-
- Credit institution branch offices with registered headquarters in the European Union4/2004.2.ª3,AnII
- Credit institution branch offices with registered headquarters outside the European Union4/2004.2.ª4
- Credit institutions with investments in associate institutions, jointly controlled groups or in both4/2004.2.ª2
- Mandatory formulation of annual accounts4/2004.2.ª1
- Also see
-
- Classification of the credit institution groups4/2004.3.ª5
- Consideration of credit institution group4/2004.3.ª3
- Mandatory formulation and publication of annual accounts4/2004.3.ª.2.6
- Parent institution voting rights4/2004.3.ª4
- Purpose4/2004.3.ª1
- Also see
-
- Accounting policy4/2004.8.ª
- Applicable system4/2004.8.ª1
- Application of accounting policy not contemplated in the Circular4/2004.8.ª3.4.5
- Changes in accounting policy: Retro-activity4/2004.8.ª6
- Adjustments to amounts of earmarked elements4/2004.8.ª8
- Exceptions4/2004.8.ª6
- Scope of application4/2004.8.ª7
- Enquiries to the Banco de España4/2004.8.ª2.3.4
- International Financial Reporting Standards4/2004.8.ª2
- Component elements of the annual accounts4/2004.9.ª
- Assets4/2004.9.ª2.6.7
- Composition4/2004.9.ª1
- Equity4/2004.9.ª4
- Expenses4/2004.9.ª9
- Liabilities4/2004.9.ª3.6.7
- Profits or losses4/2004.9.ª10
- Revenues4/2004.9.ª8
- Contents4/2004.6.ª
- Balance sheet4/2004.6.ª1
- Cash-flow statement4/2004.6.ª1
- Explanatory notes4/2004.6.ª3
- Formats4/2004.6.ª.2,AnI,AnIII
- Income statement4/2004.6.ª1
- Items and amounts: Comparative information of the current year and of that immediately preceding it4/2004.6.ª4.5
- Statement of changes in equity4/2004.6.ª1
- Characteristics of the information4/2004.7.ª
- Clear4/2004.7.ª1
- Comparable4/2004.7.ª2
- Relevant4/2004.7.ª4
- Reliable4/2004.7.ª3
- Also see
- Accounting policy4/2004.8.ª
- Income statement
- Also see
- Indivdual and Global Risk
- Also see
- Individual or Subconsolidated Requirements
- Information on interest ratesCircular Circular 8/1990.2.ª
- Information on risks
- Also see
- Information Relevant to the Principle of PrudenceCircular Circular 3/2008.58ª.4 a),109ª
- Also see
- Information with Relative ImportanceCircular Circular 3/2008.109ª.5
- Also see
- Institution for which reporting is mandatoryCircular Circular 3/2008.3ª.DT 2ª
- Institutions subject to Capital Requirements
- "Institution": Concept3/2008.1ª.3
- Branch offices in Spain of credit institutions with headquarters in third countries3/2008.1ª.3.5.6
- Branch offices in Spain of licensed credit institutions in other countries in the European Economic Space3/2008.1ª.5. DT1ª
- Consolidable credit institution groups and subgroups3/2008.1ª.1.2ª.2.3.9
- Coordination Groups3/2008.1ª.1, 2ª.2. d)
- Equivalent supervision system under consolidated basis3/2008.1ª.2
- Financial Conglomerates and Mixed Groups3/2008.1ª.4
- Financial institutions consolidable through their activity3/2008.1.1
- Individual Spanish credit institutions3/2008.1ª.1
- Investment: Concept3/2008.1.1
- Parent institution domiciled in a third country of credit institutions domiciled in Spain or in the EU3/2008.1ª.2
- Interest rates for current account overdraftsCircular Circular 8/1990.1.ª 1a),6.ª 3,8.ª 1a) 3,An.I
- Interest rates on overlimits in savings accountsCircular Circular 8/1990.1.ª 1c,8.ª 1a) 3,An.VI II.1
- Internal accounting and management control
- Ancillary accounting4/2004.72.ª2
- Control of the accounts representing custody activities4/2004.72.ª9
- Criteria and procedures used for determining financial instrument fair value4/2004.72.ª7
- Criteria for determining the classification and valuation of the different financial instruments4/2004.72.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 business4/2004.72.ª4
- Establishment of policies, methods and procedures concerning assets and risks and contingent commitments4/2004.72.ª3
- Identification at the accounting basis of the various financial statements4/2004.72.ª1
- Information available to the Banco de España and external auditors4/2004.72.ª11
- Obligations of the entities which have financial instruments included in their trading portfolios4/2004.72.ª8
- Also see
- Internal Governance of Institutions and Self-assessment of the Internal Capital
- Annual capital self-assessment report: Policies and proceduresCBE Nª105ª.3,107ª.4
- Capital self-assessment process and report:
- Contents of the Capital Self-Assessment Report and submission: Standards drawn up by the BE3/2008.107ª.4
- Institutions to which they are applicable3/2008.107ª.1
- Relevant risks: Measurement systems3/2008.107ª.3
- Spanish banking subsidiaries of consolidated credit institution groups with subsidiaries in third countries3/2008.107ª.2
- Supervisor guidelines for self-assessment of internal capital3/2008.107ª.3.4,108ª.2
- Interest rate risk in the banking book
- Additional rules3/2008.106.2.3
- Risk assessment and management procedures: Criteria set by BE3/2008.105.2 v), 106ª
- Internal governance procedures: Requirements3/2008.105ª
- Distribution of functions and prevention of conflicts of interest3/2008.105ª.2 a), b), e)
- Documentation of the risk management and measurement policy3/2008.105ª.2 c)
- Independent control systems for group institution operations3/2008.105ª.2 e)
- Internal activity control systems3/2008.105ª.2 b)
- Reporting procedures for BE supervision3/2008.105ª.2 f)
- Risk assessment and control rules3/2008.105ª.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 activities3/2008.105ª.4
- Credit institution agents3/2008.105ª.4i)
- Delegation of essential services3/2008.105ª.4 a) b) y c)
- Drafting and enforcement of an objective policy for appropriately managing the 2nd delegation of services by credit institutions3/2008.105ª.4
- Full compliance with the obligations arising from their licence and operations3/2008.105ª.4 vi)
- Limitations to the delegation of investment services by the Banco de España3/2008.105ª.4
- Non-reduction of internal control nor of the BE's supervisory powers3/2008.105ª.4.iv)
- Typical and customary activity3/2008.105ª.4i)
- Delegation of rendering credit institution services or performance of their customary activities3/2008.105ª.4
- Rendering or delegation of investment services3/2008.105ª.2b)
- Review and assessment by the Banco de España
- Drafting of the capital adequacy compliance programme3/2008.108ª.1
- Guide to the supervisory review process3/2008.108ª. 2
- Risk management policy
- Concentration risk3/2008.105.2d) ii)
- Credit and counterparty risk3/2008.105.2d) i)
- Currency Risk3/2008.105.2d) iv)
- Interest rate risk deriving from non-trading activities3/2008.105.2d) v)
- Large risks3/2008.105.2d) II)
- Liquidity risk3/2008.105.2d) vii)
- Market risk3/2008.105.2d) iv)
- Operational Risk3/2008.105.2d) vi)
- Residual risk3/2008.105.2d )i)
- Securitisation risk3/2008.105.2d) iii)
- Supervisor guidelines for self-assessment of internal capitalCBE Nª107.3.4, 108.2
- Also see
- Internal Models Approach (counterpartyy Risk)
- Exposure value
- Inclusion of collateral as risk mitigation technique3/2008.75ª.5
- Meaurement for each set of clearing operations3/2008.75ª.4
- Rules for calculating and applying the exposure value3/2008.75ª.6 a 11
- General provisions Subsequent application
- Alternative application of the approach3/2008.75ª.1
- Application of the approach to all the exposures and subsequently thereafter3/2008.75ª.2
- Express authorisation from the BE for each institution3/2008.75ª.3
- Non-application of the Standardised Approach nor the mark-to-market method, except under authorisation from the BE3/2008.75ª.2
- Plan of return to compliance or revocation of the authorisation3/2008.75ª.3
- Minimum requirements for the Effective Expected Exposure models (EEO)
- Compliance of operating standardsCBE Nª 75ª.12
- Control of counterpartyy risk
- Documentation of the counterpartyy risk management system3/2008.75ª.21
- Government body: Involvement in the counterpartyy risk control process3/2008.75ª.16
- Independent surveys on the counterpartyy risk management system3/2008.75ª.22
- Market, liquidity, legal and operational risks associated with counterpartyy risk3/2008.75ª.15
- Measurement of the daily and intraday use of credit lines3/2008.75ª.19
- Programme of periodic stress tests3/2008.75ª.20
- Review of daily reports by senior management3/2008.75ª.17
- Risk control unit: Existence and functions3/2008.75ª.13
- Risk management processes and management systems3/2008.75ª.14
- Setting of internal limits to credit and trading risk exposure3/2008.75ª.18
- Integrity of the modelling process
- Employment of up-to-date market data to estimate current exposureCBE Nª75ª.33
- Legal certainty of the hedge based on collateral3/2008.75ª.37
- Reflection of the specifications and conditions of each operation3/2008.75ª.32
- Risk control and existence of processes to adjust the EEO estimate3/2008.75ª.35
- Submission of the model to a validation process3/2008.75ª.34
- Verification of the operation hedge by an enforceable clearing contract3/2008.75ª.36
- Proof of use
- Incorporation of the spread of exposures in the daily counterpartyy risk management process3/2008.75ª.23
- Measurement of the exposure over the life of all the contracts included in the set of clearing operations3/2008.75ª.27
- Past records of the use of the models3/2008.75ª.24
- Systems for daily calculation of the EEO3/2008.75ª.26
- Use of the model as part of framework for counterpartyy risk management3/2008.75ª.25
- Stress test
- Adverse correlation risk3/2008.75ª.30.31
- Assessment of capital adequacy for the counterpartyy risk3/2008.75ª.28
- Incorporation of stressed market risk and credit risk factors3/2008.75ª.29
- Validation requirments for the EEO models3/2008.75ª.38
- Also see
- Exposure value
- Internal Models Approach (Trading Portfolio Risk)
- Capital requirements in the event of using internal models
- Capital amount:3/2008.94ª.1
- Daily calculation of excesses3/2008.94ª.3
- Surcharges according to the number of excesses observed3/2008.94ª.2
- Requirements for employment of internal models
- Calculation of the value at risk3/2008.93ª.4
- Existence of the risk management system: Requirements3/2008.93ª.1
- Incremental risk of default3/2008.93ª.7
- Internal model validation by qualified staff3/2008.93ª.3
- Model for specific price risk from positions in instruments on fixed-income securities and traded shares or which have these as their undelying asset3/2008.93ª.6.DT 12ª
- Risk factors according to the volume of activity3/2008.93ª.5
- Verification of the model accuracy and functioning: The BE requirement of back testing3/2008.93ª.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 portfolio3/2008.92ª.1
- Express authorisation from the BE3/2008.92ª.2
- Plan for return of compliance to the requirements proposed to the BE3/2008.92ª.3
- Revocation of the authorisation by the BE3/2008.92ª.3
- Use of standardised approaches3/2008.92ª.4
- Also see
- Capital requirements in the event of using internal models
- International financial transactions
- Also see
- "Bank notes and banker's bearer cheques: Operations"
- "Bank notes, coins and bills: Sending to and receiving from abroad"
- "Non-resident accounts in foreign currencies open in Spain"
- "Non-resident accounts open in Spain"
- "Operations and balances: Statement of foreign assets and liabilities in tradeable securities"
- "Resident account holders of overseas accounts"
- "Residents and non-residents: Notification of operations"
- Also see
- IRB Approach General Provisions (Credit Risk)
- BE authorisation for use of this approach
- Express authorisation for each institution3/2008.22ª.4
- Plan for return to compliance before the BE, if the requirements are not fulfilled3/2008.22ª.5
- Previous use of consistent rating systems: Temporary curtailment by the BE3/2008.22ª.3.DT9ª.10ª
- Revocation of the authorisation by the BE3/2008.22ª.5
- Use of the IRB Approach, own estimates of LGD or conversion factors3/2008.22ª.1.2.32ª.DT8ª
- Exposure categories and specific rules
- Additional criteria laid down by the BE for exposure assignmentCBE Nª.23ª
- Corporations Category3/2008.23ª.7.9
- Financial leasing as retail exposure: Rules laid down by the BE3/2008.23ª.4
- General assignment of categories3/2008.23ª.1
- Methodology suitable and coherent over time for category assignment in keeping with BE dispositions3/2008.23ª.13
- Other non-financial assets3/2008.23ª.12
- Receivables acquired by a credit institution3/2008.23ª.8
- Recoverable discounts on the purchase price of the receivables acquired3/2008.23ª.10
- Securitisation positions3/2008.23ª.11
- Specific assignment to the Central Governments and Central Banks category
- To multilateral development banks: BE conditions3/2008.16ª.16.17,23ª.2b)
- To regional regional governments and local authorities or public sector entities3/2008.23ª.2 a)
- Specific assignment to the Equity category3/2008.23ª.6
- Specific assignment to the Institutions category
- To credit entities and investment firms3/2008.23ª.3 a)
- To multilateral development banks: BE conditions3/2008.16ª.16,23ª.3 d)
- To public sector entities3/2008.23ª.3 c)
- To regional governments and local authorities3/2008.23ª.3 b)
- Specific assignment to the retail customers category3/2008.23ª.4.5
- Target scope
- Application of the approach to all exposures3/2008.24ª.1
- Categories and exposures for subsequent application of the with, after prior authorisation from the BE3/2008.24ª.2.3
- Own estimates of loss given default and of conversion factors3/2008.24ª.1
- Prohibition of the use of the Standardised Approach, except under authorisation of the BE3/2008.24ª.1
- Requirements laid down by the BE for use of the IRB Approach3/2008.22ª.30ª a 35ª
- Subsidiary use of the Standardised Approach: BE requirements3/2008.24ª.4
- Also see
- BE authorisation for use of this approach
- IRB Approach Risk Measurement (Credit Risk)
- Calculation and treatment of expected losses
- Calculation of expected losses
- Exposures to CIIs3/2008.26ª.8
- Gentral Governments and Central Banks, Institutions, Corporations, Retail customers and Equity Categories3/2008.26ª.1 a 7.
- Treatment of expected losses3/2008.26ª.9
- Calculation of expected losses
- Calculation of the weighted credit risk exposures
- Calculation of the weighted credit risk exposures
- Equity exposures
- General provisions3/2008.25ª.17.18
- Internal models approach3/2008.25ª.25.26
- PD /LGD Approach3/2008.25ª.22 a 24
- Simple risk weighting approach3/2008.25ª.19 a 21
- Exposures to central governments, central banks, institutions and corporations3/2008.25ª.6 a 11
- Exposures to CIIs that do not fulfil the conditions Rules laid down by the BE3/2008.25ª.28 a 30
- Exposures to CIIs that fulfil the conditions3/2008.25ª.27
- Exposures to other assets that are non-financial assets3/2008.25ª.31
- Exposures to retail customers3/2008.25.12 a 16
- Specialised financing exposure3/2008.25ª,3 b).9
- Equity exposures
- General provisions
- Calculation for the equity category3/2008.25ª.3 a).19 a 26
- Calculation rules for all the categories determined by the BE, except for Securitisations3/2008.25ª.1
- Central governments, central banks, corporations, institutions category3/2008.25ª.4
- Retail customers Category3/2008.25ª.5
- Risk parameters3/2008.25ª.2
- Securitisation positions3/2008.25ª.1
- Specialised financing exposures BE rules3/2008.25ª.3 b).9
- Calculation of the weighted credit risk exposures
- Risk parameters (PD), (LGD) and (M)
- Application of the risk parameters3/2008.27ª.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 dilution3/2008.29ª.1
- Risk weighted exposures, estimation of risk parameters and calculation of expected losses3/2008.29ª.2 a 6
- Value of the exposure at default (EAD)
- Equity exposures3/2008.28ª.11
- Exposures to central governments, central banks, institutions, corporations and retail customers
- Compensation framework agreements in operations with repo commitments, securities lending or commodities3/2008.28ª.2
- Derivative instruments3/2008.28ª.4
- Determination of the exposure value3/2008.28ª.1
- Enlargement of another commitment3/2008.28ª.9
- Exposures subject to credit risk that are pending settlement before a central counterparty institution3/2008.28ª.7
- Financial leases3/2008.28ª.3
- Off-balance sheet items3/2008.28ª.10
- Receivables acquired by the credit institution3/2008.28ª.5
- Securities or commodities sold, delivered or lent3/2008.28ª.6
- Unused purchase options on receivables acquired, uncompromised credit lines, short-term letters of credit and other credit lines3/2008.28ª.8
- Other assets that are not financial assets3/2008.28ª.12
- Also see
- Calculation and treatment of expected losses
- IRB Approach: Minimum Requirements (Credit Risk)
- Corporate Governance and internal control
- Corporate Governance
- Competencies and functions3/2008.35ª.1
- Knowledge of the design and running of the rating systems3/2008.35ª.3
- Minimum contents of management reports3/2008.35ª.4
- Reports to the administration body on the rating system functioning policies3/2008.35ª.2
- Competencies and functions3/2008.35ª.1
- Credit risk control unit
- Activity outsourcing when grouped data is used3/2008.35ª.8
- Competences3/2008.35ª.6
- Independence and functions3/2008.35ª.5
- Internal separation of competences3/2008.35ª.7
- Rating system design and selection3/2008.35ª. 5
- Internal Audit3/2008.35ª.9
- Corporate Governance
- Equity exposures according to the internal models approach
- Calculation of the capital requirements and the quantification of the risk3/2008.34ª.1
- Risk management process and controls3/2008.34ª.2
- Validation and documentation
- Approaches and data used coherent over time3/2008.34ª.5
- Assessment and functioning of models and internal processes3/2008.34ª.4
- Documentation of the internal model and the modelling process3/2008.34ª.9
- Periodic comparison of the equity portfolio yields with the estimates obtained form the models3/2008.34ª.6
- Resolution of doubts concerning the validity of the estimates or derivatives obtained from the models3/2008.34ª.8
- System for validation of the internal models and the modelling process3/2008.34ª.3
- Use of other quantitative validation tools and comparisons with external databases3/2008.34ª.7
- Internal validation of estimations
- Approaches and data used coherent over time3/2008.33ª.4
- Employment of other quantitative validation instruments3/2008.33ª.3
- Internal regulations for estimates that prove of doubtful validity3/2008.33ª.5
- Periodic comparison of the effective default rates with the PD estimations for each grade3/2008.33ª.2
- Systems for validating procedures and rating systems3/2008.33ª.1
- Rating systems
- Assignment of exposure grades or batches
- Definitions, criteria and processes for assigning debtors and exposures3/2008.31ª.16
- Exposures to central governments and central banks, institutions and corporations3/2008.31ª.18 a 21
- Exposures to retail customers3/2008.31ª.22 a 24
- Forced assignments3/2008.31ª.25
- Pertinent information for assigning debtors and exposures3/2008.31ª.17
- Authorisation: Features and minimum requirements
- Essential role of the systems in risk management and decision-making3/2008.31ª.2
- Existence of adequate rating systems to measure credit and dilution risks3/2008.31ª.1
- Periodic review of the criteria and procedures assigning debtors and operations3/2008.31ª.4
- Use of different rating systems3/2008.31ª.3
- Data maintenance
- Exposures to central governments, central banks, institutions and corporations
- Collection of information by credit institutions3/2008.31ª.37
- Collection of information from credit institutions authorised to use their own LGD estimates or conversion factors3/2008.31ª.38
- Exposures to retail customers3/2008.31ª.39
- Storage of data to report to the market3/2008.31ª.36
- Exposures to central governments, central banks, institutions and corporations
- Documentation of the rating systems
- Fairness and analysis of the criteria employed3/2008.31ª.32
- Model acquired from a third party3/2008.31ª.35
- Rating system design and operating details3/2008.31ª.31
- Specific definitions of default and loss3/2008.31ª.33
- Statistical models3/2008.31ª.34
- Integrity of the assignment process
- Exposures to central governments, central banks, institutions and corporations
- Making grade assignments and their periodic review by independent staff3/2008.31ª.26
- Procedure for obtaining and updating pertinent information on the features of debtors that affect the PD3/2008.31ª.28
- Updating of assignments at least once a year3/2008.31ª.27
- Exposures to retail customers3/2008.31ª.29
- Exposures to central governments, central banks, institutions and corporations
- Rating system structure
- Direct estimates of the risk parameters and results of grades on a continuous rating scale3/2008.31ª.5
- Exposures to central governments, central banks, institutions and corporations
- "Debtor grade" concept3/2008.31ª.8
- "Exposure grade" concepts3/2008.31ª.11
- Debtor rating scale that reflects the quantification of the debtor's default risk3/2008.31ª.7
- Exposure rating scale that reflects the features associated with the LGD of the operations3/2008.31ª.10
- Features of debtor and operation risk3/2008.31ª.6
- High concentrations of debtors in certain grades3/2008.31ª.9
- High concentrations within one same exposure grade3/2008.31ª.12
- Specific rating scale of debtors for specialised financing exposures3/2008.31ª.13
- Exposures to retail customers
- Excessive concentrations of exposures and debtors by grade and exposure batches3/2008.31ª.15
- Risk features of the debtors and of the operations3/2008.31ª.14
- Stress tests used to assess capital adequacy
- Assessment of capital adequacy3/2008.31ª.40
- Impact of the credit quality impairment of the protection suppliers3/2008.31ª.42
- Periodic stress tests3/2008.31.41
- Use of models3/2008.31ª.30
- Assignment of exposure grades or batches
- Risk measurement
- Definition of default
- Adequate equivalence with the definition of default3/2008.32ª.4
- Consideration of default3/2008.32ª.2
- Days past-due of exposures to retail customers and public sector entities for the purposes of default3/2008.32ª.6
- Exposure in default that has ceased to be so3/2008.32ª.5
- Indicators of the existence of reasonable doubts of debtor performance3/2008.32ª.3
- General requirements for monitoring risk parameters
- Breakdown of loss experienced in terms of default3/2008.32ª.8
- Comparison of exisitjng criteria used previously in the estimations with the current ones from credit institutions3/2008.32ª.10
- Flexibility in using the current rules on previous data3/2008.32ª.14
- Incorporation of all the pertinent data, information and methods3/2008.32ª.7
- Probable range of estimation errors3/2008.32ª.12
- Receivables acquired3/2008.32ª.11
- Review of estimates due to the existence of new information3/2008.32ª.9
- Use of different estimates for weightings and for other purposes3/2008.32ª.13
- Use of grouped data from various credit institutions3/2008.32ª.15.16
- Minimum requirements applicable to the receivables acquired
- Effectiveness of the collateral, credit and cash availability control systems3/2008.32ª.62
- Effectiveness of the monitoring systems3/2008.32ª.60
- Effectiveness of the verification systems3/2008.32ª.61
- Legal certainty3/2008.32ª.59
- Observance of the credit institution's internal policies and procedures3/2008.32ª.63
- Minimum requirements to value the effects of the personal collateral in the form of contingent guarantees and credit derivatives
- Adjustment criteria3/2008.32ª.55.56
- Admissible underwriters and personal collateral3/2008.32ª.52 a 54
- Credit derivatives3/2008.32ª.57.58
- Exposures to central governments and central banks, institutions and corporations when own LGD estimates are used and exposures to retail customers3/2008.32ª.50.51
- Risk quantification3/2008.32ª.1
- Specific requirement for own LGD estimates
- Conservative treatment of the gap in foreign currencies between the underlying obligation and the collateral3/2008.32ª.31
- Dependence existing between debtor risk and the collateral or the underwriter3/2008.32ª.30
- Estimation of an LGD for each exposure grade or series of exposures3/2008.32ª.28
- Exposures in default3/2008.32ª.34
- Exposures to central governments and central banks, institutions and corporations3/2008.32ª.36
- Late payment interest and fees and commissions for non-payment or payment demands3/2008.32ª.35
- LGD estimations appropriate for an economic slowdown when they are more conservative than long-term averages3/2008.32ª.29
- Non-consideration of the amounts forecast for collateral recovery3/2008.32ª.33
- Precautions in the management and settlement of collateral3/2008.32ª.32
- Retail customer exposures3/2008.32ª.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 institution3/2008.32ª.18
- Estimation of a PD for debtor grade3/2008.32ª.17
- Historical observation period used for a database3/2008.32ª.22.DT 11ª
- Receiveables acquired against corporations3/2008.32ª.21
- Translation of the default rate observed in the external institution grades to those defined internally3/2008.32ª.19
- Use of statistical models for predicting default3/2008.32ª.20
- Retail customer exposures
- Analysis of the changes in the risk parameters throughout the credit risks3/2008.32ª.27
- Estimation of a PD for each grade or series of exposures from long-term measurements of yearly default rates3/2008.32ª.23
- Historical observation period used for a database3/2008.32ª.26.DT 11ª
- Process for estimating total losses3/2008.32ª.25
- Use of grouped or statistical data3/2008.32ª.24
- Use of internal data as the primary information source for estimating losses3/2008.32ª.24
- Exposures to central governments, central banks, institutions and corporations
- Specific requirements of own estimations of the conversion factors
- Accounts and payment processing monitoring3/2008.32ª.44
- Daily control of unmatured balances3/2008.32ª.45
- Documentation of the use of estimations different to the conversion factors3/2008.32ª.46
- Estimation of a conversion factor for each exposure grade or batch of exposures3/2008.32ª.41
- Estimations appropiate for an economic slowdown when they are more conservative than the long-term averagesCBE Nª32ª.42
- Exposures to central governments and central banks, institutions and corporations3/2008.32ª.47
- Possibility of additional cash draw downs by the debtor before and after default3/2008.32ª.43
- Retail customer exposures3/2008.32ª.48.49. DT 11ª
- Definition of default
- Also see
- Corporate Governance and internal control
- IRB Approach: Securitisation (Credit Risk)
- 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 protection3/2008.61ª.27 a 29.
- Supervisor formula based Approach SFA-partial protection3/2008.61ª.30.31
- Protection with credit risk hedging via collateral or similar instruments3/2008.61ª.24
- Protection with credit risk hedging via personal collateral3/2008.61ª.25
- Modification of risk weighted positions
- General provisions
- Applicable approaches: Use and order of preference
- Approach classes3/2008.61ª.1
- External ratings based approach (RBA)3/2008.61ª.2
- Risk weighting of 1.250% for non-application of approaches3/2008.61ª.4
- Supervisor Formula Approach (SFA) or Internal Assessment Approach (IAA)3/2008.61ª.3
- Maximum amount of risk weighted exposures3/2008.61ª.7
- Particular treatment of securitisation positions rated in the top preference tranche3/2008.61ª.5
- Use of inferred credit ratings3/2008.61ª.6
- Applicable approaches: Use and order of preference
- Positions not rated
- Internal Assessment Approach (IAA)3/2008.61ª.13.14
- Particular treatment of lines of liquidity admissible without rating
- Conditions governing admissibility3/2008.61ª.18
- Exceptional treatment of liquidity lines when it is not possible to calculate the Kirb3/2008.61ª.21 a 23
- Liquidity lines admissible in the event of shocks across the board in the markets and liquidity advances3/2008.61ª.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 positions3/2008.61ª.32 a 35
- Also see
- Credit risk mitigation in securitsation positions