Plné znění - 32014R0526

(1)

Xxxž&xxxxxx;x&xxxxxx;x&xxxxxx; xxxxxčxx&xxxxxx; xxxxxx xx xxxxxxxx&xxxxxx; xxxxx&xxxxxx;xxx&xxxxxx;xx požadavků x&xxxx;xxxxxx &xxxxxx;xěxxx&xxxxxx; &xxxxxx;xxxxx x&xxxx;xxxxěx&xxxxxx; (x&xxxxxx;xx xxx &xxxxx;XXX&xxxxx;) xůžx xxxxxxxxx xxxxxxxxxxx, xxx xxxx&xxxxxx; xxx&xxxxxx; xx&xxxxxx;xx ž&xxxxxx;xx&xxxxxx; xxxxěx&xxxxxx; xxxxx &xxxxxx;xěxxx&xxxxxx;xx xxxx&xxxxxx;x&xxxxxx; (dále xxx &xxxxx;XXX&xxxxx;). X&xxxx;xxxxx&xxxxxx;x xř&xxxxxx;xxxě xx xěxx instituce xxxž&xxxxxx;xxx xxxxěx&xxxxxx;, xxxx&xxxxxx; xx x&xxxx;xxxxxxx x&xxxx;čx.&xxxx;383 xxxx.&xxxx;1 xřxx&xxxxxx;x xxxxxxxxxxxx xxř&xxxxxx;xxx&xxxxxx; (XX) č. 575/2013 xřxxěřxx&xxxxxx; x&xxxx;xxxxxxx xx xxxxxx, xxxěxx&xxxxxx; x&xxxx;xxxxxx xxxxxxxxxxx (x&xxxxxx;xx xxx &xxxxx;x&xxxxxx;xxxxx&xxxxxx; indikátor xxxxěx&xxxxxx;&xxxxx;).

(2)

Xxxxxxxx xxx vymezení zástupného xxxxx&xxxxxx;xxxx xxxxěx&xxxxxx; x&xxxx;xxxxxx XXX xx xěxx xxxxxxxx xxxžxx&xxxxxx; &xxxxxx;xxxx&xxxxxx;xx xxxxxxxx&xxxxxx; xxxxxxx, xxxěxx&xxxxxx; x&xxxx;xxxxxxx x&xxxx;xěxx xx xxxxxxxx&xxxxxx;x xxxxxxxxxx nezbytnou xxxxxxxxxxx, xxx xxxxx xx x&xxxxxx;xxxxě xx&xxxxxx;xx xxxxxx&xxxxxx;xx &xxxxxx;xxxxx xxxxxxx xxxxxxxxěx&xxxxxx;&xxxxxx; zástupný indikátor xxxxěx&xxxxxx;.

(3)

Xxxž xx podrobněji xxxxxxxxx, xxx xx xěxx instituce xxxxxxňxxxx xxxxxxxx xxxxxxx, xxxěxx&xxxxxx; x&xxxx;xxxxxxx xxxxx&xxxxxx;xx emitentů xřx xxxxxxx&xxxxxx;x&xxxxxx; xřxxěřxx&xxxxxx;xx x&xxxxxx;xxxxx&xxxxxx;xx indikátoru xxxxěx&xxxxxx; xxx stanovení xxxxx&xxxxxx;xxx&xxxxxx;xx xxžxxxxxů, xxx xxžxxxxx xxř&xxxxxx;xxx&xxxxxx; (XX) č.&xxxx;575/2013, xěxx xx x&xxxxxx;x xxxxxxxxx xxxxxxxx pro xxxxxxxx&xxxxxx; xěxxxx atributů xxxxx xxxxx&xxxxxx;xx&xxxxxx;xx xxxxxxxx&xxxxxx; xxx xxžx&xxxxxx; xxxxxxx, xxx bylo zajištěno xxxxxxxxxxxx&xxxxxx; uplatňování těchto xxxx&xxxxxx;xxx.

(4)

Xxxxě xxxx xx x&xxxx;xř&xxxxxx;xxxě xxxxx&xxxxxx;xx xxxxxxxů, xxxxx xxxxxxxx xxxxx xxxř&xxxxxx;xxxx xxxx xxxxxx&xxxxxx;xx&xxxxxx; xx&xxxxxx;xxx nebo místním xxx&xxxxxx;xxx x&xxxx;xx&xxxxxx;xxx, xěxx x&xxxxxx;x xxžx&xxxxxx; xxxxxxx xxxxx xřxxěřxx&xxxxxx;xx x&xxxxxx;xxxxx&xxxxxx;xx xxxxx&xxxxxx;xxxx rozpětí na x&xxxxxx;xxxxě úvěrového xxxxěx&xxxxxx; xxxxx&xxxxxx;xx xxxxxxxx, pokud xx xxxxxx x&xxxx;xxxxxěx&xxxxxx;&xxxxxx;xx xxxxxx.

(5)

Xxx xxxx xxžx&xxxxxx; xxxxěx x&xxxx;xřxxěřxx&xxxxxx;xx x&xxxxxx;xxčxx xxžxxxxxů x&xxxx;xxxxxx XXX, xěx xx být xx x&xxxxxx;xxxxě &xxxxxx;xxxů, xxxx&xxxxxx; byly xxxxxxx&xxxxxx;xx xx xxxxxxx&xxxxxx;x trhu, xxxxxxxx x&xxxxxx;xxxxx&xxxxxx; xxxxx&xxxxxx;xxx xxxxěx&xxxxxx; x&xxxx;xřxxxxxxxxx xxxxxxě &xxxxxx;xxxů, xxxř&xxxxxx;xxxx interpolace x&xxxx;xxxxxxxxxxx &xxxxxx;xxxů x&xxxxxx;xxx&xxxxxx;x&xxxxxx;xx xx xůxx&xxxxxx;xx čxxxx&xxxxxx;xx xxxxxxů, xx xěxx x&xxxxxx;x koncepčně správné.

(6)

S cílem xxxxxxxx xxxxžxx&xxxxxx;x&xxxxxx; xxxxxxů xxxx institucemi a zabránit xxxxxxxxxxxxx &xxxxx; xxxxxxxx x&xxxx;xxxx, žx xxxxxxxxx&xxxxxx; xxxxxěxxxxxxxxxx xxxx&xxxxxx;x&xxxxxx; (PD), xxxxěx&xxxxxx; xxxxů &xxxxxx;xěxxx&xxxxxx;xx xxxx&xxxxxx;x&xxxxxx; (XXX) x&xxxx;xxx&xxxxxx;xxxxxx xx xxxx&xxxxxx;x&xxxxxx; (XXX) xřxxxxxxxx&xxxxxx; xxxxx xxxxxxx xx xxěxx neznámými xxxxěxx&xxxxxx;xx x&xxxx;žx xx x&xxxx;xxžx&xxxxxx; xxxxx k odvození xxxxxxxxx&xxxxxx;xx XX x&xxxx;xxžx&xxxxxx;xx xxxxěx&xxxxxx; xxxž&xxxxxx;x&xxxxxx; fixní xxxxxxx XXX &xxxxx;, xěxx xx xxxxxxxxx xxx XXXXXX xxxž&xxxxxx;xxx xxxxxxx, xxxx&xxxxxx; xx x&xxxx;xxxxxxx x&xxxx;xxxx&xxxxxx; LGD, xxxxxx &xxxxxx;čxxxx&xxxxxx;xx trhu xěžxě používají x&xxxx;xxčxx&xxxxxx; xxxxxxxxx&xxxxxx;xx XX x&xxxx;xěxxxx xxxxxxxě xxxxxxxxxx&xxxxxx;xx &xxxxxx;xěxxx&xxxxxx;xx xxxxěx&xxxxxx;, xxxx&xxxxxx; byla xxxžxxx xx xxxxxxxx&xxxxxx; x&xxxxxx;xxxxx&xxxxxx;xx indikátoru &xxxxxx;xěxxx&xxxxxx;xx xxxxěx&xxxxxx; xxx dotyčnou xxxxxxxxxxx.

(7)

Xxx účely xxxxxx&xxxxxx; xxxž&xxxxxx;xxx pokročilou xxxxxx XXX xxx xxxxxx&xxxxxx; xxčxx malých portfolií xx xxxxx&xxxxxx; považovat xxxxxxxxx xx xxxxxxx xxxxxxxx&xxxxxx; se xxxxčxxx&xxxxxx;x xx smyslu čl. 272 xxxx 4 nařízení (XX) č.&xxxx;575/2013 x&xxxx;xx&xxxxxx;x x&xxxx;&xxxxxx;xxxx xxčxx xxxxxxxx&xxxxxx; xxxxxxxxx&xxxxxx;xx xx metody xxxxxx&xxxxxx;xx xxxxxx, xxxx&xxxxxx; xxxx&xxxxxx;xxx&xxxxxx; xxžxxxxxx k riziku XXX, a velikost xxxxxx xxxxxxxx&xxxxxx; xx xxxxčxxx&xxxxxx;x xxxxxxxxx&xxxxxx;xx xx xxxxxx xxxxxx&xxxxxx;xx xxxxxx, xxxx&xxxxxx; xxxx&xxxxxx;xxx&xxxxxx; xxžxxxxxx x&xxxx;xxxxxx&xxxx;XXX, x&xxxx;xxxxxx je v procentech xxxxxx&xxxxxx;xx xxčxx x&xxxxxx;xxx xxxxxxxx&xxxxxx;, xxxx&xxxxxx; xxxx&xxxxxx;xxx&xxxxxx; xxžxxxxxx k riziku CVA, x&xxxx;xxxxxxxxxx xxxxxx&xxxxxx; xxxxxxxxx x&xxxxxx;xxx transakcí xx xxxxčxxx&xxxxxx;x, u nichž se xxxx&xxxxxx;x&xxxxxx; x&xxxxxx;xxčxx xxžxxxxxů x&xxxx;xxxxxx&xxxx;XXX, xxx xx xxxxxxxxxx xůxx&xxxxxx; dimenze xxxxxxxx&xxxxxx;.

(8)

X&xxxx;x&xxxxxx;xxx xx&xxxxxx;xxxx možné xřxxx&xxxxxx;xx&xxxxxx; xxxž&xxxxxx;x&xxxxxx;x&xxxxxx; xxxxxčxx&xxxxxx; xxxxxx XXX xxx xxxxxx&xxxxxx; xxčxx xxx&xxxxxx;xx xxxxxxxx&xxxxxx; xx xěxx xxxž&xxxxxx;x&xxxxxx;x&xxxxxx; uvedené xxxxxx xxxxčxx až xxxxx, xxxž xxxx xxxxxxxxxxxx&xxxxxx; xxxxxx&xxxxxx; xřxxxxčxxx ve xxxx xx xxxě x&xxxxxx;xxxxxx&xxxxxx;x&xxxxxx;xx čxxxxxxx&xxxxxx;xx.

(9)

Xxx dále xxxxx xř&xxxxxx;xxx&xxxxxx;x&xxxxxx; xxx&xxxxxx;xx &xxxxxx;čxxxě xxxxx &xxxxxx;xxxx xxxxxxx, mělo xx xxx být umožněno xx xxxxěxěx, xxx xxžxxxxxx xxxxxx&xxxxxx;xx xxčxx xxx&xxxxxx;xx xxxxxxxx&xxxxxx; xxž xxx&xxxxxx; xxxxěx; xxxxx xx měly instituce x&xxxx;xxxxxx&xxxxxx;xx případech xř&xxxxxx;xxx&xxxxxx;x&xxxxxx; xxx&xxxxxx;xx o této xxxxxčxxxxx xxxxxxxxxx.

(10)

Xxxx xxř&xxxxxx;xxx&xxxxxx; xxxx&xxxxxx;x&xxxxxx; x&xxxx;x&xxxxxx;xxxx regulačních xxxxxxxx&xxxxxx;xx xxxxx xřxxxxžxx&xxxxxx;xx Xxxxxx Xxxxxxx&xxxxxx;x orgánem pro xxxxxxxxxxx&xxxxxx;.

(11)

Xxxxxxx&xxxxxx; xxx&xxxxxx;x xxx xxxxxxxxxxx&xxxxxx; uskutečnil otevřené xxřxxx&xxxxxx; xxxxxxxxxx x&xxxx;x&xxxxxx;xxx&xxxxxx;xx xxxxxxčx&xxxxxx;xx xxxxxxxx&xxxxxx;xx xxxxx, x&xxxx;xxxxž xxxx xxř&xxxxxx;xxx&xxxxxx; xxxx&xxxxxx;x&xxxxxx;, xxxxxxxxxx xxxxxxx&xxxxxx;xx&xxxxxx; xxxxxxxx&xxxxxx;x&xxxxxx; náklady x&xxxx;xř&xxxxxx;xxxx x&xxxx;xxž&xxxxxx;xxx x&xxxx;xxxxxxxxxx skupinu xxxxxxxů působících x&xxxx;xxxxxxxxxxx&xxxxxx; xř&xxxxxx;xxxxx xxxxx článku 37 xxř&xxxxxx;xxx&xxxxxx; Xxxxxxx&xxxxxx;xx parlamentu x&xxxx;Xxxx&xxxx;(XX) č. 1093/2010 (1),

x)

zástupný xxxxx&xxxxxx;xxx rozpětí xxx xxxxxxx x&xxxx;xxxxxxx xx x&xxxxxx;xxxxx xxxxxxxx xxxxxxx, xxxěxx&xxxxxx; x&xxxx;xxxxxxx xxxxxxxxxxx xxxxxx&xxxxxx; x&xxxx;x&xxxxxx;xxxxxxx x), x) x&xxxx;x);

b)

atribut ratingu xxx vymezen x&xxxx;xxxxxxx xx použití xřxxxx xxxxxxxx&xxxxxx;xx xxřxx&xxxxxx; xxxxxů xxxxxx&xxxxxx;xx x&xxxx;xxxxxx&xxxxxx;xx xxxxxxů. Xxxxxxx se xřxřxx&xxxxxx; xx xxxxňůx &xxxxxx;xěxxx&xxxxxx; xxxxxxx podle čx.&xxxx;384 xxxx.&xxxx;2 nařízení (XX) č.&xxxx;575/2013. Pokud xx x&xxxx;xxxxxxxxx x&xxxxxx;xx externích xxxxxxů, přiřadí se xx xxxxňůx úvěrové xxxxxxx v souladu x&xxxx;xř&xxxxxx;xxxxxx, xxxx&xxxxxx; se xxxžxxx x&xxxx;xř&xxxxxx;xxxě xěx&xxxxxx;&xxxxxx;xx xxčxx &xxxxxx;xěxxx&xxxxxx;xx xxxxxxxx&xxxxxx;, xxxxxxxx&xxxxxx;x x&xxxx;čx&xxxxxx;xxx&xxxx;138 xxxxxx&xxxxxx;xx xxř&xxxxxx;xxx&xxxxxx;;

c)

xxxxxxx xxxěxx&xxxxxx; xxx xxxxxxx xřxxxxxxx&xxxxxx;&xxxxxx;x x&xxxx;xxxxxxx na xxxx kategorie:

x)

xxxxxxx xxxxxxx byl xxxxxxx xřxxxxxxx&xxxxxx;&xxxxxx;x s ohledem xx xxxx kategorie:

x)

x&xxxxxx;xxxxx&xxxxxx; indikátor xxxxěx&xxxxxx; xxx&xxxxxx;ž&xxxxxx; xxxxxxxxxxxxxx&xxxxxx;x xxůxxxxx disponibilní xxxxěx&xxxxxx; xxxxů úvěrového xxxx&xxxxxx;x&xxxxxx; x&xxxx;xxxxěx&xxxxxx; jiných xxxxxxxě xxxxxxxxxx&xxxxxx;xx x&xxxxxx;xxxxxů &xxxxxx;xěxxx&xxxxxx;xx xxxxxx, která xxxxx&xxxxxx;xxx&xxxxxx; xxxxxxxxx&xxxxxx; xxxxxxxxx xxxxxxxxxxx&xxxxxx;xx xxxxxxxx&xxxxxx; x&xxxx;xxxňxx&xxxxxx; xxxx&xxxxxx;xxx xxxxxxx &xxxxxx;xxxů uvedená x&xxxx;xxxxxxxx 3;

x)

xřxxěřxxxxx zástupného xxxxx&xxxxxx;xxxx rozpětí xx xxxxxx&xxxxxx; s ohledem xx xxxxxxxxxx, nikoli na &xxxxxx;xxxxň xxxxěx&xxxxxx;.

x)

xxxxxx&xxxxxx;xx&xxxxxx; xx&xxxxxx;xx nebo x&xxxxxx;xxx&xxxxxx; xxx&xxxxxx;x x&xxxx;xx&xxxxxx;x xxx&xxxxxx; xxxxx&xxxxxx; rating;

b)

xxx xxxxxx&xxxxxx;xx&xxxxxx; xx&xxxxxx;xx nebo x&xxxxxx;xxx&xxxxxx; orgán xxx&xxxxxx; xx&xxxxxx;x ž&xxxxxx;xx&xxxxxx; rating.

x)

xxčxx všech xxxxxxxx&xxxxxx; xxxxxxxxx&xxxxxx;xx xx xxxxxx xxxxxx&xxxxxx;xx modelu, xxxx&xxxxxx; xxxx&xxxxxx;xxx&xxxxxx; xxžxxxxxx x&xxxx;xxxxxx CVA, nesmí x&xxxxxx;x xx&xxxxxx;&xxxxxx;&xxxxxx; xxž 15 % xxxxxx&xxxxxx;xx xxčxx xxxxxxxx&xxxxxx;, které xxxx&xxxxxx;xxx&xxxxxx; požadavku x&xxxx;xxxxxx XXX;

x)

xxxxxxxx xxžx&xxxxxx; individuální xxxxxxx transakcí xx xxxxčxxx&xxxxxx;x xxxxxxxxx&xxxxxx; do xxxxxx xxxxxx&xxxxxx;xx xxxxxx, xxxx&xxxxxx; xxxx&xxxxxx;x&xxxxxx; xxžxxxxxx x&xxxx;xxxxxx CVA, xxxx&xxxxxx; x&xxxxxx;x xx&xxxxxx;&xxxxxx;&xxxxxx; xxž 1 % xxxxxx&xxxxxx; xxxxxxxxx x&xxxxxx;xxx xxxxxx xxxxxxxx&xxxxxx; xx xxxxčxxx&xxxxxx;x, xxxx&xxxxxx; podléhají požadavku x&xxxx;xxxxxx CVA;

c)

xxxxxx&xxxxxx; xxxxxxxx x&xxxxxx;xxx xxxxxx xxxxxxxx&xxxxxx; xx xxxxčxxx&xxxxxx;x xxxxxxxxx&xxxxxx;xx xx metody interního xxxxxx, xxxx&xxxxxx; xxxx&xxxxxx;xxx&xxxxxx; xxžxxxxxx x&xxxx;xxxxxx XXX, xxxx&xxxxxx; x&xxxxxx;x vyšší xxž 10 % xxxxxx&xxxxxx; xxxxxxxxx všech xxxxxx xxxxxxxx&xxxxxx; se xxxxčxxx&xxxxxx;x, xxxx&xxxxxx; xxxx&xxxxxx;xxx&xxxxxx; xxžxxxxxx k riziku CVA.

x)

xxčxx xxxxxxxx&xxxxxx; xxxxxxxxx&xxxxxx;xx xx xxxxxx xxxxxx&xxxxxx;xx xxxxxx x&xxxx;xxxxxx&xxxxxx;xx xxčxx xxxxxxxx&xxxxxx;;

x)

xxxxxxxx&xxxxxx;xx&xxxxxx; xxxxxxxxx xxxxěx&xxxxxx;&xxxxxx; xxxxxxx xxxxxxxx&xxxxxx; xx xxxxčxxx&xxxxxx;x xxxxxxxxx&xxxxxx; do xxxxxx xxxxxx&xxxxxx;xx xxxxxx x&xxxx;xxxxxx&xxxxxx; xxxxxxxxx x&xxxxxx;xxx xxxxxxxx&xxxxxx; xx započtením x

x)

xxxxxx&xxxxxx; velikosti x&xxxxxx;xxx xxxxxx xxxxxxxx&xxxxxx; xx xxxxčxxx&xxxxxx;x nezahrnutých xx xxxxxx xxxxxx&xxxxxx;xx modelu x&xxxx;xxxxxx&xxxxxx; velikosti všech xxxxxxxx&xxxxxx; xx xxxxčxxx&xxxxxx;x.