishments determine, in the case of total protection, the effective weighting of the Position which is obtained by dividing the amount of the weighted exposure of the position by its risk exposure value and multiplying this result by 100.
The amount of the weighted exposure of the securitization position is determined as Follows:
(a) Where the securitisation position is accompanied by credit-financed protection, the amount of the weighted exposure shall be calculated by multiplying the fully adjusted value of the exposure of the position taking into account the effects of the Funded protection (E*) by effective weighting. E* shall be calculated in accordance with the provisions of Title IV, where E is the value of the securitisation position;
(b) Where the securitisation position is accompanied by unfunded credit protection, the amount of the weighted exposure shall be calculated By multiplying the nominal amount of protection adjusted to take account of currency asymmetry and maturity asymmetry (Ga) by the weighting of the protection provider, and by adding to this result the product of the value of the position Of securitization, decreased Ga, and the effective risk weight. Ga shall be calculated in accordance with Title IV.
When weighted exposure amounts are calculated using the prescribed formula method, taxable establishments determine, in the case of partial protection, the amount of the exposure Weighted of the securitisation position as follows:
(a) Where the reduction in credit risk covers the first loss of the securitisation position, or all losses on a proportional basis, the taxable establishment may apply The provisions referred to in the preceding Article;
(b) In cases other than those mentioned in the preceding paragraph, the securitisation position shall be treated as two or more separate headings, the non-covered part being considered As the one with the lowest credit quality. Subject institutions shall apply the treatment referred to in Section 4 with the following modifications:
-T is equal to e * in case of funded protection and T-g in the case of unfunded protection;
-e * is the ratio between E* and the amount Total notional portfolio of the underlying portfolio;
-E* is the fully adjusted exposure value of the securitisation position calculated in accordance with the provisions of Title IV relating to taxable establishments using the approach Credit risk standard. E is the value of the securitisation position and g is the ratio between the nominal amount of the credit protection, adjusted where appropriate the currency asymmetries or maturities in accordance with the provisions of Title IV and the sum of the amounts of the Securitized exposures.
In the case of unfunded credit protection, the weight of the protection provider is applied to the position that is not included in the adjusted value of T.
When assigning renewable exposures as part of a securitization with an early repayment clause, the original taxable institutions calculate a weighted exposure amount Further in accordance with Chapter III, Section 6.
For the purposes of this processing:
a) The interest of the originator institution is the sum of the following:
i) the exposed value corresponding to the notional portion of the portfolio Outstanding amounts transferred in the framework of securitisation whose percentage in relation to the total amount assigned determines the proportion of the cash flows generated by the recovery of the principal, interest, and other associated amounts that do not May not be used to honour payments owed to holders of positions in the securitization; and
ii) the risk exposure of amounts not drawn from the lines of credit whose amounts have been transferred within the scope of the Securitization, the percentage of which shall be the percentage of the total undrawn amounts equal to the percentage of the value exposed to the risk referred to in item (i) in relation to the value exposed to the risk of the portfolio of amounts drawn in the framework Securitization;
b) The interests of the originator should not be subordinated to investors.
Investors' interests are the sum of the value exposed to the risk of the portfolio 's Amounts not covered by item (i) of subparagraph (a) and the risk exposure of the portfolio of amounts not drawn from the credit lines whose amounts have been transferred in the framework of securitisation, which does not fall within the scope of Point (ii) of that paragraph;
(c) The exposure of the originating establishment, together with the rights in respect of the interests of the parent establishment referred to in item (i) of subparagraph (a), shall not be treated as a securitisation position, but As an exposure proportional to amounts drawn securitized in the absence of securitization for an amount equal to that determined in accordance with item (i) of paragraph a.
The original taxable person shall be considered to have Exposure proportional to amounts not drawn from lines of credit whose amounts have been transferred in the framework of securitisation, for an amount equal to that determined in accordance with item (ii) of paragraph a
The amount of the weighted exposure for a weighted securitization position at 1,250 % is reduced by 12.5 times the amount of value adjustments for securitized exposures. In this case, the value adjustments shall not be taken into account in the calculation referred to in Article 68.
The amount of the weighted exposure of a securitization position can be reduced by 12.5 times the amount of the value adjustments for the position.
Taxable institutions may deduct the risk exposure from a weighted securitization position to 1,250 % of their own funds, instead of including that position in the calculation of the amounts of the Weighted exposures, in accordance with Article 6 (a) of Regulation No 90-02, under the following conditions:
(a) The value exposed to the risk of the position is determined from the weighted exposure amounts, holding Account for reductions made in accordance with the preceding Articles;
(b) The calculation of the risk exposure shall take into account, where appropriate, the effects of funded protection recognised in a manner consistent with the methodology referred to in the Section 6;
(c) Where the method of the prescribed formula is used to calculate the amounts of the weighted exposures and L KIRBR and [L + T] KIRBR, the position can be treated as two distinct positions, with L = KIRBR for the Position with the highest rank.
For the purposes of Section 2, taxable institutions subtract 12.5 times the amount deducted from their own funds from the maximum weighted exposure amount
The Banking Commission recognizes external credit assessment bodies whose assessments may be used by institutions subject to this Title on the basis of Criteria referred to in Chapter III of Title II and provided that the body has proven competence in the field of securitisation.
The Banking Commission decides which grades of credit quality are associated with external credit ratings established by an external credit assessment body. This mapping takes into account the following:
-the degrees of risk attached to each evaluation;
-quantitative factors, including default rates or loss rates; and
-factors Quality, including the range of transactions evaluated by the external credit rating agency and the meaning of the credit assessment;
-the securitization positions to which the same weight is assigned on the basis of External credit assessments must have an equivalent degree of credit risk. Failing this, the Banking Commission may decide to modify, if necessary, the matching.
For the calculation of the weighted exposure amounts in accordance with the provisions of this Title, the external credit assessments used must meet the following conditions:
a) There is no Asymmetry between the types of payments considered in the external credit assessment and the types of payments that the taxable institution would receive under the terms of the securitization contract;
(b) The external evaluation Is publicly available. External credit assessments are considered publicly available only when they are published in a publicly accessible source of information and are included in the external organization's transition matrix Credit assessment. External credit assessments accessible only to a limited number of entities are not considered publicly available.
Subject institutions, where applicable, designate one or more external credit assessment bodies recognized by the Banking Commission for the calculation of weighted exposure amounts.
The use of external credit assessments must be consistent across all securitisation positions. Such assessments cannot be used selectively.
A taxable institution may not use external credit assessments for its positions in certain tranches and those of another external evaluation body Credit for its positions in other tranches of the same structure.
When a position is the subject of two external credit assessments, the reporting institution uses the least favourable assessment.
Where a position of the Securitization is the subject of more than two external credit assessments, the reporting institution makes reference to the two most favourable assessments and uses the less favourable of both.
When an eligible credit protection In accordance with the provisions of Title IV of this Decree shall be provided directly to the ad hoc securitisation entity and that protection shall be reflected in the external credit assessment of a securitisation position, the weighting associated with this Evaluation is used.
External credit assessment cannot be used when:
a) Credit protection is not eligible;
b) Credit protection is not provided to the ad hoc entity but is directly related to a Securitization position
For the purposes of this title, the following means:
a) Counterparty risk: the risk that the consideration for an operation will default before the final settlement of all related cash flows The transaction;
(b) Deferred settlement transactions: transactions where a counterparty undertakes to deliver securities, commodities or a certain amount of currency against cash, other financial instruments or Basic products, or vice versa, to a settlement or delivery date defined contractually and which intervenes beyond the usual time limit on the contract for such operations or not later than five working days from the date of the Date of negotiation of the transaction;
(c) Margin lending operations: transactions where the loan granted by the taxable person is related to the purchase, sale, port or trading of securities. Loans with securities consisting of securities are not included in the margin lending operations;
(d) Set of compensation: set of transactions with the same counterparty, subject to a bilateral agreement Compensation or a bilateral de novation agreement which may actually be implemented and whose effects are recognised in accordance with the provisions of this Title and Title IV. Any operation which is not the subject of a bilateral compensation agreement, recognised in accordance with the provisions of this Title, which may actually be implemented shall be regarded as its own set of compensation;
e) Position in Risk: amount allocated to an operation under the standard method of counterparty risk measurement, as referred to in Chapter IV, and resulting from a predetermined algorithm;
(f) Coverage set: set of positions at risk of Operations under the same set of netting, of which only the net balance is retained for the calculation of the risk-exposed value in accordance with the provisions of the standard methodology referred to in Chapter IV;
(g) Margin Agreement: contract or Contractual stipulations under which a first consideration provides an instrument constituting a security interest to a second consideration where an exposure of the second consideration to the first consideration exceeds a specified amount In advance, called the margin call threshold;
h) Margin period in risk: a time lapse between the last exchange of a constituent instrument of a security interest in respect of a set of compensation in which the counterparty is in The default and the time when that consideration is definitively dissolved or liquidated and where the resulting market risk is the subject of a new coverage;
i) Multi-product compensation: consolidation, in the same set of compensation, Operations involving different product categories under the conditions set out in Section 3;
j) Current market value: net market value of all transactions under a set of compensation. Both positive and negative market values are taken into account in the calculation of the current market value;
k) Distribution of market values: estimate of distribution law of net market values of transactions Subject to a set of compensation at a given future date, known as the forecast horizon, taking into account the observed market value of such transactions;
l) Distribution of exposures: estimate of distribution law of Market, calculated as zero net negative market values;
m) Neutral distribution at risk: distribution of market values or exposures at a future date, calculated on the basis of implied market values, Such as implicit volatilities;
n) Effective distribution: distribution of market values or exposures at a future date, calculated on the basis of historical or realized values, such as volatilities measured on the basis Past changes in prices or rates;
(o) Current exposure: the cost of replacing an operation or portfolio of operations under a set of compensation. This amount, greater than or equal to zero, corresponds to the market value of the transactions or portfolios considered to be lost in the event of default of the counterparty, assuming no recovery is possible;
p) Maximum exposure: A high percentile of the distribution of exposures to any future date prior to the earliest due date of the set-off operations;
q) Expected exposure: average distribution of exposures at any date Future prior to the earliest due date of the operations under the set of compensation;
r) Actual expected exposure: value set at a given date as the maximum of the expected exposure on the given date or to all Earlier date;
s) Expected positive exposure: average in time of expected exposures weighted by the fraction of the time interval considered for each expected exposure. For the calculation of the capital requirements for counterparty risk, the average shall be calculated on the first year or the period of time corresponding to the longest maturity in the set of compensation in the case where the maturity of the All contracts for the set of compensation is less than one year;
t) Positive expected positive exposure: average in the time of actual expected exposures in the first year or from the longest term in The set of compensation in the event that the maturity of all contracts in the set of compensation is less than one year, weighted by the fraction of the time interval considered by each expected exposure;
u) Adjustment of Credit assessment: an adjustment to the average market value of the portfolio of transactions with a counterparty. This adjustment reflects the market value of credit risk resulting from the inability to meet contractual obligations. It may reflect the market value of the credit risk represented by the counterparty or the credit risk represented by the reporting institution and the counterparty;
v) Unilateral adjustment of the credit assessment: The credit assessment reflecting the market value of the credit risk represented by the consideration for the reporting institution, but not the market value of the credit risk represented by the reporting institution for the consideration;
(w) Renewal risk: an amount corresponding to the underestimation of the actual expected exposure where future transactions with a counterparty are expected to be renewed on an ongoing basis. The exposure supplement associated with these future operations is not taken into account in the calculation of the expected actual exposure;
x) Overall risk of adverse correlation: risk resulting from a positive correlation between probability Non-counterparties and general market risk factors;
y) Specific risk of adverse correlation: the risk resulting from a positive correlation between the exposure to a given counterparty and the probability of default This consideration is due to the intrinsic nature of the transaction. A taxable establishment is deemed to be exposed to a specific risk of adverse correlation where it is likely that its future exposure to a particular consideration is high when the default probability of that consideration is itself High.
Subject institutions treat the counterparty risk for all their exposures that are made up of elements of the bank portfolio or the trading portfolio. For items included in the negotiating portfolio, the counterparty risk shall be treated in accordance with Chapter V of Title VII on capital requirements for counterparty settlement risk and Provisions of this Title
Subject to the provisions of this section, taxable establishments shall use one of the following methods to calculate the risk exposure of the derivatives referred to in Schedule II:
-the evaluation method at the market price;
-the initial risk assessment method;
-the standard evaluation method;
-the method of evaluation according to internal models.
When subject institutions Use of the treatment referred to in section 293-1, the initial risk assessment method cannot be used.
The combined use of the above methods within a group is possible on a permanent basis. It shall not be possible within the same legal entity except where one of these methods is used in the cases referred to in Article 277.
Subject to the authority of the Banking Commission, taxable establishments may use the method of valuation according to the internal models referred to in Chapter V to calculate the value exposed to the Risk:
-derivative instruments listed in Schedule II;
-pension transactions;
-debt or loan transactions of securities or commodities;
-margin lending operations;
-settlement transactions Deferred.
When a taxable institution buys protection in the form of a credit derivative for an exposure of its bank portfolio, or an exposure to counterparty risk, it can calculate the requirement Of own funds associated with the underlying assets in accordance with Articles 194 to 195-4 on the arrangements for taking account of the effects of credit derivatives or, subject to the authorisation of the Banking Commission, in accordance with Article 48 Relating to the treatment of the double defect, or Articles 136-1 to 140 relating to the valuation of credit derivatives for establishments using their loss estimates in the event of default.
In all these cases, the value exposed to the The risk of counterparty to the relevant credit derivatives is nil.
The risk exposure for the counterparty to a default exchange contract (credit default swap, CDS in English) sold in Bank portfolio is nil where this default exchange of credit is treated as a protection provided by the reporting institution and is subject to capital requirements in respect of credit risk for the full amount of the credit risk Notional.
Whichever method is used to calculate the counterparty risk, the value exposed to the risk of a given counterparty is equal to the sum of the calculated risk values for each set Compensation with this consideration.
A value that is exposed to zero risk for counterparty risk and credit risk can be attributed to derivative contracts, pension transactions, loan operations, or loan transactions. Securities or basic products, deferred settlement operations and margin loan operations in progress with a clearing and warranty room.
Exhibits of the clearing and warranty room with all participants Must be the subject of daily margin calls.
The value exposed to the risk of deferred settlement operations may be determined by applying one of the methods referred to in this Title, irrespective of the method chosen for the treatment of risk Counterparty to OTC derivative instruments, pension transactions, loan or loan transactions of securities or commodities, and margin lending operations. For the calculation of capital requirements for deferred settlement operations, taxable persons using credit risk internal credit ratings may use the weights of the standard credit risk approach Permanently, regardless of the importance of these operations
For the purposes of this section:
-consideration: any entity that has the ability to enter into a de novation agreement or compensation agreement;
-convention of Multi-product compensation: a bilateral agreement between a taxable establishment and a counterparty which creates a single legal obligation covering all bilateral framework agreements and framework de novation agreements and operations
As multi-product compensation, the following transactions and instruments are considered to fall under different categories:
-Pension and loan operations or loans Securities or basic products;
-margin lending operations;
-derivative instruments referred to in Annex II.
For the purposes of this title, the following compensation mechanisms may be recognized as a risk reduction technique:
-bilateral de novation agreements;
-other conventions Bilateral clearings between the reporting institution and counterparty;
-bilateral multi-product netting agreements where taxable institutions are authorized by the Banking Commission to use the method Evaluation according to internal models.
Compensation and novation mechanisms are recognized for the calculation of capital requirements when the following conditions are met:
a) In the event of default, bankruptcy, liquidation Of the counterparty or any other similar circumstance, the agreement or convention creates a single legal obligation which, for all the contracts concerned, generates the right for the taxable establishment to receive, or the obligation to pay, The net balance of the positive and negative market values of the transactions concerned;
(b) In the cases referred to in the preceding paragraph, the taxable establishment shall have written and reasoned legal opinions to consider that, in the event of a dispute, its Debts and debts would be limited to the net balance referred to in that paragraph under the applicable law:
-in the territory where the counterparty is located, and, where a foreign branch of a business is concerned, on the Where the said branch is located;
-the transactions concerned;
-any other contract or agreement necessary to carry out the de novation agreement or the clearing agreement;
c) The reporting establishment has procedures Allowing the validity of the de novation agreement or of the compensation agreement to be ensured on an ongoing basis in the event of changes to the relevant legislation;
(d) The agreement or convention does not include a package clause in the case of Failure;
e) The reporting institution retains all of the required documentation;
(f) The reporting institution considers the effects of the compensation when calculating its exposure to aggregate credit risk for Each counterparty and when it controls the counterparty risk on that basis; and
g) The credit risk on each counterparty is aggregated in order to obtain a single legal exposure for all transactions. The aggregated value thus obtained is used for credit limits and for the assessment of the adequacy of internal capital.
Contracts for de novation agreements or compensation agreements and related legal opinions are The
Commission may object to the taking into account of these agreements or agreements if it considers that their validity is not ensured, after consultation, the case Competent authorities of the other Member States concerned.
Multiple-product compensation agreements are recognized when the following conditions are met in addition to the above conditions:
(a) The net amount, referred to in the preceding paragraph, is The net amount of positive and negative liquidative values of all bilateral framework agreements and positive and negative values evaluated at the market price of the transactions concerned;
(b) Written and reasoned legal opinions, targeted In subparagraph (b) of the preceding Article, take into account the validity and enforceability of third parties of the multi-product compensation agreement in its entirety and the impact of that Convention on the essential provisions of the de novation agreements or Compensation agreements included in this multi-product agreement;
(c) The procedures referred to in paragraph (c) of the preceding Article shall be used to verify that any transaction included in a set of compensation has been the subject of an opinion Legal;
d) The reporting establishment satisfies the requirements for the recognition of compensation mechanisms and, where appropriate, for the recognition of each compensation framework agreement or framework agreement for novation In the multi-product agreement, in accordance with the provisions of Title IV
In application of the valuation method at market price, taxable institutions calculate the replacement cost and potential future risk in accordance with the To the provisions of this Chapter.
When a contract is not included in a novation agreement or compensation agreement that meets the conditions set out in section 266-1, its replacement cost is equal to its market value, if It is positive. Otherwise, the replacement cost shall be nil.
Where contracts are governed by the same novation agreement or compensation agreement, respecting the conditions set out in section 266-1, the replacement cost shall be the balance Net of market values for these contracts, when positive. Otherwise, the replacement cost is zero.
For future potential risk calculation, the notional amount of all contracts is assigned the following weights according to their residual duration:
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Options sold are deemed to have a potential future risk.
If forward and assimilated foreign exchange transactions are subject to Same compensation agreement respecting the conditions referred to in Article 266-1, the net amount may be withheld where the flows subject to the compensation are denominated in the same currency and payable at the same value date.
For the purposes of Structured contracts so that the replacement cost is periodically cancelled, the residual maturity is reduced to the duration between two zeroing; however, the coefficient applicable to interest rate contracts cannot be less than 0.5 % when the residual duration of these contracts is longer than one year.
For structured contracts so as to present a leverage effect against the nominal, taxable institutions calculate the potential future risk after application To the nominal of an appropriate leverage effect coefficient. If several of the coefficients in the preceding table are applicable to a contract, due to its characteristics, the highest coefficient shall be retained.
Contracts not falling into any of the categories referred to in the preceding table shall Have the highest coefficient, after taking into account their residual maturity.
After the authorization of the Banking Commission, taxable establishments that carry out a significant activity on commodities and have one Diversified portfolio of these products can use the following coefficients instead of the predicted coefficients for non-gold and base product contracts:
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For contracts entered into with the same consideration, the sum of the weights weighted according to the provisions of section 267-3 constitutes the potential future risk on that consideration. However, contracts subject to the same novation agreement or compensation agreement complying with the conditions set out in section 266-1 may be subject to a future potential risk calculation according to the following
. First step, institutions calculate the ratio " Net replacement cost on gross replacement cost ", GNI, consisting of:
-the numerator, the replacement cost of contracts, calculated in accordance with Article 267-2, after consideration The effects of compensation or novation;
-the denominator, the replacement cost of contracts, calculated in accordance with section 267-2, without taking into account the effects of compensation or novation (gross replacement cost).
When the denominator is zero, the ratio is assumed to be zero.
In a second step, the potential future risk, RPF, for contracts subject to the same novation agreement or compensation agreement, is determined by application of The formula:
RPF = (0.4 + 0.6 x GNI) x (sum of the weights weighted according to the provisions of Article 267-3)
Institutions may also calculate a single GNI ratio applicable to all contracts for which there is a A novation agreement or a legally valid compensation agreement. In this case, the ratio is comprised of:
-the numerator, the sum of the net replacement costs, as determined by the application of section 267-2 to each novation agreement or to each compensation agreement referred to above;
- In the denominator, the sum of the gross replacement costs for all the above contracts.
The institutions shall inform the General Secretariat of the Banking Commission of the option they hold for the calculation of the GNI ratio; this Option must be constant.
The sum of the replacement cost determined in section 267-2 and the future potential risk is the risk-exposed value
Institutions can only use this method for exchange rate and interest rate contracts. The Banking Committee may object to the use of this method.
When contracts are not included in a novation agreement or compensation agreement that meets the conditions set out in section 266-1, their notional amount is assigned the following weights Depending on their initial duration:
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For interest rate contracts, institutions can However, refer to the residual period, to the extent that their activity justifies it. The Banking Committee may object if it considers that this condition is not met.
When contracts are included in the same novation agreement or compensation agreement that meets the conditions set out in section 266-1, their notional amount is assigned weightings Depending on their initial duration:
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If the forward and assimilated foreign exchange operations are Subject to the same compensation agreement, respecting the conditions referred to in Article 266-1, the net amount may be deducted when the flows are denominated in the same currency and payable on the same date of value, the weights to be applied Are then those referred to in the preceding Article.
For interest rate contracts, establishments may, however, refer to the residual period to the extent that their activity justifies it. The Banking Committee may object if it considers that this condition is not met.
The result obtained in accordance with the preceding provisions is the value exposed to risk
The use of the standard method is limited to OTC derivatives and deferred settlement operations.
The risk-exposed value is calculated separately for each set of Compensation. This value is determined by taking into account, where applicable, security interests, as follows:
Value Exposed at Risk =
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with:
CMV, the current market value of the portfolio of transactions covered by the set of compensation of a counterparty, before taking into account the effects of security rights Actual, either:
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where:
-CMVi is the current market value of Operation i;
-CMC, the current market value of the instruments of incorporation of the security interests assigned to the compensation set considered, that is:
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where:
-CMCl is the current market value of the real security instrument;
-i, the index pointing to an operation;
-l, the index Designating a real security interest;
-j, the index designating a cover set. These cover sets correspond to risk factors for which positions at risk of the opposite sign can be compensated in such a way as to obtain a position at net risk from which the measure of exposure can then Be determined;
-RPTij, the risk position associated with operation i of the blanket j;
-RPClj, the risk position of the effective security l of the blanket j;
-CCRMj, the specified multiplier coefficient In accordance with the table referred to in section 276 applicable to the coverage set j;
- = 1.4.
The instruments constituting the security rights received have a positive sign, the instruments constituting the security rights filed with the A counterparty has a negative sign.
For the purposes of this method, taxable institutions may use only the instruments of eligible real rights referred to in section 165 and section 338-3.
When a OTC derivative transaction with a linear risk profile provides for the exchange of this financial instrument against a payment, the portion of the transaction associated with the payment is called Payment leg. Transactions involving the exchange of a payment against another payment include two payment legs. These payment legs correspond to the currently agreed upon gross payments, including the notional amount of the transaction.
For the purposes of this method, taxable institutions may disregard the rate risk Interest in payment legs with a residual maturity of less than one year.
Taxable institutions may process transactions with two payment legs denominated in the same currency as a single aggregate transaction. This aggregate transaction is then treated as a payment leg for the application of this method.
Subject Establishments allocate linear risk profile operations with a financial instrument Underlying shares or stock indices, or other commodities, including gold or other precious metals, a risk position on the action or on the stock index, or for the base product concerned.
Establishments
these payment legs are denominated in currency, the institutions subject to the payment of these payment legs shall also place a position at risk of interest rate risk. In this currency.
Subject institutions attribute a debt obligation to transactions with a linear risk profile that underlies a debt obligation, an interest rate risk position for that debt obligation, and another Position at risk of interest rate for the payment leg.
Subject institutions attribute to transactions with a linear risk profile providing for the exchange of a payment against another payment, including forward foreign exchange contracts, A position at risk of interest rates for each of their payment legs.
When the underlying debt obligation is denominated in currency, the institutions subject to the underlying debt obligation also give it a risk position denominated in that currency. Currency. When the payment leg is denominated in currency, the taxable institutions also assign a risk position denominated in that currency.
Any currency exchange contract is assigned a zero risk exposure value.
The risk position values are determined in accordance with the following provisions:
-for an operation having the underlying financial instrument of instruments other than debt instruments, the The risk position value corresponds to the effective notional value of these instruments, defined as the market price multiplied by the quantity, and converted to euro;
-for an operation having the underlying financial instrument of the Debt securities and for payment legs, the risk position value corresponds to the effective notional value of the gross payments including the notional amount, converted to euro, then multiplied by the modified duration of the title of Claim or leg of payment;
-for a default trading contract (credit default swap, CDS in English), the position value at risk is the notional value of the reference number multiplied by the residual duration of the contract Credit default exchange;
-for a non-linear OTC derivative, including options and options on exchange contract, the position value at risk is the delta equivalent of the value Effective notional instrument of the underlying financial instrument unless that instrument is a debt obligation;
-for an instrument derived from non-linear risk profile, including options and options on exchange contract, Where the underlying financial instrument is a debt obligation or a payment leg, the risk position value corresponds to the delta equivalent of the effective notional value of that debt obligation or the multiplied payment leg By their modified duration.
To determine risk positions, taxable institutions treat the instruments of real security received from consideration as long positions, coming to maturity on the same day. The instruments of security interest filed with a counterparty are treated as short positions maturing on the same day.
To determine the value and sign of risk positions, taxable institutions use the following formulas:
(a) For all instruments other than debt securities, the value Actual notional or the delta equivalent of the notional value is equal to:
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where:
-Pref is the price of the underlying instrument, expressed in euro;
-V, the value of the financial instrument (in the case of an option, the price of the option; in the case of a linear risk profile operation, the value of The underlying instrument);
-p, the price of the underlying instrument, expressed in the same currency as V.
(b) For debt obligations and payment legs of any transaction:
The effective notional value multiplied by the Modified duration, or the delta equivalent of the notional value multiplied by the modified duration is equal to:
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where:
-V is the value of the financial instrument (in the case of an option, the price of the option; in the case of a linear risk profile operation, the value of the underlying instrument or leg of the Payment);
-r, interest rate.
When V is denominated in a currency other than the euro, the derived instrument is converted to the euro by holding the appropriate exchange rate.
Taxable institutions group risk positions by hedging sets. For each hedging set, they calculate the absolute value of the sum of the position at risk of the positions considered. This sum defined as the net risk position shall be represented by the following expression in the formulae referred to in Article 269:
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For interest rate risk positions associated with cash deposits of real security interest received, payment legs and underlying debt obligations, when a requirement for funds Less than or equal to 1.60 % shall apply in accordance with the table referred to in Article 321, six sets of covers, for each currency, shall be distinguished in accordance with the following table:
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For interest rate risk positions associated with underlying debt obligations or payment legs for which the interest rate is linked to an interest rate Reference interest rate, which represents a general level of rates in a market, the residual maturity is the duration of the remaining interval until the next adjustment of the interest rate. In all other cases, it corresponds to the residual maturity of the underlying debt obligation or, for a payment branch, to the residual maturity of the transaction.
A single hedging set is made for each issuer of a Reference underlying a default swap agreement (credit default swap, CDS in English).
A single set of hedging coverage is set up for the associated interest rate risk positions:
-cash deposits with A qualifying consideration for a security interest where that consideration does not have a debt with a specific low risk;
-the underlying debt obligations where an equity requirement of more than 1.60 % applies In accordance with the table referred to in Article 321;
-the payment legs that reproduce the debt obligations referred to in the preceding paragraph.
Subject-matter institutions shall apply the risk headings to the same set of coverage Corresponding to:
-debt obligations of a particular issuer or;
-the reference debt obligations of the same issuer that are reproduced by payment legs or;
-the debt securities underlying a trading contract on Default (credit default swap, CDS in English).
Institutions subject to the same set of coverage the underlying financial instruments other than debt instruments when these instruments are identical or similar. In all other cases, the financial instruments are allocated to separate cover sets. Financial instruments are considered to be similar in accordance with the following provisions:
(a) Shares are treated as similar when issued by the same issuer. An index of action is treated as a separate transmitter;
(b) For precious metals, the instruments are considered to be similar when they relate to the same metal. An index of precious metals is treated as a separate precious metal;
(c) For commodities, the instruments are treated as similar when they relate to the same base product. A commodity index is treated as a separate commodity.
Subject establishments apply the multiplier coefficients defined in the following table to the different categories of coverage sets:
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The instruments underlying OTC derivatives not covered by other categories are assigned to separate cover sets for each Category of underlying instruments.
When for non-linear risk profile operations, for payment legs, and for transactions with underlying debt obligations, the reporting institution is not able to Determine the delta, or the modified duration, using an authorized model for the calculation of capital requirements for market risks, the Banking Commission may require that the value of the risk positions and the coefficients Are determined in a more prudent manner or that the evaluation method at the market price is used. For the above operations, compensation mechanisms are not permitted. These transactions individually constitute a set of compensation.
Subject-matter institutions are provided with procedures to ensure that transactions included in a set of compensation are subject to a collective agreement. Compensation that can be effectively implemented and that meets the requirements set out in Section 3 of Chapter I.
Where taxable institutions use security rights to reduce their counterparty risk, they Procedures to verify that the legal security requirements referred to in Title IV are satisfied before taking into account the effects of the security rights
When the requirements of this chapter are satisfied, the internal model method can be used to calculate the risk exposure value:
-derived instruments referred to in Annex II; or
-pension operations, loan or loan operations of securities or commodities and margin-lending operations; or
-of all transactions referred to in the preceding two paragraphs.
Deferred settlement transactions Are included in each of these categories.
Notwithstanding the provisions of section 259-2, taxable establishments may not apply this method to non-significant volume and risk profile exposures.
The Banking Commission may authorize establishments subject to the implementation of the method of assessment according to internal models sequentially for the different categories of transactions. During this period, the counterparty risk for transactions that are not processed according to the internal model valuation method is calculated by applying the valuation method to the market price or standard valuation method.
For all transactions on OTC derivatives and deferred settlement transactions for which a taxable institution is not authorized to use the valuation method in accordance with Internal models, it uses the evaluation method at market price or the defined standard evaluation method. The combined use of these two methods within a group is possible on a permanent basis. The combined use of these two methods within the same legal entity is only possible where one of the two methods is required by the Banking Commission in accordance with the provisions of Article 277.
Subject institutions that have been authorized to use the evaluation method in accordance with internal models will not be able to revert to the evaluation method at the market price or valuation method Standard, except for reasons duly justified, after authorisation by the Banking Commission. Where the requirements of this Title are no longer satisfied, the institutions subject to the Banking Commission shall submit to the Banking Commission a rapid recovery plan, except to demonstrate that the effects of such non-compliance are not significant.
The risk exposure value is measured at the set of compensation under the following conditions:
(a) The model establishes the law of distribution of changes in the market value of the whole Compensation that results from changes in market parameters, including interest rates and exchange rates;
b) The model calculates the risk exposure value for the set of compensation at different future dates, taking into account the Variations in market parameters;
(c) For counterparties that are subject to a margin agreement, the model may also take into account future developments in the instruments of incorporation of security rights;
d) Institutions May take into account the instruments constituting the eligible financial rights referred to in Article 165 and Article 338-3 for the calculation of their distributions of changes in the market value of the set-off, where Quantitative and qualitative requirements, as well as data requirements for the application of the evaluation method according to internal models are met.
The risk-exposed value is calculated as follows:
E = x effective EPE
where:
-E is the value exposed to the risk;
-effective EPE, the exposure Positive expected positive;
-is 1.4.
The Banking Commission may require an alpha factor greater than 1.4.
The effective expected positive exposure is calculated as follows:
EPE effective = (EEt)
where EEt is Average exposure at a future date t.
This average is calculated from possible future values determined from relevant market risk factors.
The model produces estimates for a series of future dates.
The actual expected exposure is computed by recursion, as follows:
EEtk effective = max (EEtk-1 effective; EEtk)
where:
-Effective EE is the expected effective exposure;
-t0, the current date;
-EEto effective, Current exposure
Positive expected positive exposure is the mean value of the expected effective exposure calculated over a one-year horizon. When all contracts included in the set of compensation expire on this horizon, the expected positive exposure is equal to the average of the expected exposures until all of these contracts expire. The positive expected positive exposure is equal to the weighted average of the actual expected exposures according to the following formula:
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where tk = tk-tk-1 weights are used to account for cases where future exposure is estimated at dates that are not uniformly distributed over time.
Measures The expected exposure or maximum exposure is calculated on the basis of a distribution of exposures taking into account the possible non-normality of this distribution law.
Counterparty a more conservative measure than that calculated in accordance with the formula for calculating the risk exposure.
Notwithstanding the provisions of the foregoing Article, the Banking Commission may authorize establishments subject to the use of their own alpha-factor estimates under the following conditions:
(a) This factor cannot be less than 1.2;
b) It is equal to the ratio of:
-to the numerator, the amount of internal capital resulting from a global estimate of the counterparty risk taking into account the risk factors of Market and counterparty;
-the denominator, the amount of internal capital calculated using as a measure of counterparty risk a fixed amount corresponding to the expected positive exposure (EPE). This is treated as a fixed amount;
c) Taxable institutions show that their internal estimates of the alpha factor take into account, in the numerator, important sources of stochastic dependence of the distributions of values
d) The internal estimate of the alpha factor takes into account the granularity of the portfolios;
(e) The numerator and denominator of the ratio referred to in subparagraph (b) are Consistent with the modeling methodology, parameter specifications, and portfolio composition;
f) For alpha-factor estimation, subject institutions use the approach chosen for the Internal capital. This approach is duly documented and independently validated;
g) The alpha-factor estimates are reviewed at least once a quarter, and more frequently when the composition of the portfolio is changed. Justifies;
h) Taxable institutions assess model risks.
The volatilities and correlations of market risk factors used in simultaneous simulations of market risk and credit risk to the numerator of the alpha factor calculation ratio Account, where appropriate, of credit risk to reflect possible increases in volatilities or correlations in the event of an economic downturn.
When a set of compensation is subject to a margin agreement, taxable establishments use one of the following measures of the expected positive exposure :
(a) The positive expected positive exposure, without taking into account the margin agreement;
(b) The threshold in the margin agreement, if positive, increased to reflect the potential increase in exposure during the margin period in Risk. This increase is equal to the expected increase in the exposure of the set of compensation, from a zero current exposure, over the risk margin period. The minimum duration of the risk margin period shall be five working days when the set of compensation includes only pension or assimilated transactions subject to daily margin calls and daily valuation. This minimum duration is ten days in all other cases;
c) When the internal model takes into account the effects of the margin agreement in the expected exposure estimate, the measure of the expected exposure calculated by the model may be Directly used in the formula of the expected effective exposure referred to in Article 280, after authorisation from the Banking Commission
Subject institutions have a control unit responsible for the design and implementation of the counterparty risk management system, including initial and ongoing validation The internal model. This unit:
a) Controls the integrity of the data used by the model, develops summary reports, and analyzes the results of the risk measurement model, including assessing the links between risk measures and limitations Credit and market;
(b) Is independent, in particular, of the operational units responsible for setting up, renewing or negotiating the exhibitions;
(c) Is equipped with appropriate resources;
(d) Reports to the body Executive;
e) Is tightly integrated into the day-to-day credit risk management process and is an integral part of the credit risk monitoring and control process and the institution's risk profile.
Establishments subject to counterparty risk management procedures and systems designed in a robust manner and implemented with integrity and meet the following criteria:
(a) Include identification, measurement, management, selection of this risk, and the development of internal reports;
b) They take into account market risk, liquidity risk and operational risks that may be associated Counterparty risk;
(c) Prior to any new transaction, the credit quality of any new consideration is assessed;
(d) Credit risk over the current period of negotiation up to and including the date of settlement is due Taking into account;
e) Market, liquidity and operational risks are managed as comprehensively as possible at the counterparty level by aggregating exposures to counterparty risk to other exposures to the counterparty Credit risk, as well as at the group level;
f) The limits and assumptions of the model used to understand the results obtained are defined under the control of the executive body;
g) Uncertainties in The market environment and, where appropriate, operational difficulties, are taken into account in the model;
h) Daily reports on the exposure of the institution subject to counterparty risk are reviewed by Persons with sufficient expertise and authority to require a reduction in the positions taken by an operator or a credit manager if necessary, or even a decrease in the degree of exposure to the institution's counterparty risk ;
i) The counterparty risk measurement system is used in conjunction with market and credit limits. These must be consistent over time with risk modeling and well understood, notably by operators and credit managers;
j) Counterparty risk measurement system takes into account commitments Daily and intraday. Taxable institutions measure the current exposure before and after taking into account the effects of security rights.
They calculate and monitor their maximum exposures or potential future exposures, on the basis of the interval Confidence, both at the portfolio level and in counterparties.
They include important or concentrated positions, including by group of related counterparties, by sector and by market;
k) Institutions Have a program to verify compliance with internal rules and procedures relating to the operation of the counterparty risk measurement system. This system is the subject of documentation describing the measurement techniques used;
l) The institutions subject to a regular and rigorous crisis simulation program, which complements the daily risk analysis of the Consideration on the basis of the results generated by the risk assessment model. The results of the crisis simulations shall be reviewed periodically by the executive body and taken into account in the counterparty risk procedures and limits defined by the executive body. When a crisis simulation shows a particular vulnerability to a given set of events, measures are taken quickly to reduce this risk.
An independent analysis of the counterparty risk measurement system is carried out at regular intervals as part of the periodic internal control process of Establishment. It covers both the activities of the operational units and the activities of the independent counterparty risk control unit. It covers at least:
a) The adequacy of the system documentation and the counterparty risk management process;
b) The organization of the counterparty risk control unit;
c) Integration of the Counterparty risk measures to day-to-day risk management;
d) Approval procedures for risk pricing models and evaluation systems used by market and post-market personnel;
e) Validation of any significant changes to the counterparty risk measurement process;
f) The extent of the elements covered by the internal model;
g) The integrity of the information system;
h) Accuracy and Completeness of counterparty risk data;
i) Procedures for monitoring consistency, updating and reliability of data used in the internal model, as well as source independence;
j) The accuracy and appropriateness of assumptions about volatilities and correlations;
k) Accuracy of risk assessment calculations;
l) Implementation of an ex post control device to verify the accuracy of the Model
Subject institutions demonstrate that they actually use their internal model in accordance with the following provisions:
(a) The distribution of exposures established by the internal model used For the calculation of the positive expected positive exposure is closely integrated into the process of daily management of counterparty risk. The results produced by the model are an integral part of the process of selecting commitments and managing counterparty risk. They are fully taken into account in the allocation of internal capital and within the framework of internal control;
b) Subject institutions have sufficient experience in the use of internal models. They show that they used for at least the year preceding the authorisation of the Banking Commission an internal model for calculating the exposure distributions, from which the expected positive exposure is determined, in accordance with the The minimum requirements of this section;
(c) The internal model used to produce the exhibition distribution is an integral part of a counterparty risk management device that includes identification, Measurement, management, approval, and internal monitoring of this risk. This scheme covers the use of credit lines, by aggregating exposures to counterparty risk with other exposures to credit risk, and the allocation of internal capital. In addition to the expected positive exposure, subject institutions measure and manage, where appropriate, their current exposure before and after consideration of the effects of security rights.
Effective use of the model is demonstrated Where taxable institutions use other counterparty risk measures, such as maximum exposure or potential future exposure, on the basis of the distribution of exposures produced by the model used for the calculation Expected positive exposure;
d) Subject establishments have systems to estimate the expected daily exposure, if necessary, unless they demonstrate to the Banking Commission that the nature of their exposure to the Counterparty risk allows less frequent calculations. The expected exposure amounts at future dates are calculated by appropriately reflecting the temporal structure of future financial flows and the maturity of the contracts in a manner consistent with the size and nature of the transactions ;
e) Exposures are measured, tracked, and controlled over the lifetime of all contracts included in the set of compensation, not just over the one-year horizon. Taxable institutions establish procedures to identify and control counterparty risk when exposure increases after the one-year horizon. The estimated increase in exposures beyond one year is taken into account in the internal capital model
Subject institutions have relevant crisis simulation processes that they use to assess the adequacy of their internal capital for risk For consideration. The results of these simulations are compared with the measures of the expected positive exposure as part of the process of assessing the adequacy of the internal capital referred to in Article 17a of Regulation No 97-02. These crisis simulations enable, among other things, the identification of events or changes in the economic environment likely to have adverse consequences for institutions' exposures to credit risk and to assess The ability of subject institutions to cope with them.
These crisis simulations cover exposures to counterparty risk from taxable institutions, including joint simulations of market risk factors and Credit. The risks of concentration towards a counterparty or a group of counterparties, of correlation between market risk and credit risk, and the risk of a market movement caused by the liquidation of the positions of a counterparty Are taken into account. Crisis simulations analyze the impact of a market movement of this nature on the taxable establishment's own positions: the result of this analysis is taken into account in the counterparty risk assessment
Taxable institutions take due account of exposures that generate a general risk of significant adverse correlation.
Procedures are in place to identify, track and Control specific risk situations of adverse correlation throughout the operation
The modeling process meets the following criteria:
a) Internal models integrate operations conditions and specifications in a quick, complete, and prudent manner. These conditions and specifications include, at a minimum, the notional amounts of the contracts, their maturity, the reference assets, the margin agreements and the compensation agreements. They are recorded in a database, which is subject to periodic internal control;
b) Novation agreements or compensation agreements are the subject of a legal opinion to ensure that they can be effectively put into effect. Work. They are taken into account in the database by an independent unit;
c) The integration of the above conditions and specifications to the internal model is subject to periodic internal control;
d) The taxable establishment is putting in place Formal reconciliation procedures between the internal model and the source data systems to ensure that the above conditions and specifications are permanently taken into account in the calculation of the expected positive exposure of Correct or conservative minimum;
e) The internal model uses current market data to calculate current exposures. When historical data are used to estimate volatilities and correlations, the data history is at least 3 years. Historical data used are updated once a quarter or more frequently when market conditions warrant. The data cover a set of economic conditions over a complete cycle;
f) An independent unit of the operational units validates the price established by them. The data are obtained independently from the operational units. They are integrated into the internal model in a timely and comprehensive manner and stored in a database that is subject to periodic internal control;
g) The reporting institution has a well-established procedure for verifying The integrity of the data, allowing it to correct errors or anomalies;
h) When the internal model is based on approximations by reference to market data, especially when the data history available for New products is less than 3 years, internal procedures define appropriate approximations. The reporting institution empirically demonstrates that these approximations give a conservative representation of the underlying risk under adverse market conditions;
i) When the internal model takes into account the effects of security rights In the market value of the set-off, taxable institutions have an appropriate data history to model the volatility of these security rights.
The internal model is internally validated. This validation process is clearly defined in the procedures of the subject institutions and includes, in particular:
a) A description of the checks necessary to ensure the integrity of the model and identify the conditions in That the assumptions are no longer met, in which case an underestimation of the expected positive exposure would be obtained;
b) An examination of the completeness of the internal model.
Subject institutions have controls and procedures that allow:
a) Adjust their estimates of the expected positive exposure when the risks Become significant. These controls and procedures include:
i) the identification and management of exposures at risk of adverse correlation; and
ii) for risk profile exposures increasing over a year, regular comparison of Estimates of the expected positive exposure over a year with estimates of the expected positive exposure over the lifetime of the exposure;
iii) for exposures with a residual maturity of less than one year, the comparison The replacement cost regularly with the risk profile achieved, or with the recorded data allowing such a comparison;
(b) To ensure prior to the inclusion of an operation in a set of compensation that it does The purpose of a compensation agreement which may actually be implemented and which satisfies the requirements referred to in Section 3 of Chapter I;
(c) To verify, prior to taking into account the effects of security rights in order to reduce their Counterparty risk exposures, whether they meet the legal security requirements referred to in Title IV
To be authorized by the Banking Commission, any model for calculating the expected positive exposure used by a reporting institution must also meet the following requirements:
a) Criteria Quality referred to in Chapter VII of Title VII shall be respected;
(b) Forecasts relating to interest rates, exchange rates, stock prices, commodities and other market risk factors shall be established on long Time periods to measure exposure to counterparty risk;
c) The market risk factor prediction model must be effective over long periods;
d) The pricing models used to calculate exposure to the Risk of counterparty for a given scenario impacting market risk factors must have been properly tested. The options pricing models take into account the non-linear nature of the value of the options in relation to market risk factors;
e) The model incorporates information specific to each operation to ensure that the Exhibitions can be aggregated at the level of each set of compensation. The taxable establishments ensure that each operation is assigned to the appropriate compensation set within the model;
f) The expected positive exposure calculation model incorporates information specific to each operation Allowing the effects of margin agreements to be taken into account. The amount of margin calls already carried out as well as the amount of margin calls liable to intervene between counterparties are taken into account as well as the unilateral or bilateral nature of the margin agreements, the frequency of margin calls, the Period of margin at risk, the maximum amount of exposure outside the margin that the taxable establishment is willing to accept and the minimum amount of any transfer;
g) The model can either directly account for changes in prices Market for instruments of real security deposited, or to apply the provisions of Title IV;
h) Subject institutions shall put in place ex post controls carried out from static and historical data on the basis of Representative portfolios. At regular intervals, subject institutions apply these controls to a number of actual or hypothetical representative portfolios. These representative portfolios are selected on the basis of their sensitivity to the relevant correlations and market risk factors to which the reporting institution is exposed
The own funds determined in accordance with the provisions of Article 5b of Regulation No 90-02 must cover all the requirements due:
(a) In respect of the market risks of the portfolio of Negotiation, as defined in Chapter II, Section 1. These risks, which correspond to the risk of a debt or ownership position set out in Article 294, include the risk of interest rates, as defined in Section 2 of Chapter III, the risk of price changes in property titles, such as As defined in Section 3 of Chapter III, and the optional risks attached to it under the terms of Chapter VIII;
(b) For the exchange risk, as defined in Section 1 of Chapter IV, and the risk on basic products, such as As defined in Section 2 of Chapter IV, and the optional risks attached to it in accordance with the terms of Chapter VIII;
(c) where applicable, in respect of the additional requirement resulting from the exceedance of the high risk limits, As defined in Chapter VI.
The risk of counterparty regulation referred to in Chapter V is covered by the basic and complementary own funds.
The Banking Commission may authorize establishments subject to the use of their internal models to calculate capital requirements for market risks on the The negotiation portfolio, the foreign exchange risk and the optional risks attached to it if these models adequately meet the conditions defined in Chapter VII.
Institutions subject to the exception of investment firms and financial companies primarily holding one or more companies May calculate the capital requirements associated with their trading portfolio in accordance with the terms and conditions set out in Titles II and III, when they meet the following conditions:
-their negotiating portfolio Account for its book value has not exceeded on average in the last two semesters 5 % of the total balance sheet and off-balance sheet items. At no time should it be more than 6 % of this total;
-on the other hand, the total number of negotiating portfolio positions has not exceeded an average of EUR 15 million over the last two semesters. It shall at no time exceed EUR 20 million.
If one of these limits is exceeded, the taxable establishment shall be subject to the provisions of this Title.
The above treatment shall apply in the case of a consolidated calculation. Where the group to which a taxable person belongs does not qualify for this treatment, each taxable establishment belonging to that group which meets it on an individual basis and whose management of the Investment services is not integrated with that of the parent company.
The currency risk, as well as the risk to gold, must be covered by equity as long as the overall net position in foreign currencies, plus the position on gold, exceeds 2 % of the total funds Clean.
For the purposes of this Title, the risk of a position concerning a debt or ownership interest, or an instrument derived from such a title, is broken down into two elements:
a) The general risk, That is, the risk of a price change caused by a fluctuation in the level of interest rates, in the case of debt instruments or instruments derived from such securities, or by a general movement of the stock market, in the case of securities Property or derivative instruments on such securities;
(b) The specific risk, that is, the risk of a price change under the influence of factors related to the issuer of the title or underlying instrument. Securities issued by the reporting institution shall not be taken into account, nor shall the securities issued by regional or central credit institutions affiliated with the same central body within the meaning of Article L. 511-31 of the Monetary and Financial Code.
The positions of the negotiating portfolio taken by establishments which are included in the consolidation and approved in a Member State may be counterbalanced to the extent that it exists at Within the group an adequate allocation of own funds and a legal framework that will ensure mutual financial assistance. Foreign currency positions may be offset under the same conditions.
The negotiating portfolio positions taken by registered establishments in a Member State may also be offset with those taken by Establishments included in the consolidation and having their registered office in a third country if the following three conditions are met:
-establishments which, in the latter country, meet the definition of establishments Subject;
-these establishments are subject to rules that are at least as restrictive as the provisions in force in France;
-there are no legal or factual barriers that could significantly affect the transfer Funds within the group to which the reporting institution belongs.
Currency and commodity positions can be offset under the same conditions.
Branches of establishments with their registered office in a third country are deemed to be in a regular situation if the following three conditions are met:
-la Regulation of the country of origin in the matter takes into account the risks assumed outside the country and is judged by the Banking Commission at least as binding as the provisions in force in France;
-the seat undertakes to ensure Monitoring the operations of its branch in France in accordance with the regulations in force in its country and under the supervision of the competent authorities;
-the seat confirms that it will ensure that its branch has the funds Sufficient for the coverage of its commitments.
The Banking Commission verifies that the above conditions are actually met and, provided that French institutions are entitled to equivalent treatment on the part of the The competent authorities of the country referred to above shall, in this case, grant the branches making the request for the benefit of this Article.
Taxable institutions must immediately inform the General Secretariat of the Banking Commission of all cases in which their counterparties in takeover or repurchase or lending operations or Securities borrowing do not meet their obligations
For the calculation of market risks, the negotiating portfolio consists of positions on financial instruments and commodities held for negotiation or for the purpose of covering others Elements of the negotiation portfolio. These instruments do not contain clauses that restrict their negotiability or the placement of blankets
Positions held for negotiation are those that have been taken in order to be transferred in the short term and/or intended to benefit from the favourable development of short term or freeze-up courses Arbitration benefits. They include their own account positions, customer account positions and positions related to market content activities.
Positions held for the purpose of covering other elements of the Negotiation portfolio are those that have been taken to offset, in whole or in large part, the risk factors associated with these elements.
Negotiation intent is demonstrated on the basis of policies and procedures put in place In place by each taxable institution to manage its positions or portfolios under the following conditions:
a) Positions, their associated instruments or portfolios are the subject of a clearly negotiated policy Documented, approved by the executive body, which specifies, in particular, the proposed detention horizon;
(b) The institutions subject to the active management of positions taken in the market rooms of clearly defined procedures Provide, in particular, that:
i) positions are subject to limits, the adequacy of which is monitored;
ii) operators' positions are subject to predetermined limits in application of the policy Defined;
(iii) positions are reported to the executive as part of the risk management process of the reporting institution; and
iv) positions are tracked actively by reference to sources Market information;
v) the negotiability of positions, the ability to cover them or cover their risks, and the quality and availability of market information used in the process Evaluation, market activity and the size of positions negotiated on the market;
(c) Subject institutions have clearly defined procedures allowing them to control positions according to their policy Negotiation, including tracking the renewal of trading portfolio transactions and positions.
Internal covers can be included in the negotiation portfolio, under the following conditions.
An internal cover is defined as a position that compensates significantly or Total risk associated with a position, or a set of positions, belonging to the bank portfolio.
The positions resulting from the introduction of internal covers can benefit from the treatment reserved for portfolio elements Negotiations, provided that they are held for the purpose of negotiation and that the general conditions for the purpose of negotiation and of the prudent assessment referred to in the preceding Article and in Section 3 are Respected. In particular:
a) Internal covers should not be primarily intended to reduce capital requirements;
b) Internal covers are properly documented and subject to procedures Internal approval and internal control;
c) Internal operation is performed at market conditions;
d) Most of the market risk associated with internal coverage is managed dynamically within the portfolio of Negotiation within authorized limits;
e) Internal operations are subject to careful monitoring in accordance with appropriate procedures.
The treatment defined above applies regardless of capital requirements Applicable to the leg of the internal cover of the bank portfolio.
When a taxable person establishes an internal cover using a credit derivative registered in the negotiation portfolio to cover An exhibition of its banking portfolio, the exposure of the bank portfolio is not considered to be protected for the calculation of capital requirements, unless the taxable establishment has purchased from a third party A credit derivative that meets the requirements referred to in Article 192-3 to cover the element of the bank portfolio. In the latter case, credit derivatives used as part of an internal or external hedge are not included in the negotiation portfolio for the calculation of capital requirements.
Subject to the authorisation of the Banking Commission, the elements referred to in point I of Article 6 of Regulation No 90-02 may be included in the negotiating portfolio and treated as securities of Properties or claims according to their nature if the taxable establishment demonstrates that it is an active market content in the positions considered. In this case, the institution shall have appropriate systems and controls for the negotiation of the constituent parts of the aforementioned own funds.
Pension transactions and similar trading transactions can be included in the negotiation portfolio for the calculation of capital requirements independently of their classification To the extent that all such transactions are included under the same conditions.
For this purpose, transactions that meet the requirements referred to in section 298 are defined as pension transactions and similar transactions. And 299 and of which both legs are in the form of cash or securities that can be included in the negotiating portfolio.
Regardless of their bank portfolio or negotiating portfolio rankings, all Transactions and similar transactions are subject to the counterparty risk treatment applicable to the elements of the bank portfolio.
The negotiation portfolio includes:
a) The transaction titles defined in Article 2 of Regulation No 90-0l and any futures trading on these securities;
b) Derivative instruments having for Purpose:
i) to maintain insulated open positions in order, where appropriate, to benefit from price developments;
ii) to enable specialized management of transaction portfolios including derivatives and Securities, or equivalent financial transactions, provided that the following three conditions are met:
-the taxable establishment is able to maintain a permanent presence in the market in a sustainable manner. Derivatives;
-the transaction portfolio that groups these instruments is the subject of a significant volume of operations;
-the portfolio is constantly managed globally, for example, in sensitivity;
iii) Cover, identified from the outset, the market risks affecting elements included in the negotiating portfolio;
(c) Pension, loan or borrowing operations of securities or commodities, other transactions Adjusted to market conditions and forward foreign exchange transactions, when carried out in order to benefit from a favourable interest rate movement, or that they cover another element of the negotiating portfolio;
(d) Other Operations with credit institutions or investment firms, when they fund one or more other elements of the negotiating portfolio.
Taxable institutions that wish to include other elements in their A negotiating portfolio must first inform the General Secretariat of the Banking Commission. The Banking Commission may object to it.
In addition, the Banking Commission may request the exclusion of the negotiating portfolio from elements whose negotiability character would not appear or more manifest, in particular in the absence of Effective liquidity or negotiation, a fortiori in the case of a period of detention of these instruments which would exceed that corresponding to the intention of a rapid negotiation.
In addition, the Banking Commission may object to the Account in the negotiating portfolio of items for which the taxable establishment does not have the means and experience necessary for their active management and adequate control systems.
The provisions of the preceding Article shall apply to taxable establishments subject to IFRS, with the exception of the elements referred to in paragraphs a and b which are replaced by the following:
a) The financial instruments at fair value by result, within the meaning of Regulation (EC) No 1606/2002, i.e. those held for negotiation, excluding those with fair value on option.
All positions in the negotiation portfolio are subject to careful evaluation rules in accordance with the provisions of this section.
The subject establishments ensure that the assessment of each position correctly reflects its market value. This assessment takes into account the dynamic nature of the negotiating portfolio positions, as well as the prudential objectives inherent in the negotiating portfolio.
The positions of the negotiating portfolio As determined in Section 1 of Chapter III, are evaluated on a daily basis.
When the market price is not available or, on an exceptional basis and for certain convertible products, when the market price does not reflect the value Intrinsic to the position, the taxable establishment must use a sufficiently conservative valuation method, provided that it has previously communicated it to the General Secretariat of the Banking Commission, who may object to it.
The Positions shall be taken into account from the date of negotiation of the relevant transactions.
Establishments that are subject to systems and controls are in place to allow them to have prudent and reliable assessments.
These systems and controls include at least the
a) Written procedures specifying the evaluation process and defining in particular the responsibilities of the different units contributing to the evaluation of positions, the sources of market information and Review of their relevance, frequency of independent evaluations, time of closing prices, evaluation adjustment procedures, case-by-case and end-of-month verification procedures;
b) A clear reporting system And independent of the operational entities that enable the service responsible for the evaluation process to report on its findings. The information is ultimately passed on to the executive.
By valuation at market price, one hears the valuation at least daily of the negotiating portfolio positions on the basis of the available liquidative values from independent sources, For example, stock prices, electronic listings, or quotations provided by several independent reputable dealers.
For market valuation, taxable institutions retain the most prudent course of the sale or sale price. Buyer course, except where they are significant market levels in the type of financial instrument or commodity under consideration and are able to untie their position in the middle market.
When an evaluation at market price Is not possible, subject institutions assess their positions or portfolios by reference to a model, before applying the capital requirements of the negotiating portfolio.
By assessment by reference to a Model means any evaluation referenced, extrapolated or otherwise calculated from a market data.
In the case of an evaluation by reference to a model, the following conditions are met:
(a) The executive is Kept informed of the elements of the negotiation portfolio assessed by reference to a model and becomes aware of the degree of uncertainty thus created in the monitoring of risks and results of this activity;
b) Market data used Are, to the extent possible, in phase with market prices;
(c) The relevance of market information relative to the evaluated position and the parameters of the model are periodically reviewed;
d) When they are Available, commonly accepted evaluation methods in markets for donated financial instruments or commodities are used;
e) When the model is developed internally by the reporting institution, it must be based on On appropriate assumptions, previously reviewed and tested by appropriately qualified and independent individuals in the model development process. The model is developed or approved by independent units of operational entities. It is tested independently, including validation of mathematical calculations, assumptions and computer implementation;
f) Formal changes control procedures are in place and a secure copy of the Model is maintained and used on a regular basis to verify evaluations;
g) The entities responsible for risk management are aware of the weaknesses of the models used and are able to interpret the results accordingly. Evaluation;
h) The model is periodically reviewed to determine the quality of its performance in particular to ensure that assumptions remain appropriate, to analyze profits and losses from Risk factors and to compare the liquidation values with the results of the model.
An independent price check is carried out in addition to the daily evaluation at market price or evaluation by reference to a model. It includes periodic verification of the accuracy and independence of market prices and the data used by the model. When the daily market price assessment is carried out by the operators, the verification of market prices and data feeding the model shall be carried out by an independent unit of the market room, at least once a month or more Frequently depending on the nature of the market or trading activity. When independent price sources are not available, or where available price sources are subjective, subject institutions are taking prudent measures such as assessment adjustments.
Establishments subject to the establishment of procedures to conduct, where appropriate, refactions on the evaluation of their positions or to establish evaluation reserves.
The possibility of refaction or evaluation reserves is envisaged in the light of, inter alia, uncashed lines of credit, liquidation costs of positions, Operational risk, early termination, investment and financing costs, future administrative costs and, if applicable, model risk.
Less liquid positions may result from market situations or institutional situations when they hold concentrated or extended positions.
When Determine the need to establish an evaluation reserve for less liquid positions, the institutions subject to the following factors include:
-the time required to cover these positions or risks That they contain;
-the volatility and the mean of the differences between seller and buyer prices;
-the availability of market quotations;
-the volatility and the average of the volumes negotiated;
-the concentration level of the Market;
-the age of the positions;
-the extent to which the evaluation of the position is based on the model and allows the assessment of model risk;
-the impact of other model risks.
When using Third-party evaluations or benchmark assessments to a model, taxable institutions determine whether they need to make adjustments. They also need to consider the need to establish reserves for the least liquid positions and to question their adequacy on an ongoing basis.
When refactions or evaluation reserves give rise to Losses incurred for the current year shall be deducted from the basic own funds of the taxable establishment in accordance with Article 2 (b) of Regulation No 90-02.
Profits and losses after application, if any, Evaluation reserves or refactions shall be taken into account in the calculation of the intermediate benefits of the negotiating portfolio referred to in point III of Article 5b of Regulation No 90-02
Exceed those carried out in application of the accounting rules applicable to the taxable establishment must be deducted from the basic own funds in accordance with Article 2 (b) of Regulation No 90-02 if they induce losses And processed in accordance with the preceding paragraph otherwise.
Subject institutions have clearly defined procedures to determine exposures that can be recorded in the negotiation portfolio for the purpose of calculating fund requirements Clean. These procedures are adapted to the risk management procedures of the institution. Compliance with these procedures is subject to periodic internal control.
Subject institutions have clearly defined procedures relating to the management of the negotiating portfolio. These identify:
a) The activities under negotiation that are to be included in the negotiation portfolio for the calculation of capital requirements;
b) To what extent an exposure can be assessed on the Market prices on a daily basis from an active and liquid market;
(c) For exposures that are evaluated by reference to a model, the extent to which the reporting institution can:
i) identify all relevant significant risks At a given exposure;
ii) cover all significant risks of exposure with instruments for which there is an active, liquid and double-meaning market as defined in article 347-2;
iii) extract estimates Reliable for the principal parameters and assumptions used in the model;
d) To what extent the reporting institution can produce assessments that can be externally validated;
e) To what extent Legal restrictions or other operational requirements could hinder the ability of the institution to liquidate or cover its short-term exposure;
f) To what extent the reporting institution can actively manage its Exposure in the context of its trading operations;
g) To what extent the taxable institution may transfer risks or exposures between the bank portfolio and the trading portfolio, as well as Criteria for these transfers.
For the purposes of applying the provisions of Sections 2 and 3 of this Chapter and, where appropriate, Section 1 of Chapter VIII, the taxable establishment shall calculate its net position under the conditions laid down in Chapter VIII. Section. The net position represents the buyer balance, or a long net position, or the vendor balance, or short net position, of the transactions recorded by the establishment on each of the securities or instruments belonging to the trading portfolio, such as As defined in this title.
For the calculation of net positions, can be fully offset the positions on purchase and sale:
-on the ownership of the same issuer;
-on debt securities of the same issuer Issuer, of the same maturity and directly assimilable under the issuance contract.
Net positions are converted, on a daily basis, into the currency used to establish the reporting documents, based on the spot exchange rate.
Capital requirements for positions in the form of investments made in shares of collective investment organizations that meet the conditions set out in Chapter II are calculated According to the following provisions.
Without prejudice to the provisions referred to in the following Articles, these headings shall be subject to a requirement of own funds for risk of position, specific and general, equal to 32 %. Without prejudice to the provisions referred to in the last paragraph of point (ii) (a) of Article 331 and Article 346 (d), where the specific treatment for gold referred to in those provisions is applied, those positions shall be subject to Capital requirements for risk of a position, specific and general, and for foreign exchange risk not exceeding 40 %.
In the absence of provisions to the contrary, no compensation shall be permitted between the underlying investments of a Collective investment organization and other positions held by the taxable establishment.
For the application of the specific treatments referred to in Articles 312-1 to 312-4 to positions in the form of investments made in shares issued by enterprises supervised or established in a State Member, the following conditions must be met:
a) The prospectus or equivalent document, such as a collective investment agency's management mandate, contains:
i) the classes of assets in which the organization Collective investment is authorized to invest;
(ii) where applicable, the relative limits on investments and the methodologies used to calculate them; and
(iii) where the collective investment organization is authorized to Borrow, the maximum permissible debt level; and
(iv) where the collective investment agency is authorized to invest in OTC derivatives or to carry out pension or similar transactions, the measures put in place To limit the counterparty risk associated with such transactions;
(b) The activity of the collective investment body shall be the subject of semi-annual and annual reports allowing an assessment of its balance sheet, results and operations for the Period under review;
(c) The shares of the collective investment organization are repayable in cash, on the assets of the organization, at the request of the holder and on a daily basis;
(d) Investments in the shares of the organization Collective investment is segregated from the assets of the manager of the organization;
e) The investor institution carries out an appropriate risk assessment of the collective investment organization.
Specific treatments referred to in the articles 312-1 to 312-4 also apply to positions in the form of investments made in shares issued by enterprises monitored or established in a third country where the conditions referred to in paragraphs a to e above are met.
Where a competent authority of a Member State recognises a collective investment body of a third country as eligible under the above provisions, that investment agency may be treated in accordance with Articles 312-1 to 312-4.
When a taxable institution is aware of the underlying exposures of the collective investment agency on a daily basis, it can calculate the capital requirements for risk of position, General and specific, by applying the principle of transparency in accordance with the provisions of this Chapter or, where appropriate, in accordance with Chapter VII. Where the principle of transparency is applied, positions in the form of investments in collective investment funds shall be treated as positions on the underlying investments. Compensation shall be permitted between the positions in the form of investments made in collective investment shares and other positions held by the taxable establishment, provided that the establishment holds a number of Sufficient shares to permit an exchange with underlying investments.
Taxable institutions may calculate the capital requirements for risk of position, general and specific, in accordance with the provisions of this Chapter or, where applicable, Chapter VII, on the basis of assumed positions representing the positions that they should hold in order to duplicate the composition and performance of an index or basket of shares or debt instruments referred to in the paragraph below, Where the following conditions are met:
(a) The collective investment agency's mandate is to duplicate the composition and performance of an index or basket of externally generated shares or debt instruments;
(b) Coefficient of correlation of at least 0.9 between the daily changes in the share price of the collective investment body and those of the index or basket of shares or debt instruments that it reproduces can be clearly established on a Period of at least six months. This correlation coefficient is defined as the ratio between the daily returns of the collective investment agency in a negotiated market and those of the index or basket of shares or debt instruments it reproduces.
When a taxable institution is not aware of the underlying exposures of the collective investment agency on a daily basis, it can calculate the capital requirements for Position, general and specific, in accordance with the provisions of this Chapter under the following conditions:
a) It shall be presumed that the collective investment body shall invest, for the maximum amount authorized by its mandate, in the category Assets requiring the capital requirement for risk of position, general and specific, the highest, and then the one requiring lower requirements until the maximum investment limit is reached. The positions of the taxable person in the form of investments made in shares of the collective investment agency shall be treated as if these assumed positions were held directly;
b) The taxable establishment shall hold Account of the maximum indirect exposure to which it could be exposed by taking positions with a leverage effect in the form of investments made in shares of the collective investment agency, by increasing proportionally its Position up to the maximum exposure on underlying investments, as authorized by the investment mandate;
(c) The capital requirement for risk of position, general and specific, calculated in accordance with the paragraphs Shall be capped at the level of the capital requirement referred to in Article 310-2.
For the application of the specific treatments referred to in Articles 312-1 to 312-4, taxable establishments may entrust a third party to calculate and declare the capital requirement relating to the Risk of position, general and specific, for their positions in the form of investments made in shares of a collective investment organisation. Institutions that are subject check the accuracy of this calculation and declaration
Term positions, as well as optional positions, are converted to equivalent positions on the underlying instrument (s), provided they meet The provisions specified below.
Interest rate futures contracts, interest rate futures contracts, and term commitments to purchase and sell debt securities are treated as combinations of positions to Purchase and sale:
-a position to purchase in term interest rate contracts or interest rate futures contracts is considered to be the combination of a bond maturing on the date of contract delivery And a long position on the underlying instrument of the contract in question. The positions on sale are treated symmetrically;
-a commitment to purchase a debt obligation in the long term is treated as the combination of a bond maturing on the date of delivery and a position on the stock. Sales commitments are processed symmetrically.
For the calculation of interest rate risk within the meaning of Section 2, financial exchanges are apprehended on the same basis as the instruments on the balance sheet. An interest rate exchange in which an institution receives a variable rate and pays a fixed rate is treated as the combination of a long position in a variable rate instrument with a maturity equivalent to the period up to Re-fixing the interest rate and a short position in a fixed-rate instrument with the same maturity as the exchange itself.
When the variable rate induces a more complex behavior, the establishment will adopt a decomposition as well Basic positions that are necessary or will use a sensitivity algorithm.
For certain methods of processing options specified in Chapter VIII, interest rate options or warrants, debt instruments, title deeds, stock indices, financial contracts, exchanges Financial and foreign currencies are treated as if they were equal to the amount of the underlying instrument of the option, multiplied by the delta. The resulting positions may be countervented with opposite-sign positions in identical underlying securities or derivatives under the conditions specified in Sections 2 and 3 of this Chapter. The delta used is that of the relevant market or, where it is not available or for off-stock negotiable options, the delta calculated by the institution itself, provided that the algorithm used by the institution is a Standard algorithm type Cox, Ross, Rubinstein or Black and Scholes or another type of assimilable and equivalent algorithm that incorporates sufficiently conservative assumptions; in the latter case, this algorithm is pre-communicated to the Banking Commission that may oppose it.
Futures financial futures contracts and the delta equivalents of options for futures contracts on stock indexes can be decomposed into individual positions Titles that make up the index. These positions can then be offset with the positions identified on the underlying conditions under the conditions specified in sections 2 and 3 of this chapter.
Institutions can treat all positions in derivatives of interest rates (future rate agreements, rate exchange agreements, as fully compensated). Ceiling or floor rate agreements, exchange contract options) that meet at least the following conditions:
(a) The positions are countervented to the same nominal value and are denominated in the same currency. Same underlying;
(b) Reference rates for variable or reviewable positions are identical and the difference between coupons for fixed-rate positions is no more than 20 basis points;
(c) The date of the rate redetermination Of interest or, for fixed coupon positions, the residual maturity is within the following limits:
-less than one month: same day;
-between one month and one year: within seven days;
-more than one year: within 30 days.
The positions for which the capital requirements are determined according to the risk measure calculated by a clearing and warranty room, under the conditions set out in Section 2 of the Chapter VIII shall be dissociated from the positions identified for the purposes of the calculations provided for in Section 2 of Chapter III, Chapter V and Section 1 of Chapter VIII
Positions related to firm catch commitments are taken into account only from the day on which the establishment irrevocably undertakes to accept a known quantity of securities at an agreed price (day
Two types of reduction are then applied to determine the amount of positions that will be integrated into the corresponding headings on property or debt securities:
(a) Positions underwritten or taken over by Third parties on the basis of a formal agreement are deducted from the irrevocable positions taken by the institutions;
(b) For the calculation of the specific risk, and also, in the case of property titles, for the calculation of the general risk, the positions Net result is determined by the following coefficient multiplied by the following coefficient:
-zero working day: 0 %;
-first working day: 10 %;
-second and third working days: 25 %;
- Fourth working day: 50 %;
-fifth working day: 75 %;
-beyond the fifth working day: 100 %.
In the case of debt securities, for the calculation of general risk, the titles are retained for their entirety Value from the business day of zero.
At the time of the initial commitment, the taxable establishment must ensure that it only takes risks to a measure that is consistent with its level of capital
In the absence of a contrary provision, taxable seller institutions use the notional amount of credit derivatives to calculate capital requirements for risk Market associated with their positions
For credit derivatives other than total return swaps (total return swaps in English), taxable institutions use the contract deadline to calculate the risk
The positions are determined in accordance with the following provisions according to the type of instrument:
i) a total return contract (total return swap, in English) is treated as:
-for the general risk, A long position on the reference asset and a short position on a State bond whose maturity corresponds to the next interest rate fixation and is weighted at 0 % as part of the standard approach to credit risk; And
-a long position on the specific risk reference asset;
(ii) a credit default swaps (CDS in English) does not give rise to a general risk position. As a specific risk, it is treated as:
-a synthetic long position on a commitment on the reference entity where the derivative does not benefit from any external credit assessment and does not meet the conditions Eligibility referred to in Section 2;
-a long position on the derivative when it receives an external credit assessment and complies with the eligibility requirements referred to in Section 2.
Where premium payments Or interest is due under the contract, these cash flows are treated as notional positions on a State obligation;
iii) a credit linked note (CLN in English) relating to a single name Is treated as:
-a long position on the instrument itself, considered an interest rate instrument, as a general risk;
-a synthetic long position on a commitment on the reference entity, for risk Specific; and
-a long position for the specific risk of the issuer of the title linked to a credit reference.
When the credit linked note (CLN) has an external evaluation In accordance with the conditions of eligibility referred to in Section 2, taxable institutions shall retain a single long-standing position as regards the specific risk on the instrument.
(iv) a credit linked Note, CLN in English) for a portfolio of names and providing proportional protection is treated as:
-a long position for the specific risk on its issuer; and
-positions on each reference entity in the Title of specific risk. The total notional amount of the contract is divided over all the positions according to the relative share of each position on a reference entity. Where there are several commitments on the same reference entity, taxable establishments retain the commitment that receives the highest weight to determine the specific risk.
Where a title linked to a reference Credit linked note, CLN in respect of a portfolio of names has an external credit assessment and respects the eligibility requirements referred to in Section 2, the institutions subject to a single position Long as the device-specific risk;
v) a credit derivative in the first default is treated as several headings corresponding to the notional amounts of commitment on each reference entity. Where the amount of the maximum payment in the event of a credit event is less than the capital requirements calculated in accordance with this paragraph, this maximum payment amount may be retained as a risk capital requirement
A second default credit derivative is treated as several positions corresponding to the notional amounts of commitment on each reference entity, with the exception of the entity that is the subject of the capital requirement. Lower. Where the amount of the maximum payment in the event of a credit event is less than the capital requirements calculated pursuant to this paragraph, this maximum payment amount may be retained as a risk capital requirement
When a credit derivative in the first or second default is the subject of an external credit assessment and complies with the eligibility requirements referred to in Section 2, taxable establishments may calculate a single credit derivative. Capital requirement reflecting the external credit assessment of the device.
Establishments subject to purchasers of protection determine their positions by symmetry with the treatment applied to determine their positions as protection sellers, except for securities Linked to a credit linked notes (CLN) which does not give rise to a short position on the issuer.
When it is foreseen, at a certain date, a purchase option associated with an increase in remuneration (step up en English), this date is considered the term of protection.
In the case of default credit derivatives, protection buyers are allowed to compensate for the specific risk on the underlying n-1 underlying assets The lowest specific risk capital requirement.
For the calculation of specific risk capital requirements for the positions in the trading portfolio covered by credit derivatives, the institutions subject to Following provisions:
a) Full recognition is allowed when the value of both legs always evolves in the opposite direction and in a generally identical way, that is, in one of the following situations:
i) both legs are Made up of completely identical instruments;
ii) a long cash position is covered by a total return contract (total return swap in English), or vice versa, and there is a perfect match between the asset And the underlying exposure. The maturity of the exchange contract may differ from that of the underlying exposure.
In these situations, taxable establishments do not apply specific risk capital requirements to both legs of the position;
(b) One Compensation at 80 % height is recognised when the value of the two legs always evolves in the opposite direction and the following conditions are met:
i) there is a perfect match in terms of reference assets, maturity of The reference asset and the credit derivative, and the currency of the underlying exposure;
(ii) the main features of the credit derivative contract do not lead to a significant difference in the price of the credit derivative of the derivative Cash position
To the extent that the transaction actually transfers the risk, compensation of 80 % of the specific risk is then applied to the leg of the transaction giving rise to the capital requirement the most High. The specific risk requirement for the specific risk applied to the other leg of the operation is zero;
c) Partial recognition is permitted where the value of both legs usually evolves in the opposite direction, i.e. The following situations:
i) the position corresponds to the situations referred to in (ii) of paragraph a, but the correspondence between the reference asset and the underlying exposure is imperfect. The position, however, meets the following conditions:
-the reference asset is of a rank equal to or less than the underlying commitment;
-the borrower is the same for the underlying commitment and the reference asset. These are accompanied by cross-default or cross-payment clauses that can actually be implemented;
ii) both legs are fully identical instruments or the position corresponds to the situations Referred to in paragraph a, but there is an asymmetry of currency or maturity between the credit protection and the underlying asset. The currency asymmetry cases form part of the information transmitted for exchange risk in accordance with Section 1 of Chapter IV;
(iii) the position corresponds to the situations referred to in paragraph a, but the correspondence between the Cash position and the credit derivative is imperfect. The underlying asset, however, is physically delivered in accordance with the documentation for the credit derivative contract.
In each of these situations, taxable institutions retain the highest of the two funding requirements. Specific risk related to each leg of the transaction;
d) In situations other than those referred to in the preceding paragraphs, taxable institutions calculate a risk capital requirement Specific for each of the two legs of their positions
A convertible bond must be considered an obligation when the probability of exercise is very low and as a title of property when due Market conditions, conversion is likely and does not result in losses to the establishment. In intermediate cases, it will be decomposed into a rate component and a property title component in an appropriate manner.
Stock purchase order positions are treated as stock options.
Positions on certificates of securities in deposit may be offset with the positions on the corresponding property titles or identical property titles in different places.
Pension, loan or debt operations, other transactions adjusted to market conditions do not affect the net position of the institution in these securities. They can generate interest rate risk when they are made against species. In this case, they analyze themselves as purchase transactions coupled with sales transactions, on different values dates and are processed in accordance with the provisions of Article 313-2
Subject institutions classify their net positions, reported in market value, according to the currencies in which they are denominated and calculate separately in each currency the requirement of funds Specific for general risk and specific risk
The following items are not subject to specific risk capital requirements:
-the elements deducted from the own funds;
-the positions that result from the decomposition of the Derivatives, within the meaning of Article 313-1, since they are not covered by the following articles of this subsection;
-the elements referred to in paragraphs c and d of Article 302.
Subject institutions affect their net positions in the negotiation portfolio to the following table categories based on the internal credit rating or external credit rating of The issuer or the debtor and their residual maturity to maturity. These net positions are multiplied by the weights mentioned in this table for the calculation of capital requirements. Taxable institutions add up the resulting weighted positions, whether long or short, to calculate their own specific risk capital requirements.
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For institutions subject to internal credit risk ratings, the debtor must, in order to benefit from an external evaluation Credit corresponding to a specified credit quality level, be the subject of an internal rating associated with a probability of default less than or equal to that associated with the credit quality level in question, in accordance with Provisions of the standard credit risk approach.
For items not eligible in accordance with Articles 321 and 323, the specific risk capital requirement shall be 8 % or 12 % in accordance with the table referred to in the preceding
. Securitisation positions, which are deducted in accordance with Article 6 (a) of Regulation No 90-02 or which are weighted at 1 250 % in accordance with the provisions of Title V, shall be subject to a minimum capital requirement equivalent to That which would result from the application of those provisions. Liquidity lines that do not benefit from external credit assessment shall be subject to a minimum capital requirement equivalent to that which would result from the application of the provisions of Title V.
A weighting of 0 % is Applied to debt instruments issued or guaranteed by the central banks and central banks mentioned in the table referred to in the preceding article, denominated and financed in the currency of the borrower.
For the purposes of the preceding Articles, eligible elements include:
(a) Long and short positions on assets eligible for external credit assessment at least Step 3 (investment grade, in English) as defined in Title II;
(b) Long and short positions on assets which, due to the solvency of the issuer, have a probability of default of less than or equal to that of the assets Referred to in paragraph a, as part of the internal credit risk rating approaches;
(c) Long and short positions on assets that do not benefit from an external credit assessment when the following conditions are met :
i) they are considered to be sufficiently liquid by the affected institutions;
ii) their quality is judged by the reporting institution at least equivalent to that of the assets referred to in paragraph a;
iii) the Assets are listed on at least one recognised market in a Member State or in a recognised market in a third country;
(d) Long and short positions on assets issued by taxable institutions, or by institutions of a Member State, which Are considered to be sufficiently liquid by the taxable establishment concerned and whose credit quality is judged by that institution at least equivalent to that of the assets referred to in subparagraph (a);
e) Securities issued by institutions Whose credit quality is regarded as equivalent or higher than that associated with step 2 of credit quality as defined in Title II and which are subject to a prudential supervisory regime equivalent to that applied to
, due to the credit worthiness of the issuer, the instruments present a particular risk, the establishments shall apply the highest of the weights of the table referred to in Article 321.
Positions shall be declared in market value and classified according to the method of the schedule referred to in Article 325, according to the method of duration referred to in Article 326 or according to the method using an algorithm Section 327.
Net positions corresponding to collective investment undertakings in interest rates may be charged in their entirety at maturity corresponding to the actuarial sensitivity of the Portfolio.
The schedule method consists of the following three steps defined in paragraphs a, b and c below:
-the weighting of predetermined net positions by instrument and by Deadline. This weighting is intended to reflect their sensitivity to general interest rate changes;
-the netting of weighted net positions, successively within the same maturity range, between different ranges, to Within each zone and between different zones;
-the determination of the capital requirement.
a) The taxable establishments determine their weighted net positions in accordance with the following provisions:
i) the Net positions are charged to the appropriate target ranges of the following table:
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ii) the Classification of instruments in maturity ranges is based on the residual maturity for fixed-rate securities and the period remaining until the rate re-determination for other instruments. A distinction is also made between instruments with a coupon of 3 % or more and those with a coupon of less than 3 %;
(iii) each position is then multiplied by the weighting given in column (4) of the table Above for the relevant maturity range;
b) Subject institutions shall take into account the offsetting effects in accordance with the following provisions:
i) within the same range of maturities, positions Short weighted positions are compensated with the weighted long positions to determine the compensated weighted position. The short or long balance is the uncompensated weighted position of this range;
ii) by zones, the taxable establishment calculates the total of the uncompensated long positions in the ranges of each of the fields in the table To obtain the uncompensated long position of each field. Similarly, the uncompensated short positions of the ranges in each field are added for the calculation of the uncompensated weighted short position of this field.
The portion of the uncompensated long position of a field Which is offset by the uncompensated weighted short position of the same area is the offset weighted position of this field.
The portion of the long or weighted short position not compensated for an area that cannot be Offset is the uncompensated weighted position of this area;
(iii) between zones, the reporting institution calculates the amount of the non-offset long (or short) position of field 1 that is offset by the short position (or, respectively, long) not compensated for in Area 2. It thus determines the offset weighted position between fields 1 and 2.
The same calculation is then made for the portion of the non-compensated residual position in Field 2 and the uncompensated weighted position of Field 3, in order to Calculate the compensated weighted position between fields 2 and 3.
The interzone compensation order can be reversed: the compensated weighted position between fields 2 and 3 is then calculated before the offset weighted position between the position The residual uncompensated position of Area 2 and the uncompensated weighted position of field 1.
The residual uncompensated position in Field 1 is then offset against the residual non-compensated position in Field 3, in order to Calculate the compensated weighted position between fields 1 and 3.
From these interzone compensation operations result from the final residual weighted positions (final positions);
c) Subject establishments determine The capital requirement by the sum of the following:
-10 % of the sum of the weighted positions offset against all maturities;
-40 % of the offset weighted position of field 1;
-30 % of the position Offset offset for field 2;
-30 % of the offset weighted position in field 3;
-40 % of the offset weighted position between fields 1 and 2 and between fields 2 and 3;
-150 % of the offset weighted position between fields 1 and 3;
-100 % of the final positions.
A taxable institution wishing to use the duration method must forward its intention to the General Secretariat of the Banking Commission. The Banking Commission may object to the use of this method. Only establishments that have the means to use it on an ongoing basis can be used.
The duration method consists of the following four steps defined in paragraphs a to d below:
-the calculation of the modified duration of each Debt obligation;
-distribution of positions by duration field;
-compensation for positions within zones and between different fields;
-determination of capital requirement.
a) For calculation of the As amended, the taxable establishment takes the market value of each fixed-rate debt obligation and calculates its yield at maturity, which is the implicit discount rate of that title. In the case of variable rate instruments, the reporting institution takes the market value of each instrument and then calculates its performance by assuming that the principal is due at the next interest rate redetermination.
The taxable establishment then calculates the modified duration of each debt obligation using the following formula:
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where:
-r is the rate of return;
-P, the price of the debt obligation;
b) For the calculation of the weighted positions, each debt obligation is classified, according to its modified duration, in the Next table:
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The weighted position is determined by multiplying the market value of each Instrument by its modified duration and the assumed change in the interest rate;
(c) In order to take into account the compensation of the positions, the logic described for the method of the schedule shall be applied to the table referred to in subparagraph (b). Obtain the various offset and non-compensatory positions;
d) The capital requirement is equal to the sum of the following:
-2 % of the weighted offset on the basis of the duration of each field;
-40 % of the Weighted positions weighted on the basis of duration between fields 1 and 2 and between fields 2 and 3;
-150 % of the weighted offset on the basis of duration between fields 1 and 3;
-100 % of the weighted positions Non-compensated residuals based on duration.
Taxable institutions will be able to use discount valuation techniques to calculate directly, by maturity range, the sensitivities of the rate instruments and Of their coverage. The algorithm used by the institution must be communicated to the General Secretariat of the Banking Commission. The Banking Commission may object to its use. This sensitivity shall be evaluated in relation to the independent fluctuations of a rate sample on the yield curve and shall have at least one sensitivity point for each of the ranges in the table below:
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The reporting institution then includes in the table a sensitivity by category of instruments within the Corresponding range. This sensitivity is weighted by the assumed change in the interest rate. May be carried directly within the same range of weighted sensibilities as long as they arise from instruments valued on the same rate curve; for this purpose, any obligation is deemed to be Valued on a sui generis curve. Compensation shall be based on the terms and conditions of the duration method.
The capital position risk capital requirement is the sum of a requirement calculated for the general risk referred to in Article 329 which corresponds to the price variation of the Title to the general market development and a requirement calculated for the specific risk referred to in Articles 330-1 to 330-5, attributable to the factors specific to the value or issuer concerned.
To calculate the base of the Risk, the taxable establishment will cumulate the set of net buyer positions determined on each property title and all the net position positions. The difference between these two amounts represents the overall net position. The overall net position is calculated for each domestic market for which the taxable establishment holds title.
The general risk-related capital requirement is determined by applying a factor of 8 % to the overall net position, for each domestic market, and then summing the calculated requirements.
For the calculation of the specific risk, the taxable establishment applies to each net position, to the purchase or sale, a function of the liquidity and diversification of the position, in the Following conditions. The sum of the weighted positions is the specific risk capital requirement.
Securities positions are assigned a 4 % coefficient. However, taxable establishments are allowed to retain a reduced coefficient of 2 % when the following conditions are met cumulatively:
-no individual position represents more than 5 % of the value of the portfolio Total of ownership of the establishment, this limit of up to 10 % if the total of the positions concerned does not exceed 50 % of the overall portfolio of property titles;
-the title of property is very Liquid;
-these property titles must not come from issuers that have issued only debt securities subject to a weighting of 8 % or 12 % according to the table referred to in Article 321, or which are weighted more Weak by only a warranty or protection mechanism.
For index positions, no specific risk capital requirements are applied to financial futures contracts on stock indices that are traded on a recognized market and which Represent widely diverse indices. Other positions on sector indices or insufficiently diversified indices will be weighted to 4 %.
Instrument positions already deducted from own funds under Regulation No 90-02 are exempt from a specific risk capital requirement.
In order to cover the risk resulting from compaction-term trade-offs (amount for amount), the taxable establishment must meet a capital requirement of:
-the value of the The two legs of the arbitration multiplied by a weighting factor of the residual duration of the transaction if the index is sufficiently diversified and negotiated in a recognised market. This latter condition must be understood as implying that all the positions concerned, out of securities in conservation, have actually been taken on such a market. The weights are as follows:
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-2 % of the value of each branch of the arbitration if This last condition is not fully or partially met.
The positions resulting from the compaction-term trade-offs (amount for amount) are exempt from specific risk capital requirements.
The overall net foreign currency position is determined in two steps described in subparagraphs (a) and (b) below:
a) Taxable institutions calculate their open net position in each currency, including The euro. The position is the algebraic sum of the positive and negative elements listed below:
i) the selected elements are:
-the net cash position, that is, all assets minus all liabilities, Including accrued interest not matured in the currency. Transactions involving the purchase or sale of foreign currencies of which the parties do not differ or differ only as a result of the period of operation in accordance with the principle laid down in Article 1 of the Regulation No 89-01 of 22 June 1989;
-the net balance of interest payable or receivable which are not yet accrued but which are fully covered;
-if the institutions subject to it so wish and with the authorisation of the Commission Bank, the net balance of other future revenues and expenses entirely covered by forward foreign exchange transactions; and
-the net forward position, that is, all amounts receivable less all amounts payable under transactions Currency in the future. The transactions for the purchase or sale of foreign currency for which the parties decide to postpone the outcome for reasons other than the period of usance provided for in Article 2 of Regulation No 89-01 shall be considered as foreign exchange transactions. Currency futures contracts;
-the net delta equivalent, or calculated on the basis of the delta, of the total portfolio of currency options. The resulting positions may be offset against the opposite sign positions in identical currencies. Where the delta used is not calculated by a market authority, its calculation method shall be communicated in advance to the General Secretariat of the Banking Commission. The Banking Commission may object to it;
The provisions that are allocated to the cover of assets or off-balance sheet items and which are made in currencies other than those of the assets or off-balance sheet must be:
-taken In the calculation of the position of the currency in which the debt is denominated;
-and excluded from the position of the currency in which the allowance is made.
The net position in a currency is classified as position Net long position where the assets exceed the liabilities; it is described as a net short position when the liabilities exceed the assets.
The taxable institutions take into account the effective exchange positions linked to their assets. Investments made in units of collective investment to calculate their net foreign exchange position. Third-party declarations may be used to determine these positions, in which case the reporting institutions verify the accuracy of these statements.
Where a reporting institution is not aware of the positions of Changes related to their investments in shares of a collective investment organization, it is assumed that the organization invests in foreign currency for the maximum amount authorized by its mandate. The taxable institution shall take into account the maximum indirect exposure to which it could be exposed by taking positions with a leverage effect in the form of investments made in the shares of the collective investment agency by increasing Proportionally its position to the maximum exposure on the underlying investments as authorized by the investment mandate. This deemed exchange position shall be treated as a separate currency in accordance with the treatment of the investments in gold, provided that, where the investment direction of the collective investment agency is known, the long position Total can be added to the total of the open long exchange positions and the total short position can be added to the total of the short open exchange positions. No compensation is allowed between these positions before the calculation of capital requirements;
ii) the excluded elements are:
-transactions whose currency risk is supported by the state;
-on its request, An establishment may be authorised by the Banking Commission to exclude non-expendable and structural assets such as shareholdings and subsidiaries, tangible and intangible fixed assets, which are financed in a currency other than Their label currency.
Any changes to the exclusion conditions for these categories of transactions require the authorization of the Banking Commission.
Use of the current value is allowed for the calculation of the net position Open in each currency. This possibility is, however, subject to the use of a satisfactory method by the General Secretariat of the Banking Commission, in particular with regard to the interest rates retained for the discount
. Gold position is calculated separately;
b) Net short and long positions in each currency are converted to the euro exchange rate. These positions are summed separately to provide the total short net positions and the total net long positions, respectively. The overall net currency position is calculated for each taxable institution included in the consolidation and, for each of them, balanced in the relevant currency so that the sum of the long positions equals those of the short positions. The consolidated consolidated net position is obtained by consolidating the individual positions thus calculated
The capital requirement is determined by successive offsets, amount for amount, consolidated long positions, and consolidated short positions until they are exhausted. Each set-off shall be accompanied by an equity requirement equal to the amount of the position multiplied by a function factor of the correlation of the foreign exchange rates thus offset, under the following conditions:
Countervailing positions In the currencies of the Member States participating in the new exchange rate mechanism of the European Monetary System are subject to a requirement of own funds limited to 1.6 % multiplied by the value of these countervailing positions. The offset is the amount of a position in a currency that is counterbalanced by a position of opposite direction in another currency.
The CFA franc and the PSC franc after conversion to the current exchange rate may be Offset against the euro without capital requirements.
Foreign currency positions with a close correlation, but other than the currencies of the Member States participating in the new exchange rate mechanism of the European Monetary System, are Subject to an equity requirement equal to 4 % of the offset amount.
Other offset positions are subject to an equity requirement equal to 8 % of the offset.
The net gold position is subject to a requirement equal to 8 % of its amount, in absolute value
The calculation of basic product positions is performed according to the following rules:
(a) Positions are established on a net basis on the same base product. Positions on different commodities are not countervailable between them. However, positions on sub-categories of the same product may be offset if they are substitutable for each other and if the establishment can clearly establish a correlation of 0.9 of the prices over a period of one year;
b) Positions Cash and term are expressed in standard units of measure such as barrels, kilograms and are converted to the spot price of the product, and then into the national currency on the basis of the spot exchange rate. These headings are included in a maturities table, the model of which is presented in Article 334-1;
(c) All derivatives and positions affected by changes in the prices of these products shall be included in the Measurement;
d) Optional positions may be excluded from the positions at the same time as the underlying coverings and are treated specifically according to one of the methods described in Section 1 of Chapter VIII;
e) The Institution May retain, as a capital requirement, the measure of risk determined by the clearinghouse and guarantee in accordance with the conditions set out in section 2 of Chapter VIII. Positions that are the subject of a capital requirement calculation in accordance with these terms and conditions shall be dissociated from the positions for which the capital requirement is calculated in accordance with the provisions of this section.
Term financial instruments and futures contracts on individual commodities will have to be incorporated into the measurement system as notional amounts expressed in standard units and receive a maturity date Referring to the expiration date. For contracts with daily delivery dates, positions on contracts expiring less than 10 days apart can be offset before they are entered in the table.
Base product swap agreements One component is a fixed price and the other the current market price will have to be incorporated as a set of positions equal to the notional amount, with a position for each payment in the corresponding slice of the table. The positions will be long if the institution pays a fixed price and receives a variable and short price if it does not.
The commodity exchange contracts for different products will have to be carried forward to Each of the corresponding tables.
Optional positions will be integrated into delta equivalent.
Positions that are purely stock financing (a physical stock that has been sold over time, and the cost of financing having been frozen up to sale) can be excluded from the table. They result in a capital risk capital requirement calculated in accordance with the terms of Section 2 of Chapter III
In application of the maturity table approach, positions on individual commodities are entered in a maturity table, with amounts of physics being allocated to the first tranche. A specific table is used for each selected base product.
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Requirements are calculated by product. As follows:
a) The reporting institution compensates for long positions and short positions within each slice. The capital requirement for this offset is equal, for each tranche, to the sum of the amounts (short and long) offset by 1.5 % (rate spread coefficient);
(b) In a second step, the residual net position Shall be carried forward successively in the upper and offset, where appropriate, with positions of meaning contrary by application of the rate differential coefficient. Each deferral of a position to the higher end date is accompanied by an additional capital requirement equal to 0.6 % (carry-forward coefficient) of the deferred amount.
By successive application of the deferral, the institution will show the Net position, subject to 15 % requirement ("directional risk coefficient") Amount.
With the permission of the Banking Commission, establishments which carry out a significant activity on commodities and have a diversified portfolio of these products may use, instead of Previous coefficients, the rate, carry-forward, and directional coefficients for the following table:
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Taxable institutions may opt for the simplified approach for calculating the capital requirement. This is equal to each product at 15 % of the net position increased by 3 % of the gross position (sum of long or short positions)
The capital requirements for the risk of payment settlement are calculated for transactions falling within the scope of the negotiation portfolio within the meaning of Section 1 of Chapter II, or Transactions initiated by customers of the facility for which the facility has been ducroire.
In the case of outstanding transactions in debt securities, title deeds, currencies or commodities, excluding pension and loan transactions and borrowing of securities or products from Basis, two situations may arise, as explained in Sections 337-2 and 337-3.
In the case of transactions in debt securities, property titles, currencies and commodities, that are not untied after the delivery date under a delivery settlement system Ensuring the simultaneity of exchanges, the taxable establishments calculate the difference in price to which they are exposed. This difference in price is the difference between the agreed settlement price for the debt obligation, the property title, the currency or commodity under consideration, and its current market value. Where this difference can result in a loss for the reporting institution, taxable establishments multiply this difference by the appropriate factor in column A of the table below to calculate their funding requirement Clean.
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Transactions giving rise to the issue of currency without the receipt of the securities, the corresponding currencies or commodities, or vice versa to the delivery of securities, currency or products of Basis without receipt of the corresponding species, are subject to specific capital requirements as follows:
-up to the first contractual date of payment or delivery, no capital requirements are required ;
-from the first contract date of payment or delivery to the second contract date of payment or delivery, the risk is treated as an exhibition;
-5 working days after the second contract date of payment Or delivery, taxable institutions deduct from their own funds the amount transferred as well as the positive current exposure.
For cross-border transactions, capital requirements are calculated only as of the day Following delivery or payment.
When the risk is treated as an exposure, institutions subject to internal credit risk ratings may affect counterparties on which they are not Other exposures within the bank portfolio a probability of default corresponding to their external credit assessment. Taxable institutions using the advanced internal credit risk rating approach may hold a loss in the event of a default of 45 %, subject to applying it to all of their counterparties for the calculation of the fund requirements In
of the treatment referred to in the preceding paragraph, institutions subject to the internal credit risk ratings may use the weights defined for the The application of the standard credit risk approach, subject to applying them to all of their counterparties for the calculation of the capital requirements for the risk of settlement. Failing this, taxable establishments shall apply a 100 % weighting to all their exposures for the purposes of this section.
Where the amount of an exposure is not significant, taxable establishments may Apply a 100 % weight to this exposure.
In the event of a systemic failure of a settlement or set-off system, the Banking Commission may decide that the provisions of Articles 337-2 and 337-3. In this case, the inability of a counterparty to unwind an operation is not considered a default for the purposes of the credit risk provisions
Taxable institutions calculate capital requirements for counterparty risk for the following items included in their trading portfolio:
a) Derivative instruments from Willingly and credit derivatives;
b) Pension, loan and borrowing transactions of securities or commodities when the relevant securities or commodities are included in the negotiating portfolio;
c) Loan operations Margin on base titles or products;
d) Deferred settlement operations.
The risk exposure values and the counterparty risk-weighted exposure amounts are calculated in accordance with the provisions of the Titles to V, to which the changes are made
a) Schedule II to this Order also applies to credit derivatives;
b) Title VI is amended by including the following provisions:
i) to obtain the potential future risk of total return trade (total Return swaps, in English) and credit default swaps, the nominal amount of the instrument is multiplied by the following percentages:
-5 % when the reference asset is as it would be Considered to be an eligible element within the meaning of Article 323 if it constituted a direct risk;
-10 % where the reference asset is such that it would not be considered an eligible element within the meaning of Article 323 if it constituted a risk Direct;
ii) for credit default swaps (CDS in English) giving rise to a long position on the underlying, taxable establishments may use a percentage of 0 %, unless the derivative contract of Credit is accompanied by a winding-up clause in the event of insolvency of the entity in which case the exposure as a result of the exchange is a short position on the underlying, even if the underlying is not lacking;
(c) For the Credit derivatives at the default level, the percentage referred to in the above b shall be determined on the basis of the asset which presents the level of credit quality and which would be considered eligible under Article 323 if it were detained Directly by the taxable establishment.
For the purposes of the provisions of Article 338-2:
(a) Taxable institutions are not permitted to use the simple method referred to in Chapter II of Title IV for the consideration of effects Financial security; and
(b) For pension transactions, loans and borrowings of securities or commodities included in the negotiating portfolio, taxable institutions may consider all financial instruments and Basic products that can be included in the negotiating portfolio as instruments of eligible real rights;
(c) For exposures related to OTC derivatives included in the portfolio of Trading, taxable establishments may consider the commodities that may be included in the negotiating portfolio as eligible real security instruments;
d) Subject institutions that Use the regulatory parameters approach for the volatility adjustments referred to in Chapter II of Title IV treat the instruments recognised as eligible in accordance with paragraphs b and c as listed shares on a market Recognized not included in a main index for the calculation of the volatility adjustments associated with these instruments;
e) Taxable institutions that use their own estimates to calculate volatility adjustments in accordance with In Chapter II of Title IV calculate volatility adjustments for each of the instruments recognised as eligible in accordance with paragraphs b and c;
f) Taxable institutions using internal models in accordance with Chapter IV Title IV may also be used for the elements of the negotiating portfolio;
(g) Framework agreements de novation or compensation framework agreements relating to the operations of pensions, loans or loans of securities or Commodities or other transactions adjusted to market conditions, may be used to offset the positions of the trading portfolio and the positions of the bank portfolio subject to the operations being the subject of Compensation complies with the following conditions:
i) all transactions are evaluated daily at market price;
ii) all items borrowed, purchased or received as part of these transactions are recognized as instruments Of financial security rights eligible for the application of Title IV. For the purposes of this paragraph, the provisions of paragraphs b to f above shall not apply.
When a credit derivative included in the trading portfolio is part of an internal cover and credit protection is recognized under this Order, the associated counterparty risk To the position on the credit derivative is deemed to be nil.
The capital requirement for counterparty risk is 8 % of the total weighted exposure amount
Subject establishments are required to comply permanently with all the provisions of Regulation No 93-05:
-for those of their operations which Shall be processed in a bank portfolio, including in application of the treatment referred to in Article 293-1;
-and under the conditions set out in this Chapter for all their operations.
For the purposes of this Chapter, own funds shall be defined as own funds as determined for the application of Regulation No 93-05, and by risk:
-the risks as defined in Article 2 Regulation No 93-05;
-the risk of position and settlement-delivery-counterparty, calculated in accordance with the procedures described in Articles 340 and 341.
For the calculation of position risk, taxable institutions calculate the net position in each of the financial instruments issued by the recipient in accordance with the methods defined in Section 1 Chapter III. The risk taken into account for the assessment of the high risk rules for the risk of position is equal to the difference, for the same beneficiary, between the sum of the net long positions and the sum of the short net positions. Where this difference is negative, the establishment does not return any amount for the assessment of the risk limits.
Excluded are derivatives traded on a recognized market that provides for the payment of margins Daily. The positions resulting from firm catches may be subject to the reductions provided for in Article 314.
Where the beneficiary is made up of more than one person, within the meaning of Article 3 of Regulation No 93-05, this calculation shall be made for each The sum of the individual positions is the position on the beneficiary.
The risk of settlement-delivery-counterparty corresponds to the risk values held under Section 2 of Chapter V. For the purposes of this paragraph, the provisions of Title III shall be Excluded from the provisions referred to in Article 338-2.
Where the beneficiary is made up of more than one person, within the meaning of Article 3 of Regulation No 93-05, this calculation shall be made for each of them separately; the sum of the risks of Settlement-delivery-individual consideration is the risk of settlement-delivery-consideration on the recipient.
The set of risks on the same beneficiary, calculated in accordance with the provisions of Article 339-2 and decreased, where applicable, the amount of allowances allocated to their coverage and the amount of Collateral or collateral, shall be assigned the weighting rates provided for in Article 4 of Regulation No 93-05.
For the purposes of this Chapter, risks to credit institutions shall be treated as risks to investment undertakings Member States, recognised third-country investment firms, clearing houses and recognised financial instrument exchanges.
Subject-matter institutions may apply the 20 % weighting for positions On credit institutions derived from derivative or risk-matching instruments.
By way of derogation from the provisions of Article 339-1, taxable establishments may be authorised to exceed the limits laid down in Article 1 of Regulation No 93-05, subject to overruns Come from the negotiation portfolio and meet the following conditions:
a) When the overflow is not greater than 10 days:
-the risk from the negotiation portfolio must not exceed 500 % of institution's own funds;
-items in the negotiation portfolio that contribute to the 25 % report overrun must meet additional capital requirements equal to 200 % of capital requirements Relating to these elements, calculated in accordance with the provisions of Sections 2 and 3 of Chapter III and Chapter V;
(b) Where the exceedance exceeds ten days:
-the aggregate amount of the individual exceedances relating to the Negotiation portfolio must not exceed 600 % of the institution's own funds;
-the institution charges the capital requirements relating to the elements of the negotiation portfolio that make up the amount of the overrun, by Increasing order of marginal capital requirements for specific risk as calculated in Sections 2 and 3 of Chapter III or for risk of settlement or counterparty within the meaning of Chapter V, the coefficients Multiplier:
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Subject institutions communicate to the General Secretariat of the Banking Commission, at its request, all cases where the limits referred to in the above article Have been exceeded during the three months preceding the deadline.
In accordance with Article 292-3, the use of internal models for the calculation of capital requirements shall be subject to the authorisation of the Banking Commission which makes this authorisation subject to compliance The following minimum requirements:
a) The institution's risk management system is based on sound principles and is implemented in an integrated manner;
b) Sufficient number of staff Qualified for the use of models developed not only in the area of negotiation, but also in the areas of risk control, internal control and post-market control;
c) The reporting institution's models have proven They measure risks with reasonable accuracy;
d) The reporting institution regularly conducts crisis simulations in accordance with the terms and conditions specified below.
In addition to these general requirements, the institutions subject to Using their internal models for the calculation of capital requirements are subject to the requirements described in this chapter
Subject-based institutions must have market risk management systems that are based on sound principles and are implemented in an integrated manner. Qualitative criteria set out below.
The degree of compliance with these criteria may affect the level of the multiplier applied to the calculation of capital requirements as provided for in Article 352.
The following must be at a minimum:
a) The existence of a risk control unit responsible for the configuration and operation of the risk management system. This unit shall, in particular, establish and analyse daily reports on the results produced by the models as well as an assessment of the use of the negotiating limits. It must be independent of the bargaining units and report directly to the executive branch of the reporting institution. This unit performs initial validation and ongoing validation of internal models;
b) The executive body must be actively involved in the risk control process and consider it to be an essential aspect of the business The reporting institution;
(c) Subject-matter institutions shall ensure that the daily reports prepared by the independent risk control unit are reviewed in an appropriate manner and taken into account in order to require a reduction in Positions taken by an operator or even a decrease in the degree of overall exposure of the institution;
(d) The internal risk measurement models of the taxable establishment must be closely integrated into the daily management of these Risks. Their results must be fully part of its market risk profile planning, monitoring and control process;
e) The risk measurement system should be used in conjunction with operational limitations. Which should be consistent with risk modelling and, in particular, by operators;
f) A rigorous programme of crisis simulations should regularly complement the results-based risk analysis Internal models daily. Its conclusions must be examined by the executive body and taken into account in the policies and risk limits laid down in Title V of Regulation No 97-02. When they show a particular vulnerability to a given set of circumstances, appropriate measures must be taken quickly to reduce these risks. This program of crisis simulations takes into account the risk of market illiquidity, the risk of concentration, the directional markets, the risk of sudden events and default, the non-linearity of the products, the positions very outside of the Currency, positions subject to price differentials and any other risk that would not be adequately taken into account by the risk value model. Applied shocks are tailored to the nature of the portfolios and take into account the time required for the introduction of hedging or risk management under adverse market conditions;
g) Must have a program to verify compliance with internal rules and procedures relating to the operation of the risk measurement system. This system is the subject of documentation describing the basic principles and details of measurement techniques used;
h) An independent analysis of the risk measurement system should be carried out on a regular basis as part of the Internal control of the taxable establishment. It must cover both the activities of the bargaining units and the activities of the independent risk control unit. Conducted at regular intervals, at least once a year, it must at least cover:
-the adequacy of the documentation for the system and the risk measurement processes;
-the organization of the control unit Risks;
-integration of market risk measures into the day-to-day management of risks;
-procedures for accreditation of risk measurement methods and recovery systems;
-validation of any changes Significant risk measurement process;
-model coverage of different market risks;
-reliability and integrity of the information system and dashboards;
-accuracy and completeness of Position data;
-procedures for controlling the consistency, updating, and reliability of data used in internal models as well as source independence;
-accuracy and relevance of Volatility assumptions and correlations;
-accuracy of position valuations and risk sensitivity calculations;
-verification of model accuracy through the implementation of an ex-control device Post in the conditions specified in Section 8;
i) The adequacy of the modelling technique and its degree of sophistication for each market to the type and level of commitment of the taxable establishment on that market.
Subject institutions have processes that allow them to ensure that internal models have been validated by qualified entities independent of development teams. This validation process has the following characteristics:
a) It ensures the robustness of the models that adequately cover all significant risks;
b) It is driven at the time of initial development The model and where significant changes are made;
c) It is conducted periodically, and in particular when significant structural changes are observed in the markets or when changes in composition The portfolio justifies it;
d) It incorporates the latest methodological developments and best practices in modeling;
e) It is not limited to ex post control and includes at least the following elements:
Tests show that the assumptions used by the model are appropriate and do not lead to an overestimation or underestimation of risk;
-the institutions subject to their own risk-based validation tests And the structures of their portfolios, in addition to the ex post controls referred to in section 8;
-subject institutions use notional portfolios to ensure that the model is able to take into account situations Structural, including basic or concentration risks
Risk factors, that is, the main market parameters whose variations are considered by the taxable establishment to be the most likely to affect the values of its positions Should be selected in an appropriate manner in relation to its level of activity in the various markets.
Subject to the following conditions:
(a) For interest rate risk, a set of Risk factors must exist for each currency in which the institution holds balance sheet or off-balance sheet positions at interest rates:
-the risk measurement system must model the rate curve on the basis of one of the Generally accepted methods. This curve is divided into several bands of maturity, in order to understand the variation in rate volatility throughout the schedule; each band corresponds to at least one risk factor. For significant positions, taxable establishments must use a minimum of six bands, at least for large currencies;
-the risk measurement system must include separate factors to capture the Risk related to differences in rates between types of instruments or classes of issuers;
(b) For the exchange rate risk, the risk measurement system must include factors corresponding to the gold and the various currencies in which they are denominated The positions of the reporting institution. Actual foreign exchange positions relating to investments made in shares of collective investment undertakings shall be taken into account, as appropriate, on the basis of the declarations of a third party, in which case the institutions subject to the Verify the accuracy of these returns. Where the subject institutions are not aware of the foreign exchange investment positions taken in shares of collective investment undertakings, this position shall be isolated and treated separately in accordance with the provisions of the Article 331;
(c) For risk on title, risk factors must exist for each of the markets on which the taxable establishment holds positions. At a minimum, a risk factor must address the price fluctuations of a given market (market index). A more detailed approach is to identify risk factors for different sectors of the market. The most comprehensive approach is to identify specific risk factors as risk factors;
(d) For the commodity risk, at least one risk factor must be provided for each of the products on which the taxable establishment is subject. Holds positions:
-when positions are weak, a single risk factor may be allowed for a relatively broad subcategory of products, for example, for all crude oil qualities;
-in case of more activity Important, models must take into account the differences between qualities of the same product and maturity. In addition, the variation in the performance of detention between positions on derivatives, including futures and exchange contracts, and cash positions and market characteristics, including dates of Delivery and the opportunities available to operators to untie their positions;
e) For options, the measurement system must include a set of risk factors that apprehend the volatility of rates, prices, and underlying prices. Establishments subject to large or complex portfolio options must use differentiated volatilities based on maturity and, if applicable, exercise prices
The Banking Commission may recognize the use of the internal model of the reporting institution for the measurement of specific risk if this model meets the following conditions:
a) It is apt to explain Ex ante the historical variations in portfolio value;
b) Provides proof of its sensitivity to the risk of concentration in the composition of the portfolio;
c) The reliability of the portfolio remains good in an environment Adverse;
d) The quality of its performance is justified by ex post control;
e) It takes into account the basic risk. As such, taxable establishments show that the model is sensitive to significant differences between two similar but not identical positions;
(f) It takes into account the risk of an event;
g) When a The reporting institution is exposed to a low probability event risk but of high severity that is not taken into account in the risk measures, as it is beyond the ten-day and the interval Confidence of 99 %, it takes these events into account in its internal capital assessment;
h) The institutions' models assess with caution and on the basis of realistic assumptions the risk resulting from the less liquid positions and the Low-transparent pricing positions;
i) The approximations are sufficiently conservative and are only used when the available data are insufficient or do not reflect the actual volatility of a position or Portfolio;
j) Subject institutions take into account the latest methodological developments and modeling best practices.
The risk of default negotiation portfolio positions additional to the default risk already taken into account in calculating the risk value, In accordance with the above provisions, is integrated into the calculation of capital requirements using one of the following methods:
-to avoid a double requirement of capital for the same risk, taxable institutions may Based on the risk of default already incorporated in the calculation of the risk value, in particular for positions which could be unwound within ten days in case of adverse market conditions or the deterioration of the risk of Credit;
-subject institutions may define an additional capital requirement, in which case they must have the methodologies to validate this measure.
Subject institutions demonstrate that their Methodological standards are comparable to the requirements for internal ratings using the assumption of a constant level of adjusted risk, if necessary, to take into account the effects of market liquidity, of the Concentration of positions, covers and options.
Subject institutions that do not take into account the risk of additional default according to an internally developed approach calculate the additional capital requirement in Using a consistent approach with standard approaches or internal credit risk ratings.
Securitisation, traditional or synthetic positions, which are deducted in accordance with Article 6 bis of Regulation No 90-02 or which are weighted to 1,250 % in accordance with the provisions of Title V shall be subject to a minimum capital requirement equivalent to that which would result from the application of those provisions
Active market levels for these securitisation positions may apply a different treatment when they demonstrate to the Banking Commission that they are held for trading purposes and that a liquid and dual-purpose market exists for the Securitisation positions, or, in the case of synthetic securitisation, for the derivatives themselves or for the whole of their components, and where they have sufficient market data to enable them to cover the whole Concentration of the risk of default of these exposures in their approach to measuring the risk of additional default, determined in accordance with the above provisions.
For the purposes of the preceding paragraph, a double-meaning market shall mean a Market with independent and bona fide offers of sale and purchase, so that a price based on the latest selling prices or on the quotations can be determined in one day and settled at such a price in a short period of time In accordance with market practices
The following quantitative criteria must be met:
a) The potential loss is calculated daily;
b) The required unilateral confidence level is 99 %;
c) Shock is applied Snapshot on prices equivalent to a ten-day variation corresponding to a ten-day period of detention. Taxable institutions may use an estimated amount for shorter periods of detention by weighting them by the square root of the report of durations in order to obtain a figure of ten working days;
d) The period of observation (historical sample) for the calculation of the potential loss must be at least one year;
e) Subject institutions must update their data sets at least once every three months and more frequently A significant increase in the observed volatilities;
f) Subject-based institutions may take into account the empirical correlations among all risk factors, provided that the measurement system is reliable, applied Integrity and the quality of the estimates is satisfactory;
g) Models should accurately capture the specific risks associated with the non-linear nature of the price of options or assimilated positions
Taxable institutions that use their internal models to meet capital requirements for market risks must have a rigorous and rigorous program of crisis simulations. Complete. These simulations, which identify events likely to have a high impact, must be tailored to the level of activity and risk of the institutions subject to the activity.
For taxable establishments with an activity Significant market conditions, crisis simulations must comply with the following principles:
a) They must cover the full range of factors which may give rise to exceptional profits or losses or make it very difficult to control Risks. These factors include reduced probability events for all major types of risks, including the various components of market and credit risk. Crisis scenarios must reveal the impact of these events on positions with both linear and non-linear price characteristics in the case of options and similar instruments;
b) They must be Quantitative and qualitative, in order to assess the consequences of major market disturbances and to identify plausible situations likely to lead to large potential losses. In addition, the institution must take stock of the measures to be taken to reduce its risks and preserve its own funds;
c) A first type of scenario is to test the current portfolio in past disturbances Taking into account the strong price changes and the sharp reduction in liquidity associated with these events. A second type of scenario assesses the sensitivity of market positions to changes in the volatility assumptions and correlations, which requires a measure of the fluctuation margins of these values in the past and a calculation on the basis of Extreme numbers;
d) Scenarios should include situations that the institution identifies as the most adverse, based on the characteristics of its portfolio. It shall provide the Banking Commission with a description of the methodology used to identify the scenarios and measure their impact.
In addition to the simulations carried out by the institutions subject to the scenarios themselves, the Banking Commission may Ask to evaluate the impact of scenarios that it has defined and to communicate the set of conclusions.
Subject institutions may be permitted to use their internal model in substitution for the method set out in sections 2 and 3 of Chapter III, in sections 1 Chapter IV and Chapter VIII or in combination with it for the calculation of capital requirements.
For taxable establishments with significant market activity, and with the exception of non-significant risks in respect of Of a particular factor, the use of an internal model requires the adoption of an integrated risk measurement system, which takes into account all the broad categories of factors (interest rates, exchange rates, prices of property titles and products) Base, plus, in each category, the volatility of the corresponding options).
However, the Banking Commission may authorize the use of the models for one or more risk factor categories, subject to compliance with the conditions
a) All the criteria set out in this Chapter apply to the partial model;
(b) Subject establishments may no longer, for the risks assessed, revert to the method described in Chapter III, Sections 2 and 3, Sections 1 and 2 of Chapter IV and Chapter VIII, unless the Banking Commission has withdrawn its authorization for the use of these models
Subject institutions must carry out ex-post checks to ensure that the level of coverage observed corresponds to the level of unilateral confidence of 99 %.
These checks are carried out at From actual results or hypothetical results. These two approaches, which provide some additional guidance, should, if possible, be implemented jointly:
a) Actual results must provide a comparison, for each working day, between the measurement of the value in On a day calculated by the model on the basis of the end-of-day positions and the change on one day of the portfolio value found at the end of the next business day;
b) The hypothetical results are based on a Comparison between the measure of the risk value and the difference between the value of the portfolio at the end of the day and its value, with unchanged positions, at the end of the following day.
The Banking Commission may decide that a taxable establishment Carries out its ex post controls only on a hypothetical basis, or only on a real basis (excluding commissions and net interest income), or on a real and hypothetical basis.
The periodicity of ex post control and of Exception analysis (where the loss exceeds the risk calculated by the model) is at least quarterly. For this purpose, taxable establishments must use the data from the last 250 working days
In the case of combined use of an internal model and the method described in Sections 2 and 3 of Chapter III, Sections 1 and 2 of Chapter IV and Chapter VIII, the Own fund requirements calculated using each method are aggregated by simple sum.
For the part covered by the internal model, the institution is subject to a capital requirement equivalent to the higher of the two The following amounts:
a) The measure of the total risk value of the preceding day, calculated in accordance with the terms and conditions set out in this Chapter, to which, where applicable, the additional capital requirement for the risk of default is added Additional calculated in accordance with Section 4;
b) The average daily measurements of the total risk value over the previous sixty working days, to which a multiplying factor is applied, and to which is Added, where appropriate, the additional capital requirement for the risk of additional default calculated in accordance with Section 4.
The multiplier is assigned to each institution subject to the Banking Commission The quality of its risk management system, with a minimum of 3, and increased, where appropriate, a complementary factor between 0 and 1, in accordance with the table below, according to the number of exceedances highlighted by Ex post control:
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In case many overflows indicate that the model is not sufficient Specific, the Banking Commission may no longer recognize the model for the purpose of calculating capital requirements or may impose appropriate measures to ensure that it is improved quickly.
To enable the Banking Commission to verify On an ongoing basis the adequacy of the supplementary factor, the reporting institution shall inform the General Secretariat of the Banking Committee without delay and, in any case, within five working days of the overruns revealed by their programme of Ex post control which, according to the table above, would involve an increase of the additional factor.
In the case of non-use of the internal model or in case of non-recognition of the model by the Banking Commission for the treatment of the Specific risk, the reporting institution uses the methodology described in Sections 2 and 3 of Chapter III and Section 1 of Chapter VIII to measure the capital requirement for this component
To calculate the capital requirements for hedging of options portfolios, taxable establishments may use the different methods referred to in this chapter.
Subject institutions convert their optional positions into equivalent positions on the underlying and incorporate them into the net positions in accordance with section 313-4.
Requirements of General risk and, where appropriate, specific risk, shall be calculated on these net positions in accordance with Chapter III, Sections 2 and 3, and Sections 1 and 2 of Chapter IV
Additional capital requirements to take account of risks arising from the non-linear behaviour of the options (gamma risk) and the sensitivity of the options to the volatility of the underlying (risk vega).
Gamma and vega factors will be calculated for each individual option and are aggregated by underlying. Could be considered the same underlying:
-for property titles and equity indices, each domestic market;
-for rate instruments, each maturity band, as defined in Section 2 of Chapter III ;
-for currencies and gold, each currency pair and gold;
-for base products, positions on the same product.
Gamma is defined as the second derivative of the value of the option in relation to the underlying. Gamma risk is calculated according to the formula:
Gamma risk = 1/2 x gamma x (underlying variation) ²
The underlying variation is determined in the same way as the risk calculation General, that is,
-for property securities options and equity indices, it is 8 % of the underlying market value;
-for rate instrument options, taxable institutions will be able to calculate the Gamma is directly related to the underlying interest rate, or relative to the underlying market value. In the first case, the underlying change in the underlying interest rate will be the assumed change in interest rates as defined in Section 2 of Chapter III. In the second case, the variation of the underlying will be calculated according to the following formula: the value of the position x modified duration x change in rates according to section 2 of Chapter III;
-for the currency and gold options, the variation The underlying will be equal to 8 % of the price of the currency pair, or the price of the gold. For foreign exchange couples participating in the new exchange rate mechanism of the European Monetary System, this variation will be limited to 1.6 % and 4 % for closely related pairs of currencies;
-for commodities, the variation of the Underlying will be equal to 15 % of the market value of the product under consideration. The 15 % coefficient can be substituted for one of the other directional coefficients, under the conditions set out in Section 2 of Chapter IV.
Each option on the same underlying will have an impact on the gamma either positive or negative. These individual impacts will be tabulated, giving a net gamma impact for each underlying either positive or negative. Only net gamma impacts that are negative will be included in the calculation of equity.
The vega is the derivative of the course of the option in relation to the implied volatility of the underlying. The risk vega is:
Risk vega = vega x (relative volatility variation)
For all risk categories, the relative value change is equal to 25 % of the implied volatility of the Options.
The overall additional risk requirement for general risk is the sum of the absolute values:
-vega risks;
-and negative net gamma risks.
The specific risk is calculated on the set of net positions defined in Section 1 of Chapter III, including the delta equivalent optional positions.
For the calculation of general market risk, taxable establishments can apply so-called "scenario method" algorithms to their options portfolios and hedging positions Attach. In this case, the optional positions and their covers shall be dissociated from the net positions calculated in Section 1 of Chapter III and in Sections 1 and 2 of Chapter IV. The algorithm used by the institution must be communicated to the General Secretariat of the Banking Commission. The Banking Committee may object to this.
These algorithms must be based on the following principles.
Different matrices must be constructed for each instrument category, namely:
-a separate matrix for each national market For risk on property securities and equity indices;
-a currency pair matrix and one for gold for foreign exchange risk;
-one matrix per currency and by maturity group for rate risk (six groups at Minimum). A group of slices consists of up to three consecutive slices as defined in Section 2 of Chapter III;
-a basic commodity risk matrix.
The lines in these matrices represent changes in the underlying value (for general risk only) and must check the following conditions:
-the range of variation is 8 % For property securities and equity indices;
-the range of variation is 8 % for currency pairs and gold; this range is limited to 1.6 % for currency pairs participating in the new exchange rate mechanism of the European Monetary System, and 4 % for closely related pairs of currencies;
-the range of rate changes for a maturity group is equal to the strongest of the assumed rate variations within the group in question ;
-the price range is 15 % for base products; at the 15 % coefficient, can be sublocated one of the other directional coefficients, under the conditions set out in Section 2 of Chapter IV;
-for all Categories of risk, each range is divided into at least seven observations, at the same interval, including current observation.
The columns in the matrix represent the relative volatility of the rate or course Underlying. A minimum variation of 25 % is required.
In each box in the matrix, the portfolio is reassessed in response to underlying movements and volatility. Each box contains the gain or net loss of the options and, if applicable, their associated coverage; the box containing the largest loss provides the portfolio equity requirement for the underlying matrix.
Taxable institutions that process a limited range of options only to purchase will be able to use the simplified approach described below for particular combinations.
If the portfolio consists of a long position on the purchase option or on a sales option, the capital requirement will be the lowest of the two amounts:
-the sum of the general risk and the risk Specific (when there is one) calculated on the underlying;
-the value of the option; for items that are not revalued in the market (for example, certain exchange options), the book value may be retained.
If the portfolio consists of a long position coupled to a long position of sale option, as a proportion of one for one, or a short position coupled to a long position Of one for one, the capital requirement is equal to the sum of the capital requirements for general risk and specific risk (where there is one) calculated on the spot and reduced position, the case The intrinsic value of the optional position, with a minimum of zero. The intrinsic value is the difference:
-for a purchase option, between the underlying market value and the exercise value;
-for a sales option, between the exercise value and the underlying market value.
In all these cases, the optional positions and, where applicable, their associated positions on the underlying, are dissociated from the net positions calculated in Section 1 of Chapter III and in Sections 1 and 2 of the Chapter IV.
For the purposes of calculating the risk of interest rates, risk of ownership and risk on a commodity basis, taxable institutions may retain their own capital requirements for a financial contract. Term, to an option or to a set of such instruments negotiated on a market recognised as the risk measure determined by the clearing and guarantee chamber of the market under consideration in the context of these hedging calls.
The positions that are The purpose of this method of calculating the capital requirement shall be dissociated from the net positions used in Chapter III, Sections 1 to 3, Section 2 of Chapter IV and Section 1 of Chapter VIII
Use this method to ensure that it provides a satisfactory measure of the risk associated with contracts or options, the amount of which must be at least equal to that resulting from the calculations in Chapter III, Sections 1 to 3, in Section 2 of the Chapter IV and Section 1 of Chapter VIII or at least equal to that resulting from the use of internal models under the conditions laid down in Chapter VII. The Banking Committee may object to the use of this measure.
For the purpose of calculating the capital requirement for operational risk, the reference indicator is the algebraic sum:
-interest collected and assimilated;
-interest paid and Assimilated charges;
-revenue from securities;
-commissions collected;
-commissions paid;
-result from financial transactions;
-other operating products,
subject to adjustments Sections 358-2 and 358-3.
Revaluation gains and losses of assets and liabilities entered into for transaction-related transactions must be included in the calculation of the reference indicator.
The reference indicator is calculated before deducting value adjustments and operating expenses other than those referred to in item 358-1. Operating expenses not taken into account include commissions paid for outsourcing services provided by third parties who are not entities of the group. The expenditure incurred by these outsourcing services may be deducted from the reference indicator if external providers are taxable establishments or equivalent companies.
The following items are not used in the calculation of the reference indicator:
(a) Gains and losses on transfers of items other than instruments held for transaction purposes ;
b) Exceptional products;
c) Insurance products
In the basic approach, the capital requirement for operational risk is equal to 15 % of the three-year average of the reporting establishment's benchmark indicator.
The 3-year average is calculated on the basis of the last three annual observations at the end of each fiscal year. When the accounts of the reporting institution have not yet been certified, an estimate of the reference indicator is used.
When, for a given observation, the reference indicator is zero or negative, it is not taken into account In calculating the 3-year average. The average reference indicator is the sum of the strictly positive annual reference indicators divided by the number of years for which the reference indicator is strictly positive
In the standard approach, the reference indicator, as defined in Chapter I of this title, is calculated separately by activity line.
The Risk Capital Requirements Indicator Each year shall be equal to the sum of the reference indicators for each line of activity multiplied by the percentage corresponding to this activity line as mentioned in Annex IV.
The capital requirement for operational risk is the 3-year average of the capital requirements indicators calculated each year on all the activity lines described in Annex IV.
The 3-year average is calculated on the basis of the last three annual observations at the end of each financial year. When the reporting institution's accounts have not yet been certified, an estimate of the reference indicator for each line of activity is used.
For a given year, a negative capital requirement for a line Activity resulting from a negative reference indicator may be offset by the capital requirement of the other lines of activity. When the capital requirement of aggregation of all activity lines for a given year is negative, the amount taken into account in the average is zero for this year
To use the standard operational risk approach, subject institutions are implementing, in a manner appropriate to their size and the nature of their operations, an analytical device, Operational risk management and measurement that continuously meets the following criteria:
a) Have a properly documented and clearly documented operational risk analysis, measurement and management system Assigned;
b) They determine their exposure to operational risk and follow relevant data relating to this risk, including those relating to significant losses;
c) Management procedures and analysis systems and Measure of operational risk shall be subject to periodic checks under the conditions laid down in Regulation 97-02;
(d) The system of analysis, measurement and management of operational risk shall be closely integrated with the management of the The risk of the taxable establishment. The results of these analyses and measures are an integral part of the monitoring and control system of the operational risk profile of the reporting institution;
e) They put in place a system to communicate regularly and At least once a year, the results of such analyses and measures to the appropriate functions. This information allows the taxable establishment to adopt the appropriate measures in the light of its exposure to operational risk.
Without prejudice to the provisions of Chapter IV, the institutions subject to the standard approach will no longer be able to revert to the basic operational risk approach, except for a given reason Justified, after authorisation by the Banking Commission
Subject institutions shall develop and document the specific criteria and procedures used to match the activities carried out and the lines of activity referred to in Annex IV. These criteria are reviewed and duly adapted in the event of changes in activities and risks.
This mapping is based on the following principles:
a) All activities performed are completely and exclusively divided between the different activity lines;
b) All Activity that cannot be directly assigned to a line of activity but that is a support or activity related to an activity is included in this main activity line. An objective distribution key allows the assignment of activities that are support or activity related to multiple core activities;
c) When an activity cannot be assigned to one of the activity rows, it is assigned to The line of activity that, within the reporting institution, obtains the highest percentage. All support activities for this activity are assigned to the same activity line;
d) To assign the reference indicator to the different activity lines, taxable establishments can use pricing methods Internal. Costs generated in one line of activity, but attributable to another line of activity, may be allocated to the line of activity, in particular on the basis of an internal transfer of costs between the two lines of activity;
e) The mapping Between the activities carried out and the activity lines is consistent with the categories used for credit risk and market risk;
f) Development of the matching rules is carried out under the control of The executive body;
g) The application of the matching rules shall be subject to independent periodic inspection, in accordance with the conditions of Regulation No 97-02
The Banking Commission may authorize establishments subject to the use of advanced measurement models, based on their own systems for measuring operational risk, on the basis of, inter alia, elements The following:
a) The institutions' internal validation devices must operate effectively;
b) Data streams and their processing and operational risk analysis and measurement systems must be Transparent and accessible;
c) The qualitative and quantitative criteria referred to in Sections 2 and 3 are met.
Without prejudice to the provisions of Chapter V, taxable establishments that use the advanced operational risk measurement approach will no longer be able to revert to the basic approach or standard approach Operational risk, except for reasons duly justified, after authorisation by the Banking Commission.
When a taxable establishment, a parent company in the European Union, and its subsidiaries apply the advanced measurement approach in a consistent manner throughout the group, the Banking Commission may Allow the criteria referred to in Sections 2 and 3 to be respected at the group level.
Where a taxable parent company in the European Union and its subsidiaries intend to use the advanced measurement approach, their application Authorisation by the Banking Commission includes a description of the methods used to allocate their own funds for operational risk between the various entities in the group.
This request for authorisation indicates to what extent The effects of diversification will be integrated into the internal operational risk model of taxable establishments
Establishments subject to operational risk analysis, measurement and management are in place that meet the following criteria:
(a) The system of analysis, measurement and management of the Operational risk is closely integrated with the institution's day-to-day risk management system;
b) Operational risk management is the subject of a dedicated and independent function within the reporting institution ;
(c) Subject institutions shall establish a system for the periodic reporting of their exposures to operational risk and their losses. This reporting system allows for regular communication and at least once a year to the executive body. Establishments subject to appropriate corrective action are defined by the institutions to be subject to appropriate corrective action; and
d) The risk management system of the reporting institution is duly documented. Establishment of procedures to ensure compliance and address non-compliance;
e) Management procedures and operational risk analysis and measurement systems are subject to controls Periodicals.
Subject institutions calculate their own capital requirements relative to operational risk, taking into account both expected losses and unexpected losses, except when they provide the Evidence that the expected losses have been duly taken into account in their internal practices. Their internal model of operational risk measurement takes into account the possibility of extreme events at the tail of a statistical distribution curve, in order to obtain a reliability comparable to a confidence interval of 99.9 % on a One-year period.
Operating risk measurement system for taxable institutions:
a) Mandatory internal data, external data, scenario analysis and factors that reflect The environment in which they operate. The consideration of these four elements is documented and justifies the role assigned to each of them;
b) Takes into account the main risk factors influencing the shape of the distribution queue Statistics.
The Banking Commission may allow correlation effects to be taken into account between estimates of operational risk losses where the reporting institution demonstrates that its analysis system and Measurement of these correlations is based on robust principles and is implemented in an integrated manner. This system takes into account the uncertainty of any estimate of correlations, especially in times of crisis. The taxable establishment validates its correlation calculation assumptions using appropriate quantitative and qualitative techniques.
The operational risk measurement system is consistent within the reporting institution and avoids multiple consideration of qualitative risk assessments or risk reduction techniques When they have already been taken into account in the calculation of their own capital requirement
Internal data used by taxable institutions meets the following criteria:
a) Internal operational risk measurement methods are Based on a period of minimum historical observation of five years;
(b) Subject institutions shall be able to allocate their internal historical losses to Annex IV and to the categories of events referred to in that Annex and Can provide this data to the Banking Commission. The assignment of losses to activity lines and categories of events meets objective criteria, duly documented;
c) Operational risk losses related to credit risk whose history has been identified in Internal databases of credit risk are recorded in the operational risk databases separately identified. These losses are not the subject of an operational risk capital requirement as long as they are treated as a credit risk for the purpose of calculating capital requirements. Operational risk losses related to market risk are included in operational risk capital requirements;
d) Internal loss data is comprehensive and includes all activities and All significant exposures, through all components of the reporting systems of the reporting institution and regardless of their geographic location. Taxable institutions can demonstrate that excluded activities and exposures, whether taken as a whole or separately, have no significant impact on the overall risk estimate;
e) Loss thresholds Minimum, suitable for the collection of internal loss data, are defined;
f) Subject establishments list the gross amounts of losses as well as information on the date of each event, any amounts Recovered and the factors or causes that cause each loss;
g) The allocation of losses resulting from a centralized function, activity common to several lines of activity, or related events over time, responds to Documented and justified criteria;
h) An evaluation procedure is in place to ensure that historical loss data remains relevant. This procedure shall be duly documented and shall include, inter alia:
i) cases where expert judgement takes precedence over the results of the model or for which a revision of the amount or any other adjustment can be decided;
ii) how These decisions may apply;
iii) the persons authorized to make these decisions
The operating risk analysis and measurement system of the reporting institution uses relevant external data, particularly where the institution is at risk of severe losses, including
The establishment implements a systematic process to identify situations where external data is to be used, as well as methodologies for integrating these data into its measurement system and Operational risk analysis. The conditions and practices for the use of external data are duly documented, reviewed regularly, and are subject to periodic independent monitoring
To assess their exposure to extreme events, subject institutions use the analysis of scenarios based on expert advice and relying on external data. These assessments are periodically validated and reviewed for internal or external losses to ensure their reliability
The methodology for analysing and measuring the operational risk of taxable establishments takes into account the factors relating to the internal control and the environment in which they operate Modify their operational risk profile in accordance with the following provisions:
a) The choice of each factor must be justified by its actual impact in terms of risk, experience and the basis of expert judgments In the area of activity under consideration;
b) The sensitivity of risk estimates to changes in factors, and their consideration, is based on comprehensive studies. The operational risk measurement and analysis system takes into account not only the variations in risk associated with improving internal control, but also the possible aggravations of the risk associated with increased complexity of activities or Increased volume of activity;
(c) Taking into account the factors related to internal control and the environment in which the reporting institution operates is duly documented and subject to periodic independent checks;
(d) Regulated institutions shall periodically validate and re-evaluate their arrangements for taking into account the above factors and its results, in particular with regard to actual internal losses incurred and relevant external data from Loss
Taxable institutions can take into account the impact of insurance techniques, as a reduction factor for capital requirements when the following conditions are met:
a) The protection provider shall have a licence to provide insurance or reinsurance products, and shall be subject to an external credit assessment of a quality level at least 3 in accordance with the provisions of Title II;
(b) The insurance product and insurance device of taxable establishments meet the following conditions:
i) the insurance contract has an initial duration of at least one year. For contracts with a residual maturity of less than one year, the taxable establishment shall apply an appropriate haircut reflecting the progressive decrease of this duration and up to 100 % for contracts of which the residual maturity is Less than or equal to 90 days;
(ii) the insurance contract is accompanied by a notice of termination of at least 90 days;
(iii) the insurance contract does not include any exclusion or limitation resulting from a decision of the supervisory authorities Or making it impossible, in the event of the insolvency of the taxable establishment, for the administrator, the liquidator or the establishment, to obtain compensation for the damage suffered or the costs incurred by the establishment. This latter provision shall not apply in the event of events occurring after the commencement of liquidation proceedings against the taxable establishment, provided that the insurance contract may exclude any fine, penalty or Damages resulting from a decision of the supervisory authorities;
(iv) the calculation of risk reduction reflects in a transparent and consistent manner the effect of insurance against the probabilities of occurrence used and the severity of the Losses;
v) insurance is provided by a third party. In the case of a captive undertaking or a business belonging to the same group as the taxable establishment, the risk must be transferred to a third party external to the group, in particular by means of reinsurance techniques. This third-party entity meets the above criteria;
vi) the insurance account is properly documented and documented.
The methodology for taking into account the insurance used by the taxable institution shall take account of the following elements by means of reductions or haircuts applied to the amount taken into account in respect of Insurance:
(a) The remainder of the insurance contract, where the insurance contract is less than one year, in accordance with the provisions referred to in (i) of paragraph (b) of section 371-1;
(b) The conditions for termination of the insurance contract, where Its residual maturity is less than one year;
(c) The uncertainty of payments concerning compensation and any asymmetry between the protection provided by insurance contracts and exposure to operational risk.
The reduction in capital requirements resulting from insurance coverage cannot exceed 20 % of the total capital requirement for operational risk before taking into account Effects of risk reduction techniques
The Banking Commission may authorize taxable establishments using the advanced measurement approach to combine different approaches under the following conditions:
a) All operational risks Incurred by taxable establishments are taken into account;
(b) The reporting institution demonstrates to the Banking Commission that the applied methodology covers the various activities, geographical locations, legal structures and Other relevant boundaries determined by the taxable establishment;
(c) The criteria referred to in Chapters II and III do apply to the respective parts of the activity subject to the standard approach and the advanced measurement approach.
The Banking Commission may impose the following additional conditions:
(a) On the date of implementation of the advanced measurement approach, a significant proportion of the exposure to operational risk of The taxable establishment must be the subject of the advanced measurement approach;
b) The reporting institution undertakes to implement the advanced measurement approach in a significant part of its activities sequentially, according to a Calendar approved by the Banking Commission
A taxable institution cannot combine the basic approach and the standard approach except in exceptional cases, especially in the case of recent acquisitions of new activities that make it necessary A transition period for sequential implementation of the standard approach.
This combined use of the two approaches is contingent upon the commitment of the reporting institution to implement the approach sequentially Standard within a time limit approved by the Banking Commission
Subject establishments satisfy the transparency requirements referred to in this Title and have procedures enabling them to assess the appropriateness of their publications, their frequency and The terms and conditions of their audit.
Where, in accordance with the provisions of this Order, an authorisation from the Banking Commission is required to use the methods or instruments giving rise to a publication requirement in Application of this Title, the above authorisation shall be subject to compliance with these publication requirements.
Subject-matter institutions shall endeavour to provide undertakings requesting a loan with an explanation of the rating decisions When required.
The publication requirements referred to in this Title shall apply on an individual basis to taxable establishments, parent companies, subsidiaries and institutions excluded from the scope of the Consolidation.
Subject institutions, parent undertakings in the European Union, shall comply with the publication requirements referred to in this Title on the basis of consolidated documents in accordance with Article 6 of the Regulation N ° 2000-03.
Subject institutions considered to be significant subsidiaries of a parent undertaking in the European Union shall publish information on the composition of own funds and the requirements of own funds, such as Sections 3 and 4 of Chapter II of this Title, on an individual basis or, where appropriate, under-consolidated.
Where the Banking Commission exercises supervision on a consolidated basis in accordance with the provisions of Regulation No 2000-03, it may decide not to apply all or part of the provisions of the preceding paragraphs to taxable institutions bound by a parent undertaking established in a third country and subject to comparable publication
. Where justified by the objectives of prudential supervision, the Banking Commission shall require subject institutions included in the consolidation to comply with the publication requirements referred to in this Title on a sub-consolidated basis in The cases in which they themselves, or, where applicable, their parent undertaking if they are a financial company, hold an interest or a subsidiary institution of credit, a financial institution or a holding company within the meaning of the article L. 532-9 of the monetary and financial code established in a third country.
On an exceptional basis, any reporting institution may not publish certain information when it considers that the information is non-significant, sensitive or confidential
Shall mention in their publications the cases for which sensitive or confidential information has not been published and specify the reasons for the absence of publication. They substitute more general information to the extent that they are not themselves considered sensitive or confidential.
For the purposes of this section, the term:
a) Meaning of information: Where the absence of publication or an error in the presentation is likely to alter or influence the assessment or decision of a user who bases his economic choices on that information;
(b) Sensitive information: Information whose communication to the public is likely to compromise the competitive position of the reporting institution likely to publish it, including information on products or systems whose disclosure to competitors Reduce the value of investments made by the institution in these products or systems;
(c) Confidential information: information for which a reporting institution is bound by an obligation of confidentiality under An obligation to a customer or any other relationship with consideration.
Establishments subject to this title shall publish the information referred to in this Title at least once a year and as soon as possible.
Any taxable establishment shall appreciate the need to publish all or all Information required more frequently than annually in view of the main characteristics of its activity, such as the size of its operations, the range of its activities, its presence in different countries, its involvement in Various financial sectors, and its participation in financial markets as well as payment, clearing and settlement systems. In particular, this assessment relates to the possible need to publish on a more frequent basis the information referred to in subparagraphs (b) and (e) of Section 3, subparagraphs (b) to (e) of Section 4 and the information concerning Exposure to risk and any other elements likely to change rapidly.
Subject establishments shall determine the appropriate support, location and means of verification to satisfy the requirements of this Title in an effective manner. They shall endeavour to publish all relevant information on a medium or a single location.
Similar publications made in application of information requirements, in particular accounting or financial information, may be considered as Meeting the requirements of this Title. If these publications are not included in their financial statements, subject institutions indicate where they are available.
The Banking Commission may require subject institutions to:
a) publish one or more of the information referred to in Chapter II of this Title;
b) publish one or more More frequently than annually;
c) That they meet a specific publication deadline;
d) they use non-financial media and publication locations other than their financial statements;
e) Specific audit procedures for publications not covered by statutory audit
Subject institutions publish their policies and objectives for the management of each risk category, including those mentioned in this chapter. These publications cover:
a) Policies and devices in place for risk management;
b) The structure and organization of the risk management function concerned or any other appropriate device;
c) The The scope and nature of risk reporting and measurement systems;
(d) Policies on coverage and risk reduction, as well as policies and systems in place to ensure their continued effectiveness.
Subject establishments publish the following information relating to the scope of the requirements of this Order:
a) A summary statement of the differences between the consolidation perimeter And the scope of the institutions included in the consolidation for purposes of prudential supervision on a consolidated basis. This summary statement is accompanied by a brief description of the entities:
-fully consolidated;
-proportionally consolidated;
-in which the institution in question holds equity deductions from own funds;
-giving rise to neither a consolidation nor a deduction;
(b) Any obstacle to the transfer of own funds or the reimbursement of liabilities by the parent undertaking;
(c) The total amount of the capital deficiencies of the whole Subsidiaries excluded from the perimeter of prudential supervision on a consolidated basis and the names of the subsidiaries concerned.
For the purposes of this paragraph, " Lack of equity " The negative difference between Own funds and capital requirements calculated in accordance with this Order;
(d) The circumstances of the implementation of the provisions referred to in Articles 4-1 and 4-2 of Regulation No 2000-03
Subject institutions publish the following information about the composition of own funds:
a) A summary presentation of the main features of all capital elements and Of their components;
(b) The amount of the basic own funds laid down in Articles 2 to 2 ter of Regulation No 90-02, with a separate mention of each positive element entering the composition of the basic own funds and each element deducted ;
(c) The total amount of the complementary own funds and the additional own funds defined respectively in Articles 4 and 5 ter of Regulation No 90-02;
(d) The amounts deducted from the basic own funds and the own funds In accordance with Articles 6 to 6c of Regulation No 90-02 with a separate mention, where appropriate, for taxable establishments using the internal credit risk assessment approaches of the elements referred to in Article 6c Regulation No 90-02;
e) The amount of own funds defined by Regulation No 90-02, after applying the limits and deductions provided for in Articles 5 to 6c of that Regulation
Subject institutions publish the following information relating to the assessment of capital adequacy and capital requirements:
a) A summary of the applied method To assess the adequacy of their internal capital in their current and future activities;
b) For taxable institutions that calculate the amounts of their weighted exposures in accordance with the standard approach to credit risk, 8 % of the The amount of exposure-weighted exposure for each of the exposure categories referred to in Chapter II of Title II;
(c) For taxable institutions that calculate the amounts of their exposure-weighted exposures in accordance with the approaches Internal credit risk, 8 % of the weighted exposure amount for each of the exposure categories referred to in section 40-1.
For retail customer exposures, this requirement applies to each of the targeted sub-portfolios Section 41.
For equity exposures, this requirement applies:
-to each of the methods referred to in section 57-1;
-to exhibitions on listed shares, to exhibitions in the form of investment capital held in Sufficiently diverse portfolios and other equity exposures;
-exhibits under the transitional provisions referred to in paragraph (d) of section 394; and
(d) The amount of capital requirements under the Prudential supervision of market risks calculated in accordance with this Order;
e) The amount of capital requirements relating to operational risk calculated in accordance with Title VIII and each of the defined approaches Audit title
Subject institutions publish the following credit risk information and dilution risk information:
(a) The total amount of exposures after accounting and prior to Account of the effects of credit risk reduction techniques and the average amount of exposure over the period under review, divided by exposure category;
(b) Geographic distribution of significant exposures by category Exposure for significant areas, with a more detailed breakdown if applicable;
(c) The distribution of exposures by type of sector or consideration, by exposure category, with a more detailed breakdown if applicable ;
d) Distribution of exposures by residual maturity and exposure category, with a more detailed breakdown if applicable;
e) For each significant sector or type of consideration, the amounts:
-exhibits Subject to arrears of payment for establishments using the standard approach to credit risk, exposures in default within the meaning of Article 118-1 for establishments using internal credit risk rating approaches, And depreciated assets presented separately;
-collectively presented value adjustments and write-downs;
-value adjustments recorded in the last fiscal year;
f) Amounts Impaired assets, exposures subject to payment arrears for institutions using the standard approach to credit risk, exposures in default within the meaning of Article 118-1 for institutions using approaches Internal credit risk ratings, presented separately and distributed by significant geographical area, accompanied, where possible, by the amounts of value adjustments and collective impairments presented separately for Each geographic area;
g) Reconciliation of changes in value adjustments and collective impairments to depreciated assets, presented separately. This information includes:
-a description of the different types of value adjustments and collective impairments;
-the opening balances of value adjustments and collective impairments;
-the recoveries related to Losses, individual or collective impairments initially identified through a value correction account;
-increases or decreases in value adjustments and collective impairments, any other adjustments, and Including those related to exchange differences, business combinations and acquisitions and disposals of subsidiaries;
-closing balances of value adjustments and collective impairments.
Value adjustments noted Directly as a loss pass and recoveries on lost assets are presented separately.
Taxable institutions that calculate the amounts of their weighted exposures in accordance with the standard credit risk approach publish the following information for each category Exposure defined in Chapter II of Title II:
(a) The names of external credit assessment bodies and export credit agencies used, as well as the reasons for any change;
(b) A description of the The procedure used when the credit assessments of the program or issuer are used for items in the bank portfolio for which no external credit assessment is available;
(c) The mapping Between the external credit assessments carried out by each organisation used and the different levels of credit quality defined in Title II when it is more prudent than the one published by the Banking Commission. This publication is not required when the reporting institution respects the correspondence published by the Banking Commission;
(d) The values of exposures and risk values broken down by grade of credit, As well as those deducted from own funds.
Taxable institutions that calculate the amounts of their exposures weighted in accordance with section 50-1 for specialized financing exposures or in accordance with sections 57-1, 57-2 and 58-1 to 58-3 for stock exposures shall publish a distribution of their exposures by risk weight set out in the table referred to in section 50-1 and the weights referred to in sections 57-1, 57-2 and 58-1 to 58-3.
Taxable institutions that use advanced internal credit risk ratings publish the following information:
a) A reference to the authority of the Banking Commission for The approach chosen by specifying, where appropriate, the main steps;
b) An explanation and analysis:
-the structure of the internal ratings systems and the relation between internal and external notations;
-of the use Internal estimates for purposes other than the calculation of weighted exposure amounts in accordance with Title III;
-the management procedure and credit risk reduction techniques;
-mechanisms of Control of rating systems, including responsibilities for the verification of these systems and the independent character thereof;
(c) A description of the internal marking procedure, presented separately for each of the The following exposure categories:
-central banks and central banks;
-establishments;
-enterprises, including small and medium-sized enterprises, specialized financing and receivables purchased on Businesses;
-the retail customer base, for each of the subportfolios;
-the actions.
This description includes the different types of exposures in each category, definitions, methods, and data used to The estimation and validation of default probabilities and, where applicable, losses in case of default and conversion factors, including assumptions used to estimate these parameters, and description of variances Significant in relation to the definition of defect in sections 118-1 to 118-3 and the large segments of the portfolio on which these deviations are based;
(d) The risk values for each of the exposure categories referred to in Article 40-1. For exhibitions on central government, central banks, institutions and enterprises, any taxable establishment that uses its estimates of losses in the event of default or conversion factors for the purposes of calculating the Weighted exposure amounts publishes the amount of these exposures separately from the exposures for which the above estimates are not used;
e) Subject establishments publish, for exhibits On central and central banks, establishments, undertakings and actions, and for a sufficient number of debtor notes, including default debtors, the following information:
-total exposures, That is, for exhibitions on central government and central banks, institutions and enterprises, the sum of outstanding loans and securities exposed to the risk of undrawn commitments and on equity exposures, The stock of these exposures;
-for taxable institutions using the advanced internal credit risk rating approach, the loss in the case of a risk-weighted average default and expressed in relation to 100 ;
-the average weight of the weighted exposure amounts. This average is weighted by the risk exposure value;
-for taxable establishments that use their conversion factor estimates, the amount of non-drawn commitments, and the weighted average conversion factors for Each exposure category. This average is weighted by the exposure value of the undrawn commitments;
f) For retail customer exhibits and for each of the subportfolios:
-the information provided in paragraph (e) above, if any, At an aggregate level;
-an exposure analysis, that is, outstanding loans and risk exposures for non-drawn commitments, by reference to a number of expected levels of loss sufficient to enable a Relevant differentiation of credit risk, if any, at an aggregate level;
(g) The effective value adjustments for the period under review for each exposure category and for each subportfolio for retail customers, As well as variations from previous periods;
h) A description of the factors that affected the losses incurred during the period. In particular, taxable establishments indicate whether default rates or losses in the event of default and conversion factors were above average;
i) A comparison of estimates and data over a period of time Longer, including:
-at least information about estimated losses and losses by exposure category and sub-portfolio for retail customers. This information must be for a sufficient period of time to allow for a meaningful assessment of the performance of the default loss estimates for each of these categories;
-if applicable, information on the probabilities of Default, default losses, and estimated and realized conversion factors.
Subject institutions publish the following information about their exposure to counterparty risk:
a) A presentation of the method chosen for the allocation of internal capital and Setting limits on counterparty risk;
(b) A presentation of the procedures for obtaining security rights and the creation of evaluation reserves;
(c) A presentation of procedures for the treatment of risk Adverse correlation;
d) A presentation of the impact of a degradation of their external credit quality on the amount of security rights to be provided;
e) The positive gross amount in fair value of the contracts, the effects of Compensation, net current credit risk after set-off, instruments of security interest held, net credit risk on derivatives;
f) Risk-exposed values calculated in accordance with methods Under Title VI;
g) The notional amount of credit derivatives used in hedging, and the distribution of current exposure values by product type;
h) The notional amount of credit derivatives transactions by distinguishing Transactions relating to the credit portfolio of the reporting institution and transactions relating to its intermediation activity, including the distribution of the different credit derivatives used for the purchase of protection, On the other hand, and for the sale of protection, on the other hand;
i) The estimated value of the alpha parameter when the taxable establishment is authorized to use this estimate
Subject institutions publish the following information on credit risk reduction techniques:
(a) The procedures for compensating balance sheet items and Off-balance sheet, as well as the extent of use of this technique;
(b) The procedures applied in the valuation and management of the instruments constituting security rights;
(c) A description of the main categories of Security rights taken into account by the institution;
(d) The main categories of protection providers, as well as the quality of their signature;
e) Information on concentrations of market risk or credit risk Related to credit risk reduction techniques taken into account;
f) For taxable institutions that calculate the amounts of their weighted exposures in accordance with the standard approach or the internal ratings foundation approach The credit risk, the value of the total exposure with financial security or any other recognized security, separately for each exposure category. The value of the above exposure shall be calculated as appropriate after clearing balance sheet or off-balance sheet items, and after taking into account the volatility adjustments;
g) For taxable institutions that calculate the amounts of Their weighted exposures in accordance with the standard approach or internal credit risk approaches, the total amount of exposures with personal security rights or credit derivatives separately for each category Of exposure. The above amount shall be calculated on the basis of compensation for balance sheet items or off-balance sheet items. For stock exposures, this requirement applies to each of the approaches provided for in item 57-1
Subject institutions publish the following securitization transaction information:
a) An analysis of the objectives pursued by the establishment in its securitization activity;
b) The activity of the establishment in terms of securitisation;
(c) The degree of involvement of the institution by type of securitisation transactions;
(d) The approaches used to calculate the amounts of the weighted exposure of the positions of Securitization;
e) A summary statement of the accounting methods used in the securitization framework;
f) The names of external credit assessment bodies whose credit assessments are used in the course of processing Securitisation positions and the type of exposure for which each organism is used;
g) The total stock of exposures securitized by the taxable establishment subject to the provisions of Title V, distinguishing securitisation Synthetic securitisation, by exposure category;
h) For exposures securitized by the taxable institution subject to the provisions of Title V, a breakdown by exposure category of the amounts of the depreciated assets Or exposures subject to securitized arrears, as well as losses identified by the institution concerned over the period under review;
i) Aggregate amount of securitized or acquired securitization positions by category Exposure;
j) Aggregated amounts of retained or acquired securitisation positions, broken down on a relevant number of risk weight categories. Positions that are assigned a weight of 1,250 % or have been deducted from own funds are published separately;
k) The aggregate aggregated amount of the securitized renewable exposures, distinguishing interest from The originator of investor interest;
(l) A summary statement of the securitisation activity over the period under review, including the amount of the securitized exposures and the capital gains or capital gains realized on their assignment By exposure category
Establishments that are subject to market risk capital requirements shall publish these requirements separately for each of the risks referred to in sections 292-1 and 292-2.
Establishments subject to their internal models in accordance with Title VII shall publish the following information:
a) For each covered portfolio:
-the characteristics Models used;
-a description of the crisis simulations applied to the portfolio;
-a description of the ex post control device and validation of the accuracy and consistency of internal models and procedures Modelling;
(b) The scope of the authorisation of the Banking Commission;
(c) A presentation of the methods used to satisfy the requirements referred to in Section 2, Chapter I, of Title VII
Subject institutions publish the following operational risk information:
a) Approaches used to assess capital requirements;
b) When using The advanced measurement approach, a description of this method, including a presentation of internal and external factors considered. In the case of combined use, the institutions subject specify the scope of the different approaches used.
Taxable institutions that use the advanced measurement approach publish a description of their use of insurance techniques to reduce this risk
Subject institutions publish the following information about bank portfolio stock exposures:
a) Distribution of exhibitions according to the objective pursued, y Including the search for capital gains and strategic reasons;
(b) A presentation of accounting techniques and valuation methods used specifying the main assumptions and practices that influence recovery, as well as any Significant evolution of these practices;
c) The balance sheet value, fair value and, for quoted shares, a comparison with the market price when the market price is significantly different from fair value;
d) Types, nature, and Amounts of exhibitions on listed shares, exhibitions in the form of private equity held in sufficiently diversified portfolios, and other equity exposures;
e) The cumulative amount of capital gains or Losses realized on sales and liquidations over the period under review;
(f) The total amount of unrealized gains and losses recorded in the profit and loss account, the total amount of unrealised gains and losses recorded directly in Equity, as well as the fraction of these amounts included in the basic or complementary own funds
Subject institutions publish the following information about the risk of interest rates related to transactions other than those included in the negotiation portfolio:
a) The nature of the risk Interest rate, principal assumptions included, including those relating to early repayment of loans and the behaviour of deposits without a contractual maturity, and the frequency of interest rate risk assessment;
(b) Variation in results, economic value or any other relevant variable used to measure upward or downward interest rate shocks according to the method chosen by the reporting institution to measure this risk by Currency
As from 1 January 2007, the capital requirements of taxable institutions which use the internal credit risk assessment approaches referred to in Title III or, where appropriate, the approach of Advanced measure of operational risk referred to in Title VIII shall be, for the purposes of this Order, permanently equal to or greater than the following amounts:
-up to 31 December 2007, 95 % of capital requirements As they would have been calculated at the same time in accordance with Regulations Nos. 91-05 and 95-02;
-up to the deadline of December 31, 2008, 90 % of the capital requirements as they would have been calculated at the same time In accordance with Regulations Nos. 91-05 and 95-02;
-up to the end of December 31, 2009, 80 % of the capital requirements as they would have been calculated at the same time in accordance with Regulations Nos. 91-05 and 95-02.
Until January 1, 2008, taxable institutions, whether they intend to use the standard approach or the internal credit risk rating approaches, can apply for all of their categories The provisions referred to in Regulation No 91-05 in force before 1 January 2007 instead of the provisions relating to the standard approach to the credit risk referred to in Title II, by applying the following provisions:
(a) Credit derivatives shall be included in the list of items of high risk referred to in Annex II to Regulation No 91-05;
(b) The treatment provided for in Annex III to Regulation No 91-05 shall apply to the derivatives referred to in Annex II. The results of the treatment provided for in this Annex are considered to be weighted exposure amounts;
(c) The provisions for the treatment of securitisation referred to in Title V shall not apply;
(d) Reduction techniques The credit risk referred to in Title IV shall not apply;
e) Own funds shall be determined in accordance with Regulation 90-02 in force before 1 January 2007;
(f) The provisions referred to in Title VIII shall not apply;
(g) The provisions relating to major risks shall apply in accordance with Regulation No 93-05 as in force before 1 January 2007;
h) The provisions of Article 7 of Regulation No 2000-03 relating to the assessment of the nature of Transfers of risks as in force before 1 January 2007 apply;
i) The capital requirements for the specific risk of interest rates and the counterparty settlement risk are calculated in accordance with the provisions Annex II and Annex IV to Regulation No 95-02.
The Banking Commission may authorize a taxable establishment to use, for one or more exposure categories, one of the approaches to the credit risk referred to in Titles II and III and the provisions Under Regulation No 91-05. In this case, the following provisions shall apply:
(a) The credit risk reduction techniques referred to in Title IV shall apply only to the exposure categories which are subject to Title III. Taxable institutions ensure that credit risk reduction techniques used in intra-group transactions are not driven by regulatory arbitrage considerations;
b) The capital requirement for Title of the operational risk referred to in Title VIII shall be reduced from the ratio between the amount of the exhibitions subject to the provisions of Regulation No 91-05 and the total amount of the exhibitions of the taxable establishment;
(c) Without prejudice to the paragraphs The provisions of Article 392-1, with the exception of subparagraph (e), shall apply to exposures processed in accordance with Regulation No 91-05;
(d) Own funds shall be determined in accordance with Regulation 90-02. The provisions of Articles 4 e, 6 bis and 6c of that Regulation shall apply to exposures processed in accordance with the provisions of this Decree.
Where taxable establishments apply this Chapter, the provisions relating to the published information referred to in Title IX and the provisions relating to the evaluation of The capital adequacy referred to in Article 17a of Regulation No 97-02 does not apply.
The provisions relating to the advanced internal ratings of the credit risk referred to in Title III and the advanced measure of operational risk referred to in Title VIII shall apply only from the 1 January 2008.
The following provisions shall apply to institutions subject to the standard approach to credit risk referred to in Title II:
(a) Until 31 December 2012 and subject to compliance with The provisions of Article 21 (c), the 50 % weighting rate on financial leasing and leasing exhibits for real property for professional use shall be applied irrespective of the limits Referred to in that Article;
(b) Until 31 December 2012, the treatment referred to in Article 11 (d) shall apply to exhibitions on central government or central banks denominated and financed in any currency of a Member State ;
(c) Until December 31, 2011, for exhibitions on buyers of housing, on lessees of finance or leasing of real property, on central, regional and local administrations, and Public sector entities, the number of days in arrears of payment referred to in Article 22 shall be 180 where such counterparties are established on French territory, and may be increased to 180 for other counterparties if the local conditions are
For exhibitions on enterprises, and retail customers when these counterparties are established in other Member States, taxable institutions may retain a number of days in arrears of higher than 90, provided that this treatment does not lead to regulatory arbitrations. This number shall not exceed that set by the competent authorities of the said Member States.
The following provisions shall apply to establishments using the internal credit risk rating approaches referred to in Title III:
(a) Notwithstanding the provisions referred to in Article 38-4, the Banking Commission may authorise a taxable establishment which intends to use the internal ratings approach to apply a minimum period of use of one year until 31 December 2009;
(b) Notwithstanding the provisions referred to in Section 38-4, the Banking Commission may authorize a taxable establishment to use the advanced internal ratings to apply a minimum term of use of two years until December 31, 2008;
(c) Until December 31 2010, the weighted average amount of default losses applicable to all mortgages subject to a mortgage or security of equivalent effect, and which does not have a guarantee from a central administration, cannot be Less than 10 %. This average is weighted by values exposed to risk;
d) Until December 31, 2017, institutions subject to the internal credit risk rating approaches can weight 150 % of their exposures in the form of Investment capital, excluding leverage financing (leverage buy-out, LBO in English), held on 31 December 2007. The exposures benefiting from this transitional treatment are measured on the basis of the number of shares held on that date, and increased shares whose ownership flows directly from the holding of those first persons, provided that this increase Does not increase the percentage of ownership held in the corporation. This treatment does not apply to:
-acquisitions of shares that increase the percentage of participation;
-the shares that initially benefited, but were sold, and then repurchased;
e) Until December 31, 2011, for Exhibitions on rental-financing or financial leasing of immovable property, the number of days in arrears of payment referred to in Article 118-3 shall be 180 when such counterparties are established in the territory French, and may be increased to 180 for other counterparties if the local conditions warrant.
Where the needs of the system of internal notations justify it and where such treatment does not lead to regulatory arbitrations, For exhibitions on undertakings, where such counterparties are established in other Member States, taxable establishments may retain a number of days of arrears of payment greater than 90 until 31 December 2011. This number shall not exceed that set by the competent authorities of the said Member States.
The Banking Commission may authorise taxable establishments applying the advanced operational risk measurement approach to be used up to 1 January 2008 for the purposes of Article 367 of the Data histories of three years. Beyond that date, this minimum duration requirement increases every year by one year until the relevant data cover a five-year period.
Until December 31, 2012, taxable establishments, including the reference indicator for the activity line " Negotiation and institutional sale ", represents at least 50 % of the Total reference indicator for all activity lines, apply a percentage of 15 % to the above activity line.
Taxable institutions authorised by the Banking Commission before 1 January 2007 to use their internal models for the calculation of the specific risk in accordance with the provisions of the Title VII shall have until 31 December 2009 at the latest to bring their internal models in accordance with the provisions of that Title
Until December 31, 2011, the Banking Commission may authorize an investment firm to depart from the provisions of Article 2-4 when the following conditions are met:
a) The Company Investment does not fall under Articles 3-1 and 3-2;
b) Total investment company negotiating portfolio positions are less than or equal to EUR 50 million;
c) The workforce of the investment firm Is less than or equal to 100 employees;
(d) The application of this provision shall not lead to a decrease in the total capital requirement of the investment firm as a result of the application of Regulations 95-02 and N ° 97-04 as at 31 December 2006, unless such a reduction is adequately justified by a reduction in the volume of activities of the investment firm.
When applying this exemption, the capital requirement for operational risk is equal to the lesser of:
a) The capital requirement for operational risk referred to in Article 2-4;
(b) The twelve eighty-eighth of the highest amount between:
i) the sum of the capital requirements as defined in Articles 2-2 and 2-3; And
(ii) one-quarter of their general expenses under the conditions set out in paragraph (b) of Article 3-1.
In the case of the application of paragraph b of this Article, the investment firm shall commit to an annual increase in its Own funds so that the amount of the capital requirement calculated in accordance with that paragraph is, at 31 December 2011, at least equal to that calculated in accordance with paragraph a of this Article.
Until 31 December 2010, investment firms whose investment services relate exclusively to the financial instruments referred to in subparagraphs (b) to (f) of point 3 of Annex II and approved as Such as from 31 December 2006 shall not be subject to the capital requirements for prudential supervision of market risks calculated in accordance with Title VII.
This Order will be published in the Official Journal of the French Republic.
Done at Paris on February 20, 2007
A N N E X E I
CLASSIFICATION OF NON-BILAN ELEMENTS
Items that are not listed in this list are Classified by establishments subject to the category of transactions with similar characteristics. The General Secretariat of the Banking Commission may object to the classification chosen by the institutions subject.
Items classified as high risk:
-guaranteed credit (risk reduction techniques) Recognised credit for the beneficiary);
-credit derivatives;
-acceptances;
-endos of effects not bearing the signature of another credit institution;
-assignments with right of recourse for the purchaser;
-apertures of Irrevocable credit or suretyships that make up credit substitutes;
-term purchasing commitments;
-term deposits against term;
-unremitted portion of shares and partially released securities (when not included in Balance sheet);
-commitments to resume assigned values, when the assignee has a reseller option;
-other items that also pose a high risk.
Items classified as Medium Risk:
-Commitments to Pay as a result of documentary credits, granted or confirmed, without the corresponding goods being used as security;
-guarantees and security interests (including, unless they represent a moderate risk, public contract bonds, Good end guarantees and customs and tax liabilities) as well as bonds that do not constitute credit substitutes;
-irrevocable credit overtures that do not constitute credit substitutes;
-facilities not Used, in particular discovered, commitments to lend, to buy securities or to grant bonds or credits by acceptance of initial duration exceeding one year;
-emission facilities (note issuance facilities, NIF in English) and revolving farm facilities (revolving underwriting facilities, RUF in English);
-other elements of medium risk.
Items classified as a moderate risk:
-documentary credits, granted Or confirmed, when the corresponding goods are used as security and other similar transactions;
-unused facilities, including overdrafts, commitments to lend, buy securities, or grant bonds or credits By acceptance of initial duration not more than one year, which may not be revoked unconditionally at any time and without prior notice by the taxable establishment or which does not effectively permit automatic revocation in the case of Deterioration of credit quality of borrower;
-other elements of moderate risk.
Items classified as low risk:
-Unused overdraft facilities (commitments to lend, to buy securities Or to grant suretyships or credits by acceptance), revocable without conditions at any time and without notice by the taxable establishment or which effectively allows automatic revocation in the event of a deterioration in quality Of the borrower's credit. Lines of credit granted to retail customers may be considered as revocable without conditions, where the contractual provisions permit the taxable establishment to cancel them to the extent permitted by the Consumer law provisions;
-other low-risk items.
A N N E X E I I
TYPES OF INSTRUMENTS
1. Interest rate contracts:
a) Interest rate swaps in the same currency;
b) Variable interest rate swaps of different nature (basis swap in English);
(c) On-farm futures contracts Interest (forward in English);
d) Future rate agreements (forward rate agreement, FRA);
e) Interest rate options purchased;
f) Other contracts of the same nature.
2. Exchange rate and gold contracts:
a) Interest rate exchange contracts in different currencies;
b) Forward exchange contract;
c) Future currency agreements;
d) Foreign currency options purchased;
e) Other contracts of the same nature;
f) Gold contracts of the same nature as type contracts
3. Contracts which have characteristics similar to the elements mentioned in points 1 a to 1 e and points 2 a to 2 d when they take other reference elements or indices:
All of the following instruments when they are not Not covered by the preceding paragraphs fall into this category:
a) Option contracts, futures contracts, exchange contracts, future rate agreements and any other derivative contracts relating to securities, currencies, interest rates or Returns or other derivative instruments, financial indices or financial measures that can be addressed by physical or cash delivery;
(b) Option contracts, futures contracts, exchange contracts, future rate agreements and all Other derivative contracts relating to raw materials that are to be settled in cash or may be settled in cash at the request of one of the parties (otherwise than in the event of a default or other termination incident);
(c) Option contracts, forward contracts, exchange contracts and any other derived contract relating to raw materials which may be settled by physical delivery, provided that they are negotiated in a recognised market or a multilateral system of Negotiation as defined by the monetary and financial code;
(d) Option contracts, futures contracts, exchange contracts, firm futures contracts (English) and all other commodity derivative contracts that May be settled by physical delivery, not otherwise specified in paragraph (c), and not intended for commercial purposes, that present the characteristics of other derivative financial instruments, taking into account that, in particular, they are Cleared and settled through recognized compensation organizations or subject to regular margin calls;
e) Financial contracts for differences;
f) Options contracts, futures contracts, exchange contracts, rate agreements Future and any other derivative contracts relating to climatic variables, freight rates, emission permits or inflation rates or other official economic statistics which are to be settled in cash or may Be settled in cash at the request of one of the parties (other than in the event of a default or other termination incident), as well as any other derivative contracts relating to assets, rights, obligations, indices and Measures not otherwise mentioned in point 3, which present the characteristics of other derivative financial instruments, taking into account that, in particular, they are negotiated in a recognised market or multilateral trading system, such as Defined by the monetary and financial code, are compensated and settled through recognized compensation bodies or are subject to regular margin calls.
A N N E X E I I I
CLASSIFICATION CRITERIA SPECIALIZED FINANCING EXHIBITION EXHIBITIONS
You can view the table in OJ
No 51, 01/03/2007 text number 12
You can consult the Table in OJ
n ° 51, 01/03/2007 text number 12
You can view the table in OJ
No 51, 01/03/2007 text number 12
You can view the table in OJ
n ° 51, 01/03/2007 text number 12
A N N E X E I V
PROCESSING OF OPERATIONAL RISK
I. -Classification of loss types
Internal Fraud:
Perts related to acts committed within the company to commit fraud or misappropriation of assets or violate a legislative or regulatory provision, or corporate rules, To the exclusion of cases of practices which are discriminatory or contrary to the rules on professional equality, involving at least one member of the enterprise.
External fraud:
Losses in relation to acts of third parties intended to commit a Fraud or embezzlement or breach of a legislative or regulatory provision.
Employment and Labour Safety Practices:
Losses related to acts contrary to legislative or regulatory provisions, or Employment, health or safety agreements, compensation for personal injuries or practices that are discriminatory or contrary to the rules on professional equality.
Customers, products and business practices :
Pertes related to a breach, whether deliberate or not, to a professional obligation to a customer (including the requirements of trust and adequacy of service), to the nature or characteristics of a product.
Damage Due to physical assets:
Loss or damage to physical assets resulting from a natural disaster or other events
Interruptions of activity and system malfunctions:
Related Losses An interruption in the activity or a system malfunction.
Execution, Delivery, and Process Management:
Loss related to transaction processing or process management and relationship management Business counterparties and suppliers.
II. -Business Lines
Business Financing: 18 %:
-firm financial instrument taking and/or placement of financial instruments with firm commitment;
-farm-related services;
-advice and Financial services to businesses;
-advising businesses on capital structure, industrial strategy and any other related consulting activity; and
-mergers and takeovers of companies ;
-investment research and financial analysis or any other general recommendation for financial instrument transactions.
Negotiation and institutional sale: 18 %:
-negotiation for own account ;
-Interbank market intermediation;
-receipt and transmission of orders for one or more financial instruments;
-execution of orders on behalf of customers;
-investment of financial instruments without Firm commitment;
-operation of a multilateral trading system (MTF).
Retail brokerage (activities with natural persons or small and medium-sized entities fulfilling the eligibility criteria) Retail customer exhibits, as set out in section 18): 12 %:
-receipt and transmission of orders for one or more financial instruments;
-execution of orders on behalf of clients;
-instrument placement Financial without firm commitment
Commercial Bank: 15 %:
-receipt of deposits or other repayable funds;
-loans;
-financing leases and financial leases;
-granting of Guarantees and underwriting of commitments.
Retail Banking (activities with natural persons or small and medium-sized entities fulfilling the conditions of eligibility for the retail exposure category set out in the article 18): 12 %:
-receipt of deposits or other repayable funds;
-loans;
-finance leases and financial leases;
-provision of guarantees and commitments.
Payment and Regulation: 18 %:
-payment transactions;
-issue and management of means of payment;
-clearing and settlement of financial instruments.
Agency services (conservation and administration of financial instruments and Accessory services): 15 %:
Custody and administration of financial instruments on behalf of clients, including retention and related services, such as treasury management/warranties.
Asset Management: 12 %:
-management Portfolio;
-managing UCITS;
-other forms of asset management.
Thierry Breton
