Financial and capital market Commission, the provisions of regulations No 199 in Riga on 29 November 2016 (financial and capital market Commission Council meeting No. 42 5. p.)
Capital and liquidity adequacy assessment process creation rules, regulations Issued under the law of credit institutions article 37, second subparagraph, and article 50, the second and third part i. General questions 1. capital and liquidity adequacy assessment process, regulations establishing the rules "(hereinafter-the rules) are binding on the Republic of Latvia registered credit institutions other than credit institutions, which is monitoring the European Central bank, if it is determined by the requirements of capital adequacy assessment processes and the adequacy of liquidity of the evaluation process. 2. Credit institutions to comply with the requirements of this regulation or the individual consolidation at group level or subkonsolidēt in accordance with the law of credit institutions article 50.8. 3. the rules provide: 3.1. capital and liquidity adequacy assessment process establishing the General principles in accordance with the provisions of chapter II; 3.2. recommendations for capital adequacy assessment process for content in accordance with the provisions of chapter III; 3.3. the recommendations of the liquidity adequacy assessment process (hereinafter also – ILAAP) content in accordance with the provisions of chapter IV; 3.4. Financial and capital market Commission (hereinafter the Commission) submitted to the review of capital adequacy assessment process and report on ILAAP (hereinafter referred to as the ILAAP report) preparation and submission procedures accordingly in accordance with the provisions of chapter V and VI. 4. explanation of terms used in the rules: 4.1 Basel II, the Basel Committee on banking supervision developed by the document "capital measurement and capital requirements for international convergence" (International convergence of Capital measurement and Capital standards) 1; 4.2. the second pillar of Basel II – supervisory review process, which created the basic principles laid down in the third subparagraph the Basel II "the second pillar – supervisory review process" (part 3: the Second Pillar: Supervisory Review process) 2; 4.3. the European banking authority, the Basel II guidelines for the application of the second pillar, the European banking authority "guidelines on common procedures and methodologies used in the supervisory review and evaluation process (SREP)" (guidelines on common procedures and for supervisory review and evaluation methodolog process (SREP)) 3;
4.4. the concentration risk – any exposure or exposure group, a credit institution may incur losses that could threaten the solvency of the credit institution or the ability to continue. Concentration risk arises from the large amount of exposures with clients or customers of related groups or exposures to credit worthiness is determined one common risk factor (for example, economic sector, geographic region, currency, credit risk mitigation instrument (uniform collateral or collateral provider URu.tml.)) 4.5. the crime of money laundering and terrorism financing risk – the risk that the credit institution may be involved in criminal money laundering or terrorist financing; 4.6. reputation risk – the risk that the credit institution's customers, business partners, shareholders, supervisory authorities and other interested parties in the operation of the credit institution (Enterprise) can develop a negative view of the credit institution and it may adversely affect the ability of the credit institution to maintain existing or create new business relations with its customers and other business partners, as well as to negatively affect the credit institution the necessary funding availability. Reputation risk events may increase other risks inherent to the activity of the credit institution (credit risk, liquidity risk, market risk, etc.), and this may negatively affect the profits of credit capital and liquidity; 4.7. business model risk – the risk that changes in the business environment and the credit institution is unable timely to respond to those changes or inappropriate or incorrectly selected credit development strategy or business model, or the credit institution's inability to provide the necessary resources for viable and sustainable strategy or business model implementation may negatively affect the profits of credit capital and liquidity; 4.8. stress testing-various techniques (quantitative or qualitative) used to determine various exceptional but possible adverse events or changes in market conditions the potential impact on the credit and credit risks of the consolidation group and the financial and capital indicators. These rules with stress testing represents both a sensitivity analysis (sensitivity analysis) and scenario analysis (scenario analysis) and the reverse stress testing (reverse stress testing). Sensitivity analysis is used to determine an individual's risk factors or more risk factors at the adverse impact of the changes on the level of risk of the credit institution and the financial and capital (i.e., to evaluate the financial capital of the credit institution and the sensitivity of indicators to changes in one or more risk factors). Scenario analysis is used to evaluate the activities of the credit institution to significant adverse scenario (i.e., internal or external adverse event or adverse changes in the macroeconomic signs, or market conditions) the effect on the whole operation of the credit institution, the risk level and the significant financial and capital indicators. Reverse stress testing is used to identify such negative consequences (e.g. operating loss, impairment of assets, asset liquidity loss, deposits outflow, the source of funding availability not URu.tml.), as a result, the credit institution may be compromised further action, conscious of the events or event, as a result of the combination of these negative consequences may occur, and identify necessary corrective measures; 4.9. the total required to cover risk capital (total capital requirement (TSCR)) (hereinafter TSCR about) – capital of credit institutions in accordance with the assessment of the need for its current and planned activities of the inherent risks associated to cover losses. About TSCR originates from a separate risk referred to EU Regulation No 575/2013, article 92 (hereinafter referred to as the pillar 1 risks) and other activities of the credit institution and the potential risks inherent (hereinafter referred to as the pillar of the risks) to cover necessary capital totals; 4.10. indicator-indicator TSCR, calculated in accordance with this provision, paragraph 76; 4.11. the recommended capital reserve (capital guidance) – the amount of capital which, in accordance with the assessment of the credit institution is required to ensure that the credit institution's capital is sufficient to cover possible losses in credit activity material adverse scenario in the case of accession, as well as to ensure that the credit institution's capital held is sufficient throughout the economic cycle; 4.12. General required capital (overall capital requirement (OCR)) (hereinafter OCR level) – the amount under TSCR credit chapter IV of law calculated the total amount of capital reserve requirements and the recommended amount of capital reserves; 4.13. OCR index – index, calculated in accordance with this provision, paragraph 78; 4.14 against currency mismatch risk unsecured borrowers, borrowers who are residents of the household – and small and medium-sized enterprises (hereinafter referred to as SMEs) – residents without proper (with revenue-related or financial) security affected by the credit and collateral issued currency mismatch. Borrowers have the revenue-related collateral, if incomes provide sufficient credit to cover the monthly payment in the relevant currency (for example, payroll, export revenue), while the financial collateral includes cases where the contract has been concluded with the financial institution that protects borrowers from the risk posed by the income and credit currency mismatch; 4.15. the use of other terms comply with the terms of use: 4.15.1. EU Regulation No. 575/2013; 4.15.2. normative regulations of the Commission, which sets the requirements for credit institutions: 4.15.2.1. internal control system, 4.15.2.2. requirements for interest rate risk management, the economic value of the calculation of the reduction of the interest rate risk and maturity composition for the preparation of the report (hereinafter referred to as the interest rate risk), liquidity requirements, 4.15.2.3. the procedure for implementing and managing liquidity risks (hereinafter referred to as the liquidity rules), 4.15.2.4. requirements for managing credit risk, the Commission's recommendations 4.15.3. operational risk management.
II. Capital and liquidity adequacy assessment process establishing the General principles 5. second pillar of Basel II principles and implementation guidelines laid down by the Basle II and the European banking authority guidelines Basel II the application of the second pillar. Credit institution are recommended to take into account the second pillar of the Basel II principles and the European banking authority, the Basel II guidelines for the application of the second pillar, making their capital and liquidity adequacy assessment process. 6. the second pillar of Basel II consists of two interrelated processes, capital adequacy assessment process conducted by the credit institution and the supervisory review and evaluation process conducted by the supervisory authority. Capital adequacy assessment process carried out by credit institutions, capital adequacy of both quantitative and qualitative aspects, t.sk. operations and business model choice of long term planning and development strategy, business model viability and sustainability assessment, identification of the essential risk, acceptable levels of risk, risk management systems and the development of a permanent credit transaction, the quintessential risk (risk profile) awareness and control, the role of risk management and capital management. In addition to the credit institution shall take ILAAP, which include liquidity risk identification, assessment and management of implementation in accordance with the provisions of liquidity and its operation of the required liquidity reserves about adequacy evaluation. 7. capital and liquidity adequacy assessment process is the management of the credit institution and the decision making culture, risk management systems and activities an integral part of the planning. A certain level of capital reserves and liquidity maintenance do not replace risk management, but the capital and liquidity adequacy assessment process determines the credit institution's capital adequacy and liquidity, which ensure that the credit institution's capital and liquidity reserve, about the share of elements and it is sufficient for the present and for the planned credit institution operation and possible risks inherent. 8. The credit institution on a regular basis, but no less than annually make the assessment of capital adequacy capital within the assessment process and its operation of the required liquidity reserves about the adequacy of the assessment of the adequacy of liquidity within the assessment process. These ratings confirm the credit Council.
9. If the period of time between two capital or liquidity adequacy assessment activities of the credit institution or credit institution operating in conditions affecting significant change (for example, credit institutions have changed activities or types of activities, significant change in the credit institutions act or the business viability and sustainability of the model in external conditions, affecting credit institutions introduced a new risk management or risk measurement models and techniques URu.tml.) and as a result can change significantly the capital or liquidity adequacy assessment process results (t.sk. a credit institution for its evaluation and indicators TSCR TSCR It is recommended that the capital reserve, OCR, and OCR and credit available capital, the capital adequacy target, the capital or liquidity adequacy assessment findings, measures capital or liquidity ratios and other decisions taken at the capital or liquidity adequacy assessment process), the credit institution immediately, but not later than within one month of its capital or liquidity adequacy assessment process and results If necessary, make new capital or liquidity adequacy assessment. The Board of the credit institution shall consider and approve the capital and liquidity adequacy assessment process the revised results. One month after the credit institution approved by the Council on the revised capital or liquidity ratios the results of the evaluation process, the credit institution shall submit a report on capital adequacy assessment process to the Commission pursuant to this provision the requirements of chapter V, or ILAAP report according to the provisions of Chapter VI.
10. Capital and liquidity adequacy assessment process creation and effective functioning of the Board of the credit institution and the responsible Board. If the credit institution's capital and liquidity adequacy assessment process provides third party provider, outsourcing-credit institutions, the Council and the Executive Board is responsible for the outsourcing of work to the same extent as on your own, as well as to ensure compliance with the provisions of paragraph 13. 11. the Council shall fix the credit institution's capital and liquidity adequacy assessment process guidelines, approved capital and liquidity adequacy assessment policy, at least once a year, the review and approval of capital and liquidity adequacy assessment process results and adopted by capital and liquidity adequacy decisions. 12. the Management Board of a credit institution shall ensure regular capital and liquidity adequacy assessment and regular enough capital and liquidity reserves required to be maintained in accordance with the scale laid down by the Council in the capital and liquidity adequacy assessment policy. The Management Board of the credit institution approves the relevant credit institutions in the internal normative documents of the capital and liquidity adequacy assessment process. 13. a credit institution shall ensure that its capital and liquidity adequacy assessment process is fully documented, URt.sk.: 13.1. have documented and appropriate management level approved for the credit institution's capital and liquidity adequacy assessment process internal regulatory documents (policies, procedures, t.sk., regulations, instructions, etc.) which determine the use of the credit risk and capital definition, business viability and sustainability of the model evaluation procedures, the identification of relevant risks, the methodology used by the credit institution to determine the risk to cover necessary capital and capital reserves is recommended, and pointer TSCR TSCR, OCR, and OCR and credit capital held about the procedure of calculating stress testing procedures, capital planning, and capital adequacy targets, the methodology used by the credit institution to determine the operation of the required liquidity reserves, credit institutions and departments of the staff the powers, duties and responsibilities , reporting and information exchange arrangements and other organizational and methodological aspects; 13.2. are documented in all capital and liquidity adequacy assessment process the critical assumptions made and analyzed this assumption impact on overall results; 13.3. it is documented and in accordance with the procedure laid down in the credit institution in charge of the credit Department and at least once a year the Board of the credit institution approved capital and liquidity adequacy assessment process results, t.sk. credit rating for its operation of the required liquidity reserves, the assessment of the risk to cover necessary capital, business viability and sustainability of the model, it is recommended that the capital reserve, and pointer TSCR TSCR, OCR, and OCR and credit capital held, scenarios, based on which the capital adequacy assessment process performed stress testing assumptions and stress-test results, the capital adequacy target , capital adequacy assessment conclusions, the event program adequacy of capital and liquidity and other decisions adopted capital and liquidity adequacy assessment process.
14. The credit institution on a regular basis, but not less frequently than once a year, review and, if necessary, improve the capital or liquidity adequacy assessment policy and other credit institutions in the internal normative documents according to the changes of the business of credit institutions and credit institutions operating in affecting external circumstances. 15. the internal audit shall at regular intervals carry out capital and liquidity adequacy assessment process and assessment of the effectiveness of the inspection. The results of the checks carried out internal audit shall report to the Council of the credit institution. Credit institution within one month after the submission of the report the internal audit Board of a credit institution shall submit to the Commission, this internal audit report, according to a copy of the minutes of the Council statement and information on decisions adopted by the Council on the measures to be taken by the credit institution for the implementation of internal audit recommendations, t.sk. prevent internal audit inspections identified deficiencies and weaknesses. 16. a credit institution's capital adequacy assessment process shall respect the principle of proportionality – small credit institutions, which give customers traditional and simple services, capital adequacy assessment process can use simpler methods, t.sk. described in these provisions to cover the risk of simplifying the required capital discovery methods. The largest credit institution or credit institution, whose activities relate to the diverse and sophisticated financial services, development and capital adequacy assessment process developed and used against the risk of sensitive methods to cover the required risk capital. The application of the principle of proportionality, the meaning of these regulations all credit are divided into two groups: the first group-16.1. credit institutions which, in accordance with the decision of the Council of the Commission is identified as significant systemic institutions; 16.2. the second group of the credit institution, which does not include this provision 16.1. described in the first paragraph. 17. Depending on which group the credit institution includes this provision, within the meaning of paragraph 16, the rules described in chapter III recommendations capital adequacy assessment process content shall apply subject to the following principles: 17.1. a credit institution that meets this provision described in paragraph 16.1. the first group, capital adequacy assessment purposes 2. pillar to cover risk capital required for the establishment of credit institutions used either internally developed models, methods, or approaches, and to develop the risk of more sensitive methods than this Regulation 44, 50, 52, 55 and 65. paragraph describes the simplified method – or this Regulation 44, 50, 52, 55 and 65. paragraph describes the simplified methods, they are improving and adjusting the credit transaction. A credit institution shall ensure that internally developed models, methods or approaches are fully documented in the credit institution's internal regulatory documents. Credit institution, at the request of the Commission, explaining the model, methods or approaches to the theoretical reasons and justify their appropriateness for the operation of the credit institution; 17.2. a credit institution that meets this provision described in paragraph 16.2, second group, capital adequacy assessment purposes 2. pillar to cover risk capital required for the establishment of these rules can be used, 50-44, 55 and 65 52. paragraph describes the simplified methods, in addition to this suitability of methods for evaluation of the activities of a credit institution. This credit institution in the group to cover the required risk capital can also be used to determine the credit internally developed models, methods, or approaches. If a credit institution uses an internally developed models, methods, or approaches, it ensures that the internally developed models, methods or approaches are fully documented in the credit institution's internal regulatory documents. Credit institution at the request of the Commission explains its internally developed models, methods or approaches to the theoretical reasons and justify their appropriateness for the operation of the credit institution.
III. Capital adequacy assessment process contains 18. a credit institution shall be responsible for its capital adequacy assessment content and volume. Capital adequacy assessment process the credit institution at least: 18.1. determining the disposal of a credit institution in the capital; 18.2. determine the risk to cover necessary capital, and pointer TSCR TSCR; 18.3. determines the recommended capital reserve; 18.4. determine the extent and OCR OCR pointer; 18.5. capital planning at least the next three years and sets the desired level of capital (capital adequacy targets).
The credit institution's capital held by Discovery 19. a credit institution the capital shall be fixed in accordance with EU Regulation No. 575/2013 part II.
To cover the required risk capital discovery 20. For risks to cover necessary capital, credit institutions: 20.1. risks identified will be included in the assessment of capital adequacy, t.sk. determine the credit risk of the definition used; 20.2. the functioning of the credit institution identifies significant risks, determine the risks to which the credit institution the capital adequacy assessment process required to calculate their capital and which risks not calculated, but the use of other risk management and mitigation techniques; 20.3. to cover the required risk capital calculation methodology. 21. in determining the risk to cover necessary capital, a credit institution shall assess all its activity risks, right URt.sk.: 21.1. assess the risks under the first pillar, subject to this provision 22-41. the guidelines laid down in paragraph 1; 21.2. assess the risks of the second pillar – interest rate risk non-trading portfolio concentration risk, money laundering and terrorism financing risk, liquidity risk, reputation risk, business model, risk and other credit institutions operating in the right risks. The guidelines followed by the credit institution, assess the risks, the second pillar of this specific rule 42-65.
1. pillar 1 risks 22. The credit institution to cover the risks of the second pillar necessary for fixing the amount of the capital can be used: 22.1. model, method or approach used in the first pillar, to cover risks in accordance with EU Regulation No. 575/2013; 22.2. the credit institution's internal model, developed by the method or approach, which is not used in the first pillar, to cover risks in accordance with EU Regulation No. 575/2013.
23. for the purpose of calculating the credit risk credit risk, or counterparty credit risk capital required to cover the amount of the credit institution's credit risk or counterparty credit risk cover necessary capital for the establishment of the EU Regulation n ° 575/2013 respectively defined or standardized approach to internal ratings based approach or standardised approach or method of the internal model, credit risk and the credit risk of the counterparty (hereinafter credit risk) risk exposures are subject to the weighted average value of the total calculated in accordance with EU Regulation No. 575/2013 requirements, multiply by 8 percent. 24. to cover the credit risk capital required for the establishment of a credit institution may use the EU Regulation No. 575/2013 standardized described approach, making at least the following additional credit risk assessments and appropriate adjustment of credit needed to cover capital: 24.1. a credit institution shall assess the 35 percent risk by the application of housing mortgage backed exposure category in compliance with the expected situation in the real estate market. If the customer is found, the deterioration of the solvency, the security, the impairment of the implementation difficulties or other negative trends in the real estate market or the economy, setting this exposure category to cover the credit risk inherent in the necessary capital, credit institutions shall apply the level of risk that is higher than the 35 percent degree of risk, and which may be different from the standardised approach with the degree of risk; 24.2. a credit institution shall assess the minimum exposure portfolio applicable 75 percent risk, analyzing the small business portfolio risk exposure changes the quality of statistics and granularity. If you have found a small exposure portfolios, the deterioration in the quality of the credit institution to cover the credit risk of this portfolio in capital required for the determination of the level of risk shall apply, where 75 percent higher than the level of risk, and which may be different from the standardised approach with the degree of risk; 24.3. a credit institution shall assess the claims against Member States ' central Governments and central banks in the 0 percent compliance with the level of risk, taking into account their financial situation (such as the Maastricht criteria, the EU Regulation No. 575/2013 compliant credit assessments in the LIVER), especially if a 0% interest rate applied to the risk, on the basis that exposures are denominated and funded in the corresponding national currency in accordance with the EU Regulation No. 575/2013; 15.2. a credit institution shall at regular intervals carry out credit risk exposures are subject to stress testing, based on the base scenario for the next 12 months. To do this, a credit institution predicts events that can affect the size of the credit risk. The stress test results are taken into account in determining the credit needed to cover capital; 15.2. to ensure the quality and support of stress testing and reasonable assumptions for determining the size of the credit risk, the credit institution collects data on exposed to credit risk exposure history, t.sk. on the loan and borrower income currency match, late payment, savings, loan restructuring, changes in the value of collateral, collateral sales and selling price and other information. 25. a credit institution that are necessary to cover the credit risk capital to be used for the determination of the internal ratings based approach or internal model method, consider whether under this approach, the calculated credit risk cover necessary capital is sufficient for the credit risk associated with possible losses. To ensure the credit risk assessment, credit institutions shall regularly carry out stress tests on the basis of the baseline scenario for the next 12 months, and analyzes the stress test results, which are taken into account in determining the credit needed to cover capital.
26. a credit institution that is required to cover the credit risk capital shall be used for the determination of the EU Regulation n ° 575/2013 allowed internal model approach or method, whether under this rule or 24 25 credit set to cover the necessary capital is sufficient for all credit related losses. For this purpose, a credit institution according to the nature of its activities in addition to assess other risks associated with credit risk and, if they are essential, such risks to cover necessary capital, URt.sk.: 26.1. concentration risk (this rule 46-53;) 26.2. the residual risk – the risk that the credit institution's credit risk mitigation techniques used could prove to be less effective than planned; 26.3. with vērtspapirizēšan business risks. 27. a credit institution's credit risk inherent in the activity and the size of the credit needed to cover capital discovery can develop internal pattern, method or approach, ensuring that: 27.1. the internal model, method or approach covers all the essential sources of credit risk; 27.2. the internal model, method, or approach a credit institution uses any of the generally accepted approaches, methods or models, paying special attention to items like of interdependence between a credit institution's clients modeling (dependency modelling) and counterparty credit risk modeling, the Basel Committee developed recommendations "approach and controversial questions (problems) in the economic capital systems" (the range of practices and issues in economic capital framework) 4 and which substantially affects the internal credit risk models approach, methods and results; 27.3. the credit institution's internal model, method or approach is documented in the credit institution's internal regulatory documents, t.sk. are described in the internal credit risk models, methods, or approaches, guidelines (concept), main parameters and assumptions; 27.4. is evaluated and documented in the internal model used, methods or approaches, limitations and assumptions, as well as the limitations and assumptions of the impact on the reliability of the results; 17.1. the internal model is made, the methods or approaches to action, its elements, and the result of the test parameters to assess the internal model, methods or approaches to the functioning of the market trends and the reliability of their results, as well as the tests and their results are documented; 17.1. evaluation is made, or such credit risk calculated to cover the necessary capital is sufficient for the entire risk associated with the potential losses. In addition to the credit institution shall take the stress test, based on the base scenario for the next 12 months, analyse the findings of the stress test results and, if necessary, take them into account in determining the credit needed to cover capital; 17.2. If the credit institution's internal model, developed by the method or approach to credit risk is calculated to cover the necessary capital is less than under EU Regulation No.  575/2013 subject to credit risk calculated exposure risk weighted totals multiplied by 8 percent, the credit institution to cover the need of credit risk capital is determined at least in accordance with EU Regulation No. 575/2013 subject to credit risk calculated exposure total risk weighted multiplied by 8 percent.
Credit value adjustment risk (risk of CV) 28. a credit institution whose CV risk cover necessary capital used for calculation of the EU Regulation n ° 575/2013 these methods, in addition to assessing whether, in accordance with the methods referred to in calculated CV risk equity compliance ensure that CVS risk calculated to cover the necessary capital is sufficient for the operation of the credit risk inherent in the CV. Credit institution establishes additional capital to cover the risk of CV, if the assessment of the credit institution in accordance with EU Regulation No. 575/2013 requirements calculated CV risk equity claim is insufficient for the functioning of the credit institution's risk inherent in CVS. 29. the assessment of the credit institution in accordance with EU Regulation No. 575/2013 calculated CV risk capital requirements for compliance with its action proven CV risk, taken into account for size: 29.1. OTC derivatives (OTC-derivatives), which are not included in the CV risk capital requirements calculated in accordance with EU Regulation No. 575/2013 specific exemptions, the materiality of OTC credit derivatives portfolio; 29.2. the securities financing transaction of significance to its portfolio; 29.3. CV risk of OTC derivatives, except credit derivatives, which identified that reduce credit risk exposures are subject to the risk-weighted value in accordance with EU Regulation No. 575/2013, the stress test results on the basis of the baseline scenario for the next 12 months. To do this, a credit institution predicts the events that can affect the size of the risk CVS. Stress testing results taken into account in determining the CV risk to cover the necessary capital. 30. a credit institution in its activities the inherent risks and the size of the CV, the cover required for fixing the amount of the capital can develop internal pattern, method or approach, ensuring that: 30.1. the internal model, method or approach covers all the essential CVS sources of risk; 30.2. the internal model, method, or approach a credit institution uses any of the generally accepted models, methods, or approaches; 30.3. the credit institution's internal model, method or approach is documented in the credit institution's internal regulatory documents, t.sk. are described in CV risk internal model approach, methods or guidelines (concept), main parameters and assumptions; 18.9. have been evaluated and documented in the internal model used, methods or approaches, limitations and assumptions, as well as the limitations and assumptions of the impact on the reliability of the results; 5. the internal model is made, the methods or approaches to action, its elements, and the result of the test parameters to assess the internal model, methods or approaches to the functioning of the market trends and the reliability of their results, as well as the tests and their results are documented; 19.0 assessment is made. whether such calculated CV risk cover necessary capital is sufficient for the entire risk associated with the potential losses. In addition to the credit institution shall take the stress test, based on the base scenario for the next 12 months, analyse the results and, if necessary, take them into account in determining the CV risk cover necessary capital; 19.1. If the credit institution's internal model, developed by the method or approach to calculate the CV risk cover necessary capital is less than under EU Regulation No 575/2013 calculated CV risk capital requirements for credit institutions, to cover the risks of CVS required capital is determined at least in accordance with EU Regulation No. 575/2013 calculated CV risk capital requirements.
Market risk 31. a credit institution shall consider whether the market risk capital necessary to cover the amount of the determined through EU Regulation No. 575/2013 the specific standardised approach, credit institutions shall be appropriate to the net foreign currency position on the trade portfolio size of approximately, the number of sales transactions, diversity and complexity. A credit institution which is essential in the net foreign currency position or significant trading activity, taking into account the amount of the transaction, the number, diversity and complexity, it is advisable to cover the market risks required for fixing the amount of the capital use internal models, methods, or approaches, even if they don't use the credit institution the EU Regulation No. 575/2013 the specific market risk capital calculation.
32. to cover market risk capital required for the establishment of a credit institution may use the EU Regulation No. 575/2013 the specific standardized approach, such additional assessment and appropriate adjustments to cover market risk capital required: 32.1. equity to cover the General risk capital required for the establishment of a credit institution shall compare the equity position value and its corresponding annual volatility of value with the sum of the capital instruments of general risk capital requirements calculated using the standardised approach. The General equity instruments to cover the needs of risk capital Discovery uses the greater of calculated values. Equity volatility (volatility) values (standard deviation (standard deviation)) determined in accordance with the position holding (Holdings) period and the desired confidence interval, based on historical data and future estimates; 32.2. held for trading the debt instruments to cover the General risk capital required for the establishment of a credit institution shall compare the debt instruments of general risk capital requirement, calculated using the standardized approach, with debt instruments of general risk capital requirement calculated using one or more of the methods and principles laid down interest rate risk. Debt instruments in General to cover the needs of risk capital for the establishment of a credit institution uses the greater of calculated values; 32.3. foreign exchange risk cover necessary capital for the establishment of a credit institution shall compare the net open foreign currency position and the currency volatility the year multiplied by the amount of foreign currency risk capital requirement, calculated using the standardised approach. Foreign exchange risk cover necessary capital for the establishment of a credit institution uses the greater of calculated values. Foreign exchange rate volatility (volatility) (standard deviation (standard deviation)) determined in accordance with the position holding (Holdings) period and the desired confidence interval, based on historical data and future estimates; 32.4. the credit institution shall regularly carry out market risk stress testing, based on the base scenario for the next 12 months. To do this, a credit institution predicts the events that can affect the size of the market risks. Stress testing results taken into account in determining market risk capital required to cover.
33. If the credit institution to cover the market risks required capital is used to determine the internal models that meet EU regulations No. 575/2013 requirements, it analyzes the limitations of these models and the models used assumptions (for example, the correlation assumptions, assumptions about the effects of diversification, duration (duration) assumption) impact on model results. A credit institution shall consider whether under the internal models calculated to cover market risk capital required for adequate market risk associated with possible losses. A credit institution shall take additional stress testing, based on the base scenario for the next 12 months, as well as where appropriate stress testing results taken into account in determining market risk capital required to cover. 34. a credit institution for its activities the inherent market risk and the market risk capital required to cover claims may develop internal pattern, method or approach, ensuring that: 34.1. the internal model, method or approach covers all the essential market risk sources; 21.3. the internal model, method, or approach a credit institution uses any of the generally accepted models, methods, or approaches (such as expected shortfall (expected shortfall) model or other method referred to by the Basel Committee developed recommendations "approach and controversial questions (problems) in the economic capital systems" (the range of practices and issues in economic capital framework) 5);
21.3. the credit institution's internal model, method or approach is documented in the credit institution's internal regulatory documents, t.sk. Describes the internal market risk model, method or approach guidelines (concept), main parameters and assumptions (e.g., financial instruments prices, market liquidity, the holding period, the confidence interval URu.tml); 21.4. is evaluated and documented in the internal model used, methods or approaches, limitations and assumptions, as well as the limitations and assumptions of the impact on the reliability of the results; 34.5. the internal model is made, the methods or approaches to action, its elements, and the result of the test parameters to assess the internal model, methods or approaches to the functioning of the market trends and the reliability of their results, as well as the tests and their results are documented; 21.5. performing evaluation, or calculated to cover market risk capital required is sufficient for all the risks associated with these potential losses. In addition to the credit institution shall take the stress test, based on the base scenario for the next 12 months, analyse the results and, if necessary, take them into account in determining the market to cover the required risk capital; 21.6. If a credit institution established internal pattern, method or approach calculated to cover market risk capital required is less than under EU Regulation No 575/2013 estimated market risk capital requirements, the amount of the credit institution to cover market risk capital required is determined at least in accordance with EU Regulation No. 575/2013 estimated market risk capital requirements.
35. Irrespective of the internal model, method or approach used by the credit institution to cover market risk capital required for a credit institution shall assess the risk as the market size affect liquidity on the financial instruments market. Market liquidity problems created when a credit institution is unable to close positions in financial instruments in the desired time limit or you can close them only with a significant discount. Credit institutions, the calculation of the market risk capital required to cover the amount of financial instruments that are traded in liquid markets, not according to either extend the holding period duration, or reduces the value of the financial instruments, based on experience and estimates. 36. a credit institution shall assess the additional financial instruments in the trading book-both the existing financial instruments and the financial instruments in respect of which a credit institution has the intent and ability to hold them to maturity, long-term investment capital instruments – market risk concentration and correlation coefficients, which are not covered by analyzing the concentration risk under this rule 46-53. Given the extent of the financial instruments, the diversity and complexity of the credit institution shall assess the concentration risk arising from the significant investment in one type of financial instruments, the issuer of the issuer or one with a similar risk profile of financial instruments in one country or region issued financial instruments.
The operational risk of the credit institution, which 37. operational risk cover necessary capital calculation uses the EU Regulation No. 575/2013 described the KPI, the standardised or alternative standardised approach, in addition to considering whether under those approaches to calculate the operational risk capital requirement shall ensure that the following are estimated to cover operational risk capital required is sufficient for the operation of the credit institution are available to cover the operational risk. The credit institution shall determine the amount of additional capital to cover operational risk if credit ratings in accordance with EU Regulation No. 575/2013 the estimated requirements for operational risk capital requirements are insufficient about the functioning of the credit institution in the inherent operational risk (such as a credit or an increase in assets or a new product, activity, process or systems). 38. the assessment of the credit institution in accordance with the KPI, the standardised or alternative standardised approach to calculate the operational risk capital requirements for compliance with its operational risk inherent in the transaction amount, take note: 38.1. the internally defined definition of operational risk. If the credit institution's internal needs in specific operational risk definition differs from the EU Regulation No. 575/2013 in certain definitions of operational risk, the credit institution shall ensure that existing differences are included to cover operational risk capital required in calculation; 23.7. managing operational risk, the methods used, i.e., a credit institution shall assess their compliance with the policy and procedures for the operation of the inherent operational risk and the effectiveness, such as the control elements used in the operational efficiency of loss prevention, continuity of operation plan effectiveness; 23.8. information about credit losses, operational event frequency of such accession, as well as the emergence of the causes and the measures taken to prevent their future accession. In order to ensure the accessibility of information, the credit institution collects data systematically on its operational losses arise, their extent, and other relevant information related to them. In addition to the credit institution can also take into account external data for credit institutions by the credit institution of similar operational loss and analyze such recurrence in a credit institution, as well as make comparisons with other credit institutions, which are similar in size and type of activity, calculated for operational risk capital requirements. 39. the credit institution shall take additional stress testing, based on the base scenario for the next 12 months, analyse the results and take them into account in determining the operational risk capital required to cover. Credit institution, conducting stress testing, analysing how they size of operational risk, income or ability to continue operations, such as: 24.3. potential changes in the operating environment; 24.4. the events of low probability, but accession a significant impact; 39.3. outsourced reception; 24.5. the gaps in information systems or damage information technology infrastructure; 24.5. the credit institution of cooperation an important client; 24.6. the significant disruption in the functioning of the credit institution; 24.7. possible penalties; 24.7. without adequate professional activities, such as the customer's interest does not apply the provision of financial services or products, conflict of interest situations, not the manipulation of standard interest rates, foreign exchange rates or any other financial instruments or indices for the purpose of increasing profits, financial services or products of the automatic renewal provision, etc.; 24.8. the credit institution's activities or all the essential parameters not comprehensive the use of models for decision-making, such as financial services or products cenošan, the valuation of the financial instruments. 40. a credit institution, which cover the operational risk capital needed for the calculation of the EU Regulation No. 575/2013 described the measurement approach, developed in accordance with this approach the estimated operational risk capital requirements about how to cover operational risk capital required also the capital adequacy assessment process. In order to ensure the assessment of operational risk, a credit institution shall at regular intervals carry out stress tests on the basis of the baseline scenario for the next 12 months, analyse the results and, if necessary, take them into account in determining the operational risk capital required to cover. 41. a credit institution, which cover the operational risk capital needed for the calculation of the use an internal model, method or approach, ensure that: 41.1. the internal model, method or approach is used in any of the generally accepted approaches (for example, loss distribution approach (the loss distribution approach), the scenario-based approach (scenario based approach) or risk factors and control approach (risk drivers and controls approach)); 41.2. the internal model, method, or approach the methodology used in its activity covers all the operational risk inherent in the various activities of the credit institution, geographic locations, legal entities or other relevant breakdowns, determined by the credit institution itself; 41.3. describes the internal model approach, methods or guidelines (concept), main parameters and assumptions; 25.7. the internal model is made, the methods or approaches, the action element, and the parameters of the test to assess the results of the internal model, methods or approaches to the safety of the operation and the reliability of results, as well as the tests and their results are documented; 25.8. analyse the internal model, developed methods or access restrictions and assumptions (e.g., correlation of assumptions), as well as the limitations and assumptions of the impact on operational risk capital required to cover the amount of calculation results and their reliability; 25.8. performing evaluation, or calculated to cover operational risk capital required is sufficient for all associated with the risk of potential loss. In addition to the credit institution shall take the stress test, based on the base scenario for the next 12 months, analyse the results and, if necessary, take them into account in determining the operational risk to cover necessary capital; 25.9. If a credit institution established internal pattern, method or approach calculated to cover operational risk capital required is less than under EU Regulation No 575/2013 estimated operational risk capital requirements for credit institutions, to cover the operational risk capital required is determined at least in accordance with EU Regulation No. 575/2013 estimated operational risk capital requirements.
2. pillar risks 42. Credit risk cover of pillar 2 requires the determination of capital evaluate its potential losses that may arise following the operation, the risks inherent in the t.sk. assess the potential losses from risks for which there is no single universally quantified risk methods of measurement. For this purpose, a credit institution according to the nature of its activities at least: 42.1. interest rate risk non-trading portfolio; 26.2. concentration risk; 26.3. the crime of money laundering and terrorist financing risks; 26.3. liquidity risk; 26.4. the rest of the business of credit institutions to the right to significant risks, t.sk. reputation risk, business model, risk and other risks.
Interest rate risk in the trading book 43. A credit institution subject to this provision, paragraph 16 and 17, determine the interest rate risk in the trading book to cover necessary capital, using one of the following approaches: 43.1. simplified method (this rule 44;) 43.2. the credit institution's internal model, developed by the method or approach. 44. in applying the simplified method for interest rate risk in the trading book to cover necessary capital: 44.1. a credit institution calculates the economic value of the reduction of sudden and unexpected changes in interest rates according to the interest rate risk; 44.2. a credit institution shall determine the interest rate risk in the trading book capital required to cover 100 percent of the credit institution's economic value reduction (interest-rate risk provisions in annex 2 Summary of 50. position "Not trading book interest rate risk-weighted value (total)" the absolute value of the amount). 45. If a credit institution does not interest-rate risk in the trading book to cover necessary capital used for the calculation of the credit institution's internal model, method or approach, the credit institution shall ensure that: 45.1. the internal model, method or approach to cover the credit transaction, the relevant interest rate risk the sources according to the interest rate risk (i.e., risk of changing prices (repricing risk), yield curve risk (yield curve risk), basis risk (basis risk) , check the risk (risk optionality)) and to assess the effects of changes in interest rates on credit institutions and its economic value; 45.2. the internal model, method, or approach a credit institution uses any of the generally recognized methods (for example, difference analysis (gap analysis), duration (duration) method, simulation techniques (simulation approaches), referred to the Basel Committee developed recommendations "approach and controversial questions (problems) in the economic capital systems" (the range of practices and issues in economic capital framework) 6); 45.3. the internal model, method or approach to cover all of the interest-rate sensitive does not change a trading portfolio assets, liabilities and off-balance-sheet positions in each relevant currency; 28.2. the internal model, method or approach is documented in the credit institution's internal regulatory documents, t.sk. Describes the interest rate risk or the internal model methods guidelines (concept), the main parameters (elements) and assumptions (for example, simulate the changes in interest rates, holding period, the confidence interval, the interval URu.tml.); 28.3. it is assessed and documented in the internal model used, methods or approaches, limitations and assumptions, as well as the limitations and assumptions of the impact on the reliability of results.
Concentration risk in credit institution 46. capital adequacy assessment process evaluates the concentration risk and concentration risk assessed to cover the necessary capital. 47. The concentration required to cover risk capital of a credit institution subject to this provision, paragraph 16 and 17 shall be determined using one of the following approaches: 29.3. simplified method (this rule 50-52;) 47.2. the credit institution's internal model, developed by the method or approach. 48. Taking into account that a considerable part of the concentration risk arising from credit institutions present in the portfolio of the credit institution shall assess at least loan concentration of exposures, URt.sk.: 29.9. correlate the client group and individual clients who are not involved in a group of related clients, exposure concentration (hereinafter individual concentration risk); 48.2. exposures to customers – one economic sector representatives (hereinafter referred to as the sectoral concentration risk); 48.3. the risk of the loan transaction currency differs from the client's income, the strength of the currency (the currency mismatch risk concentration); 30.1. indirect exposure to concentrations that result from exposures secured by collateral of the same type, or of exposures, where credit risk is reduced by applying one of the collateral, collateral (hereinafter – collateral concentration risk). 49. these provisions of the credit institution in its loan portfolio 50-52 represents the meaning of the credit institutions, to customers other than central Governments, central banks and credit institutions, local authorities, issued loans and off-balance-sheet obligations towards these clients (all together-credits). 50. these provisions of the credit-52 included in the calculation described in the amount which is not reduced to build stocks. Off-balance sheet liabilities to customers that rule 50 to 52 shall be included in the calculation described in not applying the correction. 50. The application of the simplified method in portfolio concentration risk cover necessary capital: 50.1. a credit institution shall determine the individual concentration risk cover necessary capital: 50.1.1. a credit institution shall determine the individual concentration index (hereinafter ICT), which is calculated using the following formula: = Σ SSKGE2 iki/(Σ SSKG) 2 * Σ/Σ SSKG IKE * 100, where SSKG – the total of the exposures by one group of related customer or client not involved in the group. The calculation takes into account only the 1000 largest exposures to interrelated customer group or customers who are not involved in the related client group. If a credit institution is less than 1 000 clients, all its customers to be included, IKE-credit portfolio total exposures; 50.1.2. individual concentration risk cover necessary capital of a credit institution shall determine the percentage of its loan portfolio in accordance with EU Regulation No. 575/2013 subject to the credit risk provisions calculated exposure risk weighted value amount multiplied by 8 percent (hereinafter credit risk in its loan portfolio to calculate capital requirements), depending on EVERY size, using the specified in table 1: table 1. Individual concentration risk cover necessary capital every individual concentrations required to cover risk capital (% of its loan portfolio to the calculated credit risk capital requirement) 0.0 0.1 < does not require EVERY < keep capital to cover the risk of 0.1 0.1 2 0.2 < < EVERY EVERY 0.4 0.4 < < 4 EVERY 6 1.0 1.0 < < < EVERY 8 5.0 5.0 < EVERY <