#588693
Ceanglas maidir le samhail inmheánach IRC a bhunú
Requirement to have an internal IRC model
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#588702
Raon feidhme na samhla inmheánaí IRC
Scope of the internal IRC model
#588707
Paraiméadair na samhla inmheánaí IRC
Parameters of the internal IRC model
#588713
Léireofar leis an tsamhail inmheánach IRC tionchar na gcomhghaolta idir teagmhais mhainneachtana agus teagmhais imirce.
The internal IRC model shall reflect the impact of correlations between default and migration events.
#588726
Fálú a aithint sa tsamhail inmheánach IRC
Recognition of hedges in the internal IRC model
#588738
Ceanglais shonracha maidir leis an tsamhail inmheánach IRC
Particular requirements for the internal IRC model
#2028754
IRC (luachanna níos airde a agus b)
IRC (higher of values a and b)
#2028755
An tomhas IRC is déanaí
Most recent IRC measure
#2028756
An meántomhas IRC 12 sheachtain
12 weeks average IRC measure
#2028763
IRC (muirear incriminteach priacail)
IRC
#2028781
IRC (99.9 %)
IRC (99.9%)
#2564151
FS-102 IRC (muirear incriminteach priacail)
FS-102
#2028723
Tuairisc ar raon feidhme chur i bhfeidhm na samhla IRC a bhfuil cead tugtha ag an údarás inniúil ina leith, lena n-áirítear cé hiad na heintitis sa ghrúpa a úsáideann na samhlacha sin agus conas a léiríonn na samhlacha uile a úsáidtear ar leibhéal an ghrúpa, céatadán na gceanglas cistí dílse a chumhdaítear leis na samhlacha nó má úsáidtear na samhlacha céanna de IRC le haghaidh gach eintitis a bhfuil risíocht ar phriacal margaidh acu
Description of the scope of application of the IRC model for which the competent authority has granted permission, including which entities in the group use these models and how the models represent all the models used at the group level, the percentage of own funds requirements covered by the models /or if the same models of IRC is used for all entities with market risk exposure
#2028842
Áireofar san fhaisnéis dá dtagraítear i bpointe (b) d’Airteagal 455 de CRR tuairisc ar raon feidhme chur i bhfeidhm na samhla IRC a bhfuil cead tugtha ag an údarás inniúil ina leith, agus déanfar í a chomhlánú le faisnéis maidir leis na heintitis sa ghrúpa a n-úsáideann na samhlacha sin agus conas a léiríonn na samhlacha uile a úsáidtear ar leibhéal an ghrúpa, lena n-áirítear céatadán na gceanglas cistí dílse a chumhdaítear leis na samhlacha nó má úsáidtear na samhlacha céanna de IRC do gach eintiteas a bhfuil risíocht ar phriacal margaidh acu.
Information referred to in point (b) of Article 455 CRR shall include a description of the scope of application of the IRC model for which the competent authority has granted permission, and shall be complemented by information on which entities in the group use these models and how the models represent all the models used at the group level, including the percentage of own funds requirements covered by the models or if the same models of IRC is used for all entities with market risk exposure.
#2028720
Ní mór d’institiúidí a úsáideann samhlacha inmheánacha chun a gceanglais cistí dílse maidir le priacal incriminteach mainneachtana agus imirce (IRC) an fhaisnéis seo a leanas a nochtadh:
Institutions using internal models to measure the own funds requirements for the incremental default and migration risk (IRC) must disclose the following information:
#2028722
Tuairisc ar na priacail a chumhdaítear leis na samhlacha IRC, ina sonrófar conas a dháiltear iad i bpunanna nó i bhfophunanna a bhfuil cead tugtha ag an údarás inniúil ina leith.
Description of risks covered by the IRC models, specifying how they are distributed in portfolios/sub-portfolios for which the competent authority has granted permission.
#2028732
Tuairisc ar an gcur chuige arna úsáid chun cruinneas agus comhsheasmhacht inmheánach na sonraí agus na bparaiméadar a úsáidtear chun samhlacha inmheánacha IRC agus na próisis samhaltaithe a chúltástáil nó a bhailíochtú.
Description of the approach used for backtesting/validating the accuracy and internal consistency of data and parameters used for the IRC internal models and modelling processes.
#2028843
Áireofar an méid seo a leanas san fhaisnéis dá dtagraítear i bpointe (a)(ii) d’Airteagal 455 de CRR maidir le saintréithe samhlacha IRC:
Information referred to in point (a)(ii) of Article 455 CRR on the characteristics of the IRC models used shall include:
#2028913
An tomhas is airde nó is ísle nó meántomhas IRC le linn na tréimhse agus tomhas laethúil luacha faoi phriacal deiridh tréimhse
Highest/lowest/mean of IRC measures over the period and period end daily value at-risk measure
#588262
Mar mhalairt air sin, is féidir Meastacháin ar PD agus ar LGD mar ionchuir i Modh na Foirmle Maoirseachta a chinneadh freisin bunaithe ar na meastacháin a fhaightear ón gcur chuige IRC atá ag institiúid ar tugadh cead di úsáid a bhaint as samhail inmheánach i gcomhair priacal sonrach na n-ionstraimí fiachais.
Estimates of PD and LGD as inputs to the Supervisory Formula Method may alternatively also be determined based on estimates that are derived from an IRC approach of an institution that has been granted permission to use an internal model for specific risk of debt instruments.
#588264
I gcomhréir le hAirteagal 16 de Rialachán (AE) Uimh. 1093/2010, eiseoidh ÚBE treoirlínte maidir le meastacháin ar PD agus ar LGD a úsáid mar ionchuir nuair atá na meastacháin sin bunaithe ar chur chuige IRC.
In accordance with Article 16 of Regulation (EU) No 1093/2010, EBA shall issue guidelines on the use of estimates of PD and LGD as inputs when those estimates are based on an IRC approach.
#588694
Fairis sin, beidh samhail inmheánach maidir le priacal incriminteach mainneachtana agus imirce (samhail IRC) bunaithe ag institiúid a úsáideann samhail inmheánach chun ceanglais cistí dílse le haghaidh priacal shonraigh i leith ionstraimí fiachais trádáilte a ríomh, d'fhonn priacail mainneachtana agus priacail imirce a suíomh sa leabhar trádála a ghabháil ar priacail incriminteacha iad ar na priacail arna ngabháil leis an mbeart luacha faoi phriacal atá sonraithe in Airteagal 365(1).
An institution that use an internal model for calculating own funds requirements for specific risk of traded debt instruments shall also have an internal incremental default and migration risk (IRC) model in place to capture the default and migration risks of its trading book positions that are incremental to the risks captured by the value-at-risk measure as specified in Article 365(1).
#588703
Cumhdófar leis an tsamhail inmheánach IRC na suímh uile atá faoi réir ceanglas cistí dílse le haghaidh priacal shonraigh ráta úis, lena n-áirítear na suímh sin atá faoi réir muirir chaipitil priacal 0 % de réir Airteagal 336, ach ní chumhdófar léi suímh urrúsúcháin ná díorthaigh chreidmheasa don n-ú mainneachtain.
The internal IRC model shall cover all positions subject to an own funds requirement for specific interest rate risk, including those subject to a 0 % specific risk capital charge under Article 336, but shall not cover securitisation positions and n-th-to-default credit derivatives.
#1677271
Agus ualuithe priacail á ríomh chun críocha mhír 1, féadfar meastacháin ar PD agus ar LGD a chinneadh bunaithe ar na meastacháin a fhaightear ó shamhail inmheánach i gcomhair priacal na mainneachtana agus na himirce incrimintí (samhail IRC). de chuid institiúide ar tugadh cead di úsáid a bhaint as samhail inmheánach le haghaidh priacail shonraigh ionstraimí fiachais.
When determining risk weights for the purposes of paragraph 1, estimates of PD and LGD may be determined based on estimates that are derived from an internal incremental default and migration risk model (IRC model) of an institution that has been granted permission to use an internal model for specific risk of debt instruments.
#1677273
I gcomhréir le hAirteagal 16 de Rialachán (AE) Uimh. 1093/2010, eiseoidh ÚBE treoirlínte maidir le meastacháin ar PD agus ar LGD a úsáid mar ionchuir nuair atá na meastacháin sin bunaithe ar shamhail IRC.
In accordance with Article 16 of Regulation (EU) No 1093/2010, the EBA shall issue guidelines on the use of estimates of PD and LGD as inputs when those estimates are based on an IRC model.
#2028731
Tuairisc ar an tástáil struis arna cur i bhfeidhm ar na paraiméadair samhaltaithe (príomhchásanna a forbraíodh chun saintréithe na bpunann a bhfuil feidhm ag samhlacha IRC maidir leo ar leibhéal an ghrúpa a ghabháil).
Description of stress testing applied to the modelling parameters (main scenarios developed to capture the characteristics of the portfolios to which the IRC models apply at the group level).
#2028735
Tuairisc ar raon feidhme chur i bhfeidhm na samhla thomhas an phriacail iomláin a bhfuil cead tugtha ag an údarás inniúil ina leith, lena n-áirítear cé hiad na heintitis sa ghrúpa a úsáideann na samhlacha sin agus conas a léiríonn na samhlacha uile a úsáidtear ar leibhéal an ghrúpa, céatadán na gceanglas cistí dílse a chumhdaítear leis na samhlacha nó má úsáidtear na samhlacha céanna de IRC le haghaidh gach eintitis a bhfuil risíocht ar phriacal margaidh acu
Description of the scope of application of the comprehensive risk measure models for which the competent authority has granted permission, including which entities in the group use these models and how the models represent all the models used at the group level, including the percentage of own funds requirements covered by the models /or if the same models of IRC is used for all entities with market risk exposure
#2028839
Agus an fhaisnéis dá dtagraítear i bpointe (a)(iv) d’Airteagal 455 de CRR á nochtadh acu, nochtfaidh institiúidí tuairisc ar an gcur chuige arna úsáid chun cruinneas agus comhsheasmhacht inmheánach na sonraí agus na bparaiméadar a úsáidtear chun samhlacha inmheánacha IRC agus na próisis samhaltaithe a iarthástáil nó a bhailíochtú.
When disclosing information referred to in point (a)(iv) of Article 455 CRR, institutions shall disclose a description of the approach used for backtesting/validating the accuracy and internal consistency of data and parameters used for the internal models and modelling processes.
#2028840
Institiúidí a úsáideann samhlacha inmheánacha chun ceanglais cistí dílse maidir le priacal mainneachtana agus priacal imirce incriminteach (IRC) a thomhas i gcomhréir le Ranna 3 agus 4 de Chaibidil 5 de Theideal IV de Chuid a Trí de CRR
Institutions using internal models to measure the own funds requirements for the incremental default and migration risk (IRC) in accordance with Sections 3 and 4 of Chapter 5 of Title IV of Part Three CRR
#2028841
Agus an fhaisnéis dá dtagraítear i bpointe (a)(ii) d’Airteagal 455 agus i bpointe (b) d’Airteagal 455 de CRR á nochtadh acu, áireoidh institiúidí tuairisc ar na priacail a chumhdaítear le samhlacha IRC ina sonrófar conas a dháiltear iad i bpunanna/i bhfophunanna a bhfuil cead tugtha ag an údarás inniúil ina leith.
When disclosing information referred to in point (a)(ii) of Article 455 and with point (b) of Article 455 CRR, institutions shall include a description of risks covered by the IRC models, specifying how they are distributed in portfolios/sub-portfolios for which the competent authority has granted permission.
#2028849
Áireofar san fhaisnéis dá dtagraítear i bpointe (a)(iv) d’Airteagal 455 de CRR tuairisc ar an gcur chuige arna úsáid chun cruinneas agus comhsheasmhacht inmheánach na sonraí agus na bparaiméadar a úsáidtear chun samhlacha inmheánacha IRC agus na próisis samhaltaithe a chúltástáil nó a bhailíochtú
Information referred to in point (a)(iv) of Article 455 CRR shall include a description of the approach used for backtesting/validating the accuracy and internal consistency of data and parameters used for the IRC internal models and modelling processes
#2028853
Déanfar sin a chomhlánú le faisnéis faoi na heintitis sa ghrúpa a úsáideann na samhlacha sin agus conas a léiríonn na samhlacha na samhlacha uile arna n-úsáid ar leibhéal an ghrúpa, lena n-áirítear le céatadán na gceanglas cistí dílse a chumhdaítear leis na samhlacha/nó má úsáidtear na samhlacha céanna IRC le haghaidh eintitis a bhfuil risíocht ar phriacal mhargaidh aige.
It shall be complemented by information on which entities in the group use these models and how the models represent all the models used at the group level, including the percentage of own funds requirements covered by the models or if the same models of IRC is used for all entities with market risk exposure.
#2028891
Úsáidfear rónna 1a/1b agus 8a/8b den teimpléad seo nuair is ionann an ceanglas maidir le RWEA/cistí dílse le haghaidh aon cheann de na colúin a go d den teimpléad seo agus an meán 60 lá (le haghaidh VaR agus SVaR) nó an meántomhas 12 sheachtain nó an tomhas urláir (le haghaidh IRC agus thomhas an phriacail iomláin) agus ní an ceanglas maidir le RWEA/cistí dílse ag deireadh na tréimhse (an tréimhse roimhe sin nó an tréimhse nochta) i gcomhréir le pointí (a)(i) agus (b)(i) d’Airteagal 364(1) agus pointe (b)(i) d’Airteagal 364(2) agus pointe (a) d’Airteagal 364(3) de CRR.
Rows 1a/1b and 8a/8b of this template shall be used when the RWEA/own funds requirement for any of the columns a to d of this template is the 60-day average (for VaR and SVaR) or the 12-week average measure or the floor measure (for IRC and Comprehensive risk measure) and not the RWEA/own funds requirement at the end of the period (previous or disclosure) in accordance with points (a)(i) and (b)(i) of Article 364 (1), with point (b)(i) of Article 364(2) and with point (a) of Article 364(3) CRR.