Calculation Of Minimum Capital Requirements Rules

Original Language Title: Minimālo kapitāla prasību aprēķināšanas noteikumi

Read the untranslated law here: https://www.vestnesis.lv/ta/id/156950

Financial and capital market Commission Regulation No 60 in Riga on May 2, 2007. (pr. Nr. 4.19 p.)
Calculation of minimum capital requirements rules Issued in accordance with the law of credit institutions, article 35 of the sixth and sixth article 50.8, financial instruments market law article 121 second and eighth and sixth article 123.3 list of abbreviations ABKV program (ABCP) – asset-based commercial securities program (ECU) ECAIS, external credit assessment institution (rating agency) BNT – equity securities not traded on the stock exchange capital securities (private equity) BT securities exchange traded equity-securities (Exchange traded equity) CVR method-deal with credit risk capital requirements discovery method based on central Governments assigned ratings DPKR (CCR)-counterparty credit risk (counterparty credit risk) EC (EC), the European Community EC-export credit agency of the OECD – Organisation for economic co-operation and development – the IF Trust Fund investment certificates and similar securities IMM-internal models method MACHINE (SSP) – special purpose company created out of vērtspapirizēšan are method-deal with credit risk capital requirements for detection method based on the same authorities assigned ratings for IRB approach to internal ratings based approach to credit risk capital requirements for the determination of CP (CCF) – adjustment – minimum of grade MEAP export insurance premiums for SMES (SME), small and medium company (EL)-expected PZ loss (expected loss) PZP (Elbe) – as accurately as possible the expected loss estimate rating – the ECAI credit assessment or institutions internal credit rating (rating) RP (RW)-risk RPVS (can) the internal model-risk values for the internal model RTA-regulated derivatives market traded derivative instruments derivative instruments-RTT regulated market traded derivatives SNV (PD) – default probability (probability of default) SNZ (LGD) – losses that may arise in the case of default (loss given default) SP – credit risk standardised approach for determining capital requirements SPRDV-expected positive exposure value (expected positive exposure) SRDV – the expected exposure value (expected exposure) T (M) – the term content title I scope and definitions Part 1 guidelines part 2 terms used in the terms of section II, capital Chapter 1 General questions part 1 commercial and trading portfolio
Part 2 minimum equity level Chapter 2 credit minimum capital requirement part 1 General principles part 2 standardised approach part 3 to the internal ratings based approach to credit risk mitigation part 4 part 5 of Chapter 3 of the Vērtspapirizēšan market risks to minimum capital requirements Part 1 capital requirements for position risk calculation part 2 settlement risk capital requirements calculated in part 3 of the counterparty credit risk capital requirement calculation part 4 foreign currency risk capital requirement calculation part 5 commodities risk capital requirement calculation part 6
Value at risk, the use of internal models for the calculation of the capital requirements in Chapter 4 minimum operational risk capital requirements Part 1 General requirements Part 2: Indicator approach standardised approach part 3 part 4 of the alternative standardised approach part 5 Development of operational risk measurement approach, title III, title IV of the equity authorisation and reporting procedures to the Commission part 1 licences part 2 Reporting to the Commission of the final title V issues an informational reference to directives of the European Union annex 1 derivatives , repo, securities or commodities lending or borrowing transactions, long settlement and margin lending exposure value determination part 1. The terms used in the annex to part 2. The method you choose part 3. The initial values for the method part 4. Market value method part 5. Standardized method of part 6. Internal models method part 7. Mutual claims contractual netting (contracts for novation and other netting agreements between) Annex 2 standardised approach to credit risk for calculating capital requirements Part 1. Determination of the degree of risk part 2. The use of ECAI rating risk weighted annex 3 determination of credit risk mitigation part 1. The applicable type of credit risk mitigation in part 2. Minimum requirements for the recognition of credit risk mitigation part 3. Calculation of credit risk mitigation in part 4. Maturity mismatch part 5. Credit risk mitigation in special cases 4. Annex Vērtspapirizēšan position risk weighted calculation part 1. Definitions Part 2. Minimum requirements for recognition of significant credit risk transfer and risk weighted exposure amounts and expected loss amounts for the calculation of risk transactions vērtspapirizēšan part 3. External credit assessments part 4. Calculation annex 5 foreign countries whose surveillance practices and legislation are at least equivalent to EC Directive 2006/48/EC and 2006/49/EC.
6. the annex to the internal ratings based approach to credit risk for calculating capital requirements Part 1. The risk weighted exposure value and the expected losses in part 2. SNV, SNZ and period part 3. Exposure value part 4. Minimum requirements for internal ratings-based approaches use annex 7 Requirements for the trading book part 1. The purpose of the trade part 2. Internal control system part 3. Internal hedge part 4. Inclusion in the trading book 8. attachment options for the calculation of capital requirements for the Delta-plus method 9. attachment options for the calculation of capital requirements in a simple method of annex 10 positions risk derivatives specific risk and overall risk capital requirement calculation conditions annex 11 international rating agency minimum rating that meets the investment level annex 12 highly liquid stock index in annex 13 to the appropriate list and the ECAI rating for compliance with credit quality grade title I scope and definitions Part 1. 1. the provisions in the guidelines determined by the law of credit institutions, and article 49 35. the banking and regulatory requirements on financial instruments market law article 121. investment companies the regulatory requirements.
2. The rules are binding on the Republic of Latvia registered banks and those in the Republic of Latvia registered investment brokerage firms, which are applicable to capital adequacy regulatory requirements in accordance with the financial instruments market law article 121, having this law article 119.1 conditions. Such authorities respect the provisions of the individual, except when the bank has received the law of credit institutions article 50.8 in the fourth and fifth parts or referred to in the investment brokerage firm has received the financial instruments market law article 123.3 in the fourth and fifth of the permits referred to in part to comply with these regulations only consolidation at group level.
Part 2. The terms used in the rules. 3 body – article 1 of the law of credit institutions (1) the definition of the relevant credit institution or financial instruments market law article 1, paragraph 3, for the definitions of investment brokerage company (investment firm), for which the applicable capital regulatory requirements in accordance with the financial instruments market law article 121, having this law article 119.1 conditions.
4. Derivative instruments: derivative financial instruments and derivative commodity instruments.
5. financial instruments are: 5.1. debt securities;
5.2. the capital securities;
5.3. investment certificates of investment funds and other securities evidencing participation in investment funds or similar investment company in the total (IFA);
5.4. money market instruments;
5.5. RT financial futures;
5.6. RTA interest futures;
5.7. interest, foreign exchange, debt securities and equity swaps;
5.8. the option of 5.1-5.7. the instruments referred to in the purchase or sale;
5.9. other financial instruments, which are essentially similar-5.8 5.1 financial instruments listed and which includes, as financial instruments and derivative financial instruments whose value changes depending on primary financial instruments or other underlying asset price, foreign exchange rate, index of prices or rates, credit rating or similar variable changes. Other derivatives include at least all financial instruments market law article 3, paragraph 4 of the second paragraph contained in derivatives, if they are not included in this point.
6. Debt securities-securities, which proves that the issuer's obligations to the holders of the securities. Debt securities are: 6.1. bills and bonds;
6.2. certificates of deposit;
6.3. mortgage debentures;
6.4. simple bills and acceptances (transferable);

6.5. convertible securities that can be exchanged for one of 6.1-6.3. the securities referred to in paragraph 1;
6.6. other basically similar securities whose price depends on changes in interest rates.
7. capital securities-securities which certify participation in company capital, and gives the right to receive dividends or monetize. Capital securities are: 7.1 the shares;
7.2. the depositary certificates (Global Depositary Receipts-GDR Depositary Receipts-ADR, American);
7.3. convertible securities that can be exchanged for one of 7.1 or 7.2. the securities referred to in point;
7.4. other basically similar securities whose price is dependent on stock prices.
8. future contracts – derivatives that determine commitments to buy or sell the underlying asset specified in the contract or the base of the financial instrument (hereinafter referred to as the base asset) at a fixed price on a specified date. Frame the future contracts RTT (Futures) and RTA future contracts (forwards).
9. RTA interest Futures (for ward-rate agreements) – derivative financial instruments for the compensation of the cost of one of the Contracting Parties where the contract underlying the market interest rate for a specific date will differ from the contractual interest rate.
10. The swap agreements (swap)-RTA derivative instruments that provide for the payment flow, the size of which depends on derivative notional values, the exchange between the two parties for a specified period.
11. Options (options)-derivative instruments, which the option seller creates and gives the option buyer the right (but does not entail the obligation) to buy (call option) or sell (put option) the underlying asset of the contract quantity at a specified price at any date from the date of conclusion of the contract up to the date of performance of the contract (American option) or directly to the contract execution date (European option).
12. Delta-ratio, which shows the extent to which the changes in the price of the option when the underlying asset price.
13. Delta-equivalent of an option's underlying market price quantity multiplied by the Delta.
14. traded on a regulated market, warranty (warrant) – a security that gives the holder the right to buy the underlying asset for a given price to traded on a regulated market, the period of validity of the guarantee the last day or last date directly. Settlement of traded on a regulated market, the guarantee can be made by either delivering the same assets, or by paying cash.
15. Cash equivalent instrument (cash assimilated instrument), aizdēvēj (lending institution) issued a certificate of deposit or similar instruments.
16. The safety margin (margin)-guarantee deposit, which deploys a special the organizer of the regulated market or the central counterparty for the specified accounts, dealing in financial markets, and supplemented, if the counterparty of the underlying market price changes adverse counterparty direction from the transaction date to the date of the transaction.
17. a contract for the sale of the asset repurchase (repurchase agreements) – contracts, under which conditions the institution selling the securities, goods or property rights on securities or goods, where such ownership is evidenced by the organizer of the regulated market, which is the holder of the securities or commodities, and which prevents the authority to transfer or pledge of securities or goods to more than one business partner at the same time, with the condition to repurchase those securities or goods or equivalent securities or goods for a specific price on a specific date or a date in the future that will determine the authority.
18. Contracts for the purchase of the assets of the reverse repurchase (reverse repurchase agreements) – contracts, under which conditions the authority buys securities, goods or property rights on securities or goods, where such ownership is evidenced by the organizer of the regulated market, which is the holder of the securities or commodities, provided atpārd these securities or goods or equivalent securities or goods for a specific price on a specific date or a date in the future that will determine the counterparty that sells securities or goods.
19. the repo (repurchase transactions), any deal that is made in accordance with paragraph 17 or 18 in those contracts.
20. Securities or commodities lending (securities or commodities lending) — transactions, the authority lends securities or commodities against appropriate collateral provided that the borrower will return equivalent securities given or goods on a specified date in the future or when requested the authority.
21. Securities or commodities borrowing (securities or commodities borrowing) – transactions, the authority borrows securities or commodities against appropriate collateral provided that the authority is giving back the same or equivalent securities or commodities at a certain date in the future or when you require a lender.
22. the securities or commodities lending or borrowing transactions (securities or commodities lending or borrowing transactions): any 20 or 21 points with the deal.
23. The long settlement transactions (long settlement transactions) transactions where counterparty undertakes to deliver the goods or securities, foreign currency, to get either the amount of cash or other financial instruments or commodities, or vice versa, in a contractual payment or delivery date, later than the earlier of normal market standard settlement date for such transactions or five business days after the date of the authority involved in the transaction.
24. the margin lending transactions (margin lending transactions), the transaction in which the authority shall issue a credit for the purchase of securities, sale, keeping, or trade for the amount specified in the contract or the value of the financial instruments and the deal provides for the transfer of the security reserve. Margin lending transactions does not include other types of loans (those that do not provide for the transfer of the security reserve the counterparty), which are backed by securities.
25. The lending transactions (secured lending transactions)-any exposure that has security and business documentation does not provide common security reserve review.
26. Capital market business (capital market-driven transactions) — exposure that has security and documentation of the transaction provide for common security reserve review, for example, RTA derivatives transactions, and margin (margin lending) loan.
27. the position – or liabilities in relation to any securities, commodity or currency.
28. Long position – a position that gives a right or an obligation to receive payments, securities, or other assets.
29. Short position – a position that gives a right or an obligation to make a payment or deliver securities or other assets.
30. Credit risk – the possibility to suffer losses if the authorities the debtor (the debtor) does not fulfil contractual obligations to the authority.
31. Counterparty credit risk (DPKR) – the ability to suffer losses if the counterparty will stop to meet their obligations before the settlement cash flow last payment.
32. market risk – the possibility to suffer losses in the balance sheet and off-balance sheet items revaluation connected with financial instruments, commodities and commodity derivatives market price changes that happen currency exchange rate, interest rate changes and other factors. Market risk is the risk of a foreign currency position risk, commodities risk, settlement risk and counterparty risk.
33. The position risk – the chance to suffer losses any debt securities or equity worth the paper position revaluation, change in the price of the securities. Position risk gets as specific and general risk.
34. Specific risk – the possibility to suffer losses if the debt securities or equity securities price will change the factors that are associated with the issuer of securities or derivative financial instruments in the event of the person who issued the securities, derivative financial instruments in the underlying asset.
35. The overall risk – the possibility to suffer losses if the security price will change the factors that are associated with changes in interest rates (in the case of debt securities) or with extensive changes in the capital markets (equity), which are not associated with any particular issuers of securities.
36. Operational risk – the possibility to suffer losses, inadequate or incomplete internal process developments, people and systems or external conditions effects, including legal risk.
37. Preferred shares with dividend accrual, such shares with a fixed dividend that its owner guarantees the right to receive dividends that are not paid in previous years profit or because of the scarcity, before dividends ordinary shares during the period, the authority will profit.
38. Gold – international financial markets traded gold bars.
39. the investment brokerage firm's fixed costs (fixed overhead) – costs that remain relatively constant regardless of the investment brokerage business of society scale, such as buildings, structures, equipment and machinery depreciation and maintenance costs, management and administration fees.

40. Default probability (probability of default) (SNV), the probability that a counterparty does not fulfil its obligations during the year.
41. Loss (loss) provisions of title II, Chapter 2, meaning they are economic losses, including a substantial reduction in value (discount effects) and significant direct or indirect costs associated with the recovery of the instruments.
42. The default loss (loss given default) (SNZ) – the percentage of exposure loss ratio against outstanding debt amount at the time of default.
43. The percentage of the possible relationship of the degree of correction (correction), not currently used in relation to the part that will be issued and the customer will owe the authority at the time of default, not currently used in relation to the entire amount of the obligations. The unused amount is determined taking into consideration the customer notified limit, unless the notified limits no higher.
44. The expected loss (expected loss) (PZ)-exposure expected loss or reduction of the recoverable value of the outstanding debt amount at the time of default, if the counterparty within one year will be the default.
45. Credit risk mitigation – different methods used by the authority to reduce the credit risk associated with an exposure or exposures in which the body is involved.
46. Funded credit protection-credit risk mitigation technique, in which the exposure of credit risk mitigation arising from the rights of the authority of the counterparty in the event of default or other defined credit event above (credit event) to realize, take or keep certain assets or reduce the amount of exposure or replace it at a level that is equal to the difference between the amount of exposure and the amount that is equal to the claim against the authority.
47. Unfunded credit protection-credit risk mitigation technique, in which the exposure of credit risk mitigation arising from third-party commitment to pay off the debt of the borrower in the event of default or other defined cases.
48. the national institutions (Public Sector Entity) – non-commercial administrative bodies subject to the Central Government, regional or local governments or institutions that perform the same tasks as regional and local governments or Central Government-owned non-commercial undertakings which have a clear central Government guarantees or pašpārvaldām bodies (self administered bodies), whose activities are governed by law and which are subject to State supervision.
49. the central counterparty – the company that legally assume legally enshrined commitment to mediate between business partners, which financial instruments are traded in one or more financial markets, becoming the buyer to every rename and rename per buyer for.
50. the central bank, central bank of any country, t.sk. The European Central bank.
51. The recognised stock exchange-stock market, which operates regularly and in accordance with stock exchange headquarters (registration) the national supervisory authorities adopted or approved by the law governing the operation of the stock exchange, stock exchange and access to determine the requirements for contracts which can be concluded on the stock exchange, and running settlement mechanism, which provides it with futures and options contracts to cover the risk of the safety margin sufficient level of contribution.
52. the recognized foreign investment brokerage company – the company to which to apply the definition of investment brokerage company, if they were established within the European Community (hereinafter the EC), which issued the license in a foreign country whose supervisory practices and legislation are at least equivalent to EC Directive 2006/48/EC and 2006/49/EC requirements (see list in annex 5).
53. the convertible-securities which, at the option of the holder, may be exchanged for another security.
54. Inventory financing (stock financing) – active positions where the real items are sold in a certain period in the future, and the price of the item sold to the fixed sales date.
55. the participants – payment systems of the Exchange or settlement which has a direct contractual relationship with the central counterparty (market guarantor).
56. Vērtspapirizēšan (securitisation) – the transaction or scheme, which provides for exposure or exposure to the credit risk of the portfolio allocation in some releases and has the following characteristics: 56.1. of the transaction or the payment of the scheme are dependent on exposure or pool of exposures of the discharge;
56.2. release child (the subordination of transh) determines the distribution of losses or during the period of the scheme.
57. the special purpose company created out of the vērtspapirizēšan (MACHINE), a trust company or other legal person other than the authority which is to carry out one or more of the vērtspapirizēšan transactions. Its activity is limited to the measures required for this purpose, the structure provides segregation of the relation of the CHINESE authorities, the initiator and the context of the capital holders (holder of beneficial interest) have the right to pledge or to change these parts without restrictions.
58. The traditional vērtspapirizēšan – worth papirizēšan that includes exposure to economic vērtspapirizēt the transfer of economic benefit and risk transfer, special purpose company created for the purpose of vērtspapirizēšan and only issued securities. It is carried out, taking over from the institutions – the initiator property rights to the exposures vērtspapirizēt or using nested (sub-participation). Issued securities does not impose an obligation of payment authority, the sponsor.
59. Synthetic vērtspapirizēšan-worth papirizēšan, which releases the use of credit derivatives or guarantees and risks of remaining institutions – the balance sheet of the sponsor.
60. the Release of the contract (transh) certain credit risk associated with an exposure or exposures, multiple segments. The position of this segment is greater than or less than the credit risk of loss as a large position in other segments, without taking account of credit protection provided by third parties directly to the holders of the position in this segment and other segments.
61. Vērtspapirizēšan position-exposures resulting from the Authority's involvement in the vērtspapirizēšan.
62. The sponsor – legal person itself or with legal parties directly or indirectly related to the original contract, binding or potential liability to the customer or potential customer and the resulting exposures, which is vērtspapirizēt, or legal persons who purchase third-party exposures, reflecting them in their balance sheet and then place it in the vērtspapirizēšan.
63. The Sponsor – a body which is not a body-initiator and that creates and manages the commercial asset-based securities (hereinafter ABKP) or another vērtspapirizēšan scheme in which exposures are purchased from outside entities.
64. the improvement of the quality of credit (credit enhancement)-provisions of the Treaty, under which improves the position of vērtspapirizēšan credit quality in comparison with a situation would have been if such improvements are not made, among them also the improvement provided by the release of lower class vērtspapirizēšan (junior transh) or other forms of credit protection.
Title II, Chapter 1 of the capital. General questions part 1. Trading and non-trading portfolio of 65. the minimum capital requirements of the authority for the purpose of calculating any balance sheet and off-balance-sheet items distributed trading and non-trading portfolio, depending on the nature of the transactions reflected therein and of the financial instruments or the purpose of the acquisition of goods.
66. Trading book shall include all financial instruments and commodities positions in that Office there for the purposes of trade or other trading portfolio risk. Such positions should be free from the limitations that can affect the chance to buy/sell or take the risk.
67. Held for trading positions have the authority and the authority in good positions and positions held, due to customer service and maintenance market (market making) results, which are purchased and kept for the purpose in the near future to make a profit from the actual or expected differences between their buying and selling prices or other price or interest rate changes.
68. the authority based trading purposes with the strategies, policies and procedures that it has developed, in accordance with Annex 7 part 1 requirements manage trading positions or portfolios.
69. the authority all the trading book position is revalued at market value not less than once a day, using the annex 7 part 2, cautious valuation methods.
70. the authority shall establish and maintain a commercial portfolio management and internal control system according to the provisions of annex 7 part 2 and 4.

71. Internal hedging positions created for trade may be included in the portfolio if it complies with the provisions of annex 7 part 3 requirements.
72. Non-trading portfolio is not included in the trading book positions and exposures.
Part 2. The minimum equity level 73. the authority shall ensure the same amount of capital, which is always greater than or equal to the total of such capital requirements: 73.1. credit risk and risk reduction in recoverable value (dilution risk) capital requirements for all exposures, except for exposures that make up the reduction in equity, except for the trading book and the exposures if the authority does not use the exemption specified in paragraph 74 of its position risk calculation.
73.2. market risk capital requirements: 73.2.1. debt securities trading portfolio and equity position risk, the capital requirements determined in accordance with title II, Chapter 3 of part 1 of the conditions or by using the value at risk (RPVS) internal models corresponding to Chapter 3 of title II of part 6;
73.2.2. trading book capital requirements for settlement risk, determined in accordance with Chapter 3 of title II of part 2;
73.2.3. trading book counterparty credit risk, the capital requirements determined in accordance with title II, Chapter 3, part 3, and is subject to the financial and capital market Commission (hereinafter the Commission) permission to exceed the limit of large exposures of the trading book exposures to such excess capital requirements, calculated in accordance with the Commission on May 2, 2007.-Regulation No. 62 "exposure limit enforcement provisions";
73.2.4. non-trading portfolio and trading portfolio of foreign exchange risk, the capital requirements determined in accordance with title II, Chapter 3 of part 4 of the conditions or using RPVS internal models corresponding to Chapter 3 of title II of part 6;
73.2.5. non-trading book and the trading book capital requirements for commodities risk in accordance with Chapter 3 of title II of part 5 of the conditions or using RPVS internal models corresponding to Chapter 3 of title II of part 6;
73.3. operational risk capital requirements established under Title II, Chapter 4.
74. the authority may submit to the Commission a request to allow the trading book exposures not included to calculate the position requested in paragraph 73.2.1 of the risk capital requirements, but to apply to title II, Chapter 2 and Chapter 3 of part 3 of the approach to the calculation of capital requirements, if the size of the trading portfolio at the same time meet the following criteria: 74.1. the authorities of the trading book and the trading book and the amount of consolidation at group level typically (longer than five working days) shall not exceed 5 percent and never exceed 6 per cent of the balance sheet and off-balance-sheet items in total;
74.2. authorities of the trading book and the trading book and the amount of consolidation at group level typically (longer than five working days) does not exceed 15 million and never exceeds 20 million.
75. In assessing the balance sheet and off-balance sheet items to calculate total 74.1. the trading book referred to in paragraph about the ratio of the balance sheet and off-balance sheet items total, non-trading portfolio and trading book capital and listed debt securities shall be valued at their market prices and derivatives – by the nominal value of the underlying asset or market value. If the information on the Authority's portfolio of debt or equity securities market prices are not readily available, you can use these authorities debt securities the portfolio balance sheet value. Long positions and short positions, adding the amount of their absolute values.
76. the authority which has received permission to exclude debt securities and equity position risk capital requirements for the trading book, provides trading book about the constant control and immediately report to the Commission, if the trading portfolio more than 74 criteria laid down in paragraph. If there is reason to believe that the excess is temporary authority runs all market risk capital requirements in accordance with paragraph 73.2.1 of this part and shall notify the Commission thereof.
77. By way of derogation from the requirements of paragraph 73, an investment brokerage company, which provides financial instruments market law, article 3 of the fourth part 5 and 6 referred to investment services, provide the same amount of capital, which are always more than or equal to at least the greater of the following amounts: 77.1. in accordance with this part and section 73.2 73.1. estimated total capital requirements;
77.2.25 percent from the previous year's total of fixed costs.
78. By way of derogation from the requirements of paragraph 73, an investment brokerage company with initial capital corresponds to the financial instruments market law 120. Article 3 of the first paragraph of point requirements, but which at the same time comply with the rules in paragraph 78.1. or 78.2 requirements, provide the same amount of capital, which are always more than or equal to the amount produced in accordance with this part and section 73.2 73.1. the capital requirement calculated total and 25 percent from the previous year's total of fixed costs. This approach uses the investment brokerage firms: 78.1 do business. own-account only with the purpose to execute client orders or acting agent status or executing client orders, provides access to the clearing and settlement system or a recognised exchange;
78.2. not taking client financial instruments and cash holding or transactions on the customer's behalf, but that deal on own account only if the investment brokerage firm execution and settlement of transactions take place through a settlement system, which guaranteed them.
79. the investment brokerage company, in accordance with this part, paragraph 77 and 78 are exempt from the calculation of the capital requirement for operational risk, ensure its management according to title II, Chapter 4, paragraph 291 of the requirements.
80. Until 31 December 2011, the Commission may also allow other investment brokerage firms other than those referred to in paragraph 77, 78 and not to calculate the capital requirements for operational risk in accordance with the requirements of paragraph 73.3, yes such investment brokerage company for trading book positions never exceed a total of 50 million euros and the average number of employees during the financial year have not exceeded a hundred. Instead, the following investment brokerage firms capital requirement for operational risk as of the invoice from the following values: 80.1. capital requirements for operational risk calculated in accordance with the requirements of paragraph 73.3;
80.2.12/88 parts of the higher of the following amounts: 80.2.1. the capital requirements, calculated in accordance with paragraph 73.2 73.1 and requirements, total;
80.2.2.25 percent from the previous year's regular expenses.
If applicable, 80.2, at least once a year, gradually until 31 December 2011 raises the factor provided for in this paragraph until it reaches 100 percent.
81. on receipt of the authorization referred to in paragraph 80, the investment brokerage firm of minimum own capital must not be reduced compared with the minimum amount of equity that it provided as at 31 December 2006, unless such reduction is not reasonably justified by the investment brokerage company the amount of the reduction.
82. the investment brokerage company, in accordance with paragraph 77 and 78 are exempt from the calculation of the capital requirement for operational risk or received the authorization referred to in paragraph 80 to reduce capital requirements for operational risk, the total amount of fixed costs is based on the last unaudited investment brokerage company's annual report. The investment brokerage firm whose business activities started in the year, the total amount of fixed costs shall be determined on the basis of the planned budget for the year, which is consistent with the Commission. If the previous year's profit and loss statement prepared for less than 12 months, the proportion is calculated on the amount of costs. If the investment brokerage firm in the business since the preceding year significant changes, it may, subject to authorisation by the Commission change the calculated total amount of fixed costs according to business changes.
83. If not otherwise specified in the provisions, the calculation of capital requirements for assets and off-balance-sheet items included exposures evaluated in accordance with the Commission on 24 February 2006, the Regulation No. 46 "banks, investment companies and investment management company of the annual accounts and the consolidated annual report".
84.73. The institution shall calculate the capital requirement laid down in point total and its own funds every day.
Chapter 2. The minimum capital requirements for credit risk in part 1. 85. The General principles of minimum capital requirements for credit risk is calculated as 8 per cent of risk-weighted exposures value amount.
86. Exposures (exposure) for the purposes of this chapter, there are institutions under assets in the balance sheet and off-balance-sheet items reported transactions and derivative instruments.

87. the risk weighted exposure value calculation shall apply either the standardised approach (hereinafter referred to as the SP) or authorisation by the Commission, to the internal ratings based (IRB) approach. Authorisation to apply the credit risk for calculating capital requirements for IRB approach, the Authority also recoverable expense impairment risk capital requirements in accordance with the requirements of part 3.
Part 2. 88. A standardized approach to risk weighted exposure value is calculated as follows: 88.1. determine the exposure value under the 89-96;
88.2. all the exposures indicated in paragraph 97 of the distribution in 16 categories of exposures to which the master is applied to exposures to certain degree of risk, taking into account the 98-101 requirements;
88.3. calculation of risk weighted exposure value under paragraph 102-110.
Exposure value 89. balance sheet asset exposures, except financial assets contained in paragraph 92 of these derivatives, the value is the gross book value of exposures.
90. Off-balance sheet items included in the exposure value of the exposure kredītekvivalent. Off-balance sheet items kredītekvivalent exposure is calculated by multiplying the off-balance-sheet item included in the exposure value with the adjustment, the size of which is determined taking into account the type of off-balance-sheet items: 90.1. off-balance sheet items of the risk business with 100 percent degree of correction (full risk): 90.1.1 guarantee (guarantee). third parties, having credit substitutes;
90.1.2. credit derivatives (credit counterparties);
90.1.3. accepted acceptances (transferable);
90.1.4. endorsements on bills that have not previously done other banks endorsements;
90.1.5. transactions with recourse rights, i.e., contracts for the sale of the assets of the bank, if the bank assumes the credit risk of these assets and decreasing the value of the assets purchased to cover the buyer;
90.1.6. the reserves the irrevocable letters of credit (standby), having credit substitute;
90.1.7. contracts for the purchase of an asset on a specified date in the future, if no agreement at the atpārd;
90.1.8. contracts of deposit placement on a specific date in the future to determine the rate of interest;
90.1.9. partially paid shares and other securities outstanding, if it must pay on demand;
90.1.10. contracts for the sale of assets with a repurchase option, which authorities the obligation to buy back the assets for the period specified in the contract and the price if the counterparty requests it;
90.1.11. other memorandum items with full risk;
90.2. the risk off-balance-sheet items transactions with 50 percent correction level (medium risk): 90.2.1. open and documentary letters of credit, approved except 90.3.1. referred to documentary letters of credit;
90.2.2. the contract with the vendor for payment of remuneration to the buyer, if the vendor contract obligations to the buyer does not fulfil in full, or for the damages incurred by the buyer in the course of performance of the contract (contract guarantees), traded on a regulated market, warranties and guarantees (warranties) that do not possess credit substitutes;
90.2.3. irrevocable standby letters of credit not having the character of credit substitutes;
90.2.4. the contract for the service, the opening of a credit line to purchase securities, provide guarantees (guarantees), or acceptance, with an original maturity of more than one year and that the bank is not entitled to unilaterally, without execution or culpably violate applicable, and without the other party's prior notice to terminate or withdraw from it;
90.2.5. issuance system of promissory notes (note issuance facilities (NIFS) in) and renewable subscription system exposures (revolving underwriting facilities (RUF));
90.2.6. other off-balance sheet items of moderate risk;
90.3. the risk off-balance-sheet items to 20 percent correction level (risk of lower-than-average): 90.3.1. documentary letters of credit, secured with the shipment or loading to the notes, and other similar transactions;
90.3.2. contracts relating to loans, lines of credit, the purchase of securities, guarantee (warranty) or accept that the issue of the original maturity is equal to or shorter than one year and that the bank is not entitled to unilaterally, without execution or culpably violate applicable, and without the other party's prior notice to terminate or withdraw from it;
90.3.3. other memorandum items with the risk that below average;
90.4. risk off-balance-sheet items transactions with a 0% interest rate adjustment (low risk): 90.4.1. for service contracts, the opening of a credit line to purchase securities, provide guarantees (guarantees), or acceptance, which the authority may unilaterally, without execution or culpably violate applicable, and without the other party's prior notice to terminate or withdraw from it. Small exposures in the portfolio (see. 98) included credit lines may be considered as such, which the authority may unilaterally, without execution or culpably violate applicable, and without the other party's prior notice to terminate or refuse from execution if it is not in violation of the consumer protection and other similar legislation;
90.4.2. other memorandum items with low risk.
91. where the authority to credit risk mitigation is used in part 3 of annex 3 describes the financial collateral extended method, the exposure, which are securities or goods continue to display a balance sheet or off-balance-sheet items, but according to repo transactions, securities or commodities lending or borrowing transactions, long settlement transactions or margin lending business sold, transferred (carried over) other account or loan, increase the value of the relevant securities and commodity price volatility adjustment defined in annex 3, part 3, paragraph 53-79.
92. Derivatives exposure value is divided into interest, foreign exchange and gold and other derivative instruments.
57.2. interest derivatives is: 92.1.1. the interest of one currency swap contracts (single-currency interest-rate swaps);
92.1.2. base swaps (swap basis);
92.1.3. RT interest Futures (interest-rate futures);
92.1.4. RTA interest Futures (forward-rate agreements);
92.1.5. buy interest options (interest-rate options purchased);
92.1.6. other interest derivatives, essentially similar to the 92.1.1.-92.1.5. referred to derivatives.
92.2. Foreign Exchange and gold derivatives are: 92.2.1. an intermediary interest swaps (cross-currency interest-rate swaps);
92.2.2. the foreign exchange RTS Futures (currency futures);
92.2.3. RTA foreign exchange futures (forward foreign-exchange contracts);
92.2.4. buy foreign currency options (currency options purchased);
92.2.5. other foreign currency derivatives that are basically similar to the 92.2.1.-92.2.4. in point derivatives;
92.2.6. derivative instruments, which are essentially similar to the 92.2.1.-92.2.5. in point derivatives and commodity-based gold.
92.3. other derivatives are the derivatives, which are essentially similar to the 92.1.1.-92.2.1.-92.2.4 92.1.5 and referred to in paragraph derivatives, but commodity-based equities, stock indices, precious metals (except gold) and other basic assets. Other derivatives include at least all financial instruments market law article 3, paragraph 4, second subparagraph "a", "b", "c", "d", "f", "g" and "h" appearing in derivatives, if they are not included in this point.
93. RT the derivatives, and foreign exchange derivatives, whose original maturity is 14 days or less, the exposure value is zero. The rest of paragraph 92 derivatives exposure value is determined by using one of the methods indicated in the annex, taking into account the novation contract or another contract included.
94. Repo transactions, securities or commodities lending or borrowing transactions, margin lending transactions or long-running transactions settlement value is determined using either the annex 1 the following transactions using the method, or given in part 3 of annex 3 in certain credit risk mitigation techniques.
95. If the transactions with derivatives or minētājo in 94 transactions accounted for claims against the central counterparty and such transactions under the arrangement are every day fully backed the central counterparty of all other business partners, then the following exposures to central counterparties value shall be determined in accordance with Annex 2.  parts of point 6.
96. If the exposure is funded credit protection, the exposure value shall be adjusted in accordance with part 4 and the provisions of annex 3.
Exposure category 97. Risk weighted exposure amounts institutions to determine the distribution of the exposures following exposure categories: 60.3. claims or contingent claims (contingen to claims) against the central Governments or central banks;
97.2. claims or contingent claims on regional governments or local governments;

60.5. claims or contingent claims on national institutions;
60.5. claims or contingent claims on international development banks;
97.5. claims or contingent claims on international organisations;
97.6. claims or contingent claims on institutions, except 97.14. the requirements referred to in paragraph 1;
97.7. claims or contingent claims on corporates, with the exception of 97.8. and in paragraph 97.14 requirements;
97.8. little exposure or potential claim to the portfolio of exposures to individuals and small to medium companies (hereinafter referred to as SMES);
97.9. claims or contingent claims secured on real estate;
97.10. the risks hindered i.e. exposures falling due are delayed more than 90 days;
97.11. high risk categories for exposure, i.e., not traded on a regulated market of securities capital (private equity), which is not diversified portfolio;
97.12. requirements covered bonds (claims in the form of covered bonds);
97.13. vērtspapirizēšan (securitisation) positions;
97.14. short-term claims on institutions and corporates, which are available to eligible and nominated ECAIs short-term ratings;
97.15. Ifa;
97.16. other requirements.
98. The small business portfolio risk risk counterparties shall meet the following criteria: 98.1. counterparty risk are individuals or SMES;
98.2. exposure is one of the statistically significant exposure homogeneous in that form the portfolio, the number (not less than 500 customer or group of connected clients set of exposures). Such an exposure risk portfolio is significantly less than would be the case, Yes, this exposure would be managed as a separate exposures. The Briefcase can create such homogeneous products: credit lines (such as overdraft or credit card line of credit), loans to private individuals and leasing to private individuals (included in the balance sheet at current value of future leasing payments), renewable credit (revolving credits) and other obligations of individuals, SMES and other SMES credit obligations to the authority;
the total claim amount 98.3. against each such client or a group of related customer group from the authorities, its parent company and the parent company's other subsidiaries, including any past due exposure, but not taking into account the housing mortgage hedge exposures, in so far as it is known, does not exceed EUR 1 million. The authority shall take reasonable measures (reasonable steps) to obtain such information;
98.4. the requirement that securities issued by the customer, must not be included in the small business portfolio risk.
99. the minimum lease payments present value of the future may include small exposures in the portfolio, if the leasing transaction meets the small business portfolio risk criteria.
100. Exposures to individuals that are not included in the small business portfolio risk and not discouraged, is suitable for 100 percent of the risk, if other points of these regulations unless otherwise specified.
101. for exposures to SMES, which does not include the small business portfolio, the risks include claims against commercial companies in related categories.
Risk weighted calculation 102. All risks, except for those who own the capital reduction, risk weighted value is calculated by multiplying the exposure value with its counterparty obligations specified risks.
103. Calculation of risk weighted value of exposures risk applied according to annex 2 of part 1 of the regulations. The degree of risk is determined according to the category of exposures and counterparty obligations prescribed credit quality grade in each exposure category. Credit quality level determined on the basis either of the ECAI ratings or on export credit agency (hereinafter EC) credit ratings according to part 1 of annex 2.
104. the Commission's list of recognised ECAI, asset classes, which they assign ratings and the ratings of compliance with credit quality grades are given in annex 13 provisions.
105. the ECAI ratings risk weighted calculation used in accordance with Annex 2, part 2.
106. the authority uses the customer ordered (solicited) ECAI ratings. Authorisation by the Commission, it can also be used not ordered (unsolicited) ratings.
107. If exposures are unfunded credit protection, the exposure risk applicable may be modified in accordance with part 4 of this chapter and the provisions of annex 3.
108. The Risk-weighted value of the heading rows vērtspapirizēšan exposures shall be calculated in accordance with Chapter 2 of title II of part 5 of the regulations.
109. Notwithstanding the requirements of paragraph 102, the authority, the Commission may apply to the authorization of the 0 percent risk exposures to institutions of authority, a subsidiary, the parent company and other subsidiaries of the parent companies, except for exposures that constitute the first level of that company's equity, if the following conditions are fulfilled: 109.1. the counterparty is an institution or a financial holding company, financial institution, investment management company or ancillary that apply to the activities of the authority in regulatory requirements regulatory requirements equivalent to at least the level of the consolidation group;
109.2. counterparty financial statements are consolidated with the financial statements of the authority by using the full consolidation method.
109.3. counterparty risk evaluation, measurement and control procedures are the same as the Authority's risk assessment, measurement and control procedures;
109.4. the counterparty is established in the Republic of Latvia;
109.5. There is no current or foreseen material or legal impediment to make instant equity additions or to pay a counterparty's obligations to the authority.
110. the Risk-weighted value of the other exposures, where the degree of risk cannot be determined, using paragraph 102-109 method, is calculated by applying a 100 percent risk.
Part 3. To the internal ratings based approach IRB approach authorisation conditions 111. for the Commission's permission to use the IRB approach for risk weighted exposure value calculation, the authority shall ensure that its internal credit risk management and ratings system is safe, and suitable are introduced, respecting the integrity of the corresponding to good corporate governance principles, and systems meet the following Annex 6 part 4 describes standards: 111.1. rating system provides the support of the debtor and the assessment of the characteristics of transactions differentiation of risk and accurate and consistent quantitative estimates of risk;
111.2. internal ratings and default (default) and loss estimates used in the calculation of capital requirements, and associated systems and processes are essential for risk management and decision making process, as well as the authorities issued the credit approval, internal capital allocation and corporate governance of the authority;
111.3. establishment have unit that distributes credit risk control function and is responsible for internal rating systems. This unit is sufficiently independent from the service and credit transactions, and its operation is not affected;
111.4. the institution collects and stores all relevant data to ensure effective credit risk assessment and management process;
111.5. the authority shall document its rating systems, their design and evaluate and approve them.
112. the authority may submit the application to allow it to use the IRB approach, if it is at least three years used the internal rating system the relevant listed in paragraph 120 risk transaction categories and rating systems used in General comply with the annex 6 part 4 minimum requirements laid down in the risk assessment and risk management purposes. If the authority wants to use the IRB approach before 2010, it received authorization from the Commission until 2009 December 31 may reduce this referred to the three-year period of up to one year.
113. the authority may submit the application to allow it to use the same adjustment in certain grades, SNZ, or if it is at least three years used the same parameters and set their discovery and use generally conform to annex 6, part 4: the minimum requirements laid down in. Such application may be filed either in the application referred to in paragraph 112, or later, using the 6 in part 2 of the annex to Commission certain SNZ or correction. If the authority wants to use the same set of adjustments, or SNZ it up to 31 December 2008 may be reduced in this referred to the three-year period of up to two years.
114. Where the body stops meet the requirements laid down in this paragraph, it shall submit to the Commission a plan for timely enforcement resume or proves that the non-compliance of the requirements is not significant.
The gradual implementation of the IRB approach (roll-out) for different categories of exposures and possible exceptions 115. the authority, the Authority's subsidiary company, the parent company of the parent company and other subsidiaries implement the IRB approach for all risk exposures except 148 above. If the Commission's authorisation, the IRB can make gradual implementation:

115.1. the various listed in paragraph 120 exposure categories in one unit of the authority or the consolidation group within an existing company;
115.2. various authorities or departments in the consolidation group which supervision on a consolidated basis shall be exercised by the Commission, the existing company;
115.3. exposures to corporates, institutions, central Governments and central banks, which the authority itself can determine the degree of correction or SNZ;
115.4. small business portfolio risk category risk exposures under annex 6 of part 1 of 10-13 at different level of risk in the calculation of the correlation.
116. The progressive IRB approach, referred to in paragraph 115, the reasonable period of time, coordinated with the Commission. The possibility of gradually introducing IRB approach must not be used for credit risk capital requirements.
117. the institutions using the IRB approach for any exposure class, use the IRB approach for the capital securities.
118. in the light of the 115-117 and paragraph 148, the authority, in accordance with paragraph 111-114 has received permission to use the IRB approach, may not resume SP application exposure to risk weighted value calculation, except when it is able to justify it properly, and has received the Commission's permission to start using the SPA.
119. in the light of the 115, 116 and 148, the authority, in accordance with paragraph 113 has received permission to use the same adjustment in certain grades, SNZ and may not resume SNZ referred to in paragraph 136, and the use of degrees of adjustment except where it can be duly substantiated and it has received the Commission's authorization of the aforementioned changes.
Exposure category divided into 120. Authority of each exposure in one of the following categories: 120.1. claims or contingent claims on central Governments and central banks;
120.2. the claims or contingent claims on institutions;
120.3. claims or contingent claims on corporates, except in paragraph 120.4;
120.4. little exposure or potential claim portfolio;
120.5. the capital securities;
120.6. vērtspapirizēšan position;
120.7. other assets that do not have credit debts.
121. Exposures to central Governments and central banks following similar exposures: 121.1. exposures to regional and local governments, under the provisions of SP treated as exposures to central Governments;
121.2. risk business with international development banks and international organisations, which according to the degree of risk is 0 percent SP.
122. Exposures to institutions assimilated to the following risks: 122.1. exposures to regional and local governments, which are not treated as exposures to central Governments under the SP;
122.2. exposures to institutions in the country, comparable to exposures to institutions under the SP;
122.3. exposures to international development banks, which according to the degree of risk in terms of interest not 0 SP.
123. to exposure can set off small portfolio exposures, exposures must meet the following conditions: 123.1. counterparty risk are individuals or SMES, SMES in the case if the total amount that the client or group of related client is owed to the authority, the Authority's parent company, subsidiaries and the parent company's subsidiaries, including any past due exposure, but not including the exposures secured by residential mortgage not exceed 1 million euro, as far as known to the authority, which shall take reasonable measures to obtain information about all such exposures;
123.2. risk management the authority for such exposures is consistent and is performed in the same way all portfolio exposures, considering such a transaction portfolio on a single set;
123.3. it is managed individually as exposures are managed by commercial companies;
123.4. each of them is one of many the same way manage exposures;
123.5. small exposures in the portfolio may be included in paragraph 123.1 compliant business partners minimum lease payments present value of the future.
124. the category of equity securities including the following exposures: 124.1. exposures, not debt claims against the issuer, but forming a subordinate of the remaining claim against the issuer's assets or revenue;
124.2. debt instruments, which by nature are like economic 124.1. point specified exposures.
125. the Company exposure category distribution to specialised lending exposures, i.e. the exposures to the following signs: 125.1. exposure is concluded with legal persons, specially created to finance or carry out transactions with material assets;
125.2. the Treaty provisions give the lender a substantial control over assets and financed by revenue;
125.3. the primary source of repayment is financed assets generate revenue rather than commercial companies financed assets income from independent capacity to meet their obligations.
126. Any claims or contingent claims not included, and 120.2 120.4 120.1-120.6. exposures referred to in point categories are included in paragraph 120.3 exposure category.
127. in property Leasing residual value included in paragraph 120.7 reported exposure category, unless it does not include leasing risk transactions in accordance with annex 6, part 3, paragraph 68.
128. the methodology used by the Authority's exposure to various risks allocation categories must be proper and consistent.
Risk weighted calculation 129. Credit risk capital requirements for the determination of 120.1-120.5. or paragraph 120.7 categories include exposure, except for those who own the capital reduction, risk weighted value calculated in accordance with annex 6, part 1, 1-27.
130. the reduction of the recoverable value of the risk capital requirements for the determination of the purchased accounts receivable risk weighted value calculated in accordance with annex 6, part 1, paragraph 28. If an institution has concluded the purchase contract receivable with recourse rights regarding customer default risk and risk reduction in recoverable value, i.e. the amount receivable seller agrees to cover all debt recovery-related losses, 135-153, point requirements for purchased receivables shall not apply and such exposure is considered the risk that debt transactions with the seller.
131. the Risk weighted exposure amounts for credit risk for calculation and recoverable values of risk reduction based on certain parameters associated with that exposure. They include the SNV, SNZ, T and the exposure value. The body itself can determine the SNV and SNZ in accordance with annex 6, part 2.
132. Notwithstanding the requirements of paragraph 131 risk weighted exposures calculate the contained paragraph 120.5 exposure class shall be carried out in accordance with annex 6 of part 1 of 17 to 26, if authorised by the Commission. The Commission will authorise institution to use the part 1 of annex 6, 25 and 26 of the access provided for in paragraph 1 only if the authority runs the 6.4.193. – part 201. above the minimum requirements.
133. Notwithstanding the requirements of paragraph 131 of specialised lending exposures to risk weighted value calculation may be carried out in accordance with part 1 of annex 6, paragraph 6 of the regulations.
134. Exposures included 120.1-120.4. exposures referred to in point categories, the authority shall apply the same set of SNV in accordance with paragraph 111-114 and annex 6 part 4 requirements.
135. Exposures included in paragraph 120.4 exposure class, the authority shall ensure the same level of adjustment in certain SNZ and, pursuant to paragraphs 111-114 and annex 6, part 4.
136. Exposures included 120.1-120.3. exposure referred to in paragraph 1 for category, institution, established SNZ annex 6, part 2, paragraph 44, and the degree of adjustment laid down in annex 6 part 3 – point of 72.1.72.4.
137. Notwithstanding the requirements of paragraph 136 the Commission may allow the body to all exposures included in paragraph 120.1-120.3 exposure categories, use the same adjustment in certain grades, SNZ and light 111-114 and annex 6 paragraph of part 4.
138. Vērtspapirizēšan position exposures risk weighted value calculated in accordance with part 5 of this chapter.
139. If the requirements established on the acquisition of the IFA, which corresponds to annex 2, paragraph 15.2 of part 1 of the criteria and authority for the investment fund is known, the actual investment structure, risk-weighted value and PZ is the amount calculated on the actual contribution of each according to this part-147.111 methods set out in paragraph 1. If IF does not comply with Annex 2 of part 1 of the criteria of paragraph 15.2, but authority is known, however, the actual investment funds investment structure, the risk weighted value IF calculated as follows:

139.1. actual capital investment securities which comply with paragraph 120.5 exposure class, the risk weighted value and PZ the amount calculated in accordance with annex 6 of part 1 of 19-21. the above approach. If for this purpose, the authority could not split the investment of BT capital securities capital securities, BNT that portfolio is diversified, and the rest of the capital securities, it equates all actual investment capital securities over the local equity securities;
139.2. all other investment fund's actual investment risk weighted value is determined by using the SP with the following adjustments: 139.2.1. actual investments are broken down into the categories of exposures to the SP and give them the degree of risk corresponding to one step higher credit quality grade than that under the SP following exposures;
139.2.2. actual investment, which represents a higher degree of credit quality and appropriate it should apply to risk 150 percent, 200 percent granted the degree of risk.
140. If IF does not comply with Annex 2 of part 1 of the criteria of paragraph 15.2, or body does not contain information on the Trust Fund's actual investment, the institution shall calculate the risk-weighted value and PZ amount for each known actual contribution according to part 1 of annex 6, 19-21. the approach set out in paragraph 1. If for this purpose, the authority could not split the investment of capital securities, BT capital securities capital securities, BNT that portfolio is diversified, it is assimilated to the following exposures for other equity securities, but not investment investment capital securities into one of 6 of part 1 of annex 19. the categories referred to in point (BT capital securities, BNT equity securities whose portfolio is diversified, and the remaining equity securities), taking into account the risk of the investment. When the IF or its parts the actual investment is not known, it divided into the General equity category.
141.140. As an alternative, the method described in paragraph 1 may be calculated IF the average risk weighted value similar to annex 2 in paragraph 15.3 or 15.4 methods in adjusting the level of risk and in accordance with paragraph 139.2 139.1. rules, IF all or part of the actual investment that is not known to the rest of the equity category. Following the IF the average risk weighted value authority may calculate or use third-party reports and, if sufficient accuracy of calculation and reporting.
Expected loss (PZ) determine the size rule 142-120.5) (120.1 categories included exposure PZ size calculated according to annex 6 of part 1 of 29-35 methods.
143. PZ size calculation is carried out according to annex 6 of part 1 of 29-35, based on SNV, SNZ and exposure values used in the calculation of risk weighted in accordance with paragraph 129-141. If the authority uses the same set of SNZ, exposures, which is the default case, the authorities are all PZ damages that are foreseeable defaults at the time of accession, estimate the size of which shall be determined in accordance with annex 6, part 4, paragraph 157 (hereinafter referred to as the PZ best estimates).
144. PZ size vērtspapirizēšan position calculated in accordance with part 5 of this chapter.
145. PZ size exposures included in paragraph 120.7 exposure category is zero.
146. PZ size purchased accounts receivable recoverable values of risk reduction is calculated in accordance with annex 6, part 1, paragraph 35.
147. PZ size exposures referred to in paragraph 139-141, calculated in accordance with the methods set out in part 1 of annex 6 of 29-35.
Exposures that are authorised to apply SP, receiving permission to use the IRB approach for 148. If the Commission's authorization, the authority is allowed to use the IRB approach for risk weighted exposure amounts and expected loss calculation of the size of one or more exposure classes may apply a permanent SPOT in the following cases: 148.1. paragraph 120.1 exposure category where a significant number of counterparties is limited and the rating system for these counterparties authority would be disproportionately burdensome;
148.2. paragraph 120.2 exposure category where a significant number of counterparties is limited and the rating system for these counterparties authority would be disproportionately burdensome;
not relevant departments of 148.3. exposures, as well as exposure classes that in size and risk profile are negligible;
148.4. exposures to the Central Government of the Republic of Latvia and the Republic of Latvia government agencies;
148.5. exposures to counterparties, which is the parent company of the institution, subsidiary company or its parent company-subsidiary company, in the event that the counterparty is an institution or a financial holding company, financial institution or ancillary, that is subject to consolidated supervision;
148.6. public authorities, claims against which you can apply the zero risk or which is sponsored by the Government, the capital securities;
148.7. equity securities linked to national programmes for the promotion of special economic sectors where the authority receives significant subsidies for their investment and which some government oversight and restrictions on investment. The following equity value amount must not exceed 10 percent of the Authority's first level and second level equity totals;
148.8. State and national reinsured guarantees corresponding to annex 3, part 2, paragraph 37;
148.9. the authority may apply to the other Member States the SP company equity securities, if permitted by the relevant Member State application of regulatory requirements.
149. the purpose of paragraph 148 institutions equity category be considered significant if the total average of the previous year, excluding equity securities resulting from 148.7. referred to national programs, more than 10 percent of the institution's own funds. If the investment that creates such capital securities is less than 10, above the threshold is 5 percent of the institution's own funds.
Part 4. 150. Credit risk mitigation purposes, this part of the body – the vendor is the authority, which is engaged in the business of risk, regardless of whether the transaction result or no result of the loan.
151. the authority, which uses SP in accordance with paragraph 88-110 or use the IRB approach under the 111-149 points, but does not use the same adjustment in certain grades, SNZ and may recognise credit risk mitigation in accordance with this part, the calculation of risk weighted exposure value of credit risk capital requirements for the purpose of determining or PZ size discovery to calculate the equity amounts to be included in the calculation in accordance with annex 6, part 1, point 36.
152. Methods, which the authority-vendor uses the credit protection (credit protection), as well as the policies and procedures developed to ensure that the credit protection is legally effective and enforceable in all relevant jurisdictions.
153. the authority – the vendor shall make arrangements to ensure the credit protection measures are effective and take account of the related risks.
154. Funded credit protection in the case of assets that are deemed appropriate, must be sufficiently liquid and their value over time sufficiently stable to reliably determine the credit protection, taking into account the risk weighted in the calculation method and the permissible level of recognition. Fit only part 1 to annex 3 in specific assets.
155. Funded credit protection in the case of the authority, the creditor is entitled to sell or keep in good assets that provide protection to default, insolvency or bankruptcy, or other documentation of the transaction certain credit events. This right also applies to assets that are held by a third party (the custodian Holdings). The degree of correlation between the value of the assets intended for protection and the creditworthiness of the borrower must not be too high.
156. Unfunded credit protection in the case of call of protection must be reliable and protection agreement must be legally enforceable in all relevant jurisdictions and to determine reliably the amount of credit protection, taking into account the exposure risk weighted in the calculation method and the permissible level of recognition. Fit only the protection recognized management and protection contract types defined in part 1 of annex 3.
157. the authority-vendor applying credit risk mitigation techniques credit risk capital requirements, perform 3 in part 2 of annex minimum requirements provided.
158. If the 150-157 of requirements, risk weighted exposure value calculation and the case PZ can modify the amount calculated in accordance with part 3 of annex 3.
159. no exposures for which a credit risk mitigation is recognised, must not be greater exposure to risk weighted value or PZ amount as identical exposures for which there is no suitable credit risk mitigation.

160. where exposures in the calculation of risk weighted exposure is already taken into account in the credit protection according to the provisions of paragraph 88-110 (SP) or the IRB approach, this is in addition to the credit protection recognised by determining the effects of credit risk mitigation in accordance with this part.
Part 5. Vērtspapirizēšan-161. If the institution uses the rule in paragraph 88-110 SP described risk weighted exposure to determine the category to which the corresponding provisions of 97.13 to the point vērtspapirizēt exposures, the risk weighted value vērtspapirizēšan heading in accordance with annex 4, part 4 of the 16-50. In all other cases, the institution shall calculate the risk-weighted value in accordance with the provisions of annex 4 part 4 of 16-20 and 51-92. point.
162. If the authority takes over from the authorities-a significant credit risk of the sponsor, which is associated with the vērtspapirizēt exposures in accordance with annex 4, part 2, it may: 162.1. in case of traditional vērtspapirizēšan to exclude from the calculation of risk weighted exposure amounts or appropriate PZ calculates exposures subject worth papirizēšan;
vērtspapirizēšan-162.2. synthetic case, the calculation of risk weighted value and the appropriate amount of vērtspapirizēšan PZ exposures according to the provisions of annex 4, part 2.
163. If the rule is applied, the body paragraph 162-Initiator rule of calculation in annex 4 risk weighted positions that may arise in connection with vērtspapirizēšan. If significant credit risk pursuant to paragraph 162 is not passed, the authority, the sponsor does not have to calculate the risk-weighted value of the positions, which may arise in connection with vērtspapirizēšan.
164. in order to calculate risk-weighted vērtspapirizēšan position value, the risk the degree of risk assigned to the transaction in accordance with the provisions of the annex, on the basis of their credit quality, which can be determined by taking into account the ECAI ratings or otherwise, as set out, respectively, the provisions of annex 4.
165. Exposure to each release be considered a vērtspapirizēšan position, and credit protection sensor is vērtspapirizēšan position holders. Vērtspapirizēšan also includes vērtspapirizēšan with the position of the related exposures arising from interest rate or foreign exchange derivatives.
166. If vērtspapirizēšan is used for the heading occupational or unfunded credit protection, to be applied for this position to the degree of risk can change based on the rule of 150-160, in connection with the provisions of annex 4.
167. Vērtspapirizēšan position, except those that make up the reduction in equity in accordance with this provision, risk 348.7 weighted values included in the bodies risk weighted value amount that is calculated in accordance with section 73.1.
168. In accordance with paragraph 164 – 167. determine the degree of risk of vērtspapirizēšan position, ECAI ratings can be used only when the Commission for this purpose in accordance with article 35.1 of the law of credit institutions has recognised ECAI appropriate.
169. the ECAI ratings for use in the Authority's risk weighted value calculation according to 164-17 must be consistent and must comply with the provisions of annex 4, part 3. Ratings may not be used selectively.
170. Revolving exposures with early amortisation vērtspapirizēšan condition in the case of the authority, the sponsor in accordance with annex 4, the additional risk of calculation weighted value, given that the credit risk may increase premature wear.
171. Renewable exposure for the purpose of paragraph 170 is a transaction in which the borrower's account balance can vary within a certain credit limit, depending on the decision to borrow or repay the loan, and early amortisation provision is clause, which, after certain events, down to the position of investors would be repaid before the securities issued/closed the original deadline.
172. the institution-sponsor, which estimates the risk weighted exposure value under paragraph 162, or authority-the sponsor does not provide the support that exceed its contractual obligations to mitigate potential or actual losses to investors.
173. If the authority or the body, the sponsor, the sponsor does not comply with the provisions of paragraph 172 for vērtspapirizēšan, the Commission requests that it provide at least the same capital all the exposures, vērtspapirizēt as if they were vērtspapirizēt. The authority shall make public information on the provided non-contractual support and its impact on the equity requirements.
Chapter 3. Minimum market risk capital requirements Part 1. The capital requirements for position risk calculation 1 calculate the heading 174. Debt securities or equity worth a net position paper is the difference between the Bill's long and short positions.
175. the derivative, which is the underlying debt securities or equity securities, capital requirements for position risk calculation included as base active position, which can be counted with the securities or debt position.
176. RT and RTA interest futures contracts and debt securities for the purchase or sale of futures contracts are included in the debt securities in the calculation of the net position as of long and short positions. For example: 176.1. purchased RT interest included in the calculation of the futures contract as a loan (short position) with a residual maturity of the contract execution date and active (long position) with the remaining period to the contractual maturity date of the underlying. Calculating the RT interest futures contract specific risk and general risk capital requirements, both positions reflects how table 2 category 1 of debt positions;
176.2. RTA interest sold futures shall be included in the calculation as a long position with the remainder of the term until the date of performance of the contract, adding to the contract period and the short position with a residual maturity of the contract execution date. Calculating the percentage of future RTA contract specific risks and general risk capital requirements, both positions reflects how table 2 category 1 security positions;
176.3. debt securities purchase agreement included in the calculation of the future as a loan (short position) with the remainder of the term until the date of performance of the contract and the relevant debt securities the long position with a residual maturity of the debt security's maturity date. Calculating the purchase of debt securities futures contract specific risk and general risk capital requirement, short position reflects how table 2 category 1 of debt securities and the long position as the issuer of debt securities with a corresponding category in table 2.
177. the interest swap, under which the institution receives floating interest rate and pay a fixed rate of interest, reflecting how the securities with floating interest rate and the maturity date equal to the next rate review date, the long position and securities with fixed interest rate and the residual maturity of the swap contract end date short position. Both positions reflects how table 2 category 1 securities positions.
178. Options include net positions calculated as base active Delta if Delta equivalent equivalent is defined in the stock market or the Commission received permission to option pricing model.
179. the body that the Commission has not given permission to option pricing models, options, which are not available in certain Delta stock equivalent, should not be included in the net asset position of base calculation.
180. A regulated market trade guarantees relating to debt securities or equity securities, net positions shall be included in the calculation as options.
181. included in the trading book the appropriate securities or property rights to such securities, which are sold under contract for the sale of the asset repurchase or lent under securities lending transactions, the securities shall be included.
182. Credit derivatives include the reference to debt or debt securities in the calculation of the following positions: 182.1. If the counterparty (protection against the credit risk of the seller, the seller of protection referred to) assume the credit risk, market risk capital requirements for the calculation of the use of the credit derivative notional value, if not specified otherwise in the future. Calculating capital requirements for specific risk, the term applied instead of the credit derivative terminu, excluding swaps total revenue (total return swaps). The positions shall be determined as follows: total revenue 182.1.1. swap reference shows the overall risk of the long positions and the overall risk to the short position, which reflects how table 2 category 1 of central government debt securities position with the 0 percent risk and maturity corresponding to the period until the next review of interest rates. This tool also displays the reference to the specific risk long position;

182.1.2. credit default swaps (credit default swap) does not constitute a risk to the overall position. Specific risk position statement reflects how a reference company debt synthetic (synthetic) long position, i.e. the position of commercial debt collection, except when the credit derivative instrument has an external rating (rating), and it matches the qualified debt securities. In this case, included in the calculation of the credit derivative to the specific risk of the long position. If the contract provides for a premium or interest payments, the cash flow reflects how the corresponding central government debt securities positions;
182.1.3. with one of the debtor's credit risk related promissory note (a single name credit linked note) creates the master promissory note risk long position similar to the interest-rate financial instruments. Specific risk of synthetic long position reference company debts. In addition to the formation of the specific risk of the issuer of the promissory note in the long position. If the credit linked note has an external rating (rating), and it matches the qualified conditions of debt securities that displays only sign the promissory note to the specific risk long position;
182.1.4. with several debtor credit risk related promissory note (a multiple name credit linked note), which provides that the debtor of the debt protection Pro creates the bills the issuer's specific risk long position and each reference debt company specific risk long position, the size of which shall be fixed in proportion to each company's debt reference value of all debt in total, applying this ratio to the credit derivative notional value. If one reference position of the company is composed of several shows, which correspond to different degrees of risk, then the position of most of these risks. If the credit risk of several debtors linked note has an external rating (rating), and it matches the qualified conditions of debt securities, the calculation includes only those bills the issuer's specific risk long position;
182.1.5. the first event of default (a first-asset-to-default) credit derivative creates each reference in the company's debt to the specific risk of the long position. If the biggest credit event payment is lower than the capital requirement under the first sentence of this paragraph in the specified method, then the highest level of duty can be considered specific risk capital requirement;
182.1.6. the second event of default (a second-asset-to-default) credit derivative creates each reference company, except the one with the lowest specific risk capital requirement, debt to the specific risk of the long position. If the biggest credit event payment is lower than the capital requirement under the first sentence of this paragraph specified method, this amount may be considered specific risk capital requirement;
182.1.7. If the first or second in the event of default of the credit derivative instrument has an external rating and meets qualified exposure conditions, the calculation includes only the issuer of the instrument to the specific risk long position;
182.2. If the counterparty (the protection buyer, hereinafter referred to as the protection buyer) shall transfer (sell) the credit risk, heading down the seller's position as a mirror image (mirror image), except with the credit risk linked securities (a credit linked notes) which do not form the issuer's short position. If under of the credit derivative terms in a certain period of time you allow the seller sold credit repurchase (call options) and this ability remains throughout the subsequent period of protection, then this term is considered the term of protection. For n-so the default credit derivative protection buyer is allowed to delete the reference company n-1 shows the specific risk capital requirement (i.e., the n-1 with the lowest specific risk capital requirement).
183. On receiving the approval of the Commission, the authority that reconsidered every day – 179 176 referred to derivatives at market value and manage their interest rate risk based on the discounted cash flow of the instruments, the sensitivity of the models can be used to determine the position, and you can use the following patterns all debt securities whose value is repaid gradually until they expire (depreciated value) rather than performing all principal repayments. Such a model consists of headings are just as sensitive to changes in interest rates as the modeling derivatives in cash flow. This sensitivity is assessed on the basis of a random interest rate movements independent of the yield curve, which provides each term listed in table 3 in the interval of interest rate changes on one point. The model specific items included in the calculation of capital requirements in accordance with one of the 198-204 methods referred to in paragraph.
184. The calculation of the debt securities or equity securities, net position can also set off one of the opposite position of the securities. One type of securities are debt securities or equity securities, which meet all the following requirements: 184.1. it is issued by the same issuer;
they set the same 184.2. recovery conditions the issuer's bankruptcy, liquidation or voluntary;
184.3. they are denominated in the same currency;
184.4. they are debt securities, which is equal to the remaining term for deletion and interest payment schedule;
184.5. they are debt securities that have a fixed rate of interest applicable is the same coupon rate (the difference does not exceed 0.15 percentage points), or floating rates of interest in the case is the same basis (e.g. LIBOR) interest rate.
185. Before the transfer between the position of the securities under the conditions of paragraph 184, the authority, subject to authorisation by the Commission, can completely off one type of derivative positions if these derivatives are one and the same, underlying the positions have the same nominal value and they are denominated in the same currency as well as the following requirements are met: 185.1. the difference between the derivatives position closing date not exceeding seven days;
185.2. swaps and OTC interest-futures assets database: 185.2.1. fixed-interest rate applicable is the same coupon rate (the difference does not exceed 0.15 percentage points), or floating rates of interest in the case is the same basis (e.g. LIBOR) interest rate;
185.2.2. to a fixed interest rate for the remaining term of the closure position and to the floating interest rates in the current review remaining maturity does not exceed the margin of table 1 shows the difference between the permissible period.
table 1. The difference between the allowable time limit no PO box
Residual maturity the difference between the allowable time limits 1.
3 ≤ 6 months 6-12 months 0 ≤ ≤ > 1 month ≤ 3 months > > 1 3 ≤ 6 months 6 ≤ 12 months 20.00 > 0.20 0.40 0.70-1.00 1.00 1.00 > II 1 ≤ 2 years > 2 ≤ 3 years 3 ≤ 4 years > > 1 ≤ 1.9 years > 1.9 ≤ ≤ 3.6 2.8 2.8 years > years 1.25 2.25 0.90 0.80 0.75 1.75 > III 4 ≤ 5 years 5 ≤ 7 years > > 7 ≤ 10 years 10 ≤ 15 years > > 15 ≤ 20 years 20 years – – > > 3.6 ≤ 4.3 years > 4.3 ≤ 5.7 years > 5.7 ≤ 7.3 years > 7.3 ≤ 9.3 years > 9.3 ≤ 10.6 years > 10.6 12 ≤ ≤ 12 years > 20 years > 3.25 2.75 3.75 20 years 4.50 5.25 6.00 8.00 0.00 0.70 0.65 0.60 0.60 0.60 0.60 0.75 0.60 percent, interest 199. index, foreign exchange and commodity derivatives in general risk capital requirement, using the method of the calculation of the period like debt securities.
 
Duration method 200. Debt securities in global risk capital requirement using the method, the duration is calculated as follows: 200.1. debt securities shall be calculated for each of the modified (modified) (modified duration) according to the following formula: where: D – duration, modified duration, Dm-r-profitability before cancellation within the time remaining (yield to maturity), calculated on the basis of the market value of debt securities and debt securities, if this has a floating interest rate, assuming that the principal is paid to the current interest rate as at the date of the review, Ct – cash flow in period t, m – to delete the remainder of the period, the number of fixed-rate debt securities or to the current interest rate for the remainder of the review period, the number of floating rate debt securities;
200.2. each individual debt securities include positions in one of the zones specified in table 4, depending on the duration and the calculation of modified modified duration weighted position as a position of market value multiplied by the modified duration and the prescribed interest rate changes;

200.3. each zone of the modified duration of the weighted long positions and the sum of modified length weighted short positions. Zone modified duration of the weighted long positions and the modified duration weighted short positions amount less the absolute value is the matching of the area modified duration weighted position;
area 200.4. modified duration weighted long (short) position in zone a total surplus over the modified duration of the matched weighted position not matching this zone consists of modified duration weighted long (short) position;
200.5. modified duration of the matched weighted position between zones I and II is calculated as (I) not matching the length of the modified weighted long (short) position and (II) not matching in the zone of the modified duration weighted short (long) positions in the smallest absolute value;
200.6. If, after the modified duration of the matched weighted position between zones I and II are not modified duration matching the weighted long (short) position in zone II, remain in the calculation of the modified duration of the matched weighted position between zones II and III as zone II of the modified duration of not matching the weighted long (short) position and (iii) not matching the length of the modified weighted short (long) positions in the smallest absolute value;
200.7. If, after the modified duration of the matched weighted position between zones I and II are not modified duration matching the weighted long (short) position in zone I and remains after the modified duration of the matched weighted position between zones II and III are not modified duration matching in a weighted short (long) position in zone III, remain in the calculation of modified duration of the matched weighted position between zones I and II as I not matching the length of the modified weighted long (short) position and (iii) not matching the length of the modified weighted short (long) positions in the smallest absolute value;
200.8. sums all remaining non-modified duration of the matched weighted positions in all areas;
200.9. debt securities in global risk capital requirement shall be calculated as the sum of: 200.9.1.2 percent of the weighted average modified duration of sakrītošaj positions in each zone;
200.9.2.40 percent of the modified duration of the matched weighted position between zones I and II;
200.9.3.40 percent of the modified duration of the matched weighted position between zones II and III;
200.9.4.150 percent of the modified duration of the matched weighted position between zones I and III;
200.9.5. not matching the remaining modified duration weighted position in total.
table 4. Area, the modified duration and expected changes in interest rates of debt securities in global risk capital requirement calculation by using the method of life area modified duration (years) expected changes in interest rates (%)
I > 0 ≤ ≤ 1 1.0 1 margin II II > > 3.6 3.6 0.4 percent, 201. index, foreign exchange and commodity derivatives in general risk capital requirement, using the method of calculation of duration like debt securities.
202. Debt securities and interest, interest index, foreign exchange and commodity derivatives capital requirement calculated as the sum of the capital requirements, calculated in accordance with that 190.198.199. points, and 200 and 201 or conditions provided.
203. The Authority's debt securities in the calculation of the net positions include the option Delta equivalent debt securities specific risk and general risk capital requirements, calculated in accordance with the conditions of paragraph 202, an increase of debt securities of the option's gamma and Vega risks risk capital requirements, calculated in accordance with the Delta-plus method (see. 8. the annex).
204. The Authority's debt securities net position shall not be included in the calculation of the option's Delta equivalent debt securities specific risk and general risk capital requirements, calculated in accordance with the conditions in paragraph 203, the increase of debt securities options capital requirements, calculated in accordance with the options of the capital requirements calculated a simple technique (see. 9. annex).
2.2. the equity position 205. The institution shall calculate the equity and respect the specific risk and general risk capital requirements, except for the capital securities, which make up the reduction of the equity capital, and other financial instruments whose price depends on stock price changes (stock index derivatives, etc.), specific risk and general risk capital requirements.
206. Equity positions, depending on the State in the register of companies or institutions established in analog those securities the issuer combines the groups (hereinafter referred to as the national market). Equity securities risk and the overall risk of the capital requirements calculated for each national market alone.
2.2.1.207. Specific risk capital securities specific risk capital requirement shall be calculated as follows: 207.1. the calculation of the equity of each net long position or net short positions in accordance with paragraph 174-186;
207.2. calculates for each national market in the common position, which is the relevant national market equity net long position and a net short position of the absolute value of the amount;
207.3. calculate the equity securities of specific risk capital requirement in the national market as 4 percent of the national market in equity common positions;
207.4. Notwithstanding the provisions of paragraph 207.3 equity specific risk capital requirement calculated as 2 per cent of the equity portfolio of the common position, which meet the following conditions: 207.4.1. it does not constitute equity securities which the issuer issued only debt securities that are currently included in either 2. table 8 and a 12 percent risk grades according to categories or categories to best lower risk only that they are guaranteed or secured;
207.4.2. It consists of a diversified portfolio of highly liquid shares. Stock portfolio be considered diversified, unless this portfolio of shares net position shall not exceed 5 per cent of the total equity position, which is the entire national market total equity position in total. For highly liquid shares deemed listed in annex 12, stock indexes include shares.
2.2.2. The overall risk 208. General equity risk capital requirement calculated as 8 percent of the national market in total net positions, which are equity net long positions and the sum of the net short position amount of the absolute value of the difference.
209. Stock-Index derivatives in general risk capital is calculated as equity securities. The stock index derivatives included in the overall calculation of risk capital requirements as one where the index position. The stock index derivatives specific risk capital requirement is to be calculated.
210. the equity risk and general risk capital requirement is defined as the entire national market equity capital requirements, calculated in accordance with paragraph 207-209 conditions.
211. the authority, which the equity securities in the calculation of the net positions include the worth the paper the option Delta equivalent equity risk and general risk capital requirements, calculated in accordance with the conditions of paragraph 210, increases the risk of gamma and Vega risks the capital requirements, calculated in accordance with the Delta-plus method (see. 8. the annex).
212. The authority of the clean equity securities shall not be included in the calculation of the position of the option's Delta equivalent equity risk and general risk capital requirements, calculated in accordance with the conditions of paragraph 210, an increase of equity options in the capital requirements, calculated in accordance with the options of the capital requirements calculated a simple technique (see. 9. annex).
2.3. Specific risk capital requirement calculation of trading book positions that risk is limited with the credit derivatives 213. Facilitate the specific risk capital requirement is determined by the trading book exposures, that risk is limited using the credit protection provided by credit derivatives, in accordance with the principles laid down in paragraphs 214-217. The exemption is applied to the combination of two such positions: authorities specific to the risk position and protected credit derivative risk specific to the defensive position.
214. on the specific risk capital requirement calculation is fully released and protected position protective position where values are always changing in the opposite direction and broadly to the same extent. It occurs in the following cases: 214.1. two lines form a completely identical instruments;
214.2. long payment (cash) position protected by swaps total revenue (or vice versa) and displays the reference (the reference obligation) position (defensive position) is completely consistent with the protected position (namely, the position of the payment). The swap may differ from the underlying asset.

215. If the value of the two positions are always changing in the opposite direction, and there are exactly between the designated positions and credit derivative positions and protective to their underlying asset denominated in one currency, then 80 percent following the opposite position may be mutually set off. In addition to the listed the following credit derivative main peculiarity is that the essential position of the price changes should not be the reason a credit derivative pricing changes. Position about that under this deal are transferred risk, specific risk 80 percent off, i.e. between capital requirements the Bill's remaining 20 percent it the transaction party is the largest in the capital, while the specific risk capital requirements for the second half is zero.
216. Partial exemption given in such cases, if the value of the two positions are always changing in the opposite direction. It occurs in the following cases: 216.1. subject to 214.2. point but there is a mismatch between the reference shows and base shows. However, the positions meet the following requirements: both 216.1.1. references the debt repayment is equal or lower than the base displays;
216.1.2. base displays and references show the way against the same debtor and is legally applicable provisions of the Treaty (the legal applicable clauses), under which are recognized debt defaults, if you do not comply with the obligation deriving from any other show this debtor (legally enforceabl cross-default or cross-acceleration services);
216.2. apply to 214.1.215. point or, but there is a currency or maturity mismatch the credit protection and the underlying;
216.3.215. refers to the position of the point, but there is a mismatch between the assets and the payment of the credit derivative positions. However, the payment lines are included in the assets of the credit derivative in the undertaking to be implemented;
each of 216.4.216.1. paragraph 216.3 cases – instead, to sum up the reference shows and base shows the position of the specific risk capital requirement, the Bill only one large capital requirements.
217. In all other cases not covered by paragraph 213-216, both positions invoice specific risk capital requirements.
2.4. Trading book capital requirements IF the 218. Trading book position of the IF capital requirements are calculated as follows: 218.1. IF positions applied for position risk (specific and general risk) capital requirements 32 percent;
218.2. Ifa position of capital requirements and foreign currency or commodities risk capital requirements for the Trust Fund for public position, calculated in accordance with part 4 of this chapter or part 6, under which the capital requirement calculated for gold, total not more than 40 percent. However, if the total of those capital requirements in excess of 40 percent, then reduced in accordance with section 218.1 calculated IF the position of the specific and general risk capital requirement, without prejudice to the Investment Fund's foreign currency and commodity risk capital requirements.
219. unless indicated otherwise, are not allowed to set-off between an investment fund whose licence included in the trading book, investment and other institutions trading book positions.
The use of specific methods, criteria 218.220. by way of derogation from the requirements of paragraph 1, the authority may use 222-225 above special techniques IFA position to determine capital requirements, if the EC established or supervised investment funds to meet the following general criteria: 220.1. investment fund prospectus or equivalent document shall contain: 220.1.1. asset classes in which the investment fund is permitted to invest their funds;
220.1.2. If there are certain restrictions on investment, their relative size and calculation methods;
220.1.3. if allowed to use different levels of commitment to the amount of the net assets of investment funds (leverag) (hereinafter referred to as the leverage ratio), its maximum size;
220.1.4. if allowed to invest in instruments or derivative RTA repo transactions, the permissible limit counterparty credit risk policy determination;
220.2. investment activities of the Fund are provided in semi-annual and annual report, which provides an opportunity to assess the assets and liabilities, income and operations over the period;
220.3. Ifa is redeemable in cash the day after IF the request of the holder;
220.4. Trust Fund contributions are separate from the contribution fund investment management company's assets;
220.5. investment management company of the IFA carried out a risk assessment.
221. foreign investments IF the capital requirements may apply special methods of calculation, if paragraph 220 the general criteria and the Commission has given it permission to.
222. The special methods If an institution has every day access to information on the Trust Fund's actual contribution to the structure, it can be allocated in proportion to each of the IF Trust Fund's actual investments, to calculate their position risk (General and specific) capital requirements according to the methods set out in this annex or, if permission has been given, using RPVS internal models that meet the requirements of part 6. Under this approach, IF a position is considered the actual investment position of the Fund as a whole. Including between the Investment Fund's actual investment positions and other positions belonging to the institution are allowed, unless the authority has enough IF they allow to buy back/create new IF an entity in Exchange for the Fund's actual investments.
223. If the Investment Fund's actual investment structure corresponds to the externally created a market index or fixed shares or debt securities referred to in the amended paragraph, 228.1 structure can be likened to the authority IF such index or basket of their position risk (General and specific) in the calculation of capital requirements, which shall be carried out according to the methods set out in this annex or, if permission has been obtained using RPVS model in accordance with part 6 of this chapter. This approach can be used if the following conditions are fulfilled: 223.1. Investment Fund aims to reproduce the external index or fixed shares or debt securities is amended the investment structure;
223.2. at least six months period provided minimum correlation between the IFA and index 0.9 or fixed shares or debt securities shall be amended as the daily price fluctuations. Correlation in this context means the correlation coefficient between daily returns and indices of the IFA or stock or debt securities, which represent actual trust fund investment structure, amended returns.
224. If the authority is not available every day information on the Trust Fund's actual investment structure, the authority may calculate the capital requirements for position risk (General and specific risk) according to the methods set out in this part, subject to the following conditions: 224.1. assumes that the first contribution is made in the prospectus of investment funds reported assets that constitute the largest for position risk (General and specific) the capital requirements, the maximum extent, then continuing to invest in top-down order of the maximum capital requirements for each category of assets, to the extent permitted until the maximum total investment limit. IF a position is considered a position in an investment fund prospectus represented assets, determined in accordance with the first sentence of this paragraph as a whole;
224.2. calculation of the capital requirement for position risk, body shall take account of the maximum indirect risks, you can take investment fund, using the leverage index, proportionally increasing investment fund investments in each asset category listing to the extent permissible, up to the maximum total investment limit;
224.3. If in accordance with this paragraph shall be calculated in General and specific risk capital requirement provided for in paragraph 218 above, the capital requirements determined in paragraph 218.
225. the authority may rely on third party reporting of the calculation and the position risk (General and specific) capital requirements IF the position to which you can apply and 224.222. techniques referred to in paragraph 1, provided that the correctness of calculation and reporting.
Part 2. Settlement risk capital requirement calculation 226. Settlement risk is the risk to which the body is exposed to an unfinished, excluding transactions in repo transactions, securities or commodities lending or borrowing, with the trading portfolio securities, foreign currencies or commodities. Settlement risk consists of settlement/delivery risks and unpaid supplies (free deliver to) risk and settlement risk capital requirement is that risk capital requirements.
Settlement/delivery risks

227. Settlement/delivery risk is the risk to which the body is exposed to dealings with the trade portfolio debt securities, equity securities, foreign exchange and commodities, where the body of debt securities, equity securities, foreign currencies or goods or receipt respectively receive cash or pay it, but the two parties did not make the transaction settlement and delivery within five days after the billing date and body damage may occur whose size is determined by the difference between the debt securities, equity securities, foreign currencies or commodity price and the current (capital requirements calculated day) market price. Capital requirements for determining authority must first calculate the difference between the debt securities, equity securities, foreign currencies or commodities on which the settlement price, the counterparty agreed, and the debt securities, equity securities, foreign currencies or commodities market price calculation of the capital requirements of the day. If this difference indicates a potential injury, the institution shall calculate the settlement/delivery risk capital requirements by multiplying the potential loss of the absolute value of the transaction settlement term corresponding to the delay set out in table 5.
table 5. Transaction settlement term absence rates no PO box
Settlement period of delay (days) factor (%)
1.5-15 8 2.
16-30 50 3.
31-45 75 4.
46 and over 100 risk of unpaid supplies 228. Unpaid supply risk, if the authority has paid for securities, foreign currencies or commodities before receiving them or betrayed the counterparty worth papers, foreign currencies or commodities before receiving payment for them or deal with a foreign partner or other Member State passed one or more working days, since the authority has made that payment or delivery.
229. The outstanding supply of risk capital requirements calculated in accordance with table 6. The following table provides also required the decrease of equity.
table 6. Open the supply of risk capital requirement, exposure value and equity reduction transaction till the first contractual payment or delivery of the first contractual payment or delivery date to the fourth day after second contractual payment or delivery of the fifth business day after second contractual payment or delivery date to the termination of a contract to supply the outstanding No 1 2 3 4 capital requirement is included in the resulting exposures total equity is reduced by the size of the payment made or delivered securities , foreign exchange or the value of the goods and the transaction's current positive value of 230. If the authority calculates the capital requirements for credit risk, using the IRB approach, and trading portfolio risk transactions that included 6 box 3 in table 3, the counterparty is not included in the trading book exposures, it can identify the SNV based on ECAI rating of the counterparty and SNZ under annex 6, part 2, paragraph 44, provided that it shall apply to all such transactions.
231. the authority, which calculate the capital requirements for credit risk, using the IRB approach, you can choose the following options described in paragraph 230 approach risk weighted value calculation, applying it to all 6 column 3 in table 3 represented the exposures: 231.1. apply SP;
231.2. apply all such transactions 100 percent risk.
232. Despite paragraph 231.230. and if the outstanding supply of positive exposure value is not material, it can be applied to a 100 percent degree of risk.
233. If the global settlement occurred or the clearing system, subject to authorisation by the Commission can exclude the settlement risk capital requirement until the situation stabilize.
Part 3. Counterparty credit risk calculation of capital requirements for counterparty credit risk 234. (hereinafter referred to as the DPKR) have the ability to suffer losses if the authorities the debtor (the debtor) does not comply with the provisions of the Treaty against its authority, rifts arising from the trading book exposures.
235. the capital requirement calculated DPKR following trading portfolio items: 235.1. RTA derivatives and credit derivatives;
235.2. the contracts for the sale of the asset repurchase and securities or commodities lending which are based on securities or portfolios of trade goods;
235.3. contracts for the purchase of the assets of reverse repurchase and securities or commodities borrowing, based on trading portfolio securities or goods;
235.4. margin loans, which are based on securities or commodities;
235.5. a lasting settlement transactions.
236. the DPKR 235. exposure referred to in point value and exposure risk weighted value calculated in accordance with the provisions of title II, Chapter 2, taking into account the following amendments: 236.1.92. derivatives referred to in paragraph 1 shall be supplemented by the list of financial instruments market law article 3, second paragraph, point 4, "e" referred to in the credit derivatives;
236.2. exposure to the risk-weighted value of the authority is not allowed to use the financial collateral simple method, set out in part 3 of annex 3 for 42-49, the recognition of the effects of financial collateral;
236.3. trade portfolio in repo transactions and securities or commodities lending or loans of the financial instruments and commodities that are eligible for inclusion in the trading book may be considered appropriate. The goods that are eligible for inclusion in the trading book may be considered appropriate collateral included marketing portfolio also RTA derivatives. Financial instruments or goods according to annex 3 are not considered eligible collateral and are lent, sold or used as collateral or busy, bought or received as collateral, or otherwise used in these transactions, in addition to the authority to monitor the approach laid down in the volatility adjustments (Supervisory volatility adjustment approach) provided in part 3 of annex 3, the volatility adjustment is the same as for shares that are included in the regulated market, but not in the main index (main index). If the authority for the following financial instruments and goods the same rating volatility adjustments in accordance with part 3 of annex 3, the volatility adjustment is then determined separately. If the institution uses the following are not included in the trading book exposures on internal models approach in accordance with part 3 of annex 3, it may apply this approach also trading portfolio;
236.4. including roofing contract relating to repurchase transactions, securities or commodities lending or borrowing or other capital market transactions will be recognized in the trading book and the trading book positions not mutual unless offsetting transactions should meet the following conditions: 236.4.1. all transactions are revalued daily at market value;
236.4.2. any financial instrument or commodity, that transaction is lent, purchased or received, may be recognised as eligible financial collateral credit risk capital requirement calculation, using the SP or the IRB approach, without applying the provisions of paragraph 236.3;
236.5. If the credit derivative included in the trading book forms part of internal hedging transaction and the credit protection is recognised, believes that a credit derivative is not subject to counterparty risk.
237. the DPKR capital requirements calculated as 8 percent of risk weighted value amount calculated by multiplying the exposure value with the degree of risk of the counterparty's obligations in accordance with the provisions of title II, Chapter 2.
Part 4. Foreign currency risk capital requirement calculation 238. Foreign exchange risk is the possibility of suffering a loss from foreign currency denominated balance sheet and off-balance sheet items revaluation, a change in the exchange rate. Gold will be treated as foreign currency.
239. Foreign exchange risk size describes the institution's overall net foreign-exchange position and gold net positions.
240. the institutions in foreign currency total net position is calculated in two stages. The next stage is first calculated in each foreign currency net open position. The second stage is calculated by the authorities of the total net foreign currency position.
241. Every foreign currency net open position is calculated as such (positive or negative) total: net balance sheet position 241.1., i.e., the difference between the balance sheet the balance sheet assets and liabilities. If the purchase and sales contract of presence (spot) is used to record the settlement date accounting (settlement date accounting), such contracts include amounts receivable balances total assets and the amounts to be paid, the balance sheet total liabilities;
NET Futures positions in 241.2. (net for ward positions), i.e. the difference between the saņemamaj and all future amounts payable on the conclusion of the foreign exchange forward contracts, including the stock exchange trading foreign exchange forward contracts and not included in the balance sheet position in foreign exchange swap contracts the principal;

241.3. liabilities irrevocable guarantees (guarantees) for URu.tml. obligations, if the authority has reason to believe that the counterparty demands it, and there is a possibility that the paid features will not be recoverable;
241.4. deferred net income/expenses not yet listed in the balance sheet, but that risk is already completely limited to the foreign exchange forward contracts;
241.5. foreign currency option's Delta NET equivalent, if the Commission granted permission to option pricing model.
242. the authority to which the Commission has not given permission to option pricing model or use foreign currency option's Delta equivalent is not available on the regulated market of foreign currency options do not include the net open foreign currency position calculation.
243. the net position in Gold shall be calculated on the same basis as foreign exchange NET open position.
244. in determining the net foreign currency position for the future, the authority may only be included in the calculation of foreign currency derivatives obtained from foreign exchange positions of the restriction that the counterparty's or one of the Member States referred to in annex 5, the foreign credit institution or which are included in the Member State, or a foreign listed in annex 5 of the regulated market.
245. IF foreign currency found inserted in the calculation, taking into account the Fund's actual foreign currency positions. The authority may use a third-party investment funds of foreign position calculation, if this calculation is according to ensure accuracy. If the authority is not aware of the Fund's foreign currency position, assumes that it is the foreign currency position in the prospectus the maximum contribution in the relevant foreign currency, and the authority to calculate the capital requirement for foreign-exchange risk, take into account the maximum indirect risk it can take, using the lever. This is accomplished by proportionally increasing the position of investment funds up to a maximum limit of base investment items resulting from the investment fund prospectus. The position of investment funds in foreign currency is treated as a separate foreign currency positions as investment gold and if available funds the actual investment structure, the total long position may be added to the total long foreign exchange position and the total short position may be added to the total short position of the foreign currency. Such positions are not set-off permitted before the calculation is performed.
246. A composite currency (composite currencies), for example, can be split into its constituent, SDR currencies according to the quotas in force and include the net open foreign currency position calculation or also calculate complex currency net open position, seeing it as an independent currency. The approach is applied consistently to all complex currency items.
247. the body should not be included in the net foreign currency position calculation, they found the contribution of foreign capital companies and subordinated capital in calculating the capital adequacy ratio, is deducted from equity, the Commission has given permission to do so.
248. Each foreign currency net open position, t.sk. Gold pure position is revalued the local currency after the Bank of Latvia the relevant currency and gold course on that date.
249. the institutions in foreign currency total net position is a separate foreign currency net long position amounts or net short position totals the largest absolute value.
250. Foreign exchange risk capital requirement calculated as 8 percent of the institution's overall net foreign-exchange position and gold net positions absolute values in total.
251. If the Commission's authorization, foreign currency risk capital requirement can be calculated as 4 percent of the closely related foreign currency (closely correlated currencies) sakrītošaj positions, which is the currency in dollars converted into the opposite position of the least absolute value.
252. the two foreign currencies are considered closely related, if any of the rolling 10-working-day period this currency in dollars in the matching position is recalculated losses does not exceed 4 per cent of its value with 99 percent probability, if the use of the three-year observation period, with 95 percent probability or, if using a five year observation period. The calculation uses the previous three or five years of the date of the exchange rate data.
253. If the authorities of the total net foreign currency positions and gold net positions total not exceeding 2 percent of the institution's tier one capital and total capital tier, less in accordance with the conditions of paragraph 348 estimated the reduction in equity capital requirement against foreign-exchange risk should not be calculated.
254. The authority of the foreign currency net open position included in the calculation of the related foreign currency option's Delta, the NET equivalent of foreign currency risk the capital requirements, calculated in accordance with the conditions of paragraph 250, the increase of the foreign currency option's gamma and Vega risks risk capital requirements, calculated in accordance with the Delta-plus method (see. 8. the annex).
255. The authorities NET open foreign currency position shall not be included in the calculation of the related foreign currency option's Delta, the NET equivalent of foreign currency risk the capital requirements, calculated in accordance with the conditions of paragraph 250, the increase of foreign exchange options at the capital requirements, calculated in accordance with the options of the capital requirements calculated a simple technique (see. 9. annex).
256. the Bank in foreign currency net open position, t.sk. Gold net position, must not exceed 10 percent of the first-level and second-level of equity capital totals, less in accordance with the conditions of paragraph 348 estimated equity reduction. The Bank's total foreign currency net positions and gold net positions total must not exceed 20 percent of the first-level and second-level of equity capital totals, less in accordance with the conditions of paragraph 348 estimated equity reduction.
Part 5. Commodities risk capital requirement calculation 257. risk is the possibility of suffering a loss of goods due to the revaluation of positions when the price of the product concerned. Product within the meaning of these provisions is a corporeal thing, which can be traded or traded in the secondary market, such as agricultural products, petroleum, precious metals (except gold).
258. the derivatives trade risk-capital requirements be included as the goods of heading this way: 258.1. RT and RTA trade futures in accordance with derivative notional value specified in standard units (grams, barrels, tonnes URu.tml.). The product, which the authority shall, in accordance with the terms of the derivative will get in the future, presented as a long position with a residual maturity of derivative goods due date. Product that will deliver future authority, presented as a short position with a residual maturity of derivative goods due date;
258.2. swap contracts in which one counterparty settlement definitely fixed prices, but the other counterparty, market prices, in accordance with the selected commodities risk capital requirement calculation method. Using the simplified method (see. 264.), included in the calculation of conditional commodity swaps and payments provided for in this agreement, multiplied by the number of. Using the method (see term. 265), commodity swaps to be included as the goods of heading a string in which each position is equal to the notional value of the contract and each position is included in the interval period that corresponds to each of the payment date specified in the contract for the remainder of the term. If the authority pays a fixed price, but the payments under a floating price, these positions are long. If the authority payments under fixed-price, but under the floating pricing, these items are short;
258.3. swap agreements concluded on the basis of different goods, include the goods in the calculation of each position;
258.4. product options or commodity derivatives options – as the option's Delta goods equivalent, if the Commission has given permission to the authorities the option pricing model to use. Body to which the Commission has given permission to the option pricing model to use, can be matched with the approach of the Commission that the inclusion of options capital requirement calculation: 258.4.1. (written) sold the options include the RT goods concerned in the calculation of the net position as maintainer of the regulated market to the required security deposit;
258.4.2. RTA options sold include the goods in the calculation of the net position as the base asset (commodity);
258.4.3. put the RT and RTA options include the goods in the calculation of the net position as of the underlying value, which must not be greater than the market value of the option;
258.5. warrants that commodity-based, like the option of the goods (see. 258.4);

258.6. other derivatives, commodity-based, as a long position with a residual maturity of derivative goods due date if such instruments provide that the authority will receive the product in the future, and as a short position with a residual maturity of derivative goods due date, if the authority is obliged to deliver the goods in the future.
259. the authority the goods or property rights in the goods that it sells contracts for the sale of goods, or repurchase loans in accordance with the loan agreement, the goods concerned shall be included in the calculation of the position.
260. the trade position, the only inventory financing, can be excluded from the commodities risk capital requirement calculation.
261. Before fixing the position of the body can also be added into one type of derivative positions, if these instruments are one and the same underlying asset (item), equal to the amount of the underlying asset, the same deadline and they are denominated in the same currency.
262. The Authority may choose one of the two commodities risk capital requirement calculation method, i.e. the method or the simplified method of the period. The selected method is used consistently. If the authority wants to change the calculation method, it must be subject to authorisation by the Commission.
263. the position of each item is determined by the standard units (grams, barrels, tonnes URu.tml.). If the market price of the goods, in accordance with the calculated trade risk capital requirements for the item concerned is in foreign currency, the conversion to LCY.
264. Using simplified method, the commodities risk capital requirement shall be calculated as follows: 264.1. calculate the goods net position as the difference between the goods in question are long positions and short positions absolute values. If this difference is positive, it is that the goods in the net long position, but if negative, net short position;
264.2. calculates the goods concerned the common position as this product long positions and short positions absolute value amount;
264.3. calculate the goods concerned commodities risk capital requirement as of the following totals: 264.3.1.15 percent of the goods in question are net positions absolute values multiplied by the market price of the goods at the date of the report;
264.3.2.3 percent of the goods in question, the common position multiplied by the market price of the goods at the date of the report;
264.4. calculate the total commodities risk capital requirement as under paragraph 264.1-264.3 conditions calculated on each item of the goods the risk capital requirements.
265. When using method of the period, commodities risk capital requirement shall be calculated as follows: 265.1. the position of each item in the relevant term deploys intervals according to the remaining term of the contract or by the due date of the transaction or product swaps, according to payment dates using table 7 in time intervals;
265.2. in each maturity band shall assess the amount of long positions and short positions matching the amount of position and calculates the position of the matching funds requirement as in a matching long positions and short positions matching the totals, the term price fluctuations of the interval factor and domestic market price reporting date multiplied;
265.3. in each maturity band not matching the position (long or short) evaluates the time interval the amount of long positions or short positions of excess amounts over the period interval matching the long positions or short positions of matching and redirects them to the next time interval, which is the opposite (short or long) without a matching position. In each maturity band channeled not matching positions in the capital requirement calculated as 0.6 percent of direct matching positions in the volume, the number of intervals, of which it was redirected, and the goods market price reporting date multiplied;
265.4. the expiry interval not matching positions in the redirection of repeated heading alignment at the time interval that was redirected without a matching position, and calculate the time interval between the position of the matching capital requirements in accordance with the conditions of paragraph 265.2;
265.5. harmonization of all time by position of intervals (including heading to another time-interval) is determined not matching the remaining position, which is the net position of the product concerned. The net position of the capital requirements calculated as 15 per cent of the goods net positions, multiplied by the market price of the goods at the date of the report;
265.6. the calculation on each item commodities risk capital requirement as under point 265.5 265.2.-conditions estimated total capital requirements;
265.7. calculate the total commodities risk capital requirement in accordance with the conditions of paragraph 265.6 calculated on each item of the goods the risk capital requirements.
table 7. The commodities risk capital requirement calculation for the period interval to be used and the price fluctuation factor no PO box
Time interval in the price fluctuation factor (%)
1.0 ≤ 1 month * 1.5 2.
> 1 ≤ 3 months 1.5 3.
> 3 ≤ 6 months 1.5 4.
> 6 ≤ 12 months 1.5 5.
> 1 ≤ 2 years 1.5 6.
> 2 ≤ 3 years 1.5 7.
> 3 years this time interval 1.5 include physical inventory.
266. the authority, which includes the position of goods the goods concerned in the calculation of the option's Delta equivalent, commodities risk, the capital requirements calculated in accordance with paragraph 264 or 265. conditions, increase of the option's gamma and Vega risks risk capital requirements, calculated in accordance with the Delta-plus method (see. 8. the annex).
267. the authority, which do not include items of the goods concerned in the calculation of the option's Delta equivalent, commodities risk, the capital requirements calculated in accordance with paragraph 264 or 265. conditions, increase of product options, the capital requirements calculated in accordance with the options of the capital requirements calculated a simple technique (see. 9. annex).
268. the Authority noted that the positions of the goods may be subject to other market risks, and calculates the capital requirements as well.
269. If goods short positions reached maturity before the goods are long term, the authority is defending against the lack of liquidity that may be specific to certain markets.
270. In this part of the goods described in the calculation of the capital requirements may not be included in the product line, which only the authority inventory financing.
Part 6. Value at risk, the use of internal models for the calculation of the capital requirements 271. Foreign exchange risk, for position risk, as well as the commodities risk capital requirement to determine the authority may use the RPVS internal models. RPVS internal models can be applied to some of these risks, in part or in full. Market risks (risk of) not subject to internal models RPVS market risk capital requirements calculated in accordance with this chapter other 1, 4, and 5. the methods referred to in part with respect to market risk capital requirements.
272. the authority may use internal models RPVS market risk capital requirements for the calculation of the authorized by the Commission, if the authorities risk management system and internal RPVS models used meet the requirements of this part.
273. the Authority's risk management system meets the following minimum requirements: 273.1. RPVS internal model is closely associated with the daily sight of the risk management process of the institution and serves as the basis for the review of the impact of risk management for the preparation;
the authority is set up 273.2. independent risk control unit that is subject to direct management. This Department is responsible for the institution's internal model RPVS creation and deployment, prepare and analyze daily reports, obtained using RPVS internal model results, and proposes appropriate measures to internally defined limits are not exceeded. Risk control unit also performs initial and ongoing internal models RPVS check and approval;
273.3. Management is involved in the risk control process and risk control Department prepare daily reports look like managers who have a sufficient mandate to reduce both individual dealer position, both in the institution's overall risk exposure of the subject of the transaction;
273.4. the body is a sufficient number of staff who have experience working with complex models not only trading operations with financial instruments, but also risk control, audit and transaction records;
273.5. the authority has developed procedures for market risk management, as well as procedures for all claims relating to the functioning of the internal model RPVS compliance control;
273.6. internal models RPVS are documented and represents acceptable risk accuracy of measurement;

273.7. the authority shall at regular intervals carry out stress testing (stress testing). The results of the management of the appearance, and they are taken into account in drawing up the policy of the authority and limits. Stress test scenarios model on market illiquidity of tight market conditions, concentration risk, unilateral (one-way) market, and a sudden case of default (jump-to-default) risks of nonlinear changes in the prices of products, important issues options when solving these problems to the contractual maturity date is unlikely (deep out-of-the-money position), the position with the price gaps (gapping of prices) and other risks, which include internal model RPVS. Use the stressful situation reflects the nature of the portfolio and the time it would take to hedge or manage risks strained market conditions;
273.8. regular internal audits are carried out under independent RPVS internal models check. The control shall cover both unit that conducted trade with financial instruments, activities and independent risk control units;
273.9. at least once a year the authority shall carry out all of its market risk management process that includes the following checks: 273.9.1. risk management system and process documentation adequacy and risk control unit operation;
273.9.2. the use of internal models RPVS daily risk management and the management information system integrity;
273.9.3. izcenošan of risk (risk-pricing) models and risk assessment system used for trading (front office) and accounting (back office) staff, the approval process;
273.9.4. any market risks and the extent to which covers the RPVS internal models;
273.9.5. any significant changes to the internal model approval RPVS;
273.9.6. position data, the accuracy and the Palace childhood, correlation and presumption of accuracy and variability in compliance, valuation and risk sensitivity calculations for accuracy;
273.9.7. inspection process, which the authority is used to verify the RPVS internal models used data source the consistency, timeliness and reliability, including the data source verification of independence;
273.9.8. the verification process the institution uses the RPVS internal models for the purpose of assessing the accuracy of the retroactive tests carried out (backtesting) assessment of the results.
274. The institution has procedures to ensure that its internal patterns RPVS adequately assessed from internal models of the RPVS independent and appropriately qualified specialists, and thus gain the confidence for conceptual validity of models and adequate coverage of all the relevant risks. Assessments made by the internal model RPVS initial creation, regularly, after any significant change in the pattern, as well as the significant structural changes in the market or changes the structure of the portfolio, you may initially include RPVS internal model. Development of assessment techniques and the formation of a best practices (best practice), the authority shall adjust the internal models for evaluating RPVS method. Assessment of internal models RPVS are not limited to the retroactive checks, but also includes at least the following: 274.1. checks make sure that internal models used RPVS assumptions are appropriate to the risks and underestimate it, not too low and not too high;
274.2. institutions created internal assessment models RPVS tests in relation to the structure of the portfolio and risks;
274.3. use of hypothetical portfolios to ensure that the ability of internal models RPVS reflect the specific structural features that could be relevant, for example, significant principal risk and concentration risk.
275. Market risk capital requirements for the RPVS for calculation of the internal model meets the following minimum quality requirements: 275.1. RPVS internal model to accurately include all significant authority option or options positions in similar pricing. Any risks that are not covered by the internal model RPVS are appropriately covered by own funds. With the options associated risk measurement process take into account the non-linear changes in the prices of options positions, as well as the risk measurement system shall cover the option's position in the price fluctuation risks, or the risk of Vega;
275.2. transactions, depending on the institution and the frequency of relevant markets RPVS internal model covers enough of the risk factor: 275.2.1. to determine the interest rate risk, RPVS internal model includes risk factors corresponding to the interest rates in each currency in which the institution has interest rate sensitive balance sheet or off-balance-sheet items. Yield curve model by using one of the methods generally recognised. Significant interest-rate sensitive positions distributed according to the major currencies and markets. According to the distribution of the yield curve at least six time intervals to capture the variability of the interest rate fluctuations. RPVS internal model also includes a complete correlation between the different curves of curvature;
275.2.2. foreign exchange risk, RPVS internal model includes risk factors corresponding to gold and foreign currencies in which the institution's positions are denominated. The investment fund in which the participation of the investment certificates, positions take into account the investment funds of foreign currency current position. The authority may use third parties to prepare a report on the Trust Fund's foreign currency position, if that report is accurate is adequately verified. If the authority is not reliable information about investment funds in the foreign currency positions, the positions should be excluded from the portfolio to which the RPVS internal model, and this position of the capital requirements calculated in accordance with part 4 of this chapter of these requirements.
275.2.3. to determine the equity risk size, RPVS internal model includes separate risk factor for each of the equity markets in which the institution holds significant positions;
275.2.4. to determine the size of the risk, the internal model includes separate RPVS risk factor for each commodity in which the institution holds significant positions. RPVS internal model also includes a risk associated with imperfect correlation between similar but not identical to the goods, and changes in the future prices, due to lack of time. Also take account of market characteristics, delivery dates and business partners the opportunity to close positions;
correlation determination system 275.3. is adequate and implemented in such a way that the body can use empirical correlations between risk factors.
276. RPVS calculation shall meet the following minimum quantitative requirements: 276.1. RPVS calculation is made at least once each working day;
276.2.99. is applied to the one-sided percentil (one-tailed) confidence interval;
276.3. position the holding period is equivalent to 10 working days;
276.4. There are at least one year historical observation period, except where a shorter observation period is justified by a significant price fluctuations;
276.5. all data set is updated not less frequently than quarterly.
277. the authority shall assess the RPVS internal model accuracy and performance, making retroactive checks. Retrospective verification shall be carried out, taking into account both actual and hypothetical changes in the portfolio's value.
278. The actual retroactive inspection provides that every working day is made in one day by the authorities using RPVS RPVS are calculated by the internal model portfolio work end-of-day positions, compared with the work days of the portfolio of the actual changes to the end of the day.
279. The hypothetical changes in the portfolio's value in retroactive testing based on the actual value of the portfolio at the end of the day the job comparison with the value of the following working day at the end, assuming that the position does not change. Calculate the change in value of the portfolio compared with the institution's internal model RPVS used calculated portfolio RPVS next working day.
280. The institution shall calculate the number of excess on a regular basis, based either on actual or on hypothetical changes in the portfolio's value, the retroactive testing. Overshoot (overshooting) is a one-day change in the portfolio's value that exceeds the internal model RPVS assistance calculated according to daily RPVS.
281. the authority may use internal model trading RPVS portfolio of debt securities and equity securities of specific risk capital requirement calculation, if in addition to the requirements referred to in this paragraph RPVS internal model: 281.1. explain portfolio financial instrument price historical changes;
281.2. take into account the Authority's financial instruments owned by the degree of concentration and changes in the structure of the portfolio;
281.3. produce reliable results despite adverse circumstances and factors;
281.4. accurately reflect the specific risk, as evidenced by the retroactive checks. If the test is carried out on a apakšportfeļ retrospective (sub-portfolio) base, then this apakšportfeļ choice must be consistent;
the name of the associated covers 281.5. (name-related) principal risk, which means that the model is sensitive to individual-specific differences between similar but not identical positions;
281.6. reflect the occurrence (event).
282. in addition to the 281. the requirements laid down in paragraph 1 is taken into account the following conditions:

282.1. If an institution's portfolio is subject to event risk, which does not comply with the demands in paragraph 276. minimum quantitative requirements for the calculation, i.e. the RPVS cannot apply 10 business days comparable holding period and 99. confidence intervals, percentil's unilateral (high risks with low probability), following the appropriate impact assessment includes the institutions internal assessment of capital adequacy;
282.2. authorities RPVS internal model conservative estimates the risks associated with less liquid positions in existence and positions with limited price availability of real market scenario. In addition, the internal model meets the RPVS 276. point data awards a minimum requirements. If the data is not enough, or does not reflect the true position or portfolio shifts, the authority may use conservative assumptions with regard to the replacement of this data;
282.3. techniques and evaluation develops as best practice, the body adjusts the internal models for evaluating RPVS method.
283. the body is a method to the calculation of capital requirements also include the its trading book positions of the risk of default, which is growing (incremental) in comparison with the risk of default, which includes in the calculation basis of the RPVS 280 and 281. the requirements referred to in paragraph: 283.1. to avoid double-counting, the authority to calculate the incremental default risk, take into account the extent to which the risk of default is already included in the calculation of the RPVS. This applies in particular to default risk positions, under which it would be possible to conclude within 10 working days after the adverse market conditions for accession, or other signs of deterioration of the environment of credit. If the authority incremental default risk capital requirement calculation includes the calculation of the additional capital requirement (surcharge), it is an appropriate methodology for the examination of the results obtained;
the authorities selected 283.2. method meets the standards, comparable to the provisions of title II, Chapter 2, part 3, referred to in assuming a constant level of risk. If necessary, the method is adjusted to reflect the liquidity, concentrations, hedging and method choices impact on incremental default risk;
283.3. the authority which does not use the internally developed method for increasing the risk of default for the determination of the calculation of the amount of additional capital requirements, using either the provisions of title II, Chapter 2, part 2 or the provisions referred to in title II, Chapter 2 of part 3, the appropriate approach.
284. exposures that constitute cash or synthetic vērtspapirizēšan positions, for which the value reduces equity under paragraph 348.6 or which would be applicable to 4.1 250 referred to interest rate risk, with internally developed method to calculate additional capital requirements is at least equal to that obtained using the method referred to in paragraph 348.6 or applying 4.1250 the interest referred to in the annex to the degree of risk. Authority in these transactions is the dealer (dealer), you can use another method, if the institution has the intention of you, there is a liquid two-way market (two-way market) for exposures of the vērtspapirizēšan or vērtspapirizēšan in the case of synthetic based only on credit derivatives, the most vērtspapirizēšan all of the exposures or risk components, of which they are composed. Two-way market exists in this case, if whatever good faith offer of sale in such a way that price is logically linked to the last trading price or the current fair competitive purchase and sale quotations can be obtained within one business day and the deal at that price settle according to the traditions of trade (trade custom) a relatively short time. So that the body could use a different approach, it has sufficient market data, which ensures that the institution's method, it uses the adult's risk of default, in accordance with the determination of this point, completely cover the risk of default.
285. If the authorities used RPVS internal models do not meet-284.281. the requirements referred to in paragraph 1, the institution shall calculate the specific risk capital requirement in accordance with the requirements of part 1.
286. Market risk capital requirements calculated using RPVS internal models, is the largest of the following indicators: 286.1. the previous working day for the RPVS, calculated by taking account of the 273-284, and the requirements of paragraphs 283 and 284. referred to additional capital requirements (if applied) increased the risk of default, amount;
286.2. the previous 60 business days average RPVS, multiplied by a coefficient equal to at least 3, and 283.284 and referred to the additional capital requirements (if applied) increased the risk of default, the amount.
287. the ratio referred to in paragraph 286.2 increased by 0 and 1 in accordance with table 8 depending on retrospective examination of the number of exceedances found the last 250 working days. Factor review not less frequently than once a month, and a specific factor is in effect until the next review.
table 8. The increase of the coefficient of determination of exceedances number depending on the number of Excess increase of 1 ≤ 5 years 2.828 1.414 2 4 5 years 5.657 2.828 > 5.657 4 2.828 11.314 5.657 2-3 ≤ 8 1 year 0.707 1.414 2 1 1 2.828 1.414 > ≤ 5 years 3 2.121 8.485 4243 4243 > 5 years 6 6 12 4 8.485 4243 16.971 8.485 ≤ 1 year 21.213 15 10.607 n/a n/a n/a > 1 ≤ 5 years 21.213 15 N/A N/A 10.607
N/A > 5 years 21.213 15 10.607 n/a n/a n/a table 2 credit quality step corresponding to the debt securities short-term rating Volatility adjustments for debt securities issued by this annex, part 1, paragraph 2.2 of legal persons with a short term rating of volatility adjustments for debt securities issued by part 1 of this annex 2.3 and 2.4, paragraph legal persons with a short term rating of 20-day liquidation period (%)
the 10-day liquidation period (%)
5-day liquidation period (%)
20-day liquidation period (%)
the 10-day liquidation period (%)
5-day liquidation period (%)
1 0.5 1 0.707 1.414 2 0.354 0.707-1 0.707 1.414 2.828 1.414 2 3 table 3 other collateral or exposure types 20-day liquidation period (%)
the 10-day liquidation period (%)
5-day liquidation period (%)
Shares and convertible bonds that are included in the major indexes (main index) 21.213 15 other 10.607 shares or convertible bonds, which are listed on the regulated market money 17.678 35.355 25 0 0 0 Gold 21.213 15 table 4 10.607 volatility adjustments for currency mismatch in the 20-day liquidation period (%)
the 10-day liquidation period (%)
5-day liquidation period (%)
57. Various 11.314 8 5.657 transactions are made in different periods of destruction, taking into account the nature of the transaction and the frequency of the exposure and the collateral is revalued at market prices, as well as review the reserve contribution (remargining): ensure transactions for a minimum period of liquidation is accepted within 20 working days, repurchase transactions (except insofar as such transactions involve the supply of goods or the guaranteed rights for goods transfer) and securities lending or borrowing them is five working days. The winding-up period for other capital market transactions (i.e., not traded on a regulated market, derivatives transactions and margin lending transactions of (margin lending)) is 10 working days.
58. The credit quality level, referred to in this annex tables 1 and 2, and in paragraph 61 of this annex and the conformity to the established bond ratings are established ECAIs that the provisions of annex 13. In this case, also apply to this annex, paragraph 3 of part 1 (that is, if the securities are two or more ratings).
59. Securities under part 1 of this annex, point 2 is not considered appropriate, or goods that are lent or sold under repo contracts or securities or commodities lending or borrowing transactions, the volatility adjustment is the same as for the shares, which are included in the regulated market, but not in the main index (main index).
60. The investment fund units, in accordance with part 1 of this annex is recognized as a suitable security, volatility adjustment is the weighted average volatility adjustments that, in the light of the requirements of paragraph 57 (liquidation periods), the application of the assets in which the Fund has invested. If the body is not known in which assets of an investment fund has made investments, the volatility adjustment is the highest volatility adjustment that can be applied to any kind of assets in which the Fund has the right to invest.
61. Issued debt securities that do not have assigned the ECAI rating and which comply with part 1 of this annex, point 2.9 requirements volatility adjustment is the same as the securities issued by institutions or commercial companies with ratings for the second or third quality grade.
Same rating volatility adjustments

62. Subject to authorisation by the Commission, the authority may use the same volatility rating, calculating the volatility adjustments to be applied to collateral and exposures, if you run this Annex 67 to 76 points.
63. where debt securities are the ECAI ratings corresponding to the investment grade or higher, the Commission may allow the body to calculate volatility for each category of securities.
64. the question of the category body shall take account of the nature of the issuer of securities, securities ratings, the remainder of the term and the modified (modified duration). Volatility estimates that the authority establish a category of securities must be representative of the volatility of the securities to which the body actually included in that category.
65. Debt securities that have ECAI rating, which is below investment grade, and other appropriate forms of security volatility adjustments calculated for each item separately.
66. the authority, which uses the same rating approach, the value of the collateral or foreign exchange volatility of the volatility of the discrepancy in estimates, without taking into account the correlation between the unsecured exposure, collateral and/or exchange rates.
Quantitative criteria for calculating the volatility adjustments 67., percentil 99. the use of unilateral (one-tailed) confidence intervals.
68. The minimum period of destruction will depend on the nature of the transaction and how often review the reserve contribution or overestimating the market. The minimum liquidation periods for different types of transactions is set out in this annex, paragraph 57.
69. the authority may use volatility adjustments calculated for shorter or longer liquidation periods, adjusted accordingly (increasing or decreasing) in paragraph 57 of this annex specific liquidation period of the transaction, using the square root of time formula: where: TM-the liquidation period;
HM – volatility adjustment applicable to winding-up period;
HN-volatility adjustment based on the liquidation period TN.
70. the authority shall take into account the lower-quality assets liquidity. The winding-up period increases (adjusted upward (upward basis)) in cases where there is doubt concerning the liquidity of the security. The authority identifies situations where historical data does not enable sufficient reliably (i.e. giving too low) potential volatility, for example, the associated currency (pegged currency). Such cases are taken into account when creating a stress test (stress testing) scenario.
71. the historical observation period (sample period) volatility adjustment is at least one year. Authority that the historical observation period used for the weighing scheme (weighting scheme) or other methods, the actual observation period of at least one year (i.e., a separate survey weighted average time lag may not be less than six months). The Commission may request the authority to calculate its volatility adjustments, also using a shorter observation period if, in the Commission's view, this is justified by the significant price volatility increases.
72. the Authority updates the entire data set not less frequently than once every three months, as well as convert the data each time the market prices are subject to major changes. This means that the volatility adjustments calculated at least once every three months.
Qualitative criteria 73. Authority estimates used volatility into daily risk management process, including determining the exposure of internal limits.
74. If the period of liquidation, by the authority in its day-to-day risk management process is longer than that laid down in paragraph 57 of this annex, the type of the body adjusts the volatility adjustments (calculated the upside) in accordance with paragraph 69 of this annex contains the square root of time formula.
75. The institution has developed procedures to ensure the adjustment of estimated volatility system compliance with internal policies, which the authorities documented, its operational control and incorporation of the results of estimates of the Authority's risk management process.
76. the volatility adjustments of estimates of the authority of the system at least once a year, review the institution's internal control process. Once a year are treated at least the following aspects: 76.1. volatility adjustments estimated into the daily risk-management process;
76.2. all relevant changes to the calculation of the correction of volatility process of approval;
76.3. data used in the calculation of the correction of volatility, the quality control system: the consistency, timeliness and reliability, its t.sk. the independence of the data source;
76.4. assumptions, on which the calculation of the adjustment, the volatility, the accuracy and compliance.
Volatility adjustment adjusting (scaling up) (up) 77. Volatility adjustments calculated pursuant to this annex, paragraph 56-61 (supervised access) and 62-77 of this annex to the requirements of paragraphs (same rating approach), is calculated by assuming that the revaluation happens every day. If revaluation happens less frequently than once per day, the greater the volatility adjustment. They calculate adjusted in accordance with this annex, paragraph 56, 61 or 62 of this annex, paragraph 77. volatility adjustments calculated (daily revaluation) using the following formula: where: H-volatility adjustment applicable;
HM – volatility adjustment where there is daily revaluation;
NO-actual number of working days between revaluations;
TM – the period of winding up the business.
0 percent of the volatility, the conditions for the application of the adjustment 78. Repurchase transactions and securities lending or borrowing authority may impose instead of volatility adjustments, which is calculated in accordance with this annex, paragraph 56-77, but the volatility adjustment 0% interest if this annex paragraph 78.1. – 78.8. This does not apply, the institution which applies the internal models approach described in this annex, paragraph 89-97:78.1. both the exposure and the collateral are cash or debt securities that are issued by central Governments or central banks of part 1 of this annex, within the meaning of paragraph 2.2 and to which a 0% interest rate risks in accordance with the provisions of paragraph 88-110;
78.2. both the exposure and the collateral are denominated in the same currency;
78.3. either the transaction period is not more than one day or every day at market prices to evaluate exposure and collateral or margin deposit accounts (daily remargining);
78.4. it is assumed that the time between the last valuation at market prices before the counterparty was not able to ensure the reserve contribution (failure to remargin) and collateral liquidation is no more than four working days;
78.5. transactions are carried out using the following types of transactions subject to billing system;
78.6. contract documentation is standard market documentation for repurchase transactions or such securities loans or borrowings;
78.7. contract documentation includes the conditions under which, if the counterparty fails to fulfil the obligation to deliver (to deliver) funds or securities, or to provide a reserve deposit or otherwise defaults, the transaction is immediately discontinuing (immidiatly terminabl);
78.8. the counterparty is the main market participants (core market participant).
79. the main market participants are: 79.1. legal persons (entities), referred to in this annex, point 2.2 of part 1, exposures shall be 0 percent with the degree of risk in accordance with the provisions of paragraph 88-110;
79.2. the institutions (institutions);
79.3. other financial institutions and insurance companies, exposures to which, in accordance with rule 110, paragraph 88, of granting 20 percent risk;
49.3. regulated collective investment undertakings (regulated collective investment undertaking), which is the binding commitment of capital or proportions (leverag);
49.4. regulated pension fund;
79.6. recognised clearing organisation.
Risk weighted exposure amounts and expected loss amounts calculated in the standardised approach 80. E * as calculated in accordance with paragraph 52 of this annex, the exposure value shall be applied to the degree of risk in accordance with the provisions of paragraph 102-110, determining exposures risk weighted value. 90. The provisions referred to in paragraph 1 in the case of off-balance-sheet items (E) is the value for which the provisions of paragraph 90 degrees of adjustment to determine the exposure value.
IRB approach 81. SNZ * (actual damages, which may arise in the event of default), calculated in accordance with this paragraph, the provisions of annex 6 is SNZ.
SNZ = x (*/E E) SNZ which:-losses which SNZ may occur in the system default binding and under IRB approach (rule 111-149) apply the exposure, if the exposure is not ensured;
E – exposure value described in paragraph 52 of this annex;
E – fully adjusted exposure value calculated in accordance with paragraph 52 of this annex.
The roof of the contracts relating to repurchase transactions/securities or commodities lending or borrowing and/or other capital market transactions adjusted value calculation

82. the fully adjusted exposure value (E *) exposures subject to contract and that the roof is the repo/securities or commodities lending or borrowing and/or other capital market transactions, calculate the following (paragraph 52 of the annex to this formula, which has been adapted to take account of the effect of the contract of the roof): E * = max {0, [(1990s (E)-1990s (C)) +-1990s (the net position in each | securities type x Hsec) + (1990s | EFX | x Hfx)]}, where: E – (standardised approach and the use of the IRB approach) of each exposure, carried out in accordance with the contract, the value of the roof, as it were, if it were not for credit protection;
C – busy, purchased or received or the value of the securities or commodities borrowed or received money for each such exposures;
1990s (E) — all the E;
(C) in the 1990s, all the C amount;
EFX – net position (positive or negative) in the relevant currency, other than the settlement currency of the contract, calculated in accordance with paragraph 84 of this annex;
Hsec-type securities concerned the appropriate adjustment for volatility;
Volatility adjustment Hfx-foreign currency risk;
E – fully adjusted exposure value.
83. the authority to calculate the adjusted fully exposure value (E *) in paragraph 82 of this annex these exposures, you can use either monitor the volatility adjustments or the same rating volatility adjustments in accordance with this annex, paragraph 56-77. If the authority has chosen to use the same rating volatility adjustments, it observes the same conditions and requirements, which are defined in financial collateral extended method.
84. the net position in each type of securities or goods is calculated by subtracting from under the umbrella agreement lent, sold or delivered in the form of securities/the total value of the goods in accordance with that agreement, purchased or borrowed the securities received/total value.
85. the way the meaning of paragraph 84 means securities which are issued by the same entity, which is the same day, the same emission limit and subject to the same rules and the same liquidation periods set out in this annex in paragraphs 56-77.
86. The net position in each currency other than the settlement currency of the roof contract, calculated by subtracting from each currency in which the securities are lent, sold or delivered under the roof of the contract, the total amount that is added in accordance with that contract, the loan or transfer (transferred) money amount in that currency, the currency in which the securities borrowed, purchased or received under the agreement, the total amount that is added in accordance with that agreement or received money borrowed amount in that currency.
87. the volatility adjustment appropriate to the nature of the securities or cash position, securities of this type apply positive or negative to the clean position.
88. the Volatility adjustments for foreign exchange risk (fx) apply the pure positive or negative positions in each currency other than the settlement currency of the contract of the roof.
89. As an alternative to the volatility adjustment or monitoring of the same rating volatility adjustment for the use of the authority, subject to authorisation by the Commission, can be used on internal models approach for repurchase transactions, securities or commodities lending or borrowing and/or other capital market transactions, other than transactions with derivative instruments and under the roof. Based on internal models approach taking into account the correlation between positions of the securities resulting from the application of the roof, as well as relevant treaty instruments, liquidity. This approach uses internal models provide estimates of potential changes in risk unsecured transaction value (1990s-1990s E C). Authorisation by the Commission, the authority may also use internal models for the margin lending transactions (for marginal lending transactions), where transactions are carried out in accordance with the bilateral mutual claims including roofing contract that complies with the provisions of annex 1 of part 7.
90. the authority can choose based on internal models approach independently of the choice it made between the standardised approach and the IRB approach for credit risk. However, if the authority wants to use for internal models approach, so this approach extended to all counterparties and securities, excluding immaterial portfolios where the monitor can be used in certain adjustments or volatility rating volatility adjustments in accordance with this annex, paragraph 56-77.
91. the internal models approach can use authority which received Commission permission to use internal risk models to value the market risk capital requirements in accordance with the rules for calculating paragraph 363. The authority, which has not received the said approval of the Commission, may submit to the Commission a request to recognize the internal risk management model for the potential price volatility for calculating the repurchase transactions and securities or commodities lending or borrowing and/or other capital market transactions.
92. the Commission granted permission for the use of the internal model only if risk management system for those risks arising out of, under the umbrella contract transactions, is conceptually safe and implemented with integrity and that, in particular, if the following quality standards: 57.2. the internal risk-measurement model used in the calculation of the price volatility may deals are directly included in the Authority's day-to-day risk management process , t.sk. review of exposures;
92.2. the institution has a risk control unit that is independent from business trading units and reports directly to the management of the institution (senior management). This Department is responsible for the risk management system of planning and implementation. It shall draw up and analyse daily reports, taking into account the results generated by the model, and recommends that the position of the adjustment in question;
92.3. risk control departments prepare daily reports the appearance of a body whose powers are sufficient to make a decision on both the existing positions as well as in the institution's overall risk mitigation;
92.4. the body has sufficient staff with the appropriate skills to use complicated models, risk control unit;
92.5. the institution has developed procedures for risk measurement system for monitoring and control in order to ensure its compliance with the institution's internal policies, which documented;
57.5. risk measurement the results generated by the institution's model is acceptable (exactly), which represents the results of retrospective testing, using at least one year of data;
92.7. the Authority regularly performs stress testing under strict conditions, testing results of the management of the appearance, and they are taken into account in the review of the relevant policies and setting the ceilings;
92.8. the authority as part of its internal control process carried out by an independent authority of the risk measurement system. The test will cover both business units (business trading units), and the independent risk control units;
92.9. the authority shall carry out at least once a year the risk management system;
92.10. the internal risk-measurement model comply with the provisions of annex 1 part 6 requirements.
93. in calculating the unsecured exposure values may change, the authority shall observe the following minimum requirements: 93.1. the possible values for the calculation of the change at least once a day;
93.2.99. is applied to the one-sided percentil (one-tailed) confidence interval;
93.3. period of the liquidation securities repurchase transactions or securities lending or borrowing transactions are down for five days, other transactions (other than securities repurchase transactions or securities lending or borrowing) – 10 days;
93.4. actual historical observation period of at least one year except where a shorter observation period is justified by a significant price fluctuations;
the data is updated to 93.5. not less frequently than quarterly.
94. the institution's internal risk-measurement model comprises a sufficient number of risk factors, in order to cover all the material price risks.
95. With the authorization of the Commission, the authority may use empirical correlations between each risk and the risks if authorities calculate the correlation system is safe and it is implemented in good faith.
96. Fully adjusted exposure value (E *) institutions that use internal models approach is calculated as follows: E * = max {0, [(1990s (E)-1990s (C)) + (internal model projections result)]}, where: E-each of the exposures, to which the contract terms, the values that apply in a situation where it would not be a credit protection if exposure risk weighted value calculated in accordance with the provisions of paragraph 88-110 (SP) or risk weighted exposures and possible losses is calculated in accordance with rule 111-149 points (IRB approach);
C – busy, purchased or received or the value of the securities borrowed or the amount of money received in respect of each such exposures;
1990s (E) — all the E;
(C) in the 1990s, all the C amount.

97. Calculation of risk weighted exposure value using internal models, the authority shall use the previous business day's model output.
 
Risk weighted exposure amounts and expected loss amounts in the calculation of the repurchase transactions and/or securities or commodities lending or borrowing and/or other capital market transactions, subject to the umbrella contracts standardised approach 98. (E), calculated in accordance with this annex, 89-97, is the exposure value resulting from operations carried out under the umbrella of rules for contracts, paragraph 102-110.
99. the IRB approach E, calculated in accordance with this annex, 89-97, is the exposure value resulting from operations carried out under the umbrella of rules for contracts for the purposes of annex 6.
Other suitable collateral in the case of the IRB approach real estate mortgage scoring 100. Property assessed by an independent valuer at or below its market value. If the credit security is real property situated in the Member States is defined in statutory or regulatory provisions of the strict mortgage (mortgage lending value) evaluation criteria, an independent assessor of property can be evaluated by its mortgage lending value or below.
101. the market value is the estimated amount for which a property could be exchanged between a willing seller and a willing buyer for commercial transactions on the day of the assessment by the appropriate market trial, in which both parties have acted competently, carefully and without coercion. Market value clearly documented.
102. The mortgage value is the property value defined, adequately assessing property sales opportunities in the future, taking into account long-term sustainable aspects of the property (taking into account long-term sustainable aspects of the property of), market conditions, the current property and alternative use. Mortgage lending in the speculative value of the elements shall not be taken into account. Mortgage value clearly documented.
103. The collateral value is the market value or mortgage value that is properly reduced, reflecting, in accordance with this annex, part 2, the requirements of paragraph 23.2 the results of the monitoring carried out and taking into account any existing claims against the property.
104. Receivables receivables are receivables amount.
Other security things 105. Property valued at the market value, which is the estimated amount for which a property could be exchanged between a willing seller and a willing buyer for commercial transactions on the day of the assessment by the appropriate market trial, in which both parties have acted competently, carefully and without coercion.
 
Risk weighted exposure amounts and expected loss amounts for the calculation of the General evaluation procedure (general treatments) 106. SNZ (losses that may arise in the event of default), calculated in accordance with the present annex 107-110, considers the provisions of annex 6, SNZ.
107. If the value of the collateral (C) against the exposure value (E) is lower than the threshold level of C * (required minimum exposure level), as laid down in this annex, table 5, SNZ is SNZ which rules are laid down in annex 6. unsecured exposures with the counterparties.
108. If the value of the collateral (C) against the exposure value (E) is higher than the second highest – C *-threshold level (i.e. the requested security level, to get the full recognition of the SNZ) laid down in this annex, table 5, SNZ is such, as set out in table 5.
109. If the requested security level (C) in relation to exposures in General is not achieved, the exposure is considered two exposures – the part that has achieved the required level of collateralisation C **, and remaining.
110. The applicable and required security SNZ levels of exposures collateralised shares are listed in table 5 of this annex.
table 5 minimum exposure SNZ ensure part of the SNZ senior (senior) requirements or possible requirements of downstream requirements or SNZ possible requirements requested transaction minimum risk level (C) the required minimum exposure level (C) Receivables 35% 65% 0% 125% residential real estate/commercial real estate 65% 35% 30% 140% other type 40% 70% 30% 140% Risk weighted exposure amounts and expected loss amounts in the calculation of the security portfolios of mixed (mixed pools of collateral) 111. If the risk-weighted value and the expected loss value calculated in accordance with the IRB approach and the exposure is secured with both cash collateral, both with other suitable collateral, SNZ (losses that may arise in the event of default), considered the SNZ rule 6. purpose of the annex, shall be calculated in accordance with this annex, 112-113.
112. the authority distributed exposures in the corrected value of the Castle completely (i.e. the value that is obtained by applying the volatility adjustments, as set out in paragraph 52 of this annex) which each cover only one type of security. That is to say, the body distribution of exposures, respectively gaining share, which bear the appropriate share of the financial collateral, which shall be borne by the receivables the part covered the House property mortgage and/or commercial real estate mortgages, part of which is covered by other appropriate collateral and unsecured.
113. SNZ each part of the exposures shall be calculated separately in accordance with the relevant provisions of this annex.
Unfunded credit protection evaluation 114. Unfunded credit protection value (G) is the amount that the protection provider is committed to pay the debtor's obligations in the event of default or other defined credit event. Derivative instruments of credit if the credit is not included in the definition of the event the debt restructuring and: 114.1. the amount that the protection provider has committed to pay, not exceeding the amount of the exposures, credit protection value (G), which is assessed in accordance with the first sentence of this paragraph shall be reduced by 40 percent;
114.2. the amount that the protection provider has agreed to pay is higher than the amount of the exposures, credit protection value (G), which is assessed in accordance with the first sentence of this paragraph may not exceed 60 per cent of the amount of the exposures.
115. where unfunded credit protection is expressed in a currency different from the currency in which is expressed the exposure (there is a currency mismatch (currency mismatch)), the value of the credit protection, reduces the volatility adjustment HFX as follows: applying G * = G x (1-HFX): G-rated value of the credit protection;
G-G, which is adjusted, taking into account the foreign exchange risk;
-Volatility adjustment Hfx currency mismatch between the credit protection and the respective obligations of prevention.
If the discrepancies are not, G * = G. 116. Volatility adjustments, which are applicable in the case of currency mismatch, either in this annex table 4 specific adjustments, if the institution uses monitor approach, or calculated in accordance with this annex, paragraph 62-77, where the authority has chosen the same assessment approach.
Exposure risk weighted exposure amounts and expected loss amounts in the calculation of partial protection-breaking releases (transhing) 117. When the authority transfers (transfer) the part of the loan risk in one or more instalments (transh), exposure risk weighted exposure amounts and expected loss amounts calculated in accordance with rule 161-173 points ("Vērtspapirizēšan"). Critical threshold, below which a payment in the event of losses will be made, consider keeping the first round loss position (retained first loss posision), and believe that it creates a shared risk transfer (give rise to a transfer of risk transhed).
118. A standardized approach for the portion of the exposure which is equal to the amount, which shall undertake to pay credit event, the employer of protection according to the relative degree of risk, in accordance with the provisions of annex 2. The rest of the exposure part apply to this type of risk according to notional of the degree of risk that the provisions laid down in annex 2. Exposure risk weighted value of the rule in paragraph 102-110 needs is calculated by the following formula: (E-GA) x r + GA x g where: E-risk transaction value;
GA-G value, calculated in accordance with paragraph 87 of this annex that further adjusted to correct term mismatch, in accordance with part 4 of this annex;
r – risk exposures with the debtor, as defined in rule 88-110;
g-risk exposures with protection, as laid down in the rules in paragraph 88-110.
Central Government guarantees 119. If the exposure is secured by the Government of the Republic of Latvia or a Bank guarantee of Latvia, other Member States of the Central Government or central bank guarantees or foreign central Governments or central banks guarantee and exposures made in the national currency and the national warranty denominated in the same currency, with such safeguards ensure exposure can apply 0% interest risk, compliance with the provisions of annex 2, paragraph 1.3 and 1.4.
IRB approach

Full protection/partial protection — equal rank (equal seniority) 120. exposures secured tranche (based on the adjusted value of the credit protection GA) probability of default (SNV) Annex 6 provisions part 2 protection of the end may be the SNV or borrower and guarantor SNV between SNV-SNV, if it considers that a complete replacement is not justified. Underlying exposures and do not subordinate unfunded protection in case the applicable rules of the SNZ 6. part 2 of the annex, may be related to SNZ higher ranking requirements (associated with senior claims).
121. Any exposure has SNV does not provide for the borrower and the according SNV SNZ exposure SNZ.
122. GA is the value of G * as calculated in paragraph 115, which is further adjusted to avoid any discrepancy between the term as defined in part 4 of this annex.
Part 4. Maturity mismatch 123. exposures the risk weighted exposure amounts for the purposes of calculating the period of discrepancy occurs when the residual maturity of the credit protection is less than the period of the protected exposure.
124. If there is a discrepancy between the term, the credit protection may be recognised where the original term of protection is equal to or greater than one year.
125. to credit protection with an original maturity of less than one year, are recognized, and the term of protection, protected the exposure time must be the same.
126. In any case where there is a maturity mismatch, credit protection is no longer recognized, if the residual maturity of less than three months.
The term (maturity) definition 127. protected exposure of the actual (effective) are possible, within a maximum period of time remaining until the debtor in accordance with the schedule of commitments must be met. Pursuant to paragraph 128 of this annex, the term of protection of the credit until an earlier possible date on which protection can end or it can stop.
128. If a protection called unilaterally stop protection on the term of protection be considered until the day before, when this feature can be implemented. If there is a chance the buyer to stop protection of protection, and the original terms of the agreement include incentives (positive incentive) the authority to withdraw the stop transaction (to call the transaction) before the time limit laid down in the Treaty, for the term of protection be considered until the day before, when this feature can be implemented. Otherwise, consider that this feature does not affect the term of protection.
129. If there is a possibility that the credit derivative will end before the relief period (grace period) end, which is set according to the default case, the term of protection shall be reduced by the period of the duration of a specific facility.
130. the evaluation of the protection the financial collateral simple method when there is a mismatch between the maturity of the exposure and the maturity of the credit protection, no security to be recognized.
131. The financial collateral in the case of the enlarged methods credit term of protection and the period of exposure should be taken into account in adjusting the value of the collateral by the following formula: a = CV CV x (t-t)/(T-t) where: CVA-adjusted value of the collateral, which is the lowest of the according part 3 to this annex to the requirements of paragraph 52 the calculated size, or amount of exposure;
t – number of years remaining until the termination of the credit protection calculated in accordance with paragraph 127-129, or T value, if lower;
T – number of years remaining until the exposure date, calculated in accordance with paragraphs 127-129, or five years, if it is a smaller pointer;
t-0.25 132. considers For CVS. CV, which is further adjusted to correct a mismatch, and the time limits which are to be included in the fully adjusted exposure value (E *) calculation formula set out in part 3 of this annex, paragraph 52.
The deal, which the unfunded credit protection 133. Unfunded credit protection in the case of credit and term of protection the term of exposures taken into account by adjusting the value of the credit protection according to the following formula: GA = G * x (t-t)/(T-t) where: G-protection level, adjusted to remove any currency mismatch;
GA-G, adjusted to remove any term mismatch;
t – number of years remaining until maturity of the credit protection, calculated in accordance with this annex, 127-129, or T value, if lower;
T – number of years remaining until the exposure date, calculated in accordance with this annex, 127-129, or five years, if it is a smaller pointer;
t – 0.25.134. GA is considered the defensive value of this annex part 3-114 of 122.  point's needs.
Part 5. The special case of credit risk mitigation of credit risk mitigation in the standardised approach in 135 of the combination. If any exposure is more than one kind of support (e.g., pledge and guarantee, which covers part of exposures), the authority, the exposure risk weighted value, the distribution of exposures (active) sections, each of which is covered by a separate collateral type (e.g., a part of the assets of the mortgage is paid off with some cover by guarantee), and risk weighted value is determined for each part of the assets in accordance with rule 110, paragraph 88, and the provisions of this annex.
136. where credit protection provided by one employer, there are different time limits apply in paragraph 135 of this annex described a similar approach.
Basket of credit risk mitigation techniques (basket CRM techniques) the first instance of default credit derivatives (first-to-default credit counterparties) 137. If the authority is buying credit protection for a number of exposures provided that the first case of default among the exposures triggers payment and that this credit event interrupted contract, the authority may adjust the exposure risk weighted value calculation, the expected loss amount for the exposure, which, in the absence of credit protection, create the lowest risk weighted value accordingly under the rule of 88-110 points (SP) or rule 111-149 points (IRB approach) according to this annex but only if the exposure value is lower than the value of the credit protection or equal to it.
N the default credit derivatives (Nth-to-default credit counterparties) 138. If n is the default between the exposures triggers payment under the credit protection contract, the authority is buying this protection, you can recognize this protection only exposure risk weighted exposure amounts and expected loss amounts in the calculation, if the protection was obtained also the previous default cases (from 1 to n-1), or if the n-1 default cases have already occurred. In such cases, use the methodology set out in paragraph 137 of the first case of defaults on credit instruments, respectively atvasinātāj adjusting it n the default products.
 
4. the annex to the financial and capital market Commission 02.05.2007. Regulation No. 60 Vērtspapirizēšan the position of risk weighted exposure amounts calculated in part 1. 1. this annex definitions the following definitions shall apply: 1.1. residual difference (excess spread) is the financial charges and other income received in connection with the vērtspapirizēšan of the exposures deducted from the relevant costs and expenses;
1.2. the delete option (clean up call options) is the contract for the sponsor to buy back or delete vērtspapirizēšan positions, before all the base exposures are reimbursed if the outstanding amount of the base exposure falls below the required level;
1.3. the agreement on the provision of liquidity (the liquidity facility) is a vērtspapirizēšan position, which stems from the contract on the provision of funding to ensure the timeliness of payments to investors;
1.4. the Kirb is 8 percent of risk weighted exposure values which according to IRB approach should vērtspapirizēt the calculated exposures if they had not vērtspapirizēt plus the amount of expected loss associated with those exposures calculated under the IRB approach;
1.5. the ratings based method is risk transaction risk weighted method vērtspapirizēšan positions in accordance with part 4 of this Annex 60-65;
1.6. the supervisory formula method is risk transaction risk weighted method vērtspapirizēšan positions in accordance with part 4 of this annex, 66-70;
1.7. the position without the rating is vērtspapirizēšan position, which does not have ECAI rating rules prescribed in paragraph 168-169;
1.8. position with the rating is vērtspapirizēšan, which is the position of the ECAI rating rules prescribed in paragraph 168-169;
1.9. commercial asset-based securities (hereinafter ABKP programme) is a programme of vērtspapirizēšan as a result of which the securities issued are mainly commercial securities that have an original maturity of one year or less.

Part 2. Minimum requirements for recognition of significant credit risk transfer and risk weighted exposure amounts and expected loss amounts for the calculation of risk transactions vērtspapirizēšan minimum requirements for recognition of significant credit risk transfer in the traditional vērtspapirizēšan 2. Authority – initiator of the traditional vērtspapirizēšan, you can turn off the vērtspapirizēto of the exposures of risk weighted value and the amount of expected loss estimates, if significant credit risk associated with the exposures, vērtspapirizēt is passed on to third parties and if this transfer complies with the following conditions : vērtspapirizēšan-2.1 transaction documents reflects the economic substance of the transaction;
2.2. the vērtspapirizēt exposures is not available to the institution, the originator and its creditors, including in the case of bankruptcy proceedings (receivership). The qualified legal advisory opinion (opinion of qualified legal counsel);
2.3. the securities issued do not impose obligations of payment authority, sponsor;
2.4. the transferee is (vērtspapirizēšan) special purpose company (hereinafter referred to as the MACHINE);
2.5. institution-sponsor does not save the actual or indirect control over the transferred exposures. It is assumed that the sponsor has retained effective control over the transferred exposures if it is the right of the transferee to pārpirk previously transferred exposures in order to benefit from them, or if it is the duty of the new take on (re-assume) the transferred risk. If the authority – ini ciator retains the servicing rights or obligations in relation to the transferred exposures, this does not mean exposure to indirect control;
2.6. Delete (clean-up call option) where the following conditions are fulfilled: the delete option is 2.6.1. to be implemented by institutions – initiator check (at the discretion of);
2.6.2. the delete option can be implemented only if 10 percent or less of the vērtspapirizēt exposure of the original value remains unamortised;
2.6.3. the delete option is not structured to not apply in the event of losses to credit quality improvement (credit enhancement) position or other investor positions, and not well structured to ensure (to provide) the credit quality;
2.7. vērtspapirizēšan documents not containing one or both of the conditions under which the institution-sponsor (except early amortisation provision): 2.7.1. improves the position of vērtspapirizēšan, t.sk. changing (replacing) the base exposures or increasing payments to investors in case worsens vērtspapirizēt exposure credit quality, but not only this way;
2.7.2. increase the payments to the holders of the position of vērtspapirizēšan in case the base deteriorated credit quality of the portfolio.
Minimum requirements for recognition of significant credit risk transfer for synthetic vērtspapirizēšan 3. Authority-initiated synthetic vērtspapirizēšan can calculate risk weighted exposure amounts and expected loss amounts, respectively the vērtspapirizēšan of exposures in accordance with this annex, point 4 and 5, if the third party is a significant credit risk transferred, through occupational or unfunded credit protection, and if this transfer complies with the following conditions: 3.1.-vērtspapirizēšan transaction documents reflects the economic substance of the transaction;
3.2. the credit protection that is passed between the lesser credit risk, meet the eligibility and other rules 150-160 point requirements for the recognition of such credit protection. In this context, the special purpose company created (INE) does not fit in the drawer is unfunded;
3.3. credit risk transfer instruments used include conditions: 3.3.1 determine the high significance of earthworms, which makes exasperated little gasps under credit protection does not work on a credit event;
3.3.2. enables the stop protection in connection with exposure to the deteriorating credit quality;
3.3.3. the exception of early amortisation provision, the originator of the request body, to improve the position of quality vērtspapirizēšan;
3.3.4. increase in the Authority's credit protection costs or payments to the holders of the position of the vērtspapirizēšan base portfolio credit quality deterioration;
3.4. obtained qualified legal advisory opinion confirming that the credit protection is legally enforceable in all relevant jurisdictions.
Sponsor risk weighted value calculation of the exposures vērtspapirizēšan synthetic vērtspapirizēšan in calculating the risk-weighted 4 value of exposures, vērtspapirizēšan if the conditions of paragraph 3, the institution – initiator of the synthetic vērtspapirizēšan of this annex, following a 6-8, use the appropriate calculation methods specified in part 4 of this annex, rather than those of the rule in paragraph 88-110 (SP). The authorities risk weighted exposure amounts and expected loss calculated in accordance with paragraph 111-149 (IRB approach), the expected loss amount for the following exposures shall be zero.
5. paragraph 4 of this annex shall apply to all exposures portfolio under vērtspapirizēšan. 6. Pursuant to this annex, paragraph 8, the initiator of the calculation of risk weighted all vērtspapirizēšan of releases under this (tranche) part 4 of the annex to the provisions, including those relating to the recognition of credit risk mitigation. For example, if the release is transferred to a third party, using the unfunded credit protection, the aforementioned third party risks apply in calculating the instigators to release an exposure risk weighted value.
Access date mismatch synthetic vērtspapirizēšan 6 to calculate the risk-weighted value in accordance with paragraph 4 of this annex, the term of any mismatch between the credit protection by which the agreed division releases, and vērtspapirizēt the exposures taken into account under this annex 7., 8.
7. the vērtspapirizēt exposure limit is considered the longest maturity of any of those exposures subject to a maximum term of five years. The credit term of protection shall be determined in accordance with the provisions of annex 3.
8. the initiator shall not be taken into account any time limit mismatch, calculating risk weighted releases, which are in accordance with part 4 of this annex shall apply to the conditions of 1 250 percent risk. All other releases of the provisions set out in annex 3 of the term mismatch approach according to the following formula: W = [RW (SP) x (t-t)/(T-t)] + [RW (s) x (T-t)/(T-t)] where: RW * is risk weighted value rule 73.1 of the paragraph;
RW (ass) is a risk-weighted value of the exposures if they had not calculated pro rata vērtspapirizēt (on pro-rata basis);
RW (SP) is a risk-weighted value calculated in accordance with paragraph 4 of this annex, if not maturity mismatch;
T is the appropriate exposure period expressed in years;
t is a credit term of protection expressed in years;
t * is 0.25. part 3. External credit assessments of eligible ECAIs the credit requirements assessments 9. to fit the ECAI ratings could use exposure risk weighted value calculation in accordance with part 4 of this annex, they shall comply with the following conditions: 9.1 no discrepancies among the rating reflects the types of payments and payment types to which the authority is entitled under the contract, which is based on the position of the corresponding vērtspapirizēšan;
9.2. rating is openly available on the market. Ratings are considered publicly available only if they are published openly available information media and included ECAIs migration matrix. Ratings, which are available only to limited legal entity (entities), not seen as openly accessible.
Assessment of the use of credit 10. Authority choose one or more of the eligible ECAIs, where ratings used in the calculation of risk weighted value in accordance with rule 161-173 points (selected ECAIs).
11. subject to the provisions of this annex 13.-15. the requirements of point, authority consistently use selected ECAI ratings for its vērtspapirizēšan position.
12. in the light of the 13 and 14 of this annex to the requirements of paragraphs, the authority may not use one of the ECAI ratings for positions in individual releases and another ECAI ratings – positions in other editions of the same vērtspapirizēšan transaction (within the same structure), which, probably, but not necessarily, the credit rating granted by the first ECAI.
13. If the position is for two selected ECAI ratings, the authority shall use the less favourable rating.
14. If a position has more than two selected ECAI ratings, the body uses two favourable ratings. If two favourable ratings are different, use the least favourable.
15. where credit protection is appropriate in accordance with Rule 150-160, delivered directly to the MACHINE, and this protection has been taken into consideration in rating positions established ECAIs, the rating that you choose the appropriate degree of risk can be used. If the protection is not appropriate under the rule of 150-160, the rating is not recognised. In the case where credit protection is provided instead of a MACHINE but directly to the vērtspapirizēšan position, the rating is not recognised.
Part 4. The calculation of Risk weighted calculation

16. Vērtspapirizēšan position in the calculation of risk weighted 164-167 of the rules for the purpose of paragraph carried out using the position of the exposure value the risk, as set out in part 4 of this annex.
17. Pursuant to paragraph 18 of this Annex: 17.1. If the institution shall calculate the risk-weighted value under this annex 21-50.  point balance vērtspapirizēšan position value is the value in the balance sheet;
17.2. If the institution shall calculate the risk-weighted value under this Annex 51-92, vērtspapirizēšan positions of the balance sheet value of its gross value before the value adjustment (gross of value adjustments);
17.3. off-balance sheet vērtspapirizēšan positions value is determined by the nominal value multiplied by the degree of adjustment, in accordance with the provisions of this annex. The degree of correction is 100 percent, unless otherwise specified.
18. Vērtspapirizēšan position value that stems from the 92 the provisions listed in financial derivatives, determined in accordance with the provisions of annex 1.
19. If the position of vērtspapirizēšan funded credit protection, the exposure value of the position can be changed according to the rules, the requirements of annex 3, as set out in the annex below.
20. If an institution has two or more vērtspapirizēšan positions, overlapping (overlapping positions), authority to the extent that they overlap, include risk weighted in the calculation only the position or the position that present the highest risk weighted value. The purpose of this paragraph means that overlapping positions in whole or in part reflects exposure to the same risk that overlap to the extent they can be considered as one exposure.
Calculating risk weighted exposure amounts under the standardised approach 21. subject to paragraph 23 of this annex, vērtspapirizēšan position, which assigned a rating, risk-weighted value calculated by applying to the exposure value of credit quality grade the degree of risk as defined in tables 1 and 2. ECAI rating and credit quality of the degree of harmonisation of the rules is laid down in annex 13.
table 1. Position, which is not a short term rating of credit quality step 1.
2.3.
4.5 and lower Risk 20% 50% 100% 350% 1 250% table 2. Positions with short-term credit rating quality grade 1.
2.3.
All other credit ratings Risk 20% 50% 100% 1 250% 22. subject to this annex, 25-31, vērtspapirizēšan position without rating the risk weighted value calculated by applying the interest risks 1 250.
Body – authority – initiator and sponsor of 23. sponsor or institution-institution-sponsor of risk weighted exposure amounts calculated in vērtspapirizēšan positions of the authority, may establish a maximum as the risk weighted exposure amounts calculated for exposures vērtspapirizēt, assuming that they would not be vērtspapirizēt, provided that the 150 percent risk applies to all of the delayed exposures (past due), and high risk categories risk exposures within the vērtspapirizēt portfolio exposures.
Positions without rating 24. Authority which has vērtspapirizēšan position without rating, 25 of this annex may be applied the method set out in paragraph these positions risk weighted value calculation, if the exposure-asset portfolio composition, subject to vērtspapirizēšan, has always known.
25. The Authority may assign the weighted average risk that a standardized approach (rule 88 – 110) vērtspapirizēt the following exposures would be granted the authority that has these transactions, multiplying the risks with a concentration factor. This concentration is calculated as the ratio of the nominal amount of all releases, shared with the nominal amount of the releases, which are lower or the same sequence with the release in which the institution holds this position, including the release. The calculated level of risk must not be higher than 1 250 percent or lower than any level of risk assigned by higher (more senior) release with the rating. If the authority cannot determine the degree of risk that would be vērtspapirizēt for exposures in the case of the standardised approach (rule 88-110), so this position apply 1 250 percent risk.
Vērtspapirizēšan position in a second-round loss to release (the second loss tranche) or better release ABKV in 26. subject to this annex, paragraph 28-31 provisions in relation to the agreement on the provision of liquidity, the authority may apply to the vērtspapirizēšan positions, corresponding to the provisions of paragraph 27, the degree of risk, which is the greater of 100 percent or higher from the risk of any of those exposures according to vērtspapirizēt rules 88-110 points (SP) would be granted the authority that has these risks (hold) vērtspapirizēt.
27. in order to be able to use the provisions of paragraph 26, vērtspapirizēšan position should be: 27.1. release, which vērtspapirizēšan in economic transactions a second-round loss position or better position, and the first round loss to sister release delivers significant improvements in the quality of credit (credit enhancement) second round loss to release;
27.2. the quality that corresponds to the category of investment or higher (investment grade or better);
27.3. the authority, which has no position in a first-round loss in the release.
Agreement on the provision of liquidity with no rating (unrated liquidity facilities) Appropriate arrangements for the provision of liquidity liquidity risk 28. the transaction value of the 20 percent correction can be applied to the degree of liquidity of collateral nominal value, if the original maturity is one year or less, or a 50 percent correction level for liquidity security original maturity exceeding one year, provided that the following conditions are met: 28.1. agreement on the liquidity support documentation shall clearly indicate the conditions You can use the liquidity of collateral;
28.2. liquidity guarantee may not be used to cover losses that liquidity support at the time of use is already occurring, for example, to provide liquidity in respect of risk transactions in which obligations are not fulfilled at the time of use, or buying assets at a higher price than their real value;
17.6. provision of liquidity should not be used to provide permanent or regular funding vērtspapirizēšan;
28.4. liquidity used security release should not be subordinate to the requirements of investors, except the requirements arising from the interest rate or currency derivative contracts, fees or other similar payments, repayment may also suspend or waive them;
28.5. liquidity guarantee may not be used if the entire credit quality improvement (credit enhancement) that supports liquidity provision, is used;
28.6. agreement on the content of liquidity provision, envisaging a reduction of the amount of the sum of the exposures that do not comply with the obligation, if default corresponds to the provision in paragraph 111-149 give the definition or the vērtspapirizēt exposure portfolio consists of instruments with a rating and liquidity agreed security is broken, if portfolio average quality has become lower than investment grade.
29. The level of risk is higher, the degree of risk that any of the worth papirizēt risks exposures would have applied to the body to which the vērtspapirizēt (hold) these risks in accordance with the provisions of paragraph 88-110.
Provision of liquidity, which may only be used in the event of the collapse of the market (in the event of a general market disruption) 30. liquidity risk the security of transaction value, 0 percent correction can be applied to the degree of liquidity of the nominal value of the collateral if the collateral liquidity may be used only in the event of the collapse of the market (that is, if more than one MACHINE in various transactions could not be restored (roll over) commercial securities after the end of the term and this could not have occurred had RAISED credit quality deterioration or vērtspapirizēt exposures credit quality deterioration) and if of this annex are satisfied the conditions in paragraph 28.
The agreement on lending money (cash advance facilities) 31. agreement on money lending exposures may apply the value of the 0 interest adjustments to its nominal level value if agreement on money lending is unconditionally withdrawn, assuming that this annex are complied with the conditions of paragraph 28 and the requirement to repay the money lent is the highest layer requirement in relation to other claims to the cash flows from the exposures vērtspapirizēt.
Additional capital requirements renewable (revolving exposure) exposures with early amortisation vērtspapirizēšan condition

32. in addition to the risk-weighted value of the calculated positions of authority vērtspapirizēšan authority-initiated risk weighted value calculated in accordance with this annex, paragraph 33-47, the method set out in if it sells renewable exposures to contents vērtspapirizēšan the early amortisation provision.
33. The institution shall calculate the risk-weighted exposure value to the sponsor's interests and the interests of investors.
34. If the vērtspapirizēšan the exposures include exposures both renewable and non-renewable exposures, the authority, the sponsor of this Annex apply to 35 to 45 points, the method set out in its base for part of a portfolio that contains renewable exposures.
35. This Annex 32 to 45 purpose sponsor interest is the exposure value, consisting of the vērtspapirizēt used in the portfolio (non drawn) and the conditional part that proportion in relation to the total amount of this portfolio is determined by the proportion of cash flows generated by principal and interest receipts and other associated amounts which are not to be used for payments vērtspapirizēšan position holders. Ini may admit the ciator even if it is not subordinated to the interests of investors.
Investor interest is the exposure value, consisting of the amount used by the portfolio remaining notional part (the investor's interest means the exposure value of the remaining notional part of the pool of drawn non).
36. the institutions – the initiator exposures associated with its rights in respect of the interest in ciator does not constitute the position of the vērtspapirizēšan, but as the proportion of the exposure part of the exposures vērtspapirizēt, assuming that they would not be vērtspapirizēt.
Early amortisation treatment 37. exceptions From paragraph 32 of this annex in capital requirements are exempt this kind of vērtspapirizēšan sponsor: 37.1. vērtspapirizēšan renewable exposures that investors fully assume the risk arising from the borrower's future conduct (to borrow or repay the loan) (exposed to all future draw by borrower), so that the body-do not risk the sponsor even after depreciation has been premature;
37.2. vērtspapirizēšan, in which the early amortisation triggers only events that are not related to the quality of the assets or vērtspapirizēt institutions – the performance of the sponsor, for example, the significant changes in tax laws or regulatory requirements.
The maximum capital requirement 38. Institution-sponsor total risk weighted value for investors interested in its positions and risk-weighted value calculated in accordance with paragraph 32 of this annex, may not exceed the greater of: 38.1. risk weighted exposure amounts calculated the position of the authorities of the interested investors;
38.2. the risk weighted exposure amounts that are worth the risk of papirizēt transactions, which is equal to the interest of investors, would be calculated by the institution to which these vērtspapirizēt risks, assuming that they would not be vērtspapirizēt.
39. Net income deductions, if any, resulting from the expected income capitalization, which is required under paragraph 342.6.7 of the rules, not included in this annex 38. maximum amount referred to in paragraph 1.
The calculation of risk weighted 40. Risk weighted value calculated in accordance with paragraph 32 of the annex, shall be determined by multiplying the investor interest with appropriate adjustments, as specified in this Annex 42 to 47, and the weighted average of the degree of risk that would be applicable to the exposures vērtspapirizēt, assuming that they would not be vērtspapirizēt.
41. Early amortisation provision is considered to be controlled if the following conditions are met: 41.1. the body-sponsor is designed according to capital/liquidity plan, to ensure sufficient capital and liquidity in the case of early amortisation;
41.2. a transaction during the interest and principal payments, expenses, losses and amounts to be recovered are broken down in proportion to the initiator and investor interest, on the basis of the accounts receivable balance for each particular month (s) date (s);
41.3. amortisation period is considered sufficient if the premature start of the amortisation period is refunded or considered defaulting to 90 percent of the total debt (originator and investor interest);
25.7. recovery speed (speed of repaymen) is not greater than the speed would have been if the depreciation would have a linear period laid down in paragraph 41.3 this annex.
42. If you vērtspapirizēt without commitment and without conditions and notice withdrawn small exposures (uncommitted retail credit lines), such as credit card loans, and vērtspapirizēšan of the early amortisation provision content and early amortisation triggers the remaining difference (excess spread), which has become lower than the level (the excess spread trapping point), the authority in three months compared to the average of the remaining difference to the remaining difference, that authority must ensure (to trap excess spread).
43. If the vērtspapirizēšan does not require the remaining differences being in a certain level (does not require excess spread to be trapped), the reference level (the trapping point), which is about 4.5 percentage points higher than the residual margin level, causing premature wear.
44. the corrections to be applied to the degree determined by the current three-month average residual margin level, in accordance with table 3.
table 3. The applicable degree of Vērtspapirizēšan with the adjustment control premature depreciation Vērtspapirizēšan with uncontrolled depreciation of the early 3 months average residual margin adjustment degree degree of Adjustment over A level 0% 0% 1% 5% level A level B level C 2% 15% 10% 50% 20% 100% D level E level 40% 100% 45. table 3 of "A level" means the remaining difference, which is less than the residual margin 133.33 percent from reference level but not less than 100 per cent from the reference level; "B level" means the remaining difference, which is less than 100 percent of the residual margin reference level, but not less than 75 per cent of the reference level; "C level" means the remaining difference, which is less than 75 percent of the remaining differences in the reference level, but not less than 50 per cent of the reference level; "Level" shall mean the remaining difference of less than 50 percent of the remaining differences in the reference level, but no less than 25 percent of this reference level; "Level" shall mean the remaining difference of less than 25 percent of the remaining difference of the reference level (reference level, trapping the point).
46. in all other renewable exposure vērtspapirizēšan transactions that contain controlled early amortisation provision, the 90 percent level of adjustment (for example, for retail commitied exposure).
47. All other exposures of the vērtspapirizēšan restore transactions containing early amortisation uncontrolled terms, apply 100 percent adjustment.
The recognition of credit risk mitigation vērtspapirizēšan positions 48. If the heading is vērtspapirizēšan protection, credit risk weighted calculation can be adjusted in accordance with the provisions of annex 3.
Risk weighted reduction (reduction) 49. As provision point to 348.6 vērtspapirizēšan positions to which 1 250 interest risk, the authority may, as an alternative position for inclusion in the calculation of risk weighted to reduce equity exposure of this position value. For this purpose, the exposure value may be taken into account in the calculation of the applicable occupational credit protection in accordance with this annex, paragraph 48.
50. If the institution uses the alternative provided for in paragraph 49, the amount that is 12.5 times the amount deducted in accordance with paragraph 49, paragraph 23 of this annex for the purpose of a report of the amounts referred to in paragraph 23 as the maximum risk weighted value should be calculated as set out in paragraph 23.
Risk weighted value calculation in the case of the IRB approach hierarchy of 51. Vērtspapirizēšan Methods for position risk weighted value rule 164-167) (purpose, calculated in accordance with this annex, paragraph 52.92.
52. The position with a rating of or position to qualify potential (inferred) rating, risk-weighted value calculated using 60-65 of this annex set out in the paragraph on the ratings based method.
53. The position of use without the rating of this annex in paragraphs 66-70 set by the supervisory formula method except where allowed to use the internal assessment approach, as set out in this annex 57-58.
54. the authority, which do not have the authority or the body-sponsor-sponsor, of the supervisory formula method can be used only with the permission of the Commission.

55. If the authority or the body-the sponsor, the sponsor can not calculate Kirb and which has not received the Commission's permission to use the internal assessment approach ABKV program positions, and other institutions, if they have not received the Commission's permission to use the supervisory formula method or program for ABKV positions-internal assessment approach, vērtspapirizēšan positions without the rating, which cannot be possible ratings, assigned 1 250 percent risk.
The possible use of rating (inferred) 56. Body position without a rating assignment possible credit rating, which is the equivalent of a credit assessment ratings for positions with (reference lines), which is the highest ordinal positions that are in all respects subordinate to the vērtspapirizēšan position without the rating, if the following operational requirements: 56.1. reference positions in all respects subordinate to the vērtspapirizēšan position without a rating;
56.2. reference period of positions is equal to or longer than the corresponding position without a rating;
56.3. any possible ratings are constantly updated to reflect any changes to the reference position for credit assessment.
The internal assessment approach positions ABKV in 57. Authorisation by the Commission, the authority may assign a derived rating (derived rating) positions without rating ABKV programs in accordance with paragraph 58 of this annex, if the following conditions are met: 57.1. ABKV is an external rating;
57.2. Authority demonstrated to the Commission that the institution's internal position in credit quality assessment methodology meets one or more of the publicly available ECAI assessment methodology used for the determination of rating those securities, which is similar to the relevant securities worth the risk papirizēt;
57.3. Ecais that the methodology to be followed in accordance with this annex, 57.2, are those ECAIs which have granted external ratings issued in the framework of the commercial securities. Quantitative elements, such as the stress factors, which are used to assign the position of certain credit quality should be at least as conservative as those of the relevant assessment methodology that is used in the ECAI;
57.4. developing your own internal credit quality assessment methodology, the authority shall take into account the ECAI ratings awarded in the framework of the ABKV commercial securities issued, the published rating methodologies. These observations document the Authority (condideration) and updated on a regular basis in accordance with this annex, 57.8 points;
57.5. internal assessment methodology of the authority includes the rating categories. Is determined and well documented bodies internal rating category of the ECAI ratings for compliance;
57.6. internal evaluation methodology used in the institution's internal risk management processes, t.sk. decision making in the management of information in the preparation and distribution of capital (capital allocation);
57.7. internal or external auditors or internal authorities of the ECAI credit monitoring or risk management Department regularly reviews the internal assessment process and the quality of the evaluation of exposures. If such a review shall be carried out under the authority of internal auditors or credit monitoring or risk management Department, it should not be associated with ABKV the scope of the programme (business line), as well as with customer service (independent of the customer relationship);
57.8. the authority is following its own internal compliance rating (performance) over time to assess the internal assessment methodology, quality, and, if necessary, make adjustments to this methodology, if exposure to quality usually (routinely) is different from the internal ratings in quality;
57.9. ABKV program includes initial deployment standards (underwriting standard) credit quality and investment guidelines. When deciding on the purchase of the assets, the program administrator will take into account the nature of the assets acquired, the exposure and the value of money (monetary value) arising from liquidity (liquidity facilities) and the improvement of the credit (credit enhancement), the distribution of the damages and the legal and economic asset for divestiture of the assets of the vendor. The authority shall carry out an active vendor risk profile kredītanalīz, which includes the past and expected future financial performance analysis, as well as the existing site, the expected competitiveness on the market, the debt ratio (leverag), cash flow, interest coverage and debt rating analysis. In addition, the seller of the assets a standard initial deployment (underwriting standards), service and payment collection process analysis;
57.10. ABKV the program's initial deployment standards establish minimum asset eligibility criteria: 57.10.1. Turning off the ability to acquire assets with significant of late payment or assets, which do not comply with the patent system (past due or defaulted);
57.10.2. limit the excessive concentration for one customer or geographic region;
57.10.3. limit the optional nature of the assets;
57.11. ABKV program is the collection of payment policies and procedures that take into account the attendant (serviser) operational capability and credit quality. The program provides active seller/attendant risk mitigation, using different methods, such as mechanisms, based on the current credit quality that could prevent the mixing of funds (co-mingling of funds);
57.12. aggregate loss estimate asset portfolio with the acquisition of ABKV are being considered in the program, take into account all possible risk sources, such as credit risk and risk reduction in recoverable value (dilution risk). If the credit quality scale, which gives the seller of the assets is determined only on the basis of credit risk, create separate margin deterioration in the risk if the deterioration in the risk exposure of the portfolio is essential. In addition, the calculation of the required level of improvement in the appearance of the historical information for several years, including the loss, delays, and recoverable value of the accounts receivable turnover ratio;
57.13. ABKV program include structural mechanisms (features) assets/exposures, to reduce the potential of the base portfolio credit quality deterioration.
The Commission may waive the requirement to disclose publicly the evaluation methodology of ECAI, if it considers that a specific vērtspapirizēšan the nature of the business, such as its unique structure, it is not yet publicly available ECAI assessment methodology.
58. The position without authority assigns one rating from rating categories, which are described in paragraph 57 of this annex. The position is assigned a derived rating corresponding to the credit rating that matches the rating for the category, as defined in paragraph 57. If this derived rating, from vērtspapirizēšan, meet investment grade or higher, it is an appropriate assessment of the credit for the ECAI the risk weighted calculations.
Maximum risk weighted value 59. Body-body-the sponsor, the sponsor or other institutions that can calculate Kirb, can reduce vērtspapirizēšan positions calculated risk weighted value up to the amount which, in accordance with rule 73.1 points is equal to 8 percent of risk weighted exposure amounts that would, if the worth of assets would not be papirizēt vērtspapirizēt and should be entered in the balance sheet, plus the expected losses on these exposures.
The ratings based method 60. According to the ratings based method of risk weighted value vērtspapirizēšan heading to the rating is calculated, to the value of exposure by applying a credit quality step corresponding to the degree of risk under tables 4 and 5 and multiplying by the ECAI ratings and 1.06. credit quality grade is defined in annex 13 provisions.
table 4. Positions that have no short-term credit assessment of the credit quality, the degree of Risk (A) (B) (C) 2 8 1 7% 12% 20%% 15% 25% 18% 3 10% 35% 35% 4 12% 20% 35% 35% 5 20% 6 35% 50% 50% 75% 75% 7 60% 8 100% 100% 100%% 9 250 250 250% 10 425 425 425%%%% 11 650 650 650%%% lower than 1 250 1 250 11 1 250%%% table 5. Positions with short-term credit assessment of the credit quality, the degree of Risk (A) (B) (C) 1 7% 12% 20% 20% 35% 2 12% 3 60% 75% 75% all other credit assessment 1 250 1 250 1 250%%% 61. in accordance with this annex and paragraph 62.63 (A) in the column for each table presented risk apply if position is the highest-order release. To determine which release is the highest round of release, no need to take account of the amounts due for interest rate or currency derivative contracts, fees or other similar payments.
62.6 percent the level of risk can be assigned to the position, if it is the position of the highest-order release, if any aspect of this release is higher than any other release, and position under this Annex 60 is assigned a 7 percent risk if: 62.1. the Commission is satisfied that it is based on the ability of the underlying release absorb losses;

62.2. position is either an external rating, corresponding to 4 or table 5 credit quality for the first degree, or if the rating is not, of this annex are satisfied the requirements of paragraphs 56 and reference positions means positions downstream of the release, which, in accordance with this Annex 60 is assigned a 7 percent risk.
63. Each table column C shows the risk applied if the item is a transaction in which the vērtspapirizēšan worth papirizēt the actual number of exposures is less than six. Calculating the vērtspapirizēt the effective number of exposures, multiple exposures to a single debtor is considered to be one of exposure. The effective number of exposures is calculated as follows: where: RDV has all the exposure value with the amount i customer. Re vērtspapirizēšan (resecuritisation) case (vērtspapirizēšan vērtspapirizēt exposure) Office handled vērtspapirizēt the number of exposures in the portfolio, rather than the base number of exposures in the original pools from which derives the vērtspapirizēt exposure. If you know part of the portfolio, which is awash with biggest patent exposures (C1), the authority may calculate N as 1/C1.
64. other positions assigned tables 4 and 5 (B) the degree of risk presented in columns.
65. Credit risk mitigation in the vērtspapirizēšan position may be recognized under this annex 76-78.
The supervisory formula method 66.74. Pursuant to this annex, paragraph 75, and under the supervisory formula method vērtspapirizēšan positions of the degree of risk is the larger of the two sizes – 7 percent or risk applicable in accordance with this annex, 67-69.
67. subject to the provisions of this annex and paragraph 74.75, exposure to the amount of the applicable degree of risk is: 12.5 x (S [L + T]-S [L])/T, where: where: But [L, b] refers to the cumulative beta distribution with parameters a and b, which are assessed against L (evaluated at L);
T (release (thickness of the transh) that contains the position) is calculated as the sum of the nominal release against a vērtspapirizēt exposure values. For this purpose, the terms listed in paragraph 92 derivatives exposure value when the current replacement value is negative, is the likely future credit transactions (potential credit exposure), calculated in accordance with the provisions of annex 1;
Kirbr is calculated as the ratio of Kirb worth papirizēt exposure value amount.
Kirbr is expressed in decimal form (e.g. Kirb equal to 15 percent of the portfolio is expressed as Kirbr 0.15);
L (credit quality level (the credit enhancement level)) calculated as all of their releases, which is the alternative release that contains the position of the ratio of the nominal amount of the exposures of the vērtspapirizēt value. Kapitalizēto future revenues do not include L statement. Calculating the credit quality level, the amounts due from counterparties in relation to the provision in paragraph 92 of listed derivatives and to release that contains the position, refer to the release notes of the lower class, can be calculated as the current value of the replacement (without taking into account possible future credit transactions);
N is the number of actual exposure, calculated in accordance with paragraph 63 of the annex.
Risk-weighted average SNZ is calculated as follows: where: SNZ have average SNZ all exposures with a customer, if i determined in accordance of the provisions SNZ 111.-149 points (IRB approach). In the case of repeated vērtspapirizēšan vērtspapirizēšan positions apply 100 percent SNZ. If you purchased the vērtspapirizēšan accounts receivable default risk and risk reduction in recoverable value combined (that is, the two types of damages are available in one margin or collateral) risk-weighted average weighted average SNZ drawn up as a credit risk and SNZ 75 percent of recoverable SNZ impairment risk. Weights are individual capital requirements for credit risk, respectively, and the recoverable values of risk reduction.
Simplified calculation for 68. If the biggest risk vērtspapirizēt the value of C1 is less than 3 percent of the vērtspapirizēt the value of the exposure amount, the supervisory formula method purpose the authority may fix the same with SNZ 50 percent and N equal to: or N = 1/C1, which is the greatest risk: Cm m deal value amounts to vērtspapirizēt exposure value amount. Size m can be determined.
69. Subject to authorisation by the Commission, vērtspapirizēšan transactions, which include small exposures, you can use the formula method of monitoring using simplifications h = 0 and v = 0.70. Credit risk mitigation for vērtspapirizēšan positions may be recognised in accordance with this annex, 76, 77 and 79.-83.
Agreement on the provision of liquidity 71. Exposure value of the position without vērtspapirizēšan rating, which is the agreement on the provision of liquidity, the 72-75 of this annex paragraph.
Liquidity support, which is available only in the event of the collapse of the market liquidity of collateral 72. nominal amount may be applied to the 20 percent level if the correction of the liquidity support it is possible to use only in case of the collapse of the market and if it meets the eligibility conditions of paragraph 28.
Agreement on money lending provision of liquidity 73. nominal amount may apply a 0% interest rate adjustment, if it meets the conditions of paragraph 30.
In exceptional cases, when it is not possible to calculate Kirb 74. If the body is wasted (not practical) to calculate the risk-weighted value of the exposures by assuming that they would not be worth papirizēt, authority, in exceptional cases, subject to authorisation by the Commission, for a certain period of time can apply to this annex, paragraph 75, the method set out in the risk weighted value calculation vērtspapirizēšan positions without the rating, which is liquidity if liquidity position of collateral meet the annex referred to in paragraph 28 of the suitability of the conditions or the provisions of paragraph 72.
75. The higher level of risk, which would be in accordance with the provisions of paragraph 88-110 (SP) for vērtspapirizēt any exposure, assuming that it would not be worth papirizēt, may apply for the position of vērtspapirizēšan, which is the liquidity position. To determine the exposure value of the position, you can apply the 50 percent level of liquidity adjustment collateral nominal amount, if agreed original maturity is one year or less. If the liquidity provision meets the conditions of paragraph 72, can be applied to the 20 percent correction. In other cases, apply 100 percent adjustment.
The recognition of credit risk mitigation vērtspapirizēšan positions funded credit protection 76. funded credit protection applied is funded protection that is suitable for the calculation of risk weighted in accordance with the provisions of paragraph 88-110 (SP) pursuant to Rule 150-160, paragraph and its recognition depends on these points in the minimum requirements.
Unfunded credit protection 77. Suitable for unfunded credit protection and unfunded protection providers are only those that are appropriate under the rule of 150-160, and it depends on the recognition of these points the minimum requirements.
Calculation of capital requirements vērtspapirizēšan positions with credit risk mitigation on the ratings based method in 78. If the risk weighted value is calculated using the ratings based method, the risk value of transactions and/or risk weighted value position of vērtspapirizēšan that has obtained credit protection, can be adjusted in accordance with the provisions of annex 3, to the extent that they relate to the calculation of risk weighted in accordance with rule 88-110 points (SP).
The supervisory formula method-full protection for 79. If the risk weighted value is calculated using the formula method of monitoring, the authority shall determine the position of the actual degree of risk. It is determined by dividing the risk-weighted value of the position to the position value of the exposure and the result multiplied by 100.80. Funded credit protection in the case of vērtspapirizēšan positions risk weighted value is calculated by multiplying the position risk transaction amount, adjusted, taking into account the occupational protection of credit (E, calculated in accordance with Rule 150-160 above standardized approach, assuming the position of vērtspapirizēšan E), with the actual degree of risk.
81. Unfunded credit protection in the case of vērtspapirizēšan positions risk weighted value is calculated by multiplying GA (protection amount, adjusted, taking into account the currency mismatch and maturity mismatch in accordance with the provisions of annex 3) the provider of protection risks and adding the result to the amount obtained by multiplying the sum of the vērtspapirizēšan position minus GA, with the actual degree of risk.
The supervisory formula method — partial protection for 82. If the credit risk mitigation in heading vērtspapirizēšan cover first-round losses or bear losses in proportion, the authority may apply to the 79-81.

83. In other cases, the institution considers the position of the vērtspapirizēšan of two or more positions, does not cover part of a position with a lower credit quality. To calculate the risk-weighted value of this position, the 66-70 of this annex paragraph, assuming that the occupational protection in case T is adjusted to e and unfunded protection to the case (T-g), which is E * e to the total notional value of basic portfolio, where it has adjusted the position of vērtspapirizēšan exposure amount to be calculated according to annex 3 of the rules conditions as they apply to the calculation of risk weighted in accordance with the provisions of paragraph 88-110 (SP) assuming that vērtspapirizēšan position of E and g is the nominal amount of credit protection (which is adjusted, taking into account the currency mismatch and maturity mismatch in accordance with the provisions of annex 3 terms) against the exposure amounts in vērtspapirizēt risk transactions. Unfunded credit protection in the case of the protection provider risks apply to the part of that heading it does not include the adjusted value of T.
Additional capital requirements for renewable vērtspapirizēšan of exposures with early amortisation provision in addition to the risk-weighted 84. value calculated in the institutions of authority positions, vērtspapirizēšan, initiator of the calculation of risk weighted value in accordance with the methodology set out in this annex in paragraphs 32 to 47 if it sells renewable vērtspapirizēšan of the exposures with early amortisation provisions.
85.84. Of this annex for the purpose of paragraph 87, paragraph 86, and replaced respectively 35. of this annex and paragraph 36.
86. The purpose of paragraph 84 ini ciator interest is the sum of: 53.5. exposure value, consisting of the amount used (drawn non) worth a notional portfolio of papirizēt, the proportion of which in relation to the total vērtspapirizēt ratio of the portfolio down to the cash flows generated by principal and interest receipts and other associated amounts which are not to be used for payments to holders of the position of the vērtspapirizēšan, plus the 86.2. risk transaction value from its portfolio of unused credit line parts used are vērtspapirizēt and which to not use this total is the same as described in paragraph 53.5 exposure values relative to the amount used in the vērtspapirizēt portfolio.
The sponsor's interest may be recognized even if it is not subordinated to the interests of investors.
Investor interest is the exposure value that stems from the amount used (drawn non) notional part of the pool that is not attributable to 86.1 points, plus the value of the exposures arising from its credit line amount of unused parts of the portfolio that the amounts used are vērtspapirizēt and not attributable to 86.2 points.
87. the institutions – the initiator exposures associated with its rights in respect of the interests in the part of ciator described 86.1, does not constitute the position of the vērtspapirizēšan, but the proportion of the exposure resulting from the exposure of the vērtspapirizēt (the amount), assuming that they would not be in the vērtspapirizēt, which is equal to 86.1 points. It is thought also that the authority – the originator is proportional to the exposure to credit unused amounts where the amount used is vērtspapirizēt, which is about equal to 86.2 points.
Risk weighted reduction 88. Vērtspapirizēšan position, which assigns 1 250 interest risk, the risk-weighted value may be reduced by the amount that is 12.5 times greater than any amount of value adjustment (value adjustment), made by the authority in respect of the exposures vērtspapirizēt. To the extent that value adjustments are taken into account for this purpose, they shall not be taken into account in the calculation of the purpose specified in the regulations in annex 6, part 1, paragraph 36 (deduction from capital).
89. Vērtspapirizēšan position risk weighted value may be reduced by the amount that is 12.5 times greater than any value adjustments, the amount that the institution has taken this position.
90. in accordance with the provisions of the paragraph relating to 348.6 vērtspapirizēšan positions, which assigns 1 250 interest risk, the authority may, as an alternative position for inclusion in their calculation of risk weighted deduction from equity exposures to this position.
91. The purpose of paragraph 90:91.1. position exposure value can be derived from the risk weighted exposure amounts taking into account any reduction in accordance with this annex and paragraph 88.89;
91.2. exposure value calculation may take account of the appropriate occupational protection in accordance with this annex 76-83 in the methodology;
91.3. If you use the supervisory formula method to calculate risk weighted and L < Kirbr and [L + T] > Kirbr, position can be considered as two positions from which the higher rounds is a position in which L is equal to Kirbr.
92. where the authority uses the option provided for in paragraph 90, the amount that is 12.5 times the amount that is deducted under this paragraph in paragraph 59 of this annex for the purpose of the report the amounts referred to in paragraph 59 as the maximum risk weighted value calculated in paragraph 59 below.
 
5. the annex to the financial and capital market Commission 02.05.2007. Regulation No 60 foreign countries, where the practice of monitoring and legislation are at least equivalent to EC Directive 2006/48/EC and 2006/49/EC, the requirements of the regulatory bodies is at least equivalent to the requirements of the EC Directive 2006/48/EC and 2006/49/EC in the following ārvalstīs1:1) United States, Valstīs2, 2) Australia, 3) Japan, 4) in Canada Swiss Confederation, 5).
1 other bodies regulatory requirements can be considered at least equivalent to EC Directive 2006/48/EC and 2006/49/EC requirements, after consulting the Commission. 
2 the United States has left the Basel Committee on banking supervision's new rules. They will be introduced, starting in 2009.
 
6. the annex to the financial and capital market Commission 02.05.2007. Regulation No. 60 to the internal ratings based approach to credit risk for calculating capital requirements Part 1. The risk weighted exposure value and the expected loss of about 1. Exposures the calculation of risk weighted exposure 1. Unless otherwise specified, the calculation of risk weighted formula parameters, the probability of default (SNV), the default loss (SNZ) and exposure time (T) shall be determined in accordance with the requirements of part 2 and the exposure value shall be determined in accordance with the requirements of part 3.
2. each exposure risk weighted value by 3-27 formulas.
1.1. Risk weighted value for exposures to corporates, institutions, central Governments and central banks 3. taking into account paragraphs 5-9, the risk weighted value for exposures to corporates, institutions, central Governments and central banks is calculated by the following formulae: the correlation (R) = 0.12 * (1 – EXP (– 50 SNV))/(1-EXP (-50)) + 0.24 [1 – (1 – EXP (– 50 SNV))/(1-EXP (-50))] (b) the time limit factor = (0.11852-0.05478 * ln (SNV)) 2 Risk (RP) = (N * [SNZ (1-R)-0.5 G (SNV) + (R/(1-R)) 0.5 G ( 0.999)]-SNV * SNZ) * (1-1.5 (b))-1 * (1 + (-2.5) * b) * 12.5 * 1.06 where: N (X) represents a standardized normally distributed random size of the cumulative distribution function (i.e., the probability that a normally distributed case size with the average value 0 and variance 1 is less than or equal to X);
G (Z) denotes the standard normally distributed random size of the inverse of the cumulative distribution function (i.e., pointer X so that N (X) = Z).
If = 0, RP is also the SNV 0 percent.
If 1, then:-SNV exposures that defaulted and SNZ which authorities determined in accordance with paragraph 44 of part 2, RP is 0 percent;
-exposures that defaulted and that same authority to certain levels of the RP is SNZ MAX {0, 12.5 (SNZ-PZL}, which is the Authority's own PZL PZ best estimate exposures that have defaulted, in accordance with this annex, part 4, paragraph 157 of the requirements.
The risk weighted exposure value (RSV) = RP * exposure value 4. any exposures that security complies with annex 3 paragraph 14 of part 1 and annex 3, part 2, paragraph 40, the risk weighted value can be adjusted as follows: exposure risk weighted value = RP * exposure value * (0.15 + 160 * SNVAD), which is the SNVAD protection sensor SNV.
In this case the RP is calculated using the formula in paragraph 3 by entering the following parameters:-SNV is a debtor of the SNV;
-SVZ is direct exposures to the protection set called the SNZ;
-the time limit factor (b) invoice by using the lower of the protection of the debtor's SNV and SNV.
5. The level of risk exposures to the companies included in the consolidation group, which has a total annual turnover of less than 50 million euros, the authority may use the following correlation: correlation (R) = 0.12 * (1 – EXP (– 50 SNV))/(1-EXP (-50)) + 0.24 [1 – (1 – EXP (– 50 SNV))/(1-EXP (-50))]-0.04 (1 – (A-5)/45),

where A is the total annual turnover of the consolidation group, expressed in millions of euro and A is greater than 5 million but less than 50 million euros. If the turnover is less than 5 million euros, it is deemed equal to 5 million. For purchased receivables total annual turnover is determined in proportion to the individual portfolio exposure weighted average value.
The body replaces the total annual turnover with the consolidation group total assets, total annual turnover, if not a significant indicator in relation to the size of the company, but total assets is the most important indicator than total annual turnover.
6. Specialised lending exposures that SNV discovery does not meet part 4 of this annex, the minimum requirements laid down in, the level of risk determined in accordance with table 1.
table 1. Specialised lending exposures risk residual maturity 1. Kate-Kate crews 2-3 crews. Kate-Kate-4 crews crews 5. Kate-the crews of fewer than 2.5 years 50% 70% 115% 250% 0% equal to or longer than the 2.5 years 70% 90% 115% 250% 0% * Basel II document stipulates the possible exposure of specialised lending distribution categories.
Assigning the level of risk of specialised lending exposures, the authority shall take into account the following factors: the company's financial stability, political and legal environment, transaction or asset properties, sponsor and developer, including any revenue stream from the public and private sector partner relations, the security package.
7. for purchased receivables, the company debts could use exposures to corporates applicable approach, they must meet the minimum requirements set out in part 4 of 182-186. If the customer-company purchased receivables shall also comply with this part, the provisions of paragraph 14 and the authority would be too cumbersome to apply under part 4 risk assessment the quantitative standards for exposures to corporates, it may the following customer-company debt used in paragraph 4 small exposure portfolios, risk assessment of the quantitative standards.
8. customer-company purchased debt repayable by purchase discounts (refundable purchase discounts), collateral or partial guarantees that provide first-round loss against first-round losses from defaults, the recoverable value of the reduction or loss of both types can be considered a first-round loss to position the IRB approach under the heading vērtspapirizēšan.
9. If the institution provides credit protection for a number of exposures, provided that transactions in these risk exposures of n-the default is the threshold that result in reaching the agreement on the protection of the credit given for payment and the loan agreement on stop event protection, such protection of the credit derivative instrument risk shall be determined as follows: 9.1 if the protection instrument is available ECAI rating, then the subject to protection exposures are applied in accordance with the provisions of title II of part 5 in a certain degree of risk;
9.2. If a protection instrument not available ECAI rating, the degree of risk exposure is defined as the cart basket included exposure, excluding n-1 exposures, the proportional amount of degrees of risk. Amending conservation risk weighted exposure value is calculated by multiplying risk-tier proportional to the total basket of exposures other than n-1 exposures, value amount. If the amended protection of risk exposures and the Holy value expected loss (PZ) amount multiplied by 12.5, is greater than the protection provided for the payment of the credit derivative multiplied by 12.5, then protected the basket of exposures to risk-weighted value is the last product of the result (the amount of the safeguard duty, multiplied by 12.5). Not be included in determining a total of n-1 exposures, based on the fact that each of these exposures risk weighted value is less than the risk-weighted value for any of the exposures included in the totals.
1.2. The small business portfolio risk exposure risk weighted value 10. Small exposure portfolios, risk weighted exposure value is calculated by the following formula, taking into account paragraphs 12 and 13: the correlation (R) = 0.03 * (1 – EXP (– 35 SNV))/(1-EXP (-35)) + 0.16 [1 – (1 – EXP (– 35 SNV))/(1-EXP (-35))], the degree of Risk (RP) = (SNZ N [(1-R)-0.5 G (SNV) + (R/(1-R)) 0.5 G (0.999)]-SNV * SNZ) 12.5 * 1.06 where: N (X) represents a standardized normally distributed case, the size of the cumulative distribution function (i.e., the probability that a normally distributed case size with the average value 0 and variance 1 is less than or equal to X);
G (Z) represents a standardized normally distributed case, the size of the inverse of the cumulative distribution function (i.e., a score of X such that N (X) = Z).
If the SNV = 1 (exposure occurred defaulted), the RP is Max {0, 12.5 (SNZ-PZL)}, which is the Authority's own PZL PZ best estimate exposures that have defaulted, which is carried out in accordance with part 4 of this annex, the provisions of paragraph 157.
The risk weighted exposure value (RSV) = RP * exposure value.
11. in accordance with the provisions of title II, Chapter 2 of the criteria of paragraph 123 small business portfolio risk exposure with risk-weighted value of the SMES can be adjusted in accordance with point 4 of this annex, if it complies with the provisions of the security annex 3 of part 1 of paragraph 14 and annex 3, part 2, paragraph 40.
12. The small business portfolio risk exposures secured by real estate collateral, the formula in paragraph 10 the correlation (R) is not calculated according to the formula, but is replaced by 0.15.13. Little exposure to qualified renewable portfolio exposures (qualifying revolving retail exposure) as defined in paragraph 13.1, 13.5, correlations (R) is excluded by paragraph 10 indicated in formulas, but is replaced by 0.04. Qualified renewable set of exposures constitute apakšportfel of the small exposures in the portfolio. Small business portfolio risk exposures may be considered a qualified renewable exposures if they meet the following conditions: 13.1. These are exposures to natural persons;
13.2. exposures are renewable, they are unsecured and the authority may forthwith and unconditionally withdraw, so far as they have not been used (in this context the renewable exposures may be considered such exposures where the customer balance may fluctuate, the customer shall at its discretion, make loans and pay off the authorities to the limit). Unused assigned loans may be considered unconditional round to be cancelled if the loan rules allow them to annul the authority, to the extent permitted by law in the area of consumer protection and related areas. The authority may not ensure such exposures, which are provided with an outstanding salary account. In this case, the balance of exposures that have settled with the remainder of the salary account is not taken into account in the SNZ estimates;
13.3. the maximum qualified renewable the amount of exposure to one natural person at apakšportfel is 100 000 euro or less;
13.4. the authority can demonstrate that this correlation formula provided in paragraph shall apply only in respect of losses which the sub-portfolios level of volatility is small compared with the loss of such apakšportfeļ the average level of volatility, especially under the SNV category of business;
13.5. the Commission agreed to the risk assessment of the authority, and the procedures under which qualified renewable exposures are included in the corresponding apakšportfel.
14. to put the receivables could include a small portfolio of exposures, they must comply with part 4 of 182-186 in the minimum requirements laid down and to the following conditions: 14.1. authority these receivables purchased from unrelated third parties and this purchase by institutions created by exposure to customers does not include any exposures that are directly or indirectly caused by the body itself;
14.2. the purchased receivables are due to an arm's length dealings between the debt corresponding to the seller and the customer. As such it cannot be considered one and the same commercial transactions within the resulting receivables as well as receivables between commercial companies that carry trade, settling on the following transactions between clearing requirements;
14.3. the institution that bought receivables, are entitled to all the income from purchased receivables or to this revenue share, corresponding to the purchased debt;
14.4. the purchased receivables portfolio is sufficiently diversified.

15. Small exposure portfolios purchased receivables, refundable purchase discounts (refundable purchase discounts), collateral or partial guarantees that provide first-round protection against losses from defaults, losses from the reduction of the recoverable value, or both types of losses may be considered to be a first-round loss to positions vertspapirizēšan position in the IRB approach.
16. mixed (hybrid) small exposure portfolios of the purchased accounts receivable in the case of apakšportfeļ, when the authority – the buyer can not be separated by real estate hedge exposures and qualify for renewable exposures included in the small business portfolio, the risk from other small business portfolio risk exposures, the small business portfolio risk applicable risk function, which provides the biggest capital requirements for mixed referred to purchased receivables sub-portfolios.
1.3. the risk-weighted equity value 17. Authority equity risk-weighted value calculation may apply such approaches: 17.1. simple risk-tier approach – in accordance with 19-21;
17.2. SNV/SNZ approach-under 22-24;
17.3. to the internal models approach, in accordance with paragraphs 25 and 26;
17.4. the institution may apply for various portfolios in different approaches if the institution itself for internal credit risk management using different approaches. If the institution uses different approaches, it demonstrates to the Commission that the choice is made consistently and is not determined by the application of the rules of the arbitration.
18. Notwithstanding the requirements of paragraph 17 of the possible equity risk weighted value can be calculated according to how it is calculated in other assets, which do not constitute authority against the debtor (see. 27.).  
1.3.1. Simple risk-tier approach 19. capital securities, which are not included in the trading book, risk weighted value is calculated by the following formula: Risk-weighted value = RP * exposure value: RP = 190 percent in the stock exchange sold equity securities (private equity exposure), whose portfolio is diversified enough (hereinafter referred to as BNT equity securities);
RP = 290 percent of exchange-traded equity securities (Exchange traded equity exposure) (hereinafter referred to as BT-equity securities);
RP = 370 percent all other equity securities.
20. payment of short positions and derivatives, which are not included in the trading book, the future of the base of the short positions in the assets and the long positions in those same individual securities can also be included if these tools specifically designed for a particular equity hedging, and they provide a hedge for at least another year. The rest of the short position is considered long positions and apply equity long positions the level of risk each applicable position in absolute value. The calculation of risk weighted short positions used in the absolute value. Position deadline for case discrepancy method for exposures to corporates.
21. the authority may recognise unfunded credit protection for equity securities in accordance with the rules set out in part 4.  
1.3.2. SNV/SNZ approach 22. Equity risk-weighted value calculated by the formula specified in paragraph 3. If the body is not sufficient information to apply the definition of default provided in the rules of part 4, 120-125, degrees of risk in these formulas apply factor 1.5.23. individual exposure level PZ amounts multiplied by 12.5 and risk-weighted value of the total may not exceed the exposure value multiplied by 12.5.24. the authority may recognise unfunded credit protection for equity securities in accordance with the provisions of part 4. Exposures to the Defense sensors, SNZ is 90 percent. BNT equity securities can use SNZ 65 percent. For this purpose, the term (T) shall be five years.  
1.3.3. based on internal models approach 25. Equity risk-weighted value of the authorities of the capital securities, PZ determined using internal value at risk (RPVS) models, if they are suitable for the one-sided 99. percentil (one-tailed) confidence interval for the difference between the income and the corresponding quarterly long-term random income expressed calculation date, using the risk-free rate, multiplied by 12.5. Risk weighted value the individual exposure level shall not be less than under the SNV/SVZ approach the calculated minimum risk weighted value and the corresponding amount multiplied by 12.5 PZ total, if this calculation SNV is determined in accordance with part 2 and SNZ 60.1 respectively in accordance with part 2 of 61 and 62 above..
26. the authority may recognise unfunded credit protection the equity position.
1.4. Other assets reported exposures that do not constitute a claim against the debtor institution, risk weighted value 27. Risk weighted value is calculated by the following formula: Risk-weighted value = 100% * exposure value of the exposure value of the exposure of the accounting value, excluding leasing exposures that are residual value. Following the exposure of risk weighted value is calculated by the formula: Risk-weighted value = 1/t * 100% * exposure value, where t is the number of years in the leasing contract.
2. Purchased the accounts receivable risk weighted in the calculation of the recoverable values of risk reduction 28. Recoverable impairment risk capital requirements for the company and a small portfolio of exposures purchased accounts receivable risk weighted value calculated by the formula specified in paragraph 3. Formula parameters SNV and SNZ determined in accordance with the requirements of part 2, the exposure value according to the requirements of part 3 and T is one year. If the authority can convince the Commission that the recoverable values of risk reduction is not significant, it may not be taken into account.
3. the calculation of expected losses of 29. Unless otherwise specified, in this part of the formula parameters SNV and SNZ determined in accordance with the requirements of part 2, the exposure value according to the requirements of part 3.
30. PZ about exposures to corporates, institutions, central Governments and central banks, and the small business portfolio risk exposures is calculated by the following formulae: PZ = * = SNZ PZ about SNV PZ * exposure value if the institution uses the same set of SNZ, the exposures that commitments not being met (SNV 1), PZ is that is PZL institutions PZ best estimate exposures where the commitments not being met, which are estimated in accordance with part 4 of this annex, the provisions of paragraph 157.
Exposures subject to this annex, point 4 of part 1 of the option laid down in the PZ is 0 percent.
31. The specialised lending exposures in which the Authority set out in point 6 risk-tier of the method for detection, PZ shall be determined in accordance with table 2.
table 2. Specialised lending exposures PZ residual maturity category 1 category 2 category 3 category 4 category 5 shorter than 2.5 years 0% 0.4% 2.8% 8% 50% longer than or equal to 2.5 years 0.4% 0.8% 2.8% 8% 50% 32. Equity Securities, which risk weighted value calculated in accordance with paragraphs 19-21 sets out the normal risk-step method, the amount of PNR is calculated by the following formula about PZ = PZ * exposure value PZ different capital securities is as follows: – PZ = 0.8 percent BNT equity securities;
-PZ = 0.8 percent BT equity securities;
-PZ = 2.4 percent all other equity securities.
33. capital securities, which risk weighted value calculated in accordance with point 22-24. the SNV/SNZ method, PZ the amount calculated by the following formula: amount = PZ PZ * exposure value = the SNZ 34. PZ SNV equity securities, which risk weighted value calculated in accordance with paragraphs 25 and 26 above based on internal models method, PZ is 0.35. Purchased the accounts receivable amount recoverable PZ impairment risk is calculated by the following formula about PZ = PZ * exposure value authority determines the PZ depending on the same ones listed in table 3 parameter values.
table 3. The conditions for the calculation PZ PZ SNV SNZ SNV institution the SNZ determines the SNV authority determines the SNZ authority SNZ SNV determines SNV 75% institution model and determine the PZ PZ 100% authority even in the model and determine the PZ authority determines SNV PZ/SNV institution model and determine the PZ PZ/SNZ authority determines SNZ 4. inclusion of expected loss calculation

36. PZ, calculated in accordance with 30, 31 and 35, subtract from the exposure of the stocks and other safe debt exposure value adjustment totals. Discount, determined in accordance with part 3 of this annex, paragraph 64, considered the value adjustment. Vērtspapirizēt exposure PZ and exposure-related accruals unsafe debt and exposure value adjustments shall not be included in the calculation of capital requirements. For the calculation referred to in the first sentence of the negative result reduces the second level of the equity in accordance with the provisions of the paragraph, but about 348.6 calculates the positive result can partially increase the institution's second level of equity capital in accordance with the provisions of paragraph 343.7.
Part 2. SNV, SNZ and 37. To determine the maturity of exposures and risk weighted amount of part 1 PZ calculations, the authority sets the parameters used in these calculations, SNV, SNZ, T – in accordance with the requirements of part 4, subject to the following provisions.
1. Exposures to corporates, institutions, central Governments and central banks 1.1. SNV 38. Exposure to a company or institution is at least 0.03 percent SNV.
39. If a customer-company purchased debts can be demonstrated to the authority that the its estimated SNV meets the minimum requirements of part 4, those exposures SNV is determined as follows: 39.1. purchased the customer-company shows the essential requirements (senior claims) SNV's institutions established, divided by the PZ receivable SNZ;
24.4. purchased the customer-company debt child requirements (subordinated claims) SNV is institutions provided PZ;
39.3. where the authority has received permission to use the same set of SNZ for exposures to corporates under same PNR for purchased receivables can be safely split SNV and SNZ, the authority may use the following allocation as a result of the SNV.
40. The debtor in default, SNV is 100 percent.
41. the SNV, the authority may take account of unfunded credit protection in accordance with the provisions of title II, Chapter 2, part 4.
42. the authority which has received permission to use the same set of SNZ, may take account of unfunded credit protection, adjust according to paragraph 46 of the SNV rules.
43. the recoverable values of risk for the determination of reduction for purchased receivables SNV-company debt is set to that institution's PZ. If the authority has received permission to use the same set of SNZ for exposures to corporates under same PNR for the customer-company purchased debt recoverable values of risk reduction can probably be split and SNZ, the SNV this authority can use this distribution as a result of the SNV. The authority may declare admissible the unfunded credit protection in accordance with the provisions of title II, Chapter 2, part 4.
1.2.44. SNZ institution uses the following values: SNZ 44.1. counterparty requirements (senior exposure) without acceptable (eligible) collateral-45 percent;
44.2. the underlying exposures (subordinated exposure) without acceptable security – 75 percent;
44.3. the covered bonds as defined in annex 2 of the provisions of part 1, point 12-12.5 percent;
27.6. purchased the customer-company the principal sum in respect of which the authority can demonstrate that they meet specified SNV part 4 minimum requirements laid down in the by-45 percent;
27.7. downstream customer-company purchased debt in respect of which the authority could not demonstrate that they meet specified SNV part 4 minimum requirements laid down in the 100 percent;
27.7. purchased the customer-company debts recoverable impairment risk – 75 percent;
27.8. the authority may for the purposes of determining SNZ take into account funded and unfunded credit protection in accordance with the provisions of title II, Chapter 2, part 4.
45. Notwithstanding the requirements of paragraph 44, if the institution authorised to establish themselves SNZ for exposures to corporates under same PNR for the customer-company purchased debts can be reasonably and safely distribute SNV and SNZ, the recoverable value of the reduction of risk and default risk, this authority may use the following allocation results in specific customer purchased SNZ-company debt.
46. Notwithstanding the requirements of paragraph 44, if the institution authorised to establish themselves SNZ for exposures to corporates, institutions, central Governments and central banks, the Commission, on receiving the permit, may recognise unfunded credit protection by adjusting specified SNV and/or SNZ under part 4 minimum requirements laid down in. The authority shall not grant loans exposures adjusted SNV and/or SNZ, if in accordance with the adjusted and/or estimated SNZ SNV risk is lower than for a comparable direct exposure to the protection of the employer.
47. Despite paragraph 44 and 46, use 1 part 4 adjustments comparable direct exposure to the protection of the sensor must be either SNZ SNZ which are definitely not provide protection against the risks of the guarantor's undertaking, or from the risks of debtor's unsecured liabilities, depending on the case, or both, both the employer and the protection of the debtor, will the default risk in the transaction to ensure during that evidence is available or the collateral framework implies that the recoverable value could be independent from the Defense's or the debtor's financial situation.
1.3. the Term 48. Repurchase transactions or securities or commodities lending or borrowing the term for 0.5 years and all other exposures, other than those referred to in paragraph 49, the term of 2.5 years.
49. The authority which has received permission to establish their own SNZ and/or adjustment of the degree of exposures to corporates, institutions, central Governments or central banks, each of these exposures calculated T as defined in paragraph 30.5.-30.8, given the 50-52. In all cases, the T does not exceed five years: 30.5. payments instruments consisted of cash flow within the expiry of the instrument before, T is calculated by the following formula: where: CFT's cash flows (principal, interest, fees, etc.), in accordance with the Treaty, the debtor will pay period t;
30.6. mutual Treaty clearing the roof of derivatives included in T is the exposure weighted average residual maturity and T are at least one year. Term-weighting is done in proportion to each exposure the notional value;
30.6. mutual Treaty clearing the roof completely or almost completely derivative instruments provided and fully or almost fully collateralised margin loans T is the exposure weighted average residual maturity and T is at least 10 days. Term-weighting is done in proportion to each exposure the notional value;
49. If the institution authorised to define themselves in relation to the customer purchased SNV-company debts, T is equal to the purchased accounts receivable average weighted maturity, but not less than 90 days. The same shall also apply T unused credit lines granted to the customer – a company purchase, if the credit agreement contains the effective contract conditions, premature wear of the mechanism or other elements that throughout the life of the credit to protect the body against future debts, buy the optional accounts receivable material quality. In the absence of effective protection, the credit line T is calculated as the amount generated from the longer potential receivable under receivables purchase agreement and the remainder of the contract term of the credit line, and T are at least 90 days;
30.8. any other exposures, other than those mentioned in this paragraph, or, if the authority is not able to calculate the T in accordance with the requirements of paragraph 30.5 T is the maximum time remaining (in years) that the debtor is given for settlement of contractual obligations in full, and this is at least one year;
30.8. If the Authority's exposure values used in determining rules of annex 1 part 6 describes the internal model method, such mutual clearing set longer exposure period exceeds the year exposure T is calculated by the following formula: where: dfk is the risk-free rate of discounting the future time period tk (other variables see annex 1 of the rules). Despite this, the authority that uses internal models for credit a unilateral adjustment of the amount of the determination (a one-sided credit valuation adjustment), you receive the permission of the Commission, you can use the modified duration of the loan, which in accordance with the internal model is estimated as T;
49.7. mutual off together, in which all transactions have an original maturity of less than a year, the period shall be determined using the requirements of paragraph 30.5 and taking account of the requirements of paragraph 50;
49.8. using of part 1 paragraph 4, formula, T is the actual term of the security, but not less than one year.

50. Apart from 30.7 30.6 30.5.,.,., and the requirements of paragraph 30.8 T is at least one day for the following transactions: 50.1. completely or almost completely to ensure the provisions referred to in paragraph 92 derivatives;
50.2. completely or almost completely secured margin loans;
50.3. repurchase transactions, securities or commodities lending or borrowing with the condition that 50.1-50.3. transactions referred to in paragraph 1 are provided and documented procedures manual for that provide daily transaction revaluation reserves and contributions, additions or reductions depending on the revaluation, and include instructions that allow you to make immediate liquidation of collateral (marketing) or security and requirements including, if the debtor goes bankrupt, or for some other reason defaults to replenish the security reserve.
51. the authority may derogate from paragraphs 49 and 50 of the requirements and identify exposures to corporates situated in the community, with the consolidation of the Group's turnover and the consolidation group assets of less than 500 million tons, as set out in paragraph 48.
52. The maturity mismatch in accordance with the provisions included in the calculation of section II of Chapter 2 of part 4.
2. The small business portfolio risk exposures 2.1. SNV 53. Exposure has SNV at least 0.03 percent.
54. The debtor's exposures for which already comply with the obligation, SNV is 100 percent.
55. The purchased accounts receivable recoverable values of risk reduction is determined with the same equal SNV authorities risk such established PZ. If the institution purchased receivables PZ recoverable values of risk reduction may be reasonable to split the SNV and SNZ, the following shall apply to the allocation of debt resulting from SNV.
56. Unfunded credit protection may be taken into account in adjusting the SNV in accordance with paragraph 58. If the authority does not use the same set of SNZ, the recoverable value of the risk reduction purposes unfunded credit protection complies with the provisions of title II, Chapter 2, part 4.
2.2. The SNZ 57. If the authority has received the approval of the Commission, it may, subject to the part 4 establishes minimum requirements, determine the SNZ. Purchased the accounts receivable recoverable impairment risk 75 percent SNZ use. If the body of certain own PZ for purchased receivables the impairment recovery risk can safely divide the SNV and SNZ, then it can use this distribution results fixed in the SNZ risk weighted calculations.
58. If the Commission so agrees, the individual exposures or portfolio exposures may take account of unfunded credit protection by adjusting the self-imposed SNV or SNZ under part 4 of the 173-181 points minimum requirements laid down in. The authority does not adjust the exposure or SNZ, SNV correction calculated if at the level of risk appears to be lower in comparison with direct exposure to the protection of the employer.
59. Despite paragraph 58, using the point 11 of part 1 of the corrections, a comparable direct exposure to the protection of the sensor must be either SNZ SNZ, applied against the risk of not-provided protection for claims against the employer, or SNZ which are not provided appropriate risk requirements against the debtor, depending on the case, or both, both the employer and the protection of the debtor, will the default risk in transactions protected against time is the evidence or the collateral framework implies that the recoverable value could be independent from the Defense's or the debtor's financial situation.
3. Equity Securities whose risk weighted value of the invoice in accordance with SNV/SNZ method 3.1. SNV 60. SNV determined in accordance with the exposures to corporates methods provided. The following minimum SNV: 0.09 percent to 60.1. BT equity securities if the investment is held for the long term;
60.2.0.09 percent capital worth BNT papers, if the return on investment is based on regular and recurring cash flows, that source is not the increase in the value of equity securities;
60.3.0.40 percent, BT equity securities including equity securities of such other short positions as set out in paragraph 20 of part 1, but the exception referred to in paragraph 60.1 capital securities;
60.4.1.25 percent all other equity securities, including other short positions as set out in paragraph 20 of part 1.
3.2. The SNZ 61. Equity Securities whose portfolio is diversified enough, SNZ 65 percent.
62. all other securities the SNZ 90 percent.
3.3. Period 63. All exposures shall apply (T) five years.
Part 3. Exposure value 1. Exposures to corporates, institutions, central Governments and central banks and small exposure 64 exposures in the portfolio. Unless otherwise specified, the BSI's exposure value is the carrying amount of such transactions before the reduction of stocks of debt and uncertain value adjustments. Value adjustments within the meaning of this paragraph apply to assets purchased at a price which differs from the amount of the debt. Purchased assets, the difference between the amount of the debt and the balance sheet of the authority posted net value taken into account in the calculation of this annex and equity in assessment as a discount, if debt amount is greater than the value of the acquisition, and as a bonus, if debt amount is less than the purchase price.
65. If the authority repurchase transactions and securities lending or borrowing the mutual transfer roof contract conditions, the exposure value shall be calculated in accordance with the provisions of title II, Chapter 2, part 4.
66. The loan and deposit balance sheet items value of exposures including mutual is carried out using the rules in title II, Chapter 2, part 4.
67. The leasing exposure value is the discounted minimum lease payment stream. Minimum leasing payments are in accordance with the leasing contract certain payments which are required or may be requested by the lessee, and options contained in the Treaty, i.e. the possibility, which is reasonably foreseeable. Any guarantee provided by the net book value, which corresponds to the provisions of part 1 of annex 3 of the 12-13 the requirements relating to donor recognition of protection for the application of minimum requirements, as well as other types of guarantee laid down in the rules of annex 3, part 2, 32-39, for recognition as appropriate, also are included in the minimum lease payments.
68. in paragraph 92 of the rules of derivatives exposure value is determined by using one of the methods set out in annex 1 of the rules.
69. The purchased receivables exposure value is the outstanding debt amounts before credit risk mitigation techniques, the use of which is reduced by the reduction of the recoverable value of the risk capital requirements.
70. If exposures are such securities or goods sold, transferred (carried over) other account or loan repo transactions, securities or commodities lending or loans, long-term settlement transactions or margin loans, risk in the transaction value of securities or commodities book value shown in the balance sheet of the institution. If the authority uses risk mitigation provisions in part 3 of annex 3 describes the financial pledge of the extended method, the exposure value shall be increased in accordance with the provisions of annex 3, part 3 of the relevant securities and commodity price volatility adjustment. Repo transactions, securities or commodities lending or borrowing transactions, margin loans or continued settlement transaction value can be used to either rule in annex 1 the following transactions methods or certain provisions in part 3 of annex 3 for 89-97 above credit risk mitigation techniques.
71. the requirements referred to in paragraph 70 of the exposure in the settlement with the central counterparty, assessed in accordance with provisions of annex 1, part 2, paragraph 33, of all of the counterparty exposures to such contracts determine the central counterparty will completely ensure each day.
72. this paragraph Further down the exposure value of the exposure of the kredītekvivalent, which is calculated by multiplying the contract (the deal), but still unused potential obligations with the corresponding adjustment level: 72.1. for credit lines to the extent that they have not yet been used, where the authority may unilaterally, without the culpably violate applicable and without the other party's prior notice to terminate or withdraw from it or they are automatically void the creditworthiness of the debtor by reason of deterioration apply a 0% interest rate adjustment, if the authority actively monitor the debtor's financial situation and its internal control system allows you to immediately reveal the debtor's credit quality deterioration. Unused credit lines that are included in a small portfolio of exposures may be considered as unconditionally cancellable if the terms in turn allow them to cancel the authority to the extent permitted by law in the area of consumer protection and related areas;

72.2. short-term credit, which provides shipment, apply a 20 percent correction level and authority – the Publisher and the affirmative authority;
72.3. granted, but not yet used for renewable credit line accounts receivable purchase agreement, which the authority may unilaterally, without the culpably violate applicable and without the other party's prior notice to terminate or withdraw from it or they are automatically void the creditworthiness of the debtor by reason of deterioration, apply a 0% interest rate adjustment, if the authority actively monitor the debtor's financial situation and its internal control system allows you to immediately reveal the debtor's credit quality deterioration;
72.4. other credit lines, the issuance of promissory notes system exposures (NIF) and renewable subscription system exposures (RUF) correction level of 75 percent;
72.5. body which meets the minimum of part 4 of the same adjustment use the degrees may receive authorization from the Commission, to use the same degree of correction established by various 72.1-72.4. referred to potential liabilities.
73. If a contingent liability to the customer refers to any of the other possible links extension or increase, then used the lower of the two individual potential obligations applicable degrees of adjustment.
74. all other exposures included in the off-balance-sheet items other than those referred to in paragraphs 64-73, the exposure value shall be determined in accordance with the provisions of title II, Chapter 2, part 2, paragraph 90 of the kredītekvivalent, as determined by the computed exposure values provided in paragraph 90 degrees of adjustment.
2. capital securities 75. exposures are presented in the financial statements the accounting value. Is equity exposures assessed the extent of the following: investment, 75.1. estimated fair value and value changes are reflected in the income statement and equity are included in the transaction value of risk is reflected in the balance sheet at fair value;
75.2. investments, measured at fair value and changes in value are not reflected in the profit and loss statement, but the item "revaluation reserves", the exposure value is reflected in the balance sheet at fair value;
75.3. investments, estimated the acquisition value or as the lowest of acquisition and market values, the exposure value is reflected in the balance sheet at acquisition or market value.
3. Other assets that do not generate credit against the Authority's exposure, 76. included in other assets and which does not constitute a claim against the debtor institution, the value is reported in the financial statements the accounting value.
Part 4. Minimum requirements for internal ratings-based approach to ratings system 77 1. Rating System covers all the techniques, processes, inspection, collection of data and information technology systems, based on which evaluates credit risk exposures the group risk categories or pools (rating for granted), and sets the associated external default and loss estimates for certain exposures.
78. If the institution uses multiple rating systems (multiple rating systems), justification, a ratings system will be applied to the debtor or transaction, documented and applied in a manner that properly reflects the inherent level of risk.
79. The rating of award criteria and processes are regularly reviewed to determine whether they still correspond to the portfolio and external conditions.
1.1. structure of the system of Rating of 80. If the authority uses risk parameter estimates for the direct, they can be considered for each category of exposure conditions for successive ranking in the rating scale.
1.1.1. Exposures to corporates, institutions, central Governments and central banks 81. Rating system takes into account the risk of the debtor and the transaction raksturojošo.
82. The rating system is created for the debtor the rating scale which reflects exclusively the debtor the risk of running a numeric expression. The debtor the rating scale provided at least seven categories of debtors who meet their obligations, and one for debtors who defaulted on its commitments.
83. the category of the debtor (obligor grade) is a risk rating system rating scale of the debtor where the debtor group based on specific and clear rating criteria, which are made to the SNV estimates. The authority shall document the relationship between the categories of their debtor default risk level means provided for each category, and the criteria used to distinguish the risk level.
84. the authority whose portfolios concentrated in a specific market segment and the risk of default in the range, create enough debtor categories in sais tional risk range, to avoid an unnecessary concentration of debtor in a specific category (grade). Significant concentration in any one category based on compelling empirical evidence that the debtor categories cover a sufficiently narrow SNV interval (band) and that all the grouped in this category should a debtor default risk falls within that interval.
85. The Commission to allow the body to use the same capital requirements set by the SNZ calculation, in the rating system includes separate transaction rating scale which reflects exclusively by SNZ business related raksturojošo.
86. the category of Transactions (facility grade) is a category of risk rating scale of transactions in which the Group exposures, based on specific and clear rating criteria that determine the SNZ estimates or estimates of the degree of correction. Category definition includes both how the exposures included in the category, and the criteria used to determine the level of risk for each category.
87. The relevant concentration of exposures to a single category of business based on solid empirical evidence that the class covers a sufficiently narrow interval, and that all the SNZ this category would mean the risk exposures include in that interval.
88. the authority, which uses a point 6 of part 1 of the method for determining the level of risk in specialised lending exposures are exempt from the requirements of the debtor the rating scale, which reflect only the debtor's risk of default numeric expression to these exposures. Notwithstanding the requirements of paragraph 83 in such cases, the authority for such exposures provide at least four categories of connection missing debtors and at least one category – which the debtor defaults.
1.1.2. Minimum exposure portfolio 89. Rating system reflects both risk and debtor transaction risk and cover all the relevant debtors and transactions raksturojošo.
90. the degree of Risk differentiation shall ensure that the number of exposures in a particular category or portfolio would be sufficient to clearly quantify and confirm raksturojošo performance losses or portfolio category level. The exposure and distribution of debtor categories or pools is made in such a way as to prevent excessive concentration.
91. the authority demonstrates that the process of allocating exposures to grades or pools, to provide for a reasonable risk difference and sufficiently homogeneous exposure group in one category and allows you to accurately and consistently estimate damage figures category raksturojošo or portfolio level. For purchased receivables the grouping represents the seller's credit granting practices and its customers.
92. the authority by splitting the exposures categories or pools, take into account the following risk indicators: raksturojošo 57.2. debtor's risk indicators raksturojošo;
transaction risk raksturojošo 92.2. indicators, including product and/or security. The authority shall clearly define the cases in which the same security applies to multiple exposures;
92.3. absences, unless the institution can demonstrate to the Commission that this exposure is not a significant risk for the absence of quantifiable factor.
1.2. requirements for group classes or portfolios are designed for 93. Authority the necessary definitions, processes and criteria for the exposures or categorize portfolios rating system. They comply with at least the following requirements: 93.1. category and portfolio definitions and criteria are certainly enough detail to authority employees who were asked to take the exposure rating, would debtors or business with similar risk consistently grouped in the same category or portfolio. The consistency of the observed activities, departments and geographical coverage;
rating of 93.2. documentation of the detection process allows third parties to understand the risks categorized, or pools, for partitioning and pools and to assess whether this division into categories or pools is appropriate;
93.3. these criteria also conform to the institution's internal lending standards and policies for distressed debtors and problematic types of transactions.

94. the organizing authority and the debtor business categories or pools, take into account all relevant information. Such information is up to date and allows the body to predict future exposures. Because less information is any authority because of the exposure it needs to take a more conservative grouping of debtor and business categories or pools. If any authority, setting the group by internal rating, as the first factor, use the external assessment, the authority shall ensure that account is taken of the rest of the information in question.
1.3. allocation of risk Rating deals 1.3.1. Exposures to corporates, institutions, central Governments and central banks 95. Credit procedure of each debtor means one of the categories of debtor.
96. the authority that is permitted to use its calculated levels or SNZ adjustment, the process of granting credit to each exposure also means business category.
97. the authority, which uses the point 6 of part 1 describes methods to determine the degree of risk of specialised lending exposures, each of these exposures in the appropriate category means in accordance to the provisions of paragraph 88.
98. any legal person, to which the institution has exposures is assessed individually. The authority demonstrates that the Commission has adequate policies to customers-debtors and related client groups.
99. The exposures to a single debtor means the same debtor categories, despite the differences between each individual transaction characteristics. Exceptions when the same debtor's individual exposures allows you to group several categories, are as follows: 99.1. Government transfer of risk, which depends on whether the exposure is carried out in local or foreign currency;
If with a 99.2. exposure-related guarantees can take debtors ' appointment as correction in the appropriate category;
99.3. If consumer protection, privacy security authorities or other legislation prohibit exchange of client data with any third parties.
1.3.2. A small portfolio of 100 exposures. the process of granting Credit every exposure means one of the categories or portfolios.
1.3.3. certain policy exceptions (Override) 101. Authority designation of categories and the pools documented determines the situations in which authorisation to derogate exceptionally from the rating designation based on the data or their processing results, but allows you to define ratings, based on a subjective assessment of the employee responsible. Such resignation approved for these purposes would mean employees. The authority shall be documented and resignation, employees who made it. The authority shall analyse the risks, which the rating designation made, by way of derogation from the procedure laid down for the rating designation, t.sk. without taking into account the entered data or results. This analysis covers the performance of actual exposure assessment, providing reports on all responsible parties that approved the resignation of rating assignment policy rule.
1.4. the Rating process integrity 1.4.1. Exposures to corporates, institutions, central Governments and central banks and the rating of 102. the periodic review of the allocation process is carried out or confirm such independent persons who derive no direct benefit from the decision on the provision of credit.
103. the authority at least once a year, review the ratings assigned. For debtors whose risk level judged as high, as well as the problematic exposures review carried out more frequently. If the body becomes available the relevant information for the debtor or exposure, it takes a new rating.
104. The institution has provided an effective process for obtaining the relevant information and updating on the debtor, which affects a transaction and SNV, which affect the degree of correction and SNZ.
1.4.2. The small business portfolio risk 105. the authority at least once a year, review the debtor and the appointment of categories of transactions and portfolios, or review the loss and absence status for each risk in the portfolio, if applicable. Authority at least once a year a representative sample of individual exposures, review the status of each of the portfolio to ensure that exposures are still means the right portfolio.
1.5. using the model 106. If the Authority's exposure designation of debtor or transaction or pools used statistical models and other automated methods, then: 106.1. the authority demonstrated to the Commission that, with the chosen model, impossible to get reliable forecasts and that its use is not distorted as a result of the capital requirements for credit risk. Enter the variables constitute a reasonable and effective basis for modeling resulting forecasts. Model performance is not possible manually to significantly influence;
106.2. the body is created in the model data, a comprehensive review process, which includes the data for accuracy, and conformity assessment;
106.3. Authority show that data used in the model is representative of the actual debtor institution or exposures;
106.4. the body there is a regular assessment cycle models, including models of performance and stability monitoring, model specifications, review and application of the model for comparison with actual results;
106.5. the authority added a statistical model with a subjective judgment and supervision of employees to review the rating based on the model and ensure the proper implementation of the model. A review procedure aimed at detecting and limiting errors associated with model weaknesses. Subjective judgment takes into account all relevant information has not been respected model. The authority to determine how the documentary combines subjective judgement and model results.
1.6. Rating system documentation 107. Institution documentary sets its rating system design and operation. The documentation certifying the compliance with this part, the minimum requirements laid down and to describe the issues, which include the conditions of differentiation of the portfolio, the rating criteria, the liability of persons who give ratings and assess the risk of the debtor deals, rating assignment review frequency and administrative oversight.
108. the authority to determine the rationale behind the documentary, and the methods of analysis, which is based on the rating criteria. The authority shall document all major changes to the risk rating process, and such documentation helps to identify the changes made to the risk rating process since the last review, carried out by the Commission. The Authority also documented ratings award, t.sk. same rating process and internal control system structure.
109. the institution shall document the specific internal use default and loss definition and certify their compliance with the rules.
110. If the authority granting the rating process uses statistical models, it shall document the methodology. These materials: 110.1. the details of the theory, or mathematical assumptions and empirical basis for the estimates for the appointment categories, individual debtors, exposures or pool and data source (sources) used in the model estimation;
110.2. the strict statistical process (including extraordinary and ārpusizlas activity checks) model for approval;
110.3. Specifies the circumstances in which the model does not work effectively.
111. If using a model derived from a third party, the seller, who lays claim to the technology, it is not recognized by the justification to release documentation from the model or from any other requirements for rating systems. The Authority's task is to convince the Commission of the model's compliance requirements.
1.7. Data Maintenance 112. The Authority shall collect and store the data for your own internal ratings to ensure the minimum necessary disclosure in accordance with the Commission on 2 May 2007 the rules No 61 "disclosure rules".
1.7.1. Exposures to corporates, institutions, central Governments and central banks 113. The Authority shall collect and store the following data: 113.1. full ratings history for the debtor and recognised guarantors;
113.2. dates on which you made the award rating;
base data and methodology of 113.3. used in the ratings;
113.4. person responsible for rating, identificējošo;
113.5. debtors and the exposures of the identificējošo the data for which the default occurs;
113.6. following default date and conditions;
113.7. data on SNV and realised default interest in connection with the rating categories and ratings migration between categories;
113.8. the authority, which does not use the same adjustment in certain grades, SNZ, or collect and store the data for comparison between realized and SNZ SNZ laid down in part 2, paragraph 44, and correction of grades between realized and degrees of adjustment set out in part 3 of paragraph 72.

114. the authority, which uses the same set of adjustments, SNZ, or collect and store the following data: 114.1. complete data history for business ratings, and correction of grades SNZ sais with each external rating scale;
114.2. the dates on which you made the ratings and estimates;
base data and methodology of 114.3. used for business rankings, and correction of grades, SNZ estimates;
114.4. information about the person that has granted the counterparty rating and the person who made the grade and adjustment of the SNZ estimates;
114.5. data on the same set and actual SNZ and correction steps in connection with each exposure, which occurred by default;
114.6. data on the exposure before and after SNZ guarantee or credit derivative impact assessment, if the authority reflects the guarantees or credit derivatives credit risk mitigation effect SNZ aples;
114.7. data on the exposure of each such loss components, having been in default.
1.7.2. The small business portfolio risk 115. The Authority shall collect and store the following data: 115.1. data used in the process by which exposures are classified into grades or pools;
115.2. data on the same set of SNV, SNZ and adjustment notches in relation to exposure classes or portfolios;
115.3. information about the debtor and the identity of the exposures, to which also belong to the default;
115.4. in respect of risk transactions in which the default occurred, the data for the categories or portfolios that were grouped risks during the year before the default, and on actual results, and adjustments for SNZ grades;
115.5. data on small exposure portfolios to qualified renewable loss exposures.
1.8. Stress test for the determination of capital adequacy 116. are established and the authority are applied adequately stress testing process used to assess its capital adequacy. Stress testing involves a possible event or the anticipated economic conditions led to the identification of which could adversely affect the credit of the authority and subject to an assessment with regard to the Authority's ability to overcome such changes.
117. the Authority regularly conducts credit risk stress tests to assess the condition of some of the special effects for its credit risk capital requirements. The choice of tests, it is important, reasonable conservative, and shall take into account the scenario at least moderate the impact of the recession. Authority stress test scenario evaluated under their own ratings migration. Portfolios, which conducted stress test, contains most of the Authority's exposure.
118. the authority, which uses the paragraph 4 of part 1 of the corrections risk weighted calculations, designing your stress system, also take into consideration the protection of the employer's credit quality deterioration effects, especially the impact of the protection of donors who do not meet the eligibility criteria.
2. the Risk determination risk 119. setting parameters that sais clouded by rating categories or portfolios, the authority is subject to the following requirements.
2.1. definition of default 120. takes the view that the debtor's failure to fulfil its commitments has been made, if any of this has happened in two events, or both: 120.1. authority is of the opinion that the debtor might not be able to fully pay its debt to the institution, its parent company, subsidiary, or parent company subsidiary if the authority does not take measures, such as security (if one exists);
120.2. the debtor is more than a 90-day delay for any major credit against the authority, its parent companies, subsidiary companies or subsidiaries of the parent companies.
121. Credit absence days shall be determined as follows: 121.1. day of overdraft loans (for overdraft) will begin as soon as the debtor is either violating notified (advised) limit (the limit for which the debtor is notified, by contract or in any other way), or notify his limit, which is less than the outstanding balance of the debt, or he has taken out loans without approval and overdraft credit is essential;
121.2. credit card credit absence begins on the date when you need to make a minimum payment, pay off the debt (on the minimum payment), but it is not made;
121.3. other credit absence days begins the day after their principal, interest or other obligations of the contractual repayment date, if the risks are substantial.
122. A small portfolio of exposures may apply this definition of default transactions (facility) rating level.
123. Concerning the alleged failure to pay the debt show the following indicators: 123.1. the body stops to accrue income debt and granted debt income non-performing debt status;
123.2. the authority shall carry out the revaluation of debt because there is a significant deterioration in credit quality;
123.3. the authority sells debt with significant economic loss;
123.4. Authority agrees debt restructuring problems presented to the debtor, if the debtor could be achieved the reduction in financial obligations arising out of the relevant parts of the principal, interest or (where appropriate) refund the service fee (forgivnes) or suspension of payment. Equity exposure, estimated using SNV/SNZ approach, in the case of capital restructuring of the issuer;
the authority has requested the 123.5. declare the debtor bankrupt or made a similar request in relation to the debts of the debtor institution, its parent company, subsidiary, or parent company of subsidiary companies;
123.6. the debtor has requested to declare its insolvency or bankruptcy or laid like a protection measure, the result of which may not be repaid debt authority, its parent company, subsidiary, or parent company or a subsidiary of the refund can be delayed.
124. the authority that uses external data, which do not correspond to the definition of default, demonstrated to the Commission that the appropriate adjustments have been made to ensure that the correct external data essential respects meet the definition of default.
125. If the authority is of the opinion that the risk of the transaction, having in the past been defaulted, no longer applies, none of the default definition, the authority awarded the rating of the debtor or transaction as though it would not be the default case. If the later will be triggered in the default definition, the application shall be deemed to have occurred with the previous non-defaulted.
2.2. General requirements on authorities estimated 126. estimates in respect of risk parameters-SNV, SNZ, the degree of correction and PZ-containing all relevant data, information and methods. Making estimates, uses both historical experience and empirical evidence, and they are not based purely on judgemental assumptions (judgement). Estimates are reliable and reasonable, and based on the relevant determination of parameters of risk factors. Because less data is a credit institution, as it takes more conservative estimates.
127. the authority the ability to allocate their losses in historical factors that it considers relevant to the determination of the parameters of risk factors. Body proves that its estimates are representative of the prolonged period of time.
128. Takes into account any loan recovery practices or process changes, 143, 148.159., 163.170.172, and the observation in paragraph periods. Authorities estimate reflects the technical achievements, new data and other information when it becomes available. Their estimates authority report when new information is found, but not less frequently than once a year.
129. exposures that used estimates data used to set lending standards used in data mining, and other relevant indicators are comparable with those of the authorities risk exposures and standards. The Authority also establishes that the data are based on the economic or market conditions, corresponding to the existing or anticipated conditions. The data sample is sufficient number of exposures, and the period of time used for the determination is sufficient for the authority to be sure of its accuracy and reliability of the estimates.
130. for purchased receivables estimates reflect all relevant information available to the purchaser of the institution purchased receivables quality, including data on similar shows in the samples provided by the seller or other external sources. Authority – assess the buyer the seller's compliance with the data requirements of the authority.
131. the authority shall make estimates with a safety margin (margin of conservatism), the size of which determines the estimated error of the estimated range. If the methods and data are not sufficiently satisfactory and error estimates the expected range is large, the safety margin is too large.
132. If the authority to calculate the level of risk and internally use different estimates, determined by the documentary and the merits demonstrated to the Commission.

133. If the institution can demonstrate to the Commission that the data collected prior to the implementation of these provisions, the necessary adjustments have been made to ensure that they comply with the General aspects of default or loss of definition, the Commission may authorise the authority some flexibility in the application of data standards required.
134. If the institution uses data that is collected together with the other institutions, it proves that its rating of 134.1.: systems and the criteria are similar to those that are common to the institutions that collect data on debtors;
134.2. joint data collected is representative of the portfolio for which they are used;
134.3. the authority all the time consistently use common data, the latest estimates.
135. where the authority uses a group of data collected, it is still responsible for its rating system integrity. Authority demonstrated to the Commission that it itself well enough to understand its own rating system, including the ability to effectively monitor and check the ratings process.
2.2.1. Special requirements for SNV estimated exposures to corporates, institutions, central Governments and central banks 136. Authority estimates the debtor categories of SNV in view of a long period of time, averages about default level for a period of one year (long run average of one-year default rate).
137. for purchased receivables, company receivable authority may estimate the SNV debtor categories based on a long period of time, the displayed on the realized average default levels within one year.
138. If the Authority during a period of SNV and SNZ estimates average purchased customer-company debts derived from PZ estimates and corresponding SNV or SNZ estimates the total loss discovery process of this part specified in the General and SNZ estimates standards SNV and the result corresponds to that provided for in paragraph 150 SNZ concept.
139. the authority shall use the methods only estimates SNV with analysis that provides confirmation of the compliance of the methods the requirements of this annex. The authority recognizes the subjective rating the importance of combining different methods of results and making adjustments in relation to methods and information.
140. as far as the body uses internal data collected on default, the long period of time, to quantify the SNV, so their analysis shows that the estimates reflect the supply of credit and other business standards (underwriting standards) and any differences in the rating system, from which the data are derived and the current ratings system. If you have changed the service credit and other business standard or rating system, the Authority estimates with greater SNV safety margin.
141. as far as the authority link or coordinate their internal rating grades of the scale used by ECAI or similar organisations, and the ECAI category default level to apply to the institutions categories, such coordination based on the benchmarking of internal rating criteria with the criteria used by the external organization and on the internal and external ratings comparison for all common debtors. Bias and inconsistency of approach or basic harmonisation is not allowed. ECAI criteria that is based on the data used in the ratings, is focused exclusively on the risks of default and do not reflect transaction characteristics. Analysis of the Authority include the used definitions of default comparison, given the 120-125 points. The authority shall determine the rating of the documentary and the corresponding criteria matching basis.
142. as far as the body uses statistical default prediction models, it may be estimated as SNV individual debtor default probability mean in a certain category. For this purpose, the authority shall use the default probability models according to paragraph 106 of the standards.
143. Regardless of whether the authority uses the external, internal, or common data sources or a combination of all three types, SNV estimates based on the historical observation period of at least one source, not less than five years. If the available observation period for any source, includes longer and these data refer to the question under consideration, use the longer period. This paragraph shall also apply to the SNV/SNZ capital during the approach. The authority does not have permission to use the same estimated and adjustments, SNZ introducing IRB approach to capital requirements for credit risk, may be reduced according to the period of observation for data of up to two years. This gradual increase in the length of about one year, while it is less than five years.
Small exposures in the portfolio. the Authority estimated 144 SNV debtor categories or pools, taking a long period of time, averages on the default level for one year.
145. Notwithstanding the requirements of paragraph 144 SNV estimates can also be calculated from the actual damages and corresponding SNZ estimates.
146. the Authority considers the internal data exposures to grades or pools designation as the primary source of information for estimating loss. The determination of the authorities may use external data (including jointly with other authorities collected data) or statistical models, if you have created a strong link between process, which it groups the exposures categories or pools, and the process used in the external data source, as well as between the internal risk profile and the composition of the external data. Purchased small exposure portfolios, accounts receivable authority may use external and internal reference data. In this case, the relative authority shall use all relevant data sources.
147. If the institution made long term average SNV and SNZ estimates small portfolio of exposures is obtained from the total loss estimates and the relevant SNV or SNZ estimates the total loss discovery process must conform to this part of SNV and the general standards and outcome estimates SNZ must comply with paragraph 150 SNZ concept.
148. Regardless of whether the institution uses external, internal or with other institutions on joint data sources or a combination of all three types, its loss estimates based on the historical observation period of at least one source, not less than five years. If the available observation period for any source, include a longer period and these data refer to the question under consideration, use the longer period. The authority is not required to give equal importance to historic data if it can convince the Commission that with the most recent data may better predict the level of injury. Authority, introducing IRB approach to capital requirements for credit risk, may be reduced according to the period of observation for data of up to two years. This gradual increase in the length of about one year, while it is less than five years.
149. the authority identifies and analyzes the whole exposure time expected risk parameters (seasonal changes).
2.2.2. Specific requirements for the estimated 150 SNZ. Authority estimated SNZ classes or portfolios, based on the average realised categories of transactions or portfolio SNZ using all defaults, observed on the data sources (default weighted average).
151. the authority uses the SNZ estimates that take into account the possible economic downturn if they are more conservative than the long term average. In so far as it is expected that the rating of the system all the time will show a continued realised SNZ each category or Briefcase, the authority shall carry out the adjustment in their category or the portfolio risk parameter estimates to limit the economic downturn also had an impact on the capital.
152. the authority shall take into account the level of dependency between the debtor's risk and collateral or guarantor risk. In cases where the degree of dependency is high, do the conservative.
153. If the debt and collateral is denominated in different currencies, the authority shall, in determining the SNZ conservative.
154. If SNZ estimates take into account the existence of collateral, however, these estimates are not only based on the expected market price of the security. SNZ estimates take into account the impact that can be, if the authority could not express, to get control of its security and realize.
155. According to the extent to which the authority, determining the SNZ, account security, establish internal requirements for collateral management, legal and risk management support to the General directions correspond to the rules laid down in annex 3 minimum requirements for collateral.
156. The extent and manner in which the authority admits security by determining the exposure value of the counterparty risk capital requirements calculated in accordance with the provisions of annex 1, part 5 and 6, any part of the transaction value at risk, which are intended to be covered by collateral, is not taken into account in determining the SNZ.
157. With regard to specific cases in which exposures have already defaulted, the authority uses its best estimate of each PZ exposure in certain economic circumstances and exposure status and possible additional unexpected losses during total security.

158. as far as the outstanding delayed payment fees are capitalized on the Authority's profit and loss statement, its value increases the risk of the transaction value and the size of the loss.
Exposures to corporates, institutions, central Governments and central banks 159. SNZ estimates based on at least five years of data, increasing the period after the introduction each year until it reaches seven years at least one data source. If the available observation period for any source, include a longer period and these data refer to the question under consideration, use the longer period.
Small portfolio exposures 160. Notwithstanding the requirements of paragraph 150 SNZ estimates can be made on the basis of the realised losses and appropriate estimates SNV.
161. Notwithstanding the requirements of paragraph 166 authority can reflect about the future by the customer will use the current possible relationship, either your adjustments in grade or their SNZ estimates.
162. To quantify the SNZ purchased small exposure portfolios of receivables, the authority may use external and internal reference data.
163. SNZ estimates based on data for at least five years. Notwithstanding the requirements of paragraph 150 authority does not give equal importance to historic data if it can convince the Commission that with the most recent data may better predict the level of injury. Authority, introducing IRB approach to capital requirements for credit risk, may be reduced according to the period of observation for data of up to two years. This gradual increase in the length of about one year, while it is less than five years.
2.2.3. Special requirements concerning the same adjustment step carried an estimated 164. Authority estimated business category or portfolio adjustments, based on the categories of transactions or portfolio average actual degrees of adjustment using all defaults, observed on the data sources (default weighted average).
165. the authority uses degrees of correction estimates that take into account the possible economic downturn if they are more conservative than the long term average. In so far as it is expected that the rating system at all times will provide permanent correction of actual grades for each class or Briefcase, the authority makes the adjustments to their estimates of risk parameters for each category of transactions or portfolio, to limit the effects of the economic downturn on capital.
166. the institutions correction stage estimates reflects the possibility of the debtor to remove the additional amount until the effect of the event of default, and later. Estimates of degrees of adjustment to a large safety margin (margin of conservatism), if it can reasonably predict that between the default frequency and the rate of adjustment will be a strong positive correlation.
167. Starting the adjustment estimates, degrees of authority respect their specific policies and strategies adopted in relation to the supervision of accounts and make payments. The authority shall also take into account their ability and willingness to prevent further lending conditions that are close to default, as, for example, breach of contract or other technical default events.
168. The institution has adequate systems and procedures to monitor the possible extent of credit used, and the amount outstanding of the assigned credit line and each debtor and each of the debtor and/or business category of the outstanding amounts. The authority is able to monitor the amount of the balance outstanding each day.
169. If the Authority's exposure risk weighted value calculation and internally uses different degrees of adjustment to the estimates it determines the documentary and the merits demonstrated to the Commission.
Exposures to corporates, institutions, central Governments and central banks 170. adjustments based on estimated rates of at least five years of data, increasing the period of each year after the introduction of the IRB approach for one year, until it reaches seven years at least one data source. If the available observation period for any source, include a longer period and these data refer to the question under consideration, use the longer period.
Small business portfolio risk 171. Notwithstanding the requirements of paragraph 166 authority can reflect about what future customers will use the currently possible links, either in their degrees of correction, or SNZ estimates.
172. The adjustment power estimates based on data for at least five years. Notwithstanding the requirements of paragraph 164 authority does not give equal importance to historic data if it can convince the Commission that with the most recent data may better predict the use of credits. Authority, introducing IRB approach to capital requirements for credit risk, may be reduced according to the period of observation for data of up to two years. This gradual increase in the length of about one year, while it is less than five years.
2.2.4. Minimum guarantees and credit derivatives for the impact assessment exposures to corporates, institutions, central Governments and central banks, if the institution uses its own estimates, SNZ and small pool of exposures exposures 173. requirements set out in paragraph 174-181, does not apply to the authorities, the Central Government and the central bank issued guarantees, if the authority is authorised to apply SP credit risk for calculating capital requirements for exposures to such counterparties. In this case, apply the requirements laid down in section II of the provisions of Chapter 2 of part 4.
174.175-181. the requirements of point small business portfolio risk exposure guarantees apply also to the exposure categories of designation or pools and the SNV estimates.
Eligible guarantors and sureties 175. The institution has a clearly defined criteria for those guarantors, it takes into account the risk weighted value calculation.
176. Suitable guarantors are bound by the same rules, 93-105. point out in relation to the debtor.
177. The guarantee shall be made in writing, it is irrevocable from the guarantor, it is valid until the commitment to full disclosure (and the amount of the guarantee terms), and can be legally against the guarantor in the jurisdiction in which the guarantor is in active, against which you can draw. Guarantee, which provides for the conditions in which the guarantor may not be execution (conditional guarantees) may be recognised as eligible with the agreement of the Commission. In this case, the authority demonstrates that the rating criteria for granting adequate account of any risk mitigation potential weakening effect.
Adjustment criteria 178. The institution has a clearly defined criteria for custom categories, portfolios or SNZ estimates the impact of the guarantee, the calculation of risk weighted exposure value. The small pool of exposures and purchased receivables applied in the case of the authority are clearly defined criteria to customize the process by which exposures to grades or pools for the distribution, the impact of the guarantee. These criteria correspond to 93-105 points the minimum requirements laid down in.
179. the criteria are reliable and reasonable. They shall take into account the ability and willingness of the guarantor to meet its obligations under the guarantee, the likely timetable, after which guarantor will pay, the degree of correlation between the guarantor's ability to carry out obligations and guarantee the debtor's ability to repay the loan and the extent to which the debtor retained the remaining risk.
Credit derivatives 180. This part of the minimum requirements laid down in the guarantee also applies to ordinary (single-name) credit derivatives. Regarding the mismatch between the base and the debt of the credit derivative referencing debt or debt that is used to determine whether a credit event has occurred, the provisions of annex 3, part 2, paragraph 39. Small business portfolio risk and apply the purchased accounts receivable in case this section applies to the exposures are categorized, or portfolios.
181. the criteria of the credit derivative provides payment structure and careful evaluation of the impact it has on debt recovery level and schedule. The authority shall also take into account the extent to which other types remain the remaining risks.
2.2.5. Minimum requirements for purchased receivables the legal validity of the transaction structure in all 182. conditions intended to ensure authorities actual ownership of and control over all customer payments. If the debtor makes payments directly to the seller of the goods or services, or the company, servicing the debts periodically to make sure the payments are made in full and within the time limits laid down in the Treaty. The debts of the operating company is the company that manages day-to-day the purchased receivables portfolio and other exposures. The institution has procedures to ensure that ownership of receivables and payments receivable are protected against delays in connection with the bankruptcy or judicial challenge, which could significantly delay the lender's ability to dispose of or transfer to a third party receivables or retain control over payments.
The effectiveness of the system of surveillance authority monitors both 183. purchased receivables quality, both the seller and the debt service on the financial situation of the company. In particular:

183.1. the authority shall assess the correlation between the quality of the purchased receivables and debts both the seller and the company operating the financial situation and it has internal policies and procedures that provide for sufficient protection against any unexpected situations, including the determination of the internal rating for each salesperson and the operating company for each debt;
183.2. the institution has clear and effective policies and procedures to identify the seller and the company servicing the debts. The authority or its representative shall conduct regular checks on vendors and debt service company to verify the vendor or service company debt reporting accuracy, detect fraud or operational failures and verify the vendor's lending policy and debt serving commercial debt collection policies and procedures. These inspections revealed facts documented;
183.3. the authority shall assess the qualities inherent in purchased debt portfolios, including excess advances, historical data on late debts of the seller, lost debt and unsecured debt savings, payment terms and conditions and the potential balancing accounts;
the authority is effective 183.4. policy and procedures to monitor the individual in aggregate customer focus either purchased the accounts receivable portfolio, or between them;
183.5. authority is satisfied that the debt service company receives timely and sufficiently detailed reports on the receivable duration and delay recovery of impairment, in order to ensure compliance with the criteria laid down by the authorities and the advance issue of the policy governing the customer put the debts. The Authority also provides effective tools with which to monitor and observe the display of the seller's terms of sale and the recoverable value.
Operating system efficiency have been developed for 184. the body systems and procedures in order to detect at an early stage the seller's financial condition and purchased receivables quality and actively respond to the problems encountered. In particular, the authority shall develop clear and effective policies, procedures and information systems to monitor the agreement, and a clear and effective policy to propose to start proceedings and handle the problem purchased receivables.
The effectiveness of the system that controls the availability of collateral, credit and money. The institution has developed 185 clear and effective policies and procedures governing purchased receivables, credit and cash control. Written internal policies determining all the purchased receivables the essential elements of the programme, including the advance level, suitable, necessary documentation, concentration limits and how to handle incoming funds. Those elements are properly taken into account all the relevant factors, including the service of the seller and the debts commercial financial condition, risk concentration, purchased receivables quality trends, seller's customers, and internal systems to provide payments in advance takes place only against certain security and documentation.
Compliance with the institution's internal policies and procedures 186. the authority shall ensure effective internal process to assess compliance with all internal policies and procedures. The process includes authorities purchased the accounts receivable program in all critical phases of regular checks, verification of the allocation of tasks between the vendor and the debt service for the evaluation of the debtor's company and the staff involved in the assessment and, secondly, between the seller and the debt service for the evaluation of the company and the seller and debt service on-site inspections of companies (the field audit) the staff involved, as well as accounting (back office) evaluation of activities, particular attention being paid to staff qualifications , experience, number of employees, and automated systems.
3. approval of internal estimates 187. the body is a stable system to approve the ratings system, process and all relevant risk parameter estimates, the precision and consistency. Authority demonstrated to the Commission that the internal approval process enables consistent and reasonable assessment of the internal rating and risk parameter estimates system.
188. the Authority regularly compare the actual default rate with each category estimated SNV, and if the actual default rates do not include this category in the interval, the authority provided for in particular analyse the reasons for the deviation. The authority, which uses its own estimated SNZ or adjustment, take the analogy of the analysis for these estimates. The following comparisons using historical data that cover a longer period of time. The authority shall document the methods and data used for this comparison. This analysis and the documentation reviewed and adjusted at least once a year.
189. the Authority also uses a quantitative assessment and approval methods and comparison with relevant external data sources. The analysis is based on data pertaining to the portfolio, and are regularly reviewed and adjusted and covers the period of observation. The internal assessment of the authority in relation to the functioning of the rating system is based on a possible period of time.
190. the methods and data used for quantitative validation of consistent all the time. Estimate and approval methods and changes to the data (for both the data sources and the period covered).
191. The institution has a sound internal standards for situations in which the SNV, SNZ, adjustment and total loss of power when using the PZ estimates, deviations from the expected pointer becomes significant enough to call into question the validity of the estimates. These standards take account of business cycles and similar systematic variability in default experience. If the value is still higher than the expected values, the Authority reviews the estimates, raising it to reflect default and loss experience.
4. Equity to risk weighted value calculation based on internal models approach 4.1. Capital requirements and risk determination 192. Calculation of capital requirements, the authority shall comply with the following standards: 192.1. estimates of possible losses is resistant to negative market trends that relate to the specific authority for a long-term portfolio risk profile. The data used for the allocation of revenue reflects the longest random period for which data are available, and they reasonably reflect the institution's specific equity risk profile. The data used are sufficient to provide conservative, statistically reliable and stable loss estimates, not only based on subjective judgment. The authority demonstrates that the Commission applied the shock calculation provides the potential loss estimates for the relevant long-term care market or business cycle. The authority combines empirical analysis of available data with adjustments based on a variety of factors to achieve the model results that are sufficiently realistic and conservative. Creating RPVS models, laying down possible quarterly loss, the authority may use quarterly data or extrapolate a shorter period of time data quarterly equivalent using the analytical method applied in the message, based on empirical experience, with well thought out and designed process and analysis. This approach applies all the time a conservative and consistent. If you have only limited relevant data, the authority shall apply the appropriate safety margins;
192.2. used models could adequately cover all significant risks that contains revenue from equity securities, including equity securities portfolio of the authority of the General and specific risks. Internal model adequately explain the price changes over time, the potential concentration spans both size and its composition changes and is stable in relation to the negative market trends. Risk parameters that are included in the data used for estimates, agreed or at least comparable with the data for the institution's equity securities;
192.3. the internal model shall be appropriate to the institution's capital portfolio risk profile and complexity. If an institution has significant portfolios whose value changes is highly non-linear, then the internal models designed to properly cover the following risks in securities;
192.4. coordination with the individual position of the intermediary positions, market indices and risk factors are reliable, reasonable and conceptually sound;
192.5. the authority with the empirical analysis demonstrates the suitability of risk factors, including their ability to cover both General and specific risk;
192.6. equity earnings volatility estimates shall include appropriate and available data, information, and techniques. Use independently reviewed internal data or external source data (including with other institutions in joint data);
192.7. There is a strong and comprehensive stress-testing program.
4.2. Risk management process and controls

193. the calculation of the capital requirements for the development of internal models and use the Authority develop and implement policies, procedures, and controls to ensure that the model and the modeling process integrity. These policies, procedures and controls include: 193.1. internal model full integration in all the institutions management information systems and institutions of the equity securities portfolio portfolio management. Internal models are fully integrated risk management infrastructure in particular, the following objectives: equity portfolio performance and evaluation (including revaluation based on the size of the risks), economic capital allocation capital securities and the total capital and investment management process;
193.2. management system, procedures and control function to ensure that all internal modelling process periodic and independent reviews, including the review of the results of the validation of models, models of input checking and review the results of the model, such as the risk of direct calculation. These reviews assess the model input and result accuracy, completeness and appropriateness, and focused both on the possible error detection and containment associated with known disabilities and still unknown model weaknesses identified. Such a review can take independent department or independent external third party;
193.3. adequate systems and procedures to monitor the investment limits and equity exposures;
193.4. Department responsible for the development and application of the model is not functionally independent of the departments responsible for individual investment management;
193.5. those responsible for any modeling process has the appropriate qualifications. Management designates modeling needs enough skilled and competent personnel.
4.3. approval and documentation 194. Institution creates a stable system to validate their internal model and the accuracy of the modeling process and consistency. All of the internal models and modelling processes essential elements and the approval process is documented.
195. the authority will use internal approval processes for consistent and reasonable to evaluate their internal models and process the transaction.
196. the methods and data used for quantitative validation of all time consistently. Estimates and validation methods and changes to the data (for both data sources and periods covered).
197. the Authority regularly compare actual equity returns (computed using realised and unrealised income and losses) to modelētaj forecasts. The following comparisons using historical data that cover a longer period of time. The authority shall be documented methods and data used for this comparison. This analysis and the documentation reviewed and adjusted at least once a year.
198. the Authority also uses other quantitative validation techniques and comparison with relevant external data sources. The analysis is based on data pertaining to the portfolio and which are regularly reviewed and updated. This data shall cover the period of observation. The internal assessment of the authority in relation to the performance of models based on the possible time period.
199. The institution has a sound internal standards for action in situations where the actual equity earnings in comparison to the modelētaj forecasts or estimates calls into question the validity of the model itself. These standards take account of business cycles and similar systematic variability in equity earnings. All models internal adjustments made as a result of the review of the model, determine the documentary, and they are carried out in accordance with the model review standards.
200. the internal models and modelling processes are documented, including the responsibility of the parties involved in the modelling, model validation and model review process.
5. Corporate governance and supervision of corporate management 5.1.201. All ratings and estimates significant aspects of the process approved by the Council of the authority or its designated Committee and the Board of Auditors. Approval of the tītaj persons have come to the general understanding of the institution's rating systems, and they understand the details of the related management report.
202. The Management Board of the Authority (senior management) report to the Council of the Authority (the management body) or the appointed auditor of the Committee of significant changes or departures from the established policies that will significantly affect the Authority's rating system.
203. the Board of the authority is the understanding of the rating system design and operation. The Management Board of the authority continuously verify the proper functioning of the rating system. Unit that distributes credit risk control function, the authorities regularly informed the Board about the rating process performance, areas in need of improvement, and formerly the open gap.
204. On internal ratings-based institutions credit risk profile analysis is an essential part of management reports to the Council or to the Committee and the Governing Board. Management report shall include at least the rating categories revealed the risk profile migrations between exposure categories, the estimates of the parameters for each category and the level of undertakings and self-imposed and adjustment stage SNZ comparison with estimates and the stress test results. Control message frequency depends on the importance and nature of information and the requested degree of hierarchy.
5.2. The credit risk control Unit 205. that implements the credit risk control function is independent of the staff and the managers responsible for the exposure start or restore, and is directly subject to the Authority's Board. The Department is responsible for the creation of a system of rating or selection, implementation, monitoring and action. It regularly prepare and analyze reports on the results of the rating system.
206. The departments, which carry out the credit risk control function, areas of responsibility include: 206.1. rating category and the testing and monitoring of the portfolio;
206.2. institutions rating system summary management report preparation and analysis;
the introduction of such procedure 206.3. to verify whether the category and portfolio definitions are consistently applied to the units and geographical regions;
206.4. any rating process review and modification, including review of the reason for the change;
206.5. revision of the criteria for rating, in order to assess whether they still allow to predict risk. Changes to the rating process, criteria or individual rating parameters be documented and this documentation is maintained;
206.6. active participation in the rating process models used in the creation or selection, implementation and approval;
the rating process is 206.7. models of monitoring and supervision;
rating process 206.8. models of constant revisions and amendments.
207. Notwithstanding the provisions of paragraph 206 authority that uses with other institutions share data in accordance with paragraph 134.135 and can outsource such tasks: 207.1. the preparation of information for the category and the testing and monitoring of the portfolio;
207.2. institutions rating system for the management of the preparation of the report;
207.3. information relating to the rating criteria to evaluate, review or they still allow to predict risk, preparation;
the rating process, 207.4. criteria or individual rating parameters change documentation;
207.5. information relating to the rating process models used in the ongoing review and amendment.
The authority, which uses the capabilities of this point, make sure that the Commission has access to all relevant information necessary to verify compliance with the minimum requirements and that the Commission may carry out on-the-spot checks to third parties to the same extent as the institution.
5.3. the internal audit internal audit or 208. other equivalent independent audit departments at least once a year, review the institution's rating systems and its operations, including lending function realization and SNV, SNZ, PZ and adjustment stage estimates. The report includes all existing minimum requirements analysis.
 
7. the annex to the financial and capital market Commission Regulation No 60 02.05.2007. Requirements for the trading book part 1. 1. for the purposes of trade positions/portfolios, which the authority acquired and held for trading purposes (hereinafter referred to for the purposes of this annex, positions), meet the following requirements: 1.1. authority is documented in position or financial instrument trading strategy, approved by the Management Board of the authority, and it includes the anticipated position or the financial instrument for the holding period;
1.2. the institution has clearly defined policies and procedures for managing the active position and they include: 1.2.1. Trade Department's position in the acquisition terms and conditions;
1.2.2. the position of the limit and the procedure for determining eligibility;

1.2.3. the dealer the right to independently purchase and manage positions in strategy and approved limit;
1.2.4. the institutions shall submit to the Executive Board trading book positions reporting procedures, which is the risk of transmission is an integral part of the process;
1.2.5. requirements for active monitoring of the positions on the basis of market information sources and positions or risk trade opportunities assessment component or the ability to use them to limit the risks, including the assessment of the market data availability and quality of the data used, level of market turnover, as well as the usual trading position;
1.3. the institution has a clearly defined policy and procedures to ensure compliance with authority position trading strategy for monitoring, including the institution's trading book positions turnover intensity and long held position monitoring.
Part 2. Internal control system 2. The Authority shall establish and apply the internal control system which ensures prudent and reliable position measurement estimates.
3. the internal control system for the trading portfolio must include at least the following elements: 3.1 assessment process documented policies and procedures. They include clearly defined different employees or departments that are involved in the evaluation process of the position, the duties and responsibilities of market information sources and its credibility and applicability checks from taking independent commercial department or an expert evaluation of the frequency of heading, use the last day the price position in order for the assessment, reassessment procedures, month-end and not the regular inspection procedures;
3.2. for the evaluation of the position of the responsible marketing and customer service departments of the independent reporting structure and procedures and their recipient list, which the Chairman of the Board of the authority.
The cautious assessment methods 4. Position at market value assessment (marking to market) is that at least one time a day position of the evaluation carried out, based on freely available, from neutral sources for the last day the price, such as a stock price, generally the price evaluation system (screen prices) or more independent, recognized the market brokers quoted price (quotes).
5. Evaluating the positions by market value, is used for the position of cautious demand/supply (bid/offer) price, except where the authority is an important market for the prosecution in a given financial instrument or product area and the position can be closed at the average market price.
6. If there is no available market data, the authority may use the model for the assessment of the position. On the evaluation of the position, using the model, any assessment of the considered, based on the comparison of extrapolation or other calculations using market data.
7. evaluation of the position, using the model, the following requirements shall be met: 7.1 the Management Board of the authority are familiar with the trading book items, which are used for the evaluation of models, and aware of the Authority's activities to the modeling inaccuracies in determining materiality or risk activities;
7.2. model used market data capabilities, select aligned with market prices, evaluate this data in a specific position in the assessment and regularly evaluate the model parameters;
7.3. If possible, use the generally accepted market practice of financial instruments and methodologies for the assessment of the goods;
7.4. If the authority itself has developed a model, it relies on assumptions that are evaluated and verified by a suitably qualified, independent of the model development. The following model developed or approved independently of the departments that provide a position or financial instruments to trading, and customer service. Apart from these departments are also model testing, including mathematical calculations, assumptions, and estimates of the use of the software;
7.5. the authority shall develop and implement a model amendment control procedures and provides the model and its performance copying, copy and use the copy of the model to check position evaluation;
7.6. risks to the person in charge, or the unit is used for models of known weaknesses and also how such failures to take into account in determining with the help of the calculated value of the model;
7.7. the model shall conduct regular checks to determine the accuracy of the results (e.g., assess compliance with the assumption the market trends, analyse the income ratio of the risk factors, a comparison of the value of the position at the time of its closure with model results).
8. in addition to the daily evaluation of positions at market value or using the model takes the position of the independent evaluation of the price used for verification. It is a process that regularly check market prices or model the entered data accuracy and independence. If the position of daily valuation at market value can make the dealer, then the market price and the model entered data check at least once a month (or more often, depending on the nature of the trade/market) carries out independent trade body. If not available, no matter the price sources or they are too subjective, position the value adjusted so as to ensure a prudent position.
Position value adjustments 9. Authority in the internal control system developed and implemented by the position value adjustment procedures.
10. The general standards, the authority shall assess the value adjustments of positions, at least in the following cases: unearned profit from credit spreads (unearned credit spreads), the position of the closing or winding-up costs, operational risks, early position closing expenses, investments and finance costs, future administrative costs and, where appropriate, the model risk.
Less liquid positions 11. Less liquid positions could arise both market events and institution-related situations such as concentrated in one market position or unable to sell a position held in a short period of time.
12. in determining the need to adjust the position of the value of less liquid, the authority shall take into account the following factors: the period of time that would be required to limit the positions or the risks, price volatility and average demand/supply the price difference, the existence of the quoted price (market support and identity) and variability of the amount of trade, market concentration, the position of the holding period, the extent to which the assessment is based on the use of the model and other model risks.
13. If you are using a third-party evaluation or a model, the authority shall consider whether the position value adjustments less liquid positions and regularly examine the usefulness of such adjustment.
14. If less liquid position value adjustment is not included in the current year audited profit or loss or profit or loss that is included in the calculation of equity, then: 14.1 the heading risks revaluation results that are reflected in the profit and loss statement and causes significant losses in the current year, including capital reductions as a first level institutions in the current year. Other gains or losses from the trading book position revaluation continues to list the current year's profit and loss statement or the revaluation reserve, without prejudice to the calculation of own funds;
14.2. the position of the exposures included in the value adjustments that exceed revaluation accounting will be reflected in your results and form a substantial reduction in the value of the reference year, reduces equity tier one, including adjusted surplus current year losses. The excess is corrected position value adjustments in excess over the positions reflected in the accounting revaluation results, reduced by 8 percent of the excess risk weighted. If this overshoot does not cause significant losses in the current year, then it shall not be taken into account in the calculation of own funds.
15. paragraph 14 in All equity and current year profit and loss calculation adjustments just the size of equity, without affecting the Authority's financial statements.
Part 3. 16 internal hedging. hedging is internal to the trading book positions (hereinafter referred to as the restrictive position), which substantially or fully compensates for the non-trading book positions or positions contained in the set (limited item) elements of risk. Limited position is included in the trading book capital requirements calculated the market, if it is kept for trading purposes and comply with this annex part 1 and 2, the criteria set out in particular if: 16.1. internal hedging original intent is not to avoid or reduce capital requirements;
16.2. limitation of the internal risk is adequately documented and is subject to the respective internal approval and verification procedures;
16.3. inner containment operations correspond to market conditions;

16.4. trading book positions, due to internal hedging, market risk is managed dynamically and according to the limits set;
16.5. internal hedging transactions are carefully monitored for this purpose in accordance with the procedures laid down.
17. Despite the under 16 into the limited position of market risk in calculating capital requirements, it is not trading book exposures credit risk capital requirements.
18. By way of derogation from paragraphs 16 and 17, if the authority does not restrict the trading portfolio credit risk exposure through trading portfolio credit derivatives, restricted position is not recognized on a limited capital needs, except in the limited position of authority for the protection of credit risk buying from a suitable protection's trade portfolio to include credit derivatives, which comply with the provisions of annex 3, part 2, paragraph 32 and 38. If you have purchased such protection and it's being recognized as a non-trading book exposure hedging for capital requirements purposes, not limited nor restrictive item is not included in the trading book for capital requirement calculation.
Part 4. Inclusion in the trading book 19. the Authority develop and implement clear policies and procedures to determine which lines to include in the trading book for capital requirement purposes, ensuring compliance with the provisions of title II, Chapter 1 of part 1 of the requirements and taking into account the institution's risk management capabilities and practices. Compliance with those policies and procedures and document thoroughly and subjected to periodic internal audits.
20. the authority shall draw up and implement a clear overall trade portfolio management policies and procedures. Such policies and procedures shall determine the minimum necessary: 20.1. what transactions are considered commercial transactions and which are included in the trading book capital requirements calculation;
20.2. to what extent is it possible to assess each day position at market value by reference to an active, liquid two-way market (two-way-market);
20.3. the heading which is used for the evaluation of the model, in a certain extent, the authority may: 20.3.1. identify all positions in the relevant risks;
20.3.2. limiting all significant risks to the position with instruments for which there are active, liquid two-way market;
20.3.3. identify reasonable model used the main assumptions and estimates of parameters;
20.4. the extent to which the authority may need to carry and position evaluation, which may be based on or compare to external data;
20.5. the extent to which legal restrictions or other operational requirements may hinder the ability of the authorities to take the position of liquidation or hedge of the short term;
20.6. to what extent can the authority and it is necessary to actively manage the trading book positions;
20.7. the extent to which the institution may transfer risk or positions of a trade for the trade portfolio, and to the transfer of such criteria.
21. the authority can be included in the trading book positions of equity or debt instruments for which value in accordance with the rule and paragraph 348.1 348.2 should reduce the first and second levels of equity, if the institution demonstrates that it is the active maintainer of the market these positions. In this case, the institution has adequate internal control system of the facility.
22. for the purposes of this paragraph, trade-related repos are transactions which satisfy the provisions of paragraph 66 and part 1 of this annex and both their parties have either the amount of money or securities to be included in the trading book, which however is not listed in the trading book. The following trade-related repo transactions that are included in the trading book may not be included in the trading book for capital requirement purposes, provided all such repo are included in the trading book for capital requirement calculation. Regardless of where in the book the following transactions are included in the calculation of capital requirements, all repos are exposed to the credit risk of the counterparty capital requirements.
 
8. the annex to the financial and capital market Commission 02.05.2007. Regulation No 60 options for the calculation of capital requirements for the Delta-plus method 1. According to the Delta-plus method body options underlying the calculation of the position of the inserted as Delta equivalents, setting the foreign exchange position and the commodities risk capital requirement and at the same time calculates the capital requirements for option's gamma and Vega risks whose size is determined by the gamma factor and Vega. The gamma factor shows the expected Delta level changes depending on the market price of the underlying changes. Vega factor shows the upcoming options contract price sensitivity in the case of a change in the underlying price, yield, fruit URu.tml. the factors of variability (volatility) level.
2. Gamma risk capital requirements calculated for each option as 50 per cent of the gamma factor and the absolute value of the underlying asset price change, market square product.
3. the market price of the underlying changes is determined as follows: 3.1 percent options whose underlying asset is debt securities-debt securities multiplied by the market price with the appropriate weighing rate shown in table 3 of the rules of the column "weighing rate (%)";
3.2. general interest options – multiplying the base value of the notional contract with the expected changes in interest rates, as shown in table 3 of the provisions under the column "expected changes in interest rates (%);
3.3. capital securities, stock indexes, foreign exchange and gold options – multiplying the market price of the underlying to the factor 0.16;
3.4. options – multiplying the market price of the underlying to the factor of 0.15.4. Gamma risk capital requirement is calculated in accordance with paragraph 2 of this annex, the provisions of the capital requirements calculated total.
5. Vega risk capital requirements calculated for each option as Vega base factor, the market price of the asset and the variability coefficient of 0.25 multiplied. Vega risk capital requirement calculated as individual options for capital requirements.
 
9. in the financial and capital market Commission 02.05.2007. Regulation No 60 options for the calculation of capital requirements in a simple method body can use 1 options for the calculation of the capital requirements of the simple method only if its trading portfolio represents only the options you purchased or sold all options for limiting risk have been closed identical purchased options.
2. If the authority is not the appropriate instrument (securities, foreign currencies or commodities) or no connection for the supply of instrument, but is purchased sales or purchase option, which is the underlying tool, included in the trading book capital requirements of the option is calculated as the lesser of the following two indicators: 2.1 the option's underlying market value multiplied by the appropriate factor in accordance with paragraph 4 of this annex;
2.2. the market value of the option.
3. If an institution has the instrument purchased the option on its sales or the institution has the obligation to deliver the tool and have purchased the option on its purchase, included in the trading book capital requirements option is calculated as the difference between the option's underlying market value multiplied by the appropriate factor in accordance with paragraph 4 of this annex, the terms and the option of potential profit.
4. Depending on the option the base type of the underlying asset market value shall be multiplied by the following coefficients: 4.1. debt securities options – a coefficient equal to the ratio, which shows the corresponding provisions of the requirements set out in paragraph 195 of the debt securities of a specific risk capital charge size and ratio 0.08 total;
4.2 percent and the percentage of index options contracts, with a ratio of 0.08;
4.3. the equity options – by a coefficient equal to the ratio, which shows the corresponding provisions in paragraph 203 of the requirements specified in the relevant securities of a specific risk capital charge size and ratio 0.08 total;
4.4. stock index options contracts, with a ratio of 0.08;
4.5. the foreign exchange options contracts, with a ratio of 0.08;
4.6. product options – by a factor of 0.15.5. the Purchased put option contract (put option) is the potential profit if the underlying asset of the option's price is higher than the asset's current market price (options with residual maturity of up to six months) or future prices (options with a remaining term of more than six months). The option's underlying asset price and the current market price or future price multiplied by the number of units of the underlying, has purchased the sales option on the size of the potential profit.

6. the Purchased call option contract (call options) are potential profit if the option's underlying asset price is below the current market price of the asset (options with residual maturity of up to six months) or future prices (options with a remaining term of more than six months). The option's underlying the current market price or future prices and the option of the underlying price, multiplied by the number of units of the underlying has purchased call option contract size profit potential.
7. If the authority does not have reliable information about the options in the database of the future price of the assets referred to in paragraph 3 of this annex and where residual maturity of more than six months, the following options for the capital requirement calculated assuming that the option potential profit is zero.
 
10. the annex to the financial and capital market Commission 02.05.2007. Regulation No 60 positions risk derivatives specific risk and overall risk capital requirement calculation conditions no PO box
The types of derivatives specific risk capital requirement for the General risk capital requirement 1.1 1.2 1.3 1.. 1.4 1.5.
RT to future contracts with the obligation to buy or sell: Central Government and central bank securities in local government (municipal) debt securities in the international development company of debt securities debt securities interest indexes (e.g. LIBOR) does not have have have not have any annex referred to in paragraph 1 be futures contracts; the RT to be as long and short positions in the combination of 2.2.1 2.2 2.3 2.4 2.5 the..
RTA futures with an obligation to buy or sell: Central Government and central bank securities in local government (municipal) debt securities in the international development company of debt securities debt securities interest indexes (e.g. LIBOR) does not have have have not have any attachment referred to in paragraph 2, the RTA futures contracts; to be as long and short positions in the combination of the 3.
RTA interest futures and swap contracts do not have; to be as long and short positions in a combination of 4.
RTA foreign exchange forward contracts do not have; one position in each currency 5.5.1 5.2 5.3 5.4 5.5 5.6.
Opportunities for commodity-based contracts: Central Government and central bank securities of local government (municipal) debt securities international development company of debt securities debt securities interest interest index futures and swap contracts is not is not is is all 5 of the annex referred to in paragraph options; the Delta-plus method (see. 8. annex) or simple method (see. 9. in annex 11) financial and capital market Commission 02.05.2007. Regulation No 60 of the international rating agency minimum rating, which corresponds to the level of investment, no PO box
The name of the rating agency minimum rating for long-term liabilities short-term liabilities 1.
Moody's investors service Baa3 P3 2.
Standard Poor's Corporation & BBB-A3 3.
FitchRating for BBB-F-3 4.
Thomson BankWatch BBB-A3 5.
Canadian Bond Rating Service B + + or lower A-3 6.
Dominion Bond Rating Service of BBB or lower R-2 7.
Japan Credit Rating Agency, Ltd., the BBB-J-2 8.
Nippon Investors Services-BBB-a-3 9.
The Japan Bond Research Institute BBB-A-annex 2 12 financial and capital market Commission 02.05.2007. Regulation No 60 highly liquid stock indexes no PO box
Country index name 1.
United States S&P 500 2.
Australian Union All Horde 3.
The Republic of Austria's ATX 4.
The Kingdom of Belgium the BEL 20 5.
The French Republic CAC40 6.
Japan Nikkei 225 7.
TSE Canada 35 8.
The United Kingdom of Great Britain and Northern Ireland to the FTSE 100 9.
The Kingdom of the Netherlands EOE25 10.
The Kingdom of Spain IBEX35 11.
The Swiss SMI was 12.
The Federal Republic of Germany DAX 13.
The Kingdom of Sweden OMX 13. Annex financial and capital market Commission 02.05.2007. Regulation No 60 and the list of eligible ECAIs the credit ratings of compliance with the quality grade 1. Commission of the capital requirement for credit risk for calculation of eligible ECAIs list: 1. FitchRating;
1.2. Standard Poor's ratings & services;
1.3. Moody's investors service.
2. the ECAI eligibility ordered long-term rating credit quality steps 2.1. FitchRating credit quality long-term credit rating (FitchRating t.sk. IF the assigned rating) company (CVR) Central Government 1 AAA to AA-20% 20% 0% 2 A + to A-50% 50% 20% BBB + to BBB-3 100% 100% 50% 4 BB + to BB-100% 100% 100% 5 B + to B-150% 100% 100% 6 and below 150% CCC + 150% 150% 2.2. Standard Poor's & ratings services credit quality Standard Poor's ratings & services long-term credit rating (t.sk. IF the assigned rating) company (CVR) Central Government 1 AAA to AA-20% 20% 0% 2 A + to A-50% 50% 20% BBB + to BBB-3 100% 100% 50% 4 BB + to BB-100% 100% 100% 5 B + to B-150% 100% 100% 6 and below 150% CCC + 150% 150% 2.3. Moody's investors service credit quality Moody's investors service for long-term credit rating (t.sk. IF the assigned rating) company (CVR) Central Government 1 AAA to Aa3 20% 20% 0% 2 A1 to A3 50% 50% 20% 3% 100% to Baa1 Baa3 100 50% 4% 100% Ba1 to Ba3 100 100% 5% 100% B1 through B3 150 100% and 150% lower Caa1 6 150% 150% 3. Ecais ordered short-term rating of compliance with credit quality grade credit quality Risk 1 2 3 4 5 6 20% 50% 100% 150% 150% 150% Standard Poor's ratings & Services A-1 + (A)-1 A-2 A-3, B-1, B-2, B-3, C, Moody's investors service P-1 P-2 P-F-3 NP FitchRating 1 + F-1 F-2 F-3 lower than F3 4. Ecais ordered a long-term position in the rating of vērtspapirizēšan compliance with the credit quality steps 4.1. Standardised approach to credit quality, the degree of Risk 1 2 3 4 5 20% 50% 100% 350% 1250% FitchRating AAA to AA + A + to A-BBB + to BBB-to BB + to BB-B + and below the Standard Poor's ratings & services AAA to AA + A + to A-BBB + to BBB-BB + to BB-and lower B + Moody's investors service AAA to Aa3 A1 to A3 Baa1 to Baa3 Ba1 to Ba3 B1 and below 4.2 IRB approach credit quality FitchRating Standard Poor's ratings & services Moody's investors service, the degree of Risk (A) (B) (C) 1 AAA Aaa AAA 7% 12% 20% 2% 15% 8 AA AA Aa 3 A + A + 25% 10% 35% 18% A1 4 (A) (A) 12% 20% 35% A2, 5 A-A-20% 35% 35% A3
6 + 35% Baa1 BBB BBB + 50% 50% 7% 60% 75 Baa2 BBB 75% 8 100% Baa3 BBB-BBB-100% 100% 9 BB + BB + 250% 250% 250% Ba1 10 BB BB 425 425 425% Ba2%% 11 BB-BB-Ba3 650 650 650%%% lower than 11 Below for the BB-lower than BB-1 250% lower than 1 250 1 250% Ba3 5. Ecais ordered short-term vērtspapirizēšan rating position of compliance with credit quality tiers 5.1. Standardised approach to credit quality step 1 2 3
All other ratings (credit rating), the degree of Risk 20% 50% 100% 1250% FitchRating F-1 + F-1 F-2 F-3 F-3 below the Standard Poor's ratings & services A-1 + (A)-1 A-2 A-3 A-3 lower than Moody's investors service P-1 P-2 to P-3 NP 5.2 IRB approach credit quality FitchRating Standard Poor's ratings & services Moody's investors service, the degree of Risk (A) (B) (C) F-1 + 1, F-1 A-1 + (A)-1 P-1 7% 12% 20% 2f-2 P-A-2 2 12% 20% 35% 3-3 A-F 3 P-75% 3 60% 75% all other ratings (credit rating) lower than F3 below A3 below P3 1 250 1 250 1 250%%%