Application form for use of an IRB approach to calculate the capital requirements for credit risk MAY 2008

Transcription

1 Application form for use of an IRB approach to calculate the capital requirements for credit risk MAY 2008

2 The application De Nederlandsche Bank (DNB) may allow a financial undertaking (credit institution or investment firm) to use an IRB approach to calculate the capital requirements for credit risk (section 69, Decree on Prudential Rules under the Financial Supervision Act (Besluit prudentiële regels Wft)). The implementation of the IRB approach for which permission is requested must meet minimum conditions (paragraph 10.2 of the Decree). The application to use IRB models and methods to calculate (sub-)consolidated and/or solo capital requirements for credit risk may be submitted to DNB with the aid of this form. The application and the introduction, gradual or otherwise, must comply with the relevant requirements provided for by the: Financial Supervision Act (Wet op het financieel toezicht or Wft) Act on the Implementation of the Basel II Capital Accord (Wet implementatie kapitaalakkoord Bazel II) Decree on Prudential Rules under the Financial Supervision Act (Besluit prudentiële regels Wft) Decree on the Implementation of the Basel II Capital Accord (Besluit implementatie kapitaalakkoord Bazel II) Regulation on the capital requirements for credit risk (Regeling solvabiliteitseisen voor het kredietrisico) Policy rule on the partial use of the Standard IRB approach (Beleidsregel partieel gebruik van de standaardbenadering onder IRB) Policy rule on relaxation of the IRB experience requirement (Beleidsregel versoepeling ervaringsvereiste). If the application pursuant to section 3:278b (4) Wft relates to entities established in other Member States, the introduction of the IRB approach for these entities must meet relevant local requirements in these Member States. Explanatory notes to this application form can be found on DNB s website ( under Supervision/Open Book Supervision. Continuous supervision (once permission has been obtained) Financial undertakings which use IRB models and methods to calculate the capital requirements for credit risk can find the following publications on continuous supervision on DNB s website under Supervision/Open Book Supervision:

3 Monitoring IRB instructions and rollout plan Periodic validations of IRB systems and models Significant changes in the implementation of IRB systems and models Once permission has been obtained to use an IRB approach to calculate the capital requirements for credit risk (Pillar 1 under Basel II, minimum capital requirements), such use will also have consequences for supervision under Pillar 2 (ICAAP, economic capital and SREP) and Pillar 3 (disclosure requirements relating to financial key figures as calculated under Pillar 1). Supervision under Pillars 2 and 3 requires other information than that required for this application.

4 Contents 1. GENERAL DATA 2. SCOPE OF APPLICATION 3. GRADUAL INTRODUCTION OF IRB MODELS 4. PERMANENT PARTIAL USE OF STANDARD APPROACH 5. OTHER INFORMATION 6. SIGNATURE 7. DOCUMENTATION ENCLOSED

5 1. General data 1.1 Data on credit institution or investment firm Name given in the Articles of Association Trade name(s) Street and number Postal code and town Postal address Postal code and town postal address Telephone number 1.2 Data on parent institution, if any Parent institution outside Member State No Name of parent institution given in its Articles of Association, country and town of establishment Contact data of supervisor of parent institution 1.3 Data on contact person (Director or person authorised by the Managing Board) Name Function Telephone number address 2. Scope of application 2.1 IRB approach and date of introduction Method currently used IRB method applied for Desired date of introduction Standard approach Foundation IRB approach Foundation IRB approach Advanced IRB approach Extension of earlier application Elaboration No

6 2.2 Entities to which the application relates This application relates to use of the IRB approach by the following credit institutions or investment firms in a Member State: Name of credit institution or investment firm given in its Articles of Association Country of establishment Name of supervisor Consolidated, sub-consolidated and/or solo use Elaboration: 2.3 Motivation The reason for submitting an application for use of an IRB approach is: 3.Gradual introduction of IRB models This field should be completed only if the application relates to the gradual introduction of the IRB approach 3.1 Gradual introduction of IRB models No The application relates to the gradual introduction of IRB models, which will proceed as follows: Name of credit institution or investment firm Category of claims (portfolio) / activity Date of implementation Current RWA credit risk Motivation 3.2 Motivation The reason for gradual introduction of IRB models is: The complete rollout plan for the gradual introduction of IRB models must be enclosed in Appendix 2.

7 4. Permanent partial use of the Standard approach 4.1 Permanent partial use of the Standard approach No, proceed with 4.2 The application relates to the permanent partial use of the Standard approach for the following categories of claims: Name of credit institution or investment firm Category of claims (portfolio) / activity Size Impact Motivation 4.2 Motivation The reason for permanent partial use of the Standard approach is: 5. Other information Does the credit institution or investment firm have any other information at its disposal which might be relevant to DNB s assessment of the application? No Elaboration: 6. Signature The undersigned declare that they have taken note of the content of the information to be submitted to DNB in the context of the application for use of an IRB approach to calculate the capital requirements for credit risk. The undersigned also declare that this information, which will form the basis for DNB s assessment of the application, is correct, complete and accurate, has been completed truthfully, and presents a faithful account of the situation at the institution. The undersigned further declare that they do not

8 object to any information submitted in the context of the application being shared with host supervisors. Thus duly signed, Name and function Place Name and function Place Name and function Place Signature Date Signature Date Signature Date 7 Documentation to be enclosed The following documents are to be enclosed as appendices: I Vade mecum II Description of IRB implementation process, including any rollout plan and recovery plan III Description of the risk management framework IV Internal models to which the application relates V Information on other credit risks VI Analysis of impact on capital adequacy VII Self-assessment VII Overview of involvement and reporting by Internal Audit