PROVISION OF CENTRAL BANK OF THE RUSSIAN FEDERATION

of July 4, 2018 No. 647-P

About determination of the size of credit risk by banks according to transactions of which attraction of money by means of release of debt securities is result obligation fulfillment on each of which is provided fully or partially with cash receipts from the assets transferred to providing

This Provision based on Articles 62, 71.1, 72 of the Federal Law of July 10, 2002 No. 86-FZ "About the Central bank the Russian Federation (Bank of Russia)" (The Russian Federation Code, 2002, No. 28, Art. 2790; 2003, No. 2, Art. 157; No. 52, Art. 5032; 2004, No. 27, Art. 2711; No. 31, Art. 3233; 2005, No. 25, Art. 2426; No. 30, Art. 3101; 2006, No. 19, Art. 2061; No. 25, Art. 2648; 2007, No. 1, Art. 9, Art. 10; No. 10, Art. 1151; No. 18, Art. 2117; 2008, No. 42, Art. 4696, Art. 4699; No. 44, Art. 4982; No. 52, Art. 6229, Art. 6231; 2009, No. 1, Art. 25; No. 29, Art. 3629; No. 48, Art. 5731; 2010, No. 45, Art. 5756; 2011, No. 7, Art. 907; No. 27, Art. 3873; No. 43, Art. 5973; No. 48, Art. 6728; 2012, No. 50, Art. 6954; No. 53, Art. 7591, Art. 7607; 2013, No. 11, Art. 1076; No. 14, Art. 1649; No. 19, Art. 2329; No. 27, Art. 3438, Art. 3476, Art. 3477; No. 30, Art. 4084; No. 49, Art. 6336; No. 51, Art. 6695, Art. 6699; No. 52, Art. 6975; 2014, No. 19, Art. 2311, Art. 2317; No. 27, Art. 3634; No. 30, Art. 4219; No. 40, Art. 5318; No. 45, Art. 6154; No. 52, Art. 7543; 2015, No. 1, Art. 4, Art. 37; No. 27, Art. 3958, Art. 4001; No. 29, Art. 4348, Art. 4357; No. 41, Art. 5639; No. 48, Art. 6699; 2016, No. 1, Art. 23, Art. 46, Art. 50; No. 26, Art. 3891; No. 27, Art. 4225, Art. 4273, Art. 4295; 2017, No. 1, Art. 46; No. 14, Art. 1997; No. 18, Art. 2661, Art. 2669; No. 27, Art. 3950; No. 30, Art. 4456; No. 31, Art. 4830; No. 50, Art. 7562; 2018, No. 1, Art. 66; No. 9, Art. 1286; No. 11, Art. 1584, Art. 1588; No. 18, the Art. 2557) and according to the solution of the Board of directors of the Bank of Russia (the minutes of the Board of directors of the Bank of Russia of July 2, 2018 No. 23) for the purpose of calculation of capital adequacy ratios of bank establish procedure of payments banks of size of credit risk according to transactions of which attraction of money by means of release of debt securities is result, obligation fulfillment on each of which is provided fully or partially with cash receipts from the assets transferred to providing (further - transactions of securitization).

1. This Provision does not extend:

on investments in securities on which the size of market risk is calculated according to the Provision of the Bank of Russia of December 3, 2015 No. 511-P "About procedure of payments credit institutions of size of market risk", the registered Ministry of Justice of the Russian Federation on December 28, 2015 No. 40328 (further - the Provision of the Bank of Russia No. 511-P);

on transactions of securitization according to which credit risk is not spread between two and more risk line items from among 2 this provision specified in Item which are characterized by different priority of obligation fulfillment according to the transaction of securitization.

2. The participating bank of the transaction of securitization (further - the participant of the transaction) can hold the following risk positions:

investments in the bond with mortgage providing, in mortgage securities (the investment in each release of the specified securities provided with the same mortgage covering (mortgage providing) is separate risk line item);

loan granting (loans), including credits "overdraft", credit lines which conditions of provision provide obligation fulfillment on them after obligation fulfillment with come completion date on other risk line items (other risk line item) specified (specified) in paragraphs the second - the tenth this Item;

provision of providing in the form of the guarantee, independent guarantee (bank guarantee), security deposit, pledge of property, security payment;

the obligation on acquisition and (or) replacement of the assets transferred in providing according to transactions of securitization (further - underlying assets);

the obligation on share acquisition (share in the authorized capital):

the mortgage agent determined in article 2 of the Federal Law of November 11, 2003 No. 152-FZ "About mortgage securities" (The Russian Federation Code, 2003, No. 46, Art. 4448; 2005, No. 1, Art. 19; 2006, No. 31, Art. 3440; 2010, No. 11, Art. 1171; 2011, No. 48, Art. 6728; No. 49, Art. 7040; 2012, No. 26, Art. 3436; No. 53, Art. 7606; 2013, No. 30, Art. 4084; No. 51, Art. 6699; 2015, No. 27, Art. 4001; 2016, No. 1, Art. 81; No. 27, Art. 4294; 2017, No. 27, Art. 3938; No. 48, Art. 7052);

the specialized society determined in article 15.1 of the Federal Law of April 22, 1996 No. 39-FZ "About the security market" (The Russian Federation Code, 1996, No. 17, Art. 1918; 2001, No. 33, Art. 3424; 2002, No. 52, Art. 5141; 2004, No. 27, Art. 2711; No. 31, Art. 3225; 2005, No. 11, Art. 900; No. 25, Art. 2426; 2006, No. 1, Art. 5; No. 2, Art. 172; No. 17, Art. 1780; No. 31, Art. 3437; No. 43, Art. 4412; 2007, No. 1, Art. 45; No. 18, Art. 2117; No. 22, Art. 2563; No. 41, Art. 4845; No. 50, Art. 6247; 2008, No. 52, Art. 6221; 2009, No. 1, Art. 28; No. 18, Art. 2154; No. 23, Art. 2770; No. 29, Art. 3642; No. 48, Art. 5731; No. 52, Art. 6428; 2010, No. 17, Art. 1988; No. 31, Art. 4193; No. 41, Art. 5193; 2011, No. 7, Art. 905; No. 23, Art. 3262; No. 29, Art. 4291; No. 48, Art. 6728; No. 49, Art. 7040; No. 50, Art. 7357; 2012, No. 25, Art. 3269; No. 31, Art. 4334; No. 53, Art. 7607; 2013, No. 26, Art. 3207; No. 30, Art. 4043, Art. 4082, Art. 4084; No. 51, Art. 6699; No. 52, Art. 6985; 2014, No. 30, Art. 4219; 2015, No. 1, Art. 13; No. 14, Art. 2022; No. 27, Art. 4001; No. 29, Art. 4348, Art. 4357; 2016, No. 1, Art. 50, Art. 81; No. 27, Art. 4225; 2017, No. 25, Art. 3592; No. 27, Art. 3925; No. 30, Art. 4444; No. 48, Art. 7052; 2018, No. 1, Art. 65, Art. 70; No. 17, the Art. 2424) (further - the Federal Law "About the Security Market");

the legal entity registered outside the territory of the Russian Federation whose purposes and object of activity answer the purpose and object of activity of legal entities, the specified in paragraphs seven and the eighth this Item;

the financial aid provided by the participant of the transaction for obligation fulfillment on risk line items, including balances in cash on the settlement (current) accounts required to obligatory maintenance (storage), taking into account provisions of Item 1.3 of the Instruction of the Bank of Russia of November 29, 2019 No. 199-I "About obligatory standard rates and allowances to capital adequacy ratios of banks with the universal license", registered by the Ministry of Justice of the Russian Federation on December 27, 2019 No. 57008 (further - the Instruction of the Bank of Russia No. 199-I);

positive difference between nominal value and the price of primary placement of bonds with mortgage providing, mortgage securities.

3. The size of credit risk according to the transaction of securitization is calculated participants of the transaction on formula:

 

where:

RSS - credit risk according to the transaction of securitization;

BKpi - the risk coefficient i-oh the risk position held by the participant of the transaction calculated on the standardized approach according to Item 5 of this provision or on reserve approach according to Item 6 of this provision;

Aci - size i-oh the risk position held by the participant of the transaction;

Pci - the size of the created reserves on possible losses according to the Provision of the Bank of Russia of June 28, 2017 No. 590-P "About procedure for forming by credit institutions of reserves on possible losses according to loans, the loan and equated to it debt", the registered Ministry of Justice of the Russian Federation on July 12, 2017 No. 47384, on October 3, 2018 No. 52308 (further - the Provision of the Bank of Russia No. 590-P), and (or) the Provision of the Bank of Russia of October 23, 2017 No. 611-P "About procedure for forming by credit institutions of reserves on possible losses", the registered Ministry of Justice of the Russian Federation on March 15, 2018 No. 50381 (further - the Provision of the Bank of Russia No. 611-P), on i-oh risk position (part of the line item) held by the participant of the transaction.

At the rate of the size of credit risk according to the transaction of securitization the risk positions held by the participant of the transaction in the part provided with other risk positions held by it according to the transaction on which obligation fulfillment comes after obligation fulfillment on secure risk line items are excluded.

The size of credit risk according to the transaction of securitization is calculated participants of the transaction taking into account provisions of Items 1.3 and 1.4 of the Instruction of the Bank of Russia No. 199-I.

4. The initial and (or) subsequent creditor according to obligations, monetary claims (mortgage covering) on which are (is) pledge subject of debt securities with mortgage providing (mortgage securities) (further - originator), and (or) the participant of the transaction holding the risk positions listed in paragraphs three, the fourth and tenth Item 2 this provision (further - the sponsor), have the right to calculate the size of credit risk according to the transaction of securitization according to Item 3 this provision or according to appendix 1 to this Provision.

The example of calculation of size of credit risk for the transaction of securitization on the standardized approach is provided in appendix 3 to this Provision.

5. The coefficient of risk of VKR is calculated participants of the transaction on the standardized approach according to subitem 5.2 of this Item (in case of fulfillment of requirements of subitem 5.1 of this Item) or according to subitem 5.4 of this Item (in case of fulfillment of requirements of subitem 5.3 of this Item) on condition of availability at participants of the transaction (including at potential participants is transactions) information access updated at least once a month by the subjects determined in securitization terms of transaction:

risk line item, necessary for assessment, containing general data on risk line items of the transaction of securitization (including the size of risk line items, interest rates, discount, terms and priority of repayment, data on distribution of the arrived payments on underlying assets, size of exceeding of income gained from the arrived payments on underlying assets over expenses according to the transaction of securitization);

necessary for assessment of underlying assets (structure of underlying assets with indication of the data provided by form of the reporting 0409115 "Information on quality of assets of credit institution (banking group)" established by the Instruction of the Bank of Russia of November 24, 2016 No. 4212-U "About the list, forms and procedure for creation and representation of forms of the reporting of credit institutions in the Central bank of the Russian Federation", the registered Ministry of Justice of the Russian Federation on December 14, 2016 No. 44718, on March 29, 2017 No. 46155, on December 25, 2017 No. 49421; quantity of underlying assets; total amount of underlying assets; data on underlying assets on terms of overdue payments on principal debt and (or) percent (30, 60, 90 days and above); share of underlying assets on which there was default conforming to requirements of Items 13.3 - 13.7 Provisions of the Bank of Russia of August 6, 2015 No. 483-P "About procedure of payments of size of credit risk on the basis of internal ratings", No. registered by the Ministry of Justice of the Russian Federation on September 25, 2015 38996, on December 22, 2015 No. 40193 (further - the Provision of the Bank of Russia No. 483-P), in the total amount of underlying assets; share of the underlying assets determined as hopeless according to Item 1.7 of the Provision of the Bank of Russia No. 590-P, and (or) the underlying assets carried in the V quality category according to Item 1.4 of the Provision of the Bank of Russia No. 611-P; the size of the arrived money on underlying assets, including the size of the arrived money as a result of complete (partial) early repayment of underlying assets; data on weighted average interest rate and urgency of underlying assets; data on amount of the underlying assets sold (acquired) and (or) replaced; data about industry and about geographical diversification of underlying assets).

5.1. The coefficient of risk of VKR is calculated participants of the transaction according to subitem 5.2 of this Item if value of expected size of losses on underlying assets in case of which achievement losses on the held risk position will begin (further - A indicator) is more or equally to value of size of own means (capital) necessary (necessary) for covering of risks on underlying assets (further - indicator of KA).

The indicator of A is calculated on each risk line item as the relation of total amount of underlying assets less the amount of sizes of all risk line items according to the transaction of securitization in which obligation fulfillment is performed before obligation fulfillment on the considered risk line item, including the considered risk line item, to the total amount of underlying assets. At the same time the size of total amount of underlying assets increases by the amount of the risk line item which is not provided with underlying assets. The indicator of A is calculated without reduction by the size of the reserves by possible losses created according to the Provision of the Bank of Russia No. 590-P and (or) the Provision of the Bank of Russia No. 611-P.

If the participant of the transaction has necessary for payment of parameter w with information on amount of overdue underlying assets, the indicator of KA is calculated by formula:

 

where:

Kba - the indicator representing the work of the weighted average value of coefficients of the risks on underlying assets determined by each underlying asset according to the Instruction of the Bank of Russia No. 199-I, and the minimum size of sufficiency of own means (capital) of bank, calculated by formula:

 

where:

V 1, V 2,..., Vn - the size n-go of underlying asset;

KR 1, KR 2,..., KRN - the coefficient of risk of n-go of underlying asset determined according to subitem 2.1.1 of Item 2. 1, Item 2.3 of the Instruction of the Bank of Russia No. 199-I and appendices 1 and 2 to the Instruction of the Bank of Russia No. 199-I or according to subitem 3.1.1 of Item 3. 1, Item 3.3 of the Instruction of the Bank of Russia No. 199-I and appendices 1 and 11 to the Instruction of the Bank of Russia No. 199-I;

w - the share of overdue underlying assets in the total amount of underlying assets calculated as the relation of underlying assets on which payments on principal debt and (or) percent are delayed for the term of over 90 calendar days and (or) is turned collection regarding pledge, and (or) concerning the borrower insolvency proceedings (bankruptcy) according to the Federal Law of October 26, 2002 No. 127-FZ "About insolvency (bankruptcy)" are initiated (The Russian Federation Code, 2002, No. 43, Art. 4190; 2004, No. 35, Art. 3607; 2005, No. 1, Art. 18, Art. 46; No. 44, Art. 4471; 2006, No. 30, Art. 3292; No. 52, Art. 5497; 2007, No. 7, Art. 834; No. 18, Art. 2117; No. 30, Art. 3754; No. 41, Art. 4845; No. 49, Art. 6079; 2008, No. 30, Art. 3616; No. 49, Art. 5748; 2009, No. 1, Art. 4, Art. 14; No. 18, Art. 2153; No. 29, Art. 3632; No. 51, Art. 6160; No. 52, Art. 6450; 2010, No. 17, Art. 1988; No. 31, Art. 4188, Art. 4196; 2011, No. 1, Art. 41; No. 7, Art. 905; No. 19, Art. 2708; No. 27, Art. 3880; No. 29, Art. 4301; No. 30, Art. 4576; No. 48, Art. 6728; No. 49, Art. 7015, Art. 7024, Art. 7040, Art. 7061, Art. 7068; No. 50, Art. 7351, Art. 7357; 2012, No. 31, Art. 4333; No. 53, Art. 7607, Art. 7619; 2013, No. 23, Art. 2871; No. 26, Art. 3207; No. 27, Art. 3477, Art. 3481; No. 30, Art. 4084; No. 51, Art. 6699; No. 52, Art. 6975, Art. 6984; 2014, No. 11, Art. 1095, Art. 1098; No. 30, Art. 4217; No. 49, Art. 6914; No. 52, Art. 7543; 2015, No. 1, Art. 10, Art. 11, Art. 29, Art. 35; No. 27, Art. 3945, Art. 3958, Art. 3967, Art. 3977; No. 29, Art. 4350, Art. 4355, Art. 4362; 2016, No. 1, Art. 11, Art. 27, Art. 29; No. 23, Art. 3296; No. 26, Art. 3891; No. 27, Art. 4225, Art. 4237, Art. 4293, Art. 4305; 2017, No. 1, Art. 29; No. 18, Art. 2661; No. 25, Art. 3596; No. 31, Art. 4761, Art. 4767, Art. 4815, Art. 4830; No. 48, Art. 7052; 2018, No. 1, Art. 54; No. 11, Art. 1588; No. 18, the Art. 2557, the Art. 2563, the Art. 2576), and (or) concerning the borrower registered outside the territory of the Russian Federation initiates insolvency proceedings (bankruptcy) according to the insolvency law (bankruptcy), to the total amount of underlying assets.

If the participant of the transaction has no necessary for payment of parameter w with information on the amount of overdue underlying assets in the amount of which is not exceeding 5 percent from the total amount of underlying assets, the participant of the transaction calculates indicator of KA by formula:

 

where:

EAD w is known - the size of underlying assets subject to risk of default determined according to the Provision of the Bank of Russia No. 483-P in which information necessary for calculation of parameter w is known;

EAD w is unknown - the size of underlying assets subject to risk of default determined according to the Provision of the Bank of Russia No. 483-P in which information necessary for calculation of parameter w is unknown;

EAD general - the size of underlying assets subject to risk of default determined according to the Provision of the Bank of Russia No. 483-P;

W is known - the indicator of KA calculated according to the paragraph the fourth this subitem as regards underlying assets on which information necessary for calculation of parameter w is known.

5.2. The coefficient of risk of VKR is calculated participants of the transaction as the work of indicator of Ks and coefficient of 12,5.

Ks's indicator is calculated by formula:

 

where:

Ksa - own means (capital) necessary (necessary) for covering of unit of risks of securitization;

e - basis of natural logarithm;

 

where:

p - the indicator considering the risk of structure of transactions of securitization accepted equal 1 for the transaction of securitization;

 

where:

D - the indicator determining value of expected size of losses by underlying assets in case of which achievement the held risk position completely will stop being provided with cash receipts from underlying assets and (or) the obligation on risk line item will be fulfilled;

 

 

5.3. The coefficient of risk of VKR is calculated participants of the transaction according to subitem 5.4 of this Item if the measure value of KA is more than A measure value, but there is less measure value of D.

The indicator of D is calculated on each risk line item as the relation of total amount of underlying assets less the amount of sizes of all risk line items in which obligation fulfillment is performed before obligation fulfillment on the considered risk line item, excepting the considered risk line item, to the total amount of underlying assets. At the same time the size of total amount of underlying assets increases by the amount of the risk line item which is not provided with underlying assets. The indicator of D is calculated without reduction by size of the created reserves by possible losses according to the Provision of the Bank of Russia No. 590-P and (or) the Provision of the Bank of Russia No. 611-P.

5.4. The coefficient of risk of VKR is calculated participants of the transaction on formula:

 

5.5. If the coefficient of risk of VKR calculated according to this Item accepts value less than 15 percent, for the purpose of calculation of size RSS its value is considered to equal 15 percent.

6. The coefficient of risk of VKR according to reserve approach is established in the amount of 1250 percent in the following cases:

participants of the transaction (including potential participants of the transaction) have no information access, the subjects determined in the securitization terms of transaction, at least once a month specified in paragraphs second and third Item 5 of this provision, updated;

the participant of the transaction has no information on overdue underlying assets necessary for calculation of parameter w, in the amount exceeding 5 percent from the total amount of underlying assets;

the indicator of D accepts value, smaller or equal to measure value of KA.

7. Calculation of size RSS for transactions of securitization in case of simultaneous compliance to all conditions of simple, transparent, comparable securitization specified in appendix 2 to this Provision (further - transactions of PPS of securitization), can be performed according to Items 3 and 4 of this provision using value of coefficient of p equal to 0,5.

If the coefficient of risk of VKR calculated according to Item 5 of this provision on risk line items which conditions of provision provide obligation fulfillment on them before obligation fulfillment on all other risk line items according to the transaction of PPS of securitization accepts value less than 10 percent, for the purpose of calculation of size RSS its value is considered to equal 10 percent.

If the coefficient of risk of VKR calculated according to Item 5 of this provision on risk line items which conditions of provision provide obligation fulfillment on them after obligation fulfillment with come completion date on other risk line item (other risk line items) according to the transaction of PPS of securitization accepts value less than 15 percent, for the purpose of calculation of size RSS its value is considered to equal 15 percent.

Participants of the transaction independently determine compliance of the transaction of securitization to securitization PPS terms of transaction.

8. Calculation of size RSS for transactions of securitization which structure of underlying assets includes bonds with mortgage providing and (or) the mortgage securities specified in paragraph ten of Item 2.1 of the Provision of the Bank of Russia No. 511-P (further - the transaction of repeated securitization) is performed according to Item 3 this provision taking into account Item 5 or Item 6 of this provision using measure value of p equal to 1,5, and parameter value of w equal to zero, at the same time subitem 5.5 of Item 5 and Item 7 of this provision are not applied.

If the coefficient of risk of VKR calculated according to the transaction of repeated securitization according to Item 5 of this provision accepts value less than 100 percent, for the purpose of calculation of size RSS its value is considered to equal 100 percent.

9. In case of availability at the participant of the transaction on risk line item of providing, stipulated in Item 2.3 Instructions of the Bank of Russia No. 199-I, including the guarantee corresponding to conditions of codes 8943.1, 8943. 2, 8943.0 Instructions of the Bank of Russia No. 199-I, in case of observance of the requirements to this providing provided by subitems 2.3.11 - 2.3.18 Items 2.3 of the Instruction of the Bank of Russia No. 199-I, or Item 3.3 of the Instruction of the Bank of Russia No. 199-I, in case of observance of the requirements to this providing provided by subitems 3.3.12 - 3.3.15 Items 3.3 of the Instruction of the Bank of Russia No. 199-I, the participant of the transaction has the right to apply to secure risk line item risk coefficient according to the Instruction of the Bank of Russia No. 199-I instead of coefficient of risk of VKR calculated according to this Provision taking into account requirements of subitem 2.3.19 of Item 2.3 or subitem 3.3.16 of Item 3.3 of the Instruction of the Bank of Russia No. 199-I.

10. If when implementing supervision, including when conducting checks by authorized representatives (employees) of the Bank of Russia, the facts of non-compliance with the terms of transaction of securitization stated in Item 1 of appendix 1 to this Provision are elicited, the Bank of Russia (territorial office of the Bank of Russia, authorized structural division of central office of the Bank of Russia) imposes requirement on originator about inclusion in calculation of size RSS of risk line items and (or) underlying assets.

11. Calculation of size RSS is perfromed on monthly basis.

12. This Provision becomes effective after 10 days after day of its official publication.

Appendix 1

to the Provision of the Bank of Russia of July 4, 2018 "About determination of the size of credit risk by banks according to transactions of which attraction of money by means of release of debt securities is result obligation fulfillment on each of which is provided to No. 647-P fully or partially with cash receipts from the assets transferred to providing"

Calculation of size of credit risk for the transaction of securitization by originator and sponsor

1. Originator calculates size RSS on underlying assets regarding the size of the held risk positions weighed on the risk coefficients provided by subitem 2.1.1 of Item 2. 1, Item 2.3 of the Instruction of the Bank of Russia No. 199-I and appendices 1 (except for codes 8943.1, 8943. 2, 8943. 0) and 2 to the Instruction of the Bank of Russia No. 199-I or subitem 3.1.1 of Item 3. 1, Item 3.3 of the Instruction of the Bank of Russia No. 199-I and appendices 1 (except for codes 8943.1, 8943. 2, 8943. 0) and 11 to the Instruction of the Bank of Russia No. 199-I (at the same time calculation is perfromed without reduction of underlying assets by the size of reserves by possible losses according to the Provision of the Bank of Russia No. 590-P and (or) the Provision of the Bank of Russia No. 611-P), and on the risk positions which are not provided with underlying assets held by originator in case of simultaneous observance of the following conditions:

the originator holds risk positions according to the transaction of securitization of no more than 35 percent from initial amount of issued debt securities or underlying assets;

the substantial risk of use of underlying assets for satisfaction of requirements for originator is excluded, including in case of its bankruptcy that is confirmed with the conclusion of person, competent to render legal services;

issued debt securities are not debt obligations of originator;

the structure of the transaction of securitization does not provide the obligation of originator on implementation of the complete or partial return redemption and (or) replacement of underlying assets before date of termination of the transaction, including does not provide the specified obligation which can arise in the future in case of approach of conditions which consequence recognition of underlying assets (their part) not corresponding (not corresponding) to restrictions in the field of the financial performance defined by the agreement (conditions of release of debt securities) is;

terms of transaction of securitization do not provide possibility of deduction by originator of new risk line items from among the listed in paragraphs three - the tenth Item 2 this provision in case of deterioration in credit quality of underlying assets;

the decision on early obligation fulfillment is made by the issuer of debt securities (based on the solution of originator) if there were outstanding no more than 10 percent from initial amount of issued debt securities or underlying assets.

2. Originator calculates size RSS on all underlying assets weighed on the risk coefficients provided by subitem 2.1.1 of Item 2. 1, Item 2.3 of the Instruction of the Bank of Russia No. 199-I and appendices 1 (except for codes 8943.1, 8943. 2, 8943. 0) and 2 to the Instruction of the Bank of Russia No. 199-I or subitem 3.1.1 of Item 3. 1, Item 3.3 of the Instruction of the Bank of Russia No. 199-I and appendices 1 (except for codes 8943.1, 8943. 2, 8943. 0) and 11 to the Instruction of the Bank of Russia No. 199-I (at the same time calculation is perfromed without reduction of underlying assets by the size of reserves by possible losses according to the Provision of the Bank of Russia No. 590-P and (or) the Provision of the Bank of Russia No. 611-P), and on the risk positions which are not provided with underlying assets held by originator in case of non-compliance with any securitization terms of transaction from among 1 this appendix specified in Item.

3. The sponsor calculates size RSS on the held risk positions listed in paragraphs three, the fourth and tenth Item 2 this provision weighed on the risk coefficients provided by subitem 2.1.1 of Item 2. 1, Item 2.3 of the Instruction of the Bank of Russia No. 199-I and appendices 1 and 2 to the Instruction of the Bank of Russia No. 199-I or subitem 3.1.1 of Item 3. 1, Item 3.3 of the Instruction of the Bank of Russia No. 199-I and appendices 1 and 11 to the Instruction of the Bank of Russia No. 199-I for underlying assets.

Appendix 2

to the Provision of the Bank of Russia of July 4, 2018 "About determination of the size of credit risk by banks according to transactions of which attraction of money by means of release of debt securities is result obligation fulfillment on each of which is provided to No. 647-P fully or partially with cash receipts from the assets transferred to providing"

The conditions determining simple, transparent, comparable securitization

1. Underlying assets shall be homogeneous on currency of nominating, country accessory, the legislation regulations applicable concerning creditors and borrowers.

2. Information shall be available to assessment of underlying assets to the unrestricted group of people, including information on other assets of originator with similar characteristics.

3. The structure of underlying assets shall not include assets on which there was default conforming to requirements of Items 13.3 - 13.7 Provisions of the Bank of Russia No. 483-P, at the time of their transfer by originator to the issuer of debt securities.

4. Information on compliance of quality evaluation of underlying assets, including assessment of financial position of the borrower, quality evaluation of other assets of originator with similar characteristics shall be available to the unrestricted group of people.

5. The securitization terms of transaction stated in paragraphs three - the seventh Item 1 of appendix 1 to this Provision, shall be observed.

6. Information on underlying assets (the structure of underlying assets determined in paragraph three of Item 5 of this provision, the quantity of underlying assets, the amount, interest rate, the weighted average term before repayment on all underlying assets, the amount of the arrived payments on underlying assets, including the amount of the arrived payments directed to complete (partial) early repayment of underlying assets this about industry and geographical diversification of underlying assets) confirmed with the conclusion of the legal entity determined in terms of transaction of securitization and not being originator shall be available to the unrestricted group of people during all term of the transaction of securitization.

7. The amount of payments for issued debt securities shall not depend on refinancing and (or) sale of underlying assets.

8. Information on hedging of interest and (or) currency risks in structure of the transaction of securitization shall be available to investors during all term of the transaction.

9. Terms of transaction of securitization shall contain priority of distribution of payments on underlying assets between all participants of the transaction on the risk positions held by them.

10. Terms of transaction of securitization shall contain procedure for concession of the rights of requirements for underlying assets to participants of the transaction.

11. Legal documentation on the transaction of securitization, including the conclusion of person shall be available to investors on their request, competent to render legal services.

12. The condition of the transaction of securitization stated in the paragraph the second Item 1 of appendix 1 to this Provision shall be observed.

13. The organizations performing the functions specified in Item 9 of article 27.3-1 of the Federal law "About the Security Market" performed the specified functions at least in one complete transaction of securitization.

14. Legal documentation on the transaction of securitization shall contain list of the rights and obligations of the organizations specified in Item 13 of this appendix and also the procedure of transfer of their functions to the third parties in case of insolvency (bankruptcy) of such organizations.

15. The structure of underlying assets shall include only the following assets:

mortgage loans, the weighted average coefficient of risk on which calculated taking into account the coefficients of risk provided by subitem 2.1.1 of Item 2. 1, Item 2.3 of the Instruction of the Bank of Russia No. 199-I and appendix 1 to the Instruction of the Bank of Russia No. 199-I, is not exceeded by 40 percent;

the assets meeting requirements of code 8740, of the Bank of Russia No. 199-I given in appendix 1 to the Instruction;

the assets meeting requirements of subitem 2.3.4 of Item 2.3 of the Instruction of the Bank of Russia No. 199-I (except for mortgage loans, credit requirements to subjects of small and medium entrepreneurship).

16. The amount of all credit requirements (without reduction by size of the reserves created under them by possible losses) to one borrower shall constitute no more than 1 percent from the total value of underlying assets.

Appendix 3

to the Provision of the Bank of Russia of July 4, 2018 "About determination of the size of credit risk by banks according to transactions of which attraction of money by means of release of debt securities is result obligation fulfillment on each of which is provided to No. 647-P fully or partially with cash receipts from the assets transferred to providing"

(recommended sample)

Calculation of size of credit risk for the transaction of securitization for the standardized approach

1. Securitization terms of transaction:

amount of the issued bonds - 100 000 thousand rubles;

circulation period - 5 years;

amount of underlying assets - 100 000 thousand rubles;

bonds of A (the senior risk line item) - 55 000 thousand rubles;

the bank guarantee provided by the resident bank of the Russian Federation which is not originator, for all term of the transaction (covering losses of the senior risk line item), - 10 000 thousand rubles;

bonds of B (the mezzanine risk line item covering losses of the senior risk line item) - 25 000 thousand rubles;

bonds of C (the younger risk line item covering losses of the senior and mezzanine risk line items) - 20 000 thousand rubles;

amount of overdue assets of w - 3 percent;

the risk coefficient on each asset which is part of underlying assets according to the Instruction of the Bank of Russia No. 199-I makes 100 percent.

2. Calculation of size RSS the participant of the transaction, not being originator:

senior risk line item of A - 55 000 thousand rubles;

mezzanine risk line item of B - 10 000 thousand rubles.

Step 1 - measure calculation of A and D:

 

 

 

 

 

Risk line item	A indicator	Indicator of D
A	50%	100%
B	20%	45%

 

Step 2 - measure calculation of KA:

Kba = 100% x 8% = 8%;

= ((1 - 0,03) x 0,08 + 0,03 x 0,5) x 100% = % 9,26.

Step 3 - calculation of coefficient of risk of VKR for each risk line item.

The indicator of A is more than indicator of KA or is equal to it.

Risk line item of A:

a = - (1: (1 x 0,093)) = - 10,8;

u = 1 - 0,093 = 0,91;

h = 0,41;

Ksa = 0,002;

VKR = max { (0,002 x 12, 5 x 100%); 15% } = 15%;

risk line item of B:

a = - (1: (1 x 0,093)) = - 10,8;

u = 0,45 - 0,093 = 0,36;

h = 0,11;

Ksa = 0,11;

VKR = max { (0,11 x 12, 5 x 100%); 15% } = % 135,41.

Step 4 - calculation of size RSS.

The part of risk line item of A provided with risk line item of B is equal 10 000 thousand rubles.

RSS = 0, x (55 000 - 10 000) + 1, 35 x 10 000 = 20 291 thousand rubles.

3. Calculation of size RSS originator in case of compliance of the transaction of securitization to the conditions stated in annex 1 to this Provision.

The risk positions held by originator:

mezzanine risk line item of B - 10 000 thousand rubles;

younger risk line item of C - 20 000 thousand rubles.

RSS = 10 000 x 1 + 20 000 x 1 = 30 000 thousand rubles.

4. Calculation of size RSS originator in case of discrepancy of the transaction of securitization to the conditions stated in annex 1 to this Provision.

The risk positions held by originator:

mezzanine risk line item of B - 10 000 thousand rubles;

younger risk line item of C - 20 000 thousand rubles.

RSS = 100 000 x 1 = 100 000 thousand rubles.

5. Calculation of size RSS sponsor:

mezzanine risk line item of B - 5 000 thousand rubles;

the bank guarantee - 10 000 thousand rubles.

Step 1 - measure calculation of A and D:

 

 

Step 2 - measure calculation of KA:

Kba = 100% x 8% = 8%;

= ((1 - 0,03) x 0,08 + 0,03 x 0,5) x 100% = % 9,26.

Step 3 - calculation of coefficient of risk of VKR for each risk line item:

risk line item of B:

a = - (1: (1 x 0,093)) = - 10,8;

u = 0,45 - 0,093 = 0,36;

h = 0,11;

Ksa = 0,11;

VKR = max { (0,11 x 12, 5 x 100%); 15% } = % 135,41;

risk line item according to the provided bank guarantee:

VKR = 100%.

Step 4 - calculation of size RSS:

RSS = 1, 35 x 5000 + 10 000 x 1 = 16 771 thousand rubles.

6. When calculating size RSS the actual values of sizes and indicators are used, in example rounding by mathematical rules only in the information purposes is made.

 

Disclaimer! This text was translated by AI translator and is not a valid juridical document. No warranty. No claim. More info