Part

Internal Capital Adequacy Assessment

Chapter

Credit and Counterparty Risk

Printed on: 06/11/2024

Rulebook at: 31/12/2021

4

Credit and Counterparty Risk

4.1

A firm must base credit-granting on sound and well-defined criteria and clearly establish the process for approving, amending, renewing and re-financing credits.

[Note: Art 79(a) of the CRD]

  • 01/01/2014

4.2

A firm must have internal methodologies that:
  1. (1) enable it to assess the credit risk of exposures to individual obligors, securities or securitisation positions and credit risk at the portfolio level;
  2. (2) do not rely solely or mechanistically on external credit ratings; and
  3. (3) where its own funds requirements under Part Three of the CRR are based on a rating by an ECAI or based on the fact that an exposure is unrated, enable the firm to consider other relevant information for assessing its allocation of financial resources and internal capital.

[Note: Art 79(b) of the CRD]

  • 01/01/2014

4.3

A firm must operate through effective systems the ongoing administration and monitoring of its various credit risk-bearing portfolios and exposures, including for identifying and managing problem credits and for making adequate value adjustments and provisions.

[Note: Art 79(c) of the CRD]

  • 01/01/2014

4.4

A firm must adequately diversify credit portfolios given its target markets and overall credit strategy.

[Note Art 79(d) of the CRD]

  • 01/01/2014