Mevzuat » ANNEX VIII - CREDIT RISK MITIGATION
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- ANNEX VIII - CREDIT RISK MITIGATION
- PART 1 - Eligibility
- 1. FUNDED CREDIT PROTECTION
- 2. UNFUNDED CREDIT PROTECTION
- 3. TYPES OF CREDIT DERIVATIVES
- PART 2 - Minimum Requirements
- 1. FUNDED CREDIT PROTECTION
- 1.1. On-balance sheet netting agreements (other than master netting agreements covering repurchase transactions, securities or commodities lending or borrowing transactions and/or other capital market-driven transactions).
- 1.2. Master netting agreements covering repurchase transactions and/or securities or commodities lending or borrowing transactions and/or other capital market driven transactions
- 1.3. Financial collateral
- 1.4. Minimum requirements for the recognition of real estate collateral
- 1.5. Minimum requirements for the recognition of receivables as collateral
- 1.6. Minimum requirements for the recognition of other physical collateral
- 1.7. Minimum requirements for treating lease exposures as collateralised
- 1.8. Minimum requirements for the recognition of other funded credit protection
- 2. UNFUNDED CREDIT PROTECTION AND CREDIT LINKED NOTES
- 2.1. Requirements common to guarantees and credit derivatives
- 2.2. Sovereign and other public sector counter-guarantees
- 2.3. Additional requirements for guarantees
- 2.4. Additional requirements for credit derivatives
- 2.5. Requirements to qualify for the treatment set out in Annex VII, Part 1, point 4
- 1. FUNDED CREDIT PROTECTION
- PART 3 - Calculating the effects of credit risk mitigation
- 1. FUNDED CREDIT PROTECTION
- 1.1. Credit linked notes
- 1.2. On-balance sheet netting
- 1.3. Master netting agreements covering repurchase transactions and/or securities or commodities lending or borrowing transactions and/or other capital market-driven transactions
- 1.3.1. Calculation of the fully-adjusted exposure value
- 1.3.2.Calculating risk-weighted exposure amounts and expected loss amounts for repurchase transactions and/or securities or commodities lending or borrowing transactions and/or other capital market-driven transactions covered by master netting agreements
- 1.4. Financial collateral
- 1.4.1. Financial Collateral Simple Method
- 1.4.2. Financial Collateral Comprehensive Method
- (a) Calculating adjusted values
- (b) Calculation of volatility adjustments to be applied
- (i) Supervisory volatility adjustments
- (ii) Own estimates of volatility adjustments
- Quantitative Criteria
- Qualitative Criteria
- (iii) Scaling up of volatility adjustments
- (iv) Conditions for applying a 0 % volatility adjustment
- (c) Calculating risk-weighted exposure amounts and expected loss amounts
- 1.5. Other eligible collateral for Articles 84 to 89
- 1.5.1. Valuation
- 1.5.2. Calculating risk-weighted exposure amounts and expected loss amounts
- 1.6. Calculating risk-weighted exposure amounts and expected loss amounts in the case of mixed pools of collateral
- 1.7. Other funded credit protection
- 2. UNFUNDED CREDIT PROTECTION
- 2.1. Valuation
- 2.2. Calculating risk-weighted exposure amounts and expected loss amounts
- 1. FUNDED CREDIT PROTECTION
- PART 4 - Maturity Mismatches
- PART 5 - Combinations of credit risk mitigation in the Standardised Approach
- PART 6 - Basket CRM techniques