RESOLUTION OF NATIONAL BANK OF THE REPUBLIC OF MOLDOVA

of April 16, 2020 No. 102

About approval of Regulations about the relation to credit risk of the partner for banks

Based on Item c) parts (1) Articles 27, Item a) article 44 of the Law No. 548/1995 on National Bank of Moldova (переопубликован: The official monitor of the Republic of Moldova, 2015, No. 297-300, the Art. 544), with subsequent changes, parts (4), Art. 60 and parts (1), article 73 of the Law No. 202/2017 on activities of banks (The official monitor of the Republic of Moldova, 2017, No. 434-439, Articles 727) the Executive committee of National Bank of Moldova DECIDES:

1. Approve Regulations about the relation to credit risk of the partner for banks it (is applied).

2. This resolution is published in the Official monitor of the Republic of Moldova and becomes effective since 1.01.2021.

Appendix

to the Resolution of Executive committee of National Bank of the Republic of Moldova of April 16, 2020 No. 102

Regulations about the relation to credit risk of the partner for banks

These regulations realize Article 4 (1), Item 34; Article 271; Articles 272, Items 2-6, 12, 24-26; Article 273 (1), (3) - (8); Articles 274-282; Articles 291, articles 295-299, of article 300 (2) and (3), Article 305 of Regulations (EU) No. 575/2013 of the European Parliament and Council of June 26, 2013 about prudential requirements to credit institutions and investment firms and the making change in Regulations (EU) No. 648/2012 (the text with relevance of EEA) published in the Official magazine of the European Union No. L 176 of the June 27 2013, changed last time by the delegated Regulations (EU) 2015/62 Commissions of October 10, 2014.

Chapter I. General provisions

Part 1. Sphere and concepts

These regulations establish methodology of determination of requirements to own means for covering of credit risk of the partner, namely:

1) governed in relation to credit risk of the partner in case of derivative financial instruments, transactions with long-term calculation;

2) the principles which banks shall observe when calculating cost of podverzhennost taking into account risk for counter-party risk on elements in trade portfolio.

2. These regulations are applied to banks with the location in the Republic of Moldova, and also to departments of banks of other states in the Republic of Moldova which are licensed by National Bank of Moldova, further - banks.

the agreement of contractual compensation means the bilateral contractual agreement between bank and the partner which creates the unique obligation in law (based on compensation of the covered transactions), covering all bilateral framework agreements and all transactions included in this agreement;

the partner means any legal entity or physical person which participates in the agreement of compensation and has necessary contractual capability in this sense;

the central partner (CPC) represents the legal entity, performing interaction between partners - agreement parties about implementation of transactions in one or several financial markets, becoming thus the buyer for each seller and the seller for each buyer;

compensation means process of establishment of line items, including calculation of net obligations, and ensuring availability of financial instruments, money or that and another for covering of the podverzhennost connected afterwards with these line items;

the delta represents the expected variation of cost of one financial instrument in relation to variation of cost of the main tool of the financial instrument;

the member the compensator means the legal entity who participates within CPC and bears responsibility for accomplishment of the financial liabilities following from this participation;

line items of risk are meant by the risk assessment appropriated to one transaction based on the predetermining algorithm within the standardized method provided by part 5, of Chapter V;

the general risk of adverse correlation represents the risk arising when the probability of the introduction in condition of default of partners positively corresponds to general factors of market risk;

specific risk of adverse correlation - the risk arising when future exposure before certain partner positively corresponds to probability of default the partner as a result of the transactions performed with the partner. It is considered that the bank is subject to specific risk of adverse correlation if it is expected that future exposure before certain partner will be considerable when the probability of default the partner is also raised;

set of covering of risk means group of the line items of risk following from transactions within one set of compensation and in case of which only the balance of these line items of risk is used for cost determination of exposure within the standardized method provided by part 4, of Chapter V of these regulations;

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