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Analysis index

I

Circular 4/2004.2.ª
See details
- Credit institution branch offices with registered headquarters in the European Union 4/2004.2.ª3,AnII
- Credit institution branch offices with registered headquarters outside the European Union 4/2004.2.ª4
- Credit institutions with investments in associate institutions, jointly controlled groups or in both 4/2004.2.ª2
- Mandatory formulation of annual accounts 4/2004.2.ª1
- Also see
  - "Accountancy in Credit Institutions"
Circular 4/2004.3.ª
See details
- Classification of the credit institution groups 4/2004.3.ª5
- Consideration of credit institution group 4/2004.3.ª3
- Mandatory formulation and publication of annual accounts 4/2004.3.ª.2.6
- Parent institution voting rights 4/2004.3.ª4
- Purpose 4/2004.3.ª1
- Also see
  - "Accountancy in Credit Institutions"
Circular 4/2004.6.ª a 9.ª
See details
- Accounting policy 4/2004.8.ª
  - Applicable system 4/2004.8.ª1
  - Application of accounting policy not contemplated in the Circular 4/2004.8.ª3.4.5
  - Changes in accounting policy: Retro-activity 4/2004.8.ª6
    - Adjustments to amounts of earmarked elements 4/2004.8.ª8
    - Exceptions 4/2004.8.ª6
    - Scope of application 4/2004.8.ª7
  - Enquiries to the Banco de España 4/2004.8.ª2.3.4
  - International Financial Reporting Standards 4/2004.8.ª2
- Characteristics of the information 4/2004.7.ª
  - Clear 4/2004.7.ª1
  - Comparable 4/2004.7.ª2
  - Relevant 4/2004.7.ª4
  - Reliable 4/2004.7.ª3
- Component elements of the annual accounts 4/2004.9.ª
  - Assets 4/2004.9.ª2.6.7
  - Composition 4/2004.9.ª1
  - Equity 4/2004.9.ª4
  - Expenses 4/2004.9.ª9
  - Liabilities 4/2004.9.ª3.6.7
  - Profits or losses 4/2004.9.ª10
  - Revenues 4/2004.9.ª8
- Contents 4/2004.6.ª
  - Balance sheet 4/2004.6.ª1
  - Cash-flow statement 4/2004.6.ª1
  - Explanatory notes 4/2004.6.ª3
  - Formats 4/2004.6.ª.2,AnI,AnIII
  - Income statement 4/2004.6.ª1
  - Items and amounts: Comparative information of the current year and of that immediately preceding it 4/2004.6.ª4.5
  - Statement of changes in equity 4/2004.6.ª1
- Also see
  - "Accountancy in Credit Institutions"
Income statement
- Also see
  - "Financial statements: Contents"
Indivdual and Global Risk
- Also see
  - "Large risks Limits"
Individual or Subconsolidated Requirements
- Also see
  - "Capital: General requirements and other obligations pertaining to the Institutions"
Information on interest rates Circular 8/1990.2.ª
Information on risks
- Also see
  - "Central Credit Register"
Information Relevant to the Principle of Prudence Circular 3/2008.58ª.4 a),109ª
- Also see
  - "Reports to the Market"
Information with Relative Importance Circular 3/2008.109ª.5
- Also see
  - "Reports to the Market"
Institution for which reporting is mandatory Circular 3/2008.3ª.DT 2ª
- Also see
  - "Consolidable Credit Entity Group or Subgroup"
Institutions subject to Capital Requirements
See details
- "Institution": Concept 3/2008.1ª.3
- Branch offices in Spain of credit institutions with headquarters in third countries 3/2008.1ª.3.5.6
- Branch offices in Spain of licensed credit institutions in other countries in the European Economic Space 3/2008.1ª.5. DT1ª
- Consolidable credit institution groups and subgroups 3/2008.1ª.1.2ª.2.3.9
- Coordination Groups 3/2008.1ª.1, 2ª.2. d)
- Equivalent supervision system under consolidated basis 3/2008.1ª.2
- Financial Conglomerates and Mixed Groups 3/2008.1ª.4
- Financial institutions consolidable through their activity 3/2008.1.1
- Individual Spanish credit institutions 3/2008.1ª.1
- Investment: Concept 3/2008.1.1
- Parent institution domiciled in a third country of credit institutions domiciled in Spain or in the EU 3/2008.1ª.2
Interest rates for current account overdrafts Circular 8/1990.1.ª 1a),6.ª 3,8.ª 1a) 3,An.I
Interest rates on overlimits in savings accounts Circular 8/1990.1.ª 1c,8.ª 1a) 3,An.VI II.1
Internal accounting and management control Circular 4/2004.72.ª
See details
- Ancillary accounting 4/2004.72.ª2
- Control of the accounts representing custody activities 4/2004.72.ª9
- Criteria and procedures used for determining financial instrument fair value 4/2004.72.ª7
- Criteria for determining the classification and valuation of the different financial instruments 4/2004.72.ª6
- Custody of the original documentation concerning ''businesses in Spain'' 4/2004.72.ª10
- Establishment of cost accounting that provides sufficient information on all the aspects concerning the management of the business 4/2004.72.ª4
- Establishment of policies, methods and procedures concerning assets and risks and contingent commitments 4/2004.72.ª3
- Identification at the accounting basis of the various financial statements 4/2004.72.ª1
- Information available to the Banco de España and external auditors 4/2004.72.ª11
- Obligations of the entities which have financial instruments included in their trading portfolios 4/2004.72.ª8
- Also see
  - "Accountancy in Credit Institutions"
Internal Governance of Institutions and Self-assessment of the Internal Capital
See details
- Annual capital self-assessment report: Policies and procedures CBE Nª105ª.3,107ª.4
- Capital self-assessment process and report:
  - Contents of the Capital Self-Assessment Report and submission: Standards drawn up by the BE 3/2008.107ª.4
  - Institutions to which they are applicable 3/2008.107ª.1
  - Relevant risks: Measurement systems 3/2008.107ª.3
  - Spanish banking subsidiaries of consolidated credit institution groups with subsidiaries in third countries 3/2008.107ª.2
  - Supervisor guidelines for self-assessment of internal capital 3/2008.107ª.3.4,108ª.2
- Interest rate risk in the banking book
  - Additional rules 3/2008.106.2.3
  - Risk assessment and management procedures: Criteria set by BE 3/2008.105.2 v), 106ª
- Internal governance procedures: Requirements 3/2008.105ª
  - Distribution of functions and prevention of conflicts of interest 3/2008.105ª.2 a), b), e)
  - Documentation of the risk management and measurement policy 3/2008.105ª.2 c)
  - Independent control systems for group institution operations 3/2008.105ª.2 e)
  - Internal activity control systems 3/2008.105ª.2 b)
  - Reporting procedures for BE supervision 3/2008.105ª.2 f)
  - Risk assessment and control rules 3/2008.105ª.2 d)
  - Sound internal governance procedures: CBE Nª105ª.1
- Internal organisation, risk management and internal control
  - Delegation of rendering credit institution services or performance of their customary activities 3/2008.105ª.4
    - Credit institution agents 3/2008.105ª.4i)
    - Delegation of essential services 3/2008.105ª.4 a) b) y c)
    - Drafting and enforcement of an objective policy for appropriately managing the 2nd delegation of services by credit institutions 3/2008.105ª.4
    - Full compliance with the obligations arising from their licence and operations 3/2008.105ª.4 vi)
    - Limitations to the delegation of investment services by the Banco de España 3/2008.105ª.4
    - Non-reduction of internal control nor of the BE's supervisory powers 3/2008.105ª.4.iv)
    - Typical and customary activity 3/2008.105ª.4i)
- Rendering or delegation of investment services 3/2008.105ª.2b)
- Review and assessment by the Banco de España
  - Drafting of the capital adequacy compliance programme 3/2008.108ª.1
  - Guide to the supervisory review process 3/2008.108ª. 2
- Risk management policy
  - Concentration risk 3/2008.105.2d) ii)
  - Credit and counterparty risk 3/2008.105.2d) i)
  - Currency Risk 3/2008.105.2d) iv)
  - Interest rate risk deriving from non-trading activities 3/2008.105.2d) v)
  - Large risks 3/2008.105.2d) II)
  - Liquidity risk 3/2008.105.2d) vii)
  - Market risk 3/2008.105.2d) iv)
  - Operational Risk 3/2008.105.2d) vi)
  - Residual risk 3/2008.105.2d )i)
  - Securitisation risk 3/2008.105.2d) iii)
- Supervisor guidelines for self-assessment of internal capital CBE Nª107.3.4, 108.2
  - Also see
    - "Supervisor Guidelines"
Internal Models Approach (counterpartyy Risk)
See details
- Exposure value
  - Inclusion of collateral as risk mitigation technique 3/2008.75ª.5
  - Meaurement for each set of clearing operations 3/2008.75ª.4
  - Rules for calculating and applying the exposure value 3/2008.75ª.6 a 11
- General provisions Subsequent application
  - Alternative application of the approach 3/2008.75ª.1
  - Application of the approach to all the exposures and subsequently thereafter 3/2008.75ª.2
  - Express authorisation from the BE for each institution 3/2008.75ª.3
  - Non-application of the Standardised Approach nor the mark-to-market method, except under authorisation from the BE 3/2008.75ª.2
  - Plan of return to compliance or revocation of the authorisation 3/2008.75ª.3
- Minimum requirements for the Effective Expected Exposure models (EEO)
  - Compliance of operating standards CBE Nª 75ª.12
  - Control of counterpartyy risk
    - Documentation of the counterpartyy risk management system 3/2008.75ª.21
    - Government body: Involvement in the counterpartyy risk control process 3/2008.75ª.16
    - Independent surveys on the counterpartyy risk management system 3/2008.75ª.22
    - Market, liquidity, legal and operational risks associated with counterpartyy risk 3/2008.75ª.15
    - Measurement of the daily and intraday use of credit lines 3/2008.75ª.19
    - Programme of periodic stress tests 3/2008.75ª.20
    - Review of daily reports by senior management 3/2008.75ª.17
    - Risk control unit: Existence and functions 3/2008.75ª.13
    - Risk management processes and management systems 3/2008.75ª.14
    - Setting of internal limits to credit and trading risk exposure 3/2008.75ª.18
  - Integrity of the modelling process
    - Employment of up-to-date market data to estimate current exposure CBE Nª75ª.33
    - Legal certainty of the hedge based on collateral 3/2008.75ª.37
    - Reflection of the specifications and conditions of each operation 3/2008.75ª.32
    - Risk control and existence of processes to adjust the EEO estimate 3/2008.75ª.35
    - Submission of the model to a validation process 3/2008.75ª.34
    - Verification of the operation hedge by an enforceable clearing contract 3/2008.75ª.36
  - Proof of use
    - Incorporation of the spread of exposures in the daily counterpartyy risk management process 3/2008.75ª.23
    - Measurement of the exposure over the life of all the contracts included in the set of clearing operations 3/2008.75ª.27
    - Past records of the use of the models 3/2008.75ª.24
    - Systems for daily calculation of the EEO 3/2008.75ª.26
    - Use of the model as part of framework for counterpartyy risk management 3/2008.75ª.25
  - Stress test
    - Adverse correlation risk 3/2008.75ª.30.31
    - Assessment of capital adequacy for the counterpartyy risk 3/2008.75ª.28
    - Incorporation of stressed market risk and credit risk factors 3/2008.75ª.29
- Validation requirments for the EEO models 3/2008.75ª.38
- Also see
Internal Models Approach (Trading Portfolio Risk)
See details
- Capital requirements in the event of using internal models
  - Capital amount: 3/2008.94ª.1
  - Daily calculation of excesses 3/2008.94ª.3
  - Surcharges according to the number of excesses observed 3/2008.94ª.2
- Requirements for employment of internal models
  - Calculation of the value at risk 3/2008.93ª.4
  - Existence of the risk management system: Requirements 3/2008.93ª.1
  - Incremental risk of default 3/2008.93ª.7
  - Internal model validation by qualified staff 3/2008.93ª.3
  - Model for specific price risk from positions in instruments on fixed-income securities and traded shares or which have these as their undelying asset 3/2008.93ª.6.DT 12ª
  - Risk factors according to the volume of activity 3/2008.93ª.5
  - Verification of the model accuracy and functioning: The BE requirement of back testing 3/2008.93ª.2
- Use of internal models Authorisation from the Banco de España
  - Credit institutions with a significant level of activity in positions included in the trading portfolio 3/2008.92ª.1
  - Express authorisation from the BE 3/2008.92ª.2
  - Plan for return of compliance to the requirements proposed to the BE 3/2008.92ª.3
  - Revocation of the authorisation by the BE 3/2008.92ª.3
  - Use of standardised approaches 3/2008.92ª.4
- Also see
  - "Price Risk (Trading Portfolio Risk)"
  - "Settlement and Delivery Risk (Trading Portfolio Risk)"
International financial transactions
- Also see
IRB Approach General Provisions (Credit Risk)
See details
- BE authorisation for use of this approach
  - Express authorisation for each institution 3/2008.22ª.4
  - Plan for return to compliance before the BE, if the requirements are not fulfilled 3/2008.22ª.5
  - Previous use of consistent rating systems: Temporary curtailment by the BE 3/2008.22ª.3.DT9ª.10ª
  - Revocation of the authorisation by the BE 3/2008.22ª.5
  - Use of the IRB Approach, own estimates of LGD or conversion factors 3/2008.22ª.1.2.32ª.DT8ª
- Exposure categories and specific rules
  - Additional criteria laid down by the BE for exposure assignment CBE Nª.23ª
  - Corporations Category 3/2008.23ª.7.9
  - Financial leasing as retail exposure: Rules laid down by the BE 3/2008.23ª.4
  - General assignment of categories 3/2008.23ª.1
  - Methodology suitable and coherent over time for category assignment in keeping with BE dispositions 3/2008.23ª.13
  - Other non-financial assets 3/2008.23ª.12
  - Receivables acquired by a credit institution 3/2008.23ª.8
  - Recoverable discounts on the purchase price of the receivables acquired 3/2008.23ª.10
  - Securitisation positions 3/2008.23ª.11
  - Specific assignment to the Central Governments and Central Banks category
    - To multilateral development banks: BE conditions 3/2008.16ª.16.17,23ª.2b)
    - To regional regional governments and local authorities or public sector entities 3/2008.23ª.2 a)
  - Specific assignment to the Equity category 3/2008.23ª.6
  - Specific assignment to the Institutions category
    - To credit entities and investment firms 3/2008.23ª.3 a)
    - To multilateral development banks: BE conditions 3/2008.16ª.16,23ª.3 d)
    - To public sector entities 3/2008.23ª.3 c)
    - To regional governments and local authorities 3/2008.23ª.3 b)
  - Specific assignment to the retail customers category 3/2008.23ª.4.5
- Target scope
  - Application of the approach to all exposures 3/2008.24ª.1
  - Categories and exposures for subsequent application of the with, after prior authorisation from the BE 3/2008.24ª.2.3
  - Own estimates of loss given default and of conversion factors 3/2008.24ª.1
  - Prohibition of the use of the Standardised Approach, except under authorisation of the BE 3/2008.24ª.1
  - Requirements laid down by the BE for use of the IRB Approach 3/2008.22ª.30ª a 35ª
  - Subsidiary use of the Standardised Approach: BE requirements 3/2008.24ª.4
- Also see
IRB Approach Risk Measurement (Credit Risk)
See details
- Calculation and treatment of expected losses
  - Calculation of expected losses
    - Exposures to CIIs 3/2008.26ª.8
    - Gentral Governments and Central Banks, Institutions, Corporations, Retail customers and Equity Categories 3/2008.26ª.1 a 7.
  - Treatment of expected losses 3/2008.26ª.9
- Calculation of the weighted credit risk exposures
  - Calculation of the weighted credit risk exposures
    - Equity exposures
      - General provisions 3/2008.25ª.17.18
      - Internal models approach 3/2008.25ª.25.26
      - PD /LGD Approach 3/2008.25ª.22 a 24
      - Simple risk weighting approach 3/2008.25ª.19 a 21
    - Exposures to central governments, central banks, institutions and corporations 3/2008.25ª.6 a 11
    - Exposures to CIIs that do not fulfil the conditions Rules laid down by the BE 3/2008.25ª.28 a 30
    - Exposures to CIIs that fulfil the conditions 3/2008.25ª.27
    - Exposures to other assets that are non-financial assets 3/2008.25ª.31
    - Exposures to retail customers 3/2008.25.12 a 16
    - Specialised financing exposure 3/2008.25ª,3 b).9
  - General provisions
    - Calculation for the equity category 3/2008.25ª.3 a).19 a 26
    - Calculation rules for all the categories determined by the BE, except for Securitisations 3/2008.25ª.1
    - Central governments, central banks, corporations, institutions category 3/2008.25ª.4
    - Retail customers Category 3/2008.25ª.5
    - Risk parameters 3/2008.25ª.2
    - Securitisation positions 3/2008.25ª.1
    - Specialised financing exposures BE rules 3/2008.25ª.3 b).9
- Risk parameters (PD), (LGD) and (M)
  - Application of the risk parameters 3/2008.27ª.1
  - Equity exposures subject to the PD/LGD Approach
    - Loss given default (LGD) 3/2008.27ª.19
    - Maturity (M) 3/2008.27ª.20
    - Probability of default (PD) 3/2008.27ª.18
  - Exposures to central governments, central banks, institutions and corporations
    - Loss given default (LGD) 3/2008.27ª.5 a 8.DT 6ª
    - Maturity (M) 3/2008.27ª.9 a 12
    - Probability of default (PD) 3/2008.27ª.2 a 4
  - Exposures to retail customerss
    - Loss given default (LGD) 3/2008.27ª.15 a 17. DT 7ª
    - Probability of default (PD) 3/2008.27ª.13.14
- Treatment of dilution risk of the receivables acquired
  - Concept of risk dilution 3/2008.29ª.1
  - Risk weighted exposures, estimation of risk parameters and calculation of expected losses 3/2008.29ª.2 a 6
- Value of the exposure at default (EAD)
  - Equity exposures 3/2008.28ª.11
  - Exposures to central governments, central banks, institutions, corporations and retail customers
    - Compensation framework agreements in operations with repo commitments, securities lending or commodities 3/2008.28ª.2
    - Derivative instruments 3/2008.28ª.4
    - Determination of the exposure value 3/2008.28ª.1
    - Enlargement of another commitment 3/2008.28ª.9
    - Exposures subject to credit risk that are pending settlement before a central counterparty institution 3/2008.28ª.7
    - Financial leases 3/2008.28ª.3
    - Off-balance sheet items 3/2008.28ª.10
    - Receivables acquired by the credit institution 3/2008.28ª.5
    - Securities or commodities sold, delivered or lent 3/2008.28ª.6
    - Unused purchase options on receivables acquired, uncompromised credit lines, short-term letters of credit and other credit lines 3/2008.28ª.8
  - Other assets that are not financial assets 3/2008.28ª.12
- Also see
IRB Approach: Minimum Requirements (Credit Risk)
See details
- Corporate Governance and internal control
  - Corporate Governance
    - Competencies and functions 3/2008.35ª.1
      - Knowledge of the design and running of the rating systems 3/2008.35ª.3
      - Minimum contents of management reports 3/2008.35ª.4
      - Reports to the administration body on the rating system functioning policies 3/2008.35ª.2
  - Credit risk control unit
    - Activity outsourcing when grouped data is used 3/2008.35ª.8
    - Competences 3/2008.35ª.6
    - Independence and functions 3/2008.35ª.5
    - Internal separation of competences 3/2008.35ª.7
    - Rating system design and selection 3/2008.35ª. 5
  - Internal Audit 3/2008.35ª.9
- Equity exposures according to the internal models approach
  - Calculation of the capital requirements and the quantification of the risk 3/2008.34ª.1
  - Risk management process and controls 3/2008.34ª.2
  - Validation and documentation
    - Approaches and data used coherent over time 3/2008.34ª.5
    - Assessment and functioning of models and internal processes 3/2008.34ª.4
    - Documentation of the internal model and the modelling process 3/2008.34ª.9
    - Periodic comparison of the equity portfolio yields with the estimates obtained form the models 3/2008.34ª.6
    - Resolution of doubts concerning the validity of the estimates or derivatives obtained from the models 3/2008.34ª.8
    - System for validation of the internal models and the modelling process 3/2008.34ª.3
    - Use of other quantitative validation tools and comparisons with external databases 3/2008.34ª.7
- Internal validation of estimations
  - Approaches and data used coherent over time 3/2008.33ª.4
  - Employment of other quantitative validation instruments 3/2008.33ª.3
  - Internal regulations for estimates that prove of doubtful validity 3/2008.33ª.5
  - Periodic comparison of the effective default rates with the PD estimations for each grade 3/2008.33ª.2
  - Systems for validating procedures and rating systems 3/2008.33ª.1
- Rating systems
  - Assignment of exposure grades or batches
    - Definitions, criteria and processes for assigning debtors and exposures 3/2008.31ª.16
    - Exposures to central governments and central banks, institutions and corporations 3/2008.31ª.18 a 21
    - Exposures to retail customers 3/2008.31ª.22 a 24
    - Forced assignments 3/2008.31ª.25
    - Pertinent information for assigning debtors and exposures 3/2008.31ª.17
  - Authorisation: Features and minimum requirements
    - Essential role of the systems in risk management and decision-making 3/2008.31ª.2
    - Existence of adequate rating systems to measure credit and dilution risks 3/2008.31ª.1
    - Periodic review of the criteria and procedures assigning debtors and operations 3/2008.31ª.4
    - Use of different rating systems 3/2008.31ª.3
  - Data maintenance
    - Exposures to central governments, central banks, institutions and corporations
      - Collection of information by credit institutions 3/2008.31ª.37
      - Collection of information from credit institutions authorised to use their own LGD estimates or conversion factors 3/2008.31ª.38
    - Exposures to retail customers 3/2008.31ª.39
    - Storage of data to report to the market 3/2008.31ª.36
  - Documentation of the rating systems
    - Fairness and analysis of the criteria employed 3/2008.31ª.32
    - Model acquired from a third party 3/2008.31ª.35
    - Rating system design and operating details 3/2008.31ª.31
    - Specific definitions of default and loss 3/2008.31ª.33
    - Statistical models 3/2008.31ª.34
  - Integrity of the assignment process
    - Exposures to central governments, central banks, institutions and corporations
      - Making grade assignments and their periodic review by independent staff 3/2008.31ª.26
      - Procedure for obtaining and updating pertinent information on the features of debtors that affect the PD 3/2008.31ª.28
      - Updating of assignments at least once a year 3/2008.31ª.27
    - Exposures to retail customers 3/2008.31ª.29
  - Rating system structure
    - Direct estimates of the risk parameters and results of grades on a continuous rating scale 3/2008.31ª.5
    - Exposures to central governments, central banks, institutions and corporations
      - "Debtor grade" concept 3/2008.31ª.8
      - "Exposure grade" concepts 3/2008.31ª.11
      - Debtor rating scale that reflects the quantification of the debtor's default risk 3/2008.31ª.7
      - Exposure rating scale that reflects the features associated with the LGD of the operations 3/2008.31ª.10
      - Features of debtor and operation risk 3/2008.31ª.6
      - High concentrations of debtors in certain grades 3/2008.31ª.9
      - High concentrations within one same exposure grade 3/2008.31ª.12
      - Specific rating scale of debtors for specialised financing exposures 3/2008.31ª.13
    - Exposures to retail customers
      - Excessive concentrations of exposures and debtors by grade and exposure batches 3/2008.31ª.15
      - Risk features of the debtors and of the operations 3/2008.31ª.14
  - Stress tests used to assess capital adequacy
    - Assessment of capital adequacy 3/2008.31ª.40
    - Impact of the credit quality impairment of the protection suppliers 3/2008.31ª.42
    - Periodic stress tests 3/2008.31.41
  - Use of models 3/2008.31ª.30
- Risk measurement
  - Definition of default
    - Adequate equivalence with the definition of default 3/2008.32ª.4
    - Consideration of default 3/2008.32ª.2
    - Days past-due of exposures to retail customers and public sector entities for the purposes of default 3/2008.32ª.6
    - Exposure in default that has ceased to be so 3/2008.32ª.5
    - Indicators of the existence of reasonable doubts of debtor performance 3/2008.32ª.3
  - General requirements for monitoring risk parameters
    - Breakdown of loss experienced in terms of default 3/2008.32ª.8
    - Comparison of exisitjng criteria used previously in the estimations with the current ones from credit institutions 3/2008.32ª.10
    - Flexibility in using the current rules on previous data 3/2008.32ª.14
    - Incorporation of all the pertinent data, information and methods 3/2008.32ª.7
    - Probable range of estimation errors 3/2008.32ª.12
    - Receivables acquired 3/2008.32ª.11
    - Review of estimates due to the existence of new information 3/2008.32ª.9
    - Use of different estimates for weightings and for other purposes 3/2008.32ª.13
    - Use of grouped data from various credit institutions 3/2008.32ª.15.16
  - Minimum requirements applicable to the receivables acquired
    - Effectiveness of the collateral, credit and cash availability control systems 3/2008.32ª.62
    - Effectiveness of the monitoring systems 3/2008.32ª.60
    - Effectiveness of the verification systems 3/2008.32ª.61
    - Legal certainty 3/2008.32ª.59
    - Observance of the credit institution's internal policies and procedures 3/2008.32ª.63
  - Minimum requirements to value the effects of the personal collateral in the form of contingent guarantees and credit derivatives
    - Adjustment criteria 3/2008.32ª.55.56
    - Admissible underwriters and personal collateral 3/2008.32ª.52 a 54
    - Credit derivatives 3/2008.32ª.57.58
    - Exposures to central governments and central banks, institutions and corporations when own LGD estimates are used and exposures to retail customers 3/2008.32ª.50.51
  - Risk quantification 3/2008.32ª.1
  - Specific requirement for own LGD estimates
    - Conservative treatment of the gap in foreign currencies between the underlying obligation and the collateral 3/2008.32ª.31
    - Dependence existing between debtor risk and the collateral or the underwriter 3/2008.32ª.30
    - Estimation of an LGD for each exposure grade or series of exposures 3/2008.32ª.28
    - Exposures in default 3/2008.32ª.34
    - Exposures to central governments and central banks, institutions and corporations 3/2008.32ª.36
    - Late payment interest and fees and commissions for non-payment or payment demands 3/2008.32ª.35
    - LGD estimations appropriate for an economic slowdown when they are more conservative than long-term averages 3/2008.32ª.29
    - Non-consideration of the amounts forecast for collateral recovery 3/2008.32ª.33
    - Precautions in the management and settlement of collateral 3/2008.32ª.32
    - Retail customer exposures 3/2008.32ª.37 a 40. DT 11ª
  - Specific requirements in PD calculations
    - Exposures to central governments, central banks, institutions and corporations
      - Estimates obtained according to the criteria used by the institution 3/2008.32ª.18
      - Estimation of a PD for debtor grade 3/2008.32ª.17
      - Historical observation period used for a database 3/2008.32ª.22.DT 11ª
      - Receiveables acquired against corporations 3/2008.32ª.21
      - Translation of the default rate observed in the external institution grades to those defined internally 3/2008.32ª.19
      - Use of statistical models for predicting default 3/2008.32ª.20
    - Retail customer exposures
      - Analysis of the changes in the risk parameters throughout the credit risks 3/2008.32ª.27
      - Estimation of a PD for each grade or series of exposures from long-term measurements of yearly default rates 3/2008.32ª.23
      - Historical observation period used for a database 3/2008.32ª.26.DT 11ª
      - Process for estimating total losses 3/2008.32ª.25
      - Use of grouped or statistical data 3/2008.32ª.24
      - Use of internal data as the primary information source for estimating losses 3/2008.32ª.24
  - Specific requirements of own estimations of the conversion factors
    - Accounts and payment processing monitoring 3/2008.32ª.44
    - Daily control of unmatured balances 3/2008.32ª.45
    - Documentation of the use of estimations different to the conversion factors 3/2008.32ª.46
    - Estimation of a conversion factor for each exposure grade or batch of exposures 3/2008.32ª.41
    - Estimations appropiate for an economic slowdown when they are more conservative than the long-term averages CBE Nª32ª.42
    - Exposures to central governments and central banks, institutions and corporations 3/2008.32ª.47
    - Possibility of additional cash draw downs by the debtor before and after default 3/2008.32ª.43
    - Retail customer exposures 3/2008.32ª.48.49. DT 11ª
- Also see
IRB Approach: Securitisation (Credit Risk)
See details
- Credit risk mitigation in securitsation positions
  - Modification of risk weighted positions
    - External ratings based approach (RBA) 3/2008.61ª.26
    - Supervisor formula based Approach (SFA)-total protection 3/2008.61ª.27 a 29.
    - Supervisor formula based Approach SFA-partial protection 3/2008.61ª.30.31
  - Protection with credit risk hedging via collateral or similar instruments 3/2008.61ª.24
  - Protection with credit risk hedging via personal collateral 3/2008.61ª.25
- General provisions
  - Applicable approaches: Use and order of preference
    - Approach classes 3/2008.61ª.1
    - External ratings based approach (RBA) 3/2008.61ª.2
    - Risk weighting of 1.250% for non-application of approaches 3/2008.61ª.4
    - Supervisor Formula Approach (SFA) or Internal Assessment Approach (IAA) 3/2008.61ª.3
  - Maximum amount of risk weighted exposures 3/2008.61ª.7
  - Particular treatment of securitisation positions rated in the top preference tranche 3/2008.61ª.5
  - Use of inferred credit ratings 3/2008.61ª.6
- Positions not rated
  - Internal Assessment Approach (IAA) 3/2008.61ª.13.14
  - Particular treatment of lines of liquidity admissible without rating
    - Conditions governing admissibility 3/2008.61ª.18
    - Exceptional treatment of liquidity lines when it is not possible to calculate the Kirb 3/2008.61ª.21 a 23
    - Liquidity lines admissible in the event of shocks across the board in the markets and liquidity advances 3/2008.61ª.19.20
  - Supervisor Formula Approach (SF) 3/2008.61ª.15.16.17
- Rated positions: External ratings based approach (RBA) 3/2008.61ª.8 a 12
- Reduction of risk weighted positions 3/2008.61ª.32 a 35
- Also see
  - "Standardised Approach Securitisation (Credit Risk)"

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