INSTRUCTION OF CENTRAL BANK OF THE RUSSIAN FEDERATION

of December 3, 2015 No. 3878-U

About modification of the Instruction of the Bank of Russia of April 15, 2015 No. 3624-U "About requirements to risk management system and the capital of credit institution and banking group"

1. Bring in the Instruction of the Bank of Russia of April 15, 2015 No. 3624-U "About requirements to risk management system and the capital of credit institution and banking group", registered by the Ministry of Justice of the Russian Federation on May 26, 2015 No. 37388 ("the Bulletin of the Bank of Russia" of June 15, 2015 No. 51), the following changes.

1.1. In Item 1.2:

the fourth to add the paragraph with words ", and also phases of business cycle";

the fifth to state the paragraph in the following edition:

"Risk management system and the capital of credit institution (banking group) shall cover factors credit, market and operational is risky, completely not considered within procedure for the determination of requirements to the capital established by the Provision of the Bank of Russia of November 3, 2009 No. 346-P "About procedure of payments of the extent of operational risk", the registered Ministry of Justice of the Russian Federation on December 17, 2009 No. 15697, on July 19, 2012 No. 24957 ("the Bulletin of the Bank of Russia" of December 28, 2009 No. 77, of August 1, 2012 No. 43) (further - the Provision of the Bank of Russia No. 346-P), 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 ("the Bulletin of the Bank of Russia" of December 31, 2015 No. 122) (further - the Provision of the Bank of Russia No. 511-P), the Instruction of the Bank of Russia of December 3, 2012 No. 139-I "About obligatory standard rates of banks", registered by the Ministry of Justice of the Russian Federation on December 13, 2012 No. 26104, on November 29, 2013 No. 30498, on June 18, 2014 No. 32735, on October 20, 2014 No. 34362, on December 11, 2014 No. 35134, on December 24, 2014 No. 35372, on December 29, 2014 No. 35453, on February 20, 2015 No. 36180, on July 16, 2015 No. 38029, on September 23, 2015 No. 38976 ("the Bulletin of the Bank of Russia" of December 21, 2012 No. 74, of November 30, 2013 No. 69, of July 9, 2014 No. 63, of October 23, 2014 No. 99, of December 22, 2014 No. 112, of December 31, 2014 No. 117 - 118, of March 4, 2015 No. 17, of July 22, 2015 No. 60, of October 12, 2015 No. 86) (further - the Instruction of the Bank of Russia No. 139-I), and also other significant risks, for example, interest risk and concentration risk.";

add with the paragraph of the following content:

"Risk management and the capital in non-bank credit institution is performed according to the requirements established by Chapters 1 and 3 of this Instruction, the regulation of the Bank of Russia establishing features of prudential regulation of activities of the non-bank credit institutions performing deposit and credit operations, the Instruction of the Bank of Russia of April 26, 2006 No. 129-I "About banking activities and other transactions of settlement non-bank credit institutions, obligatory standard rates of settlement non-bank credit institutions and features of implementation by the Bank of Russia of supervision of their observance" registered by the Ministry of Justice of the Russian Federation on May 19, 2006 No. 7861, on August 6, 2007 No. 9956, on December 6, 2007 No. 10637, on September 23, 2009 No. 14851, on December 16, 2011 No. 22648, on November 29, 2013 No. 30493, on December 11, 2014 No. 35134 ("the Bulletin of the Bank of Russia" of May 31, 2006 No. 32, of August 22, 2007 No. 47, of December 17, 2007 No. 69, of September 30, 2009 No. 57, of December 21, 2011 No. 72, of November 30, 2013 No. 69, of December 22, 2014 No. 112), and the Instruction of the Bank of Russia of September 15, 2011 No. 137-I "About obligatory standard rates of the non-bank credit institutions having the right to implementation of money transfers without opening of bank accounts and the related other banking activities and features of implementation by the Bank of Russia of supervision of their observance", registered by the Ministry of Justice of the Russian Federation on September 23, 2011 No. 21871, on November 29, 2013 No. 30497 ("the Bulletin of the Bank of Russia" of September 28, 2011 No. 54, of November 30, 2013 No. 69).".

1.2. Third Item 1.3 to state the paragraph in the following edition:

"Risks of her participants which data join in calculation of capital adequacy ratios on the consolidated basis according to requirements of the Provision of the Bank of Russia of December 3, 2015 No. 509-P "About calculation of size of own means (capital), obligatory standard rates and the sizes (limits) of open foreign exchange positions of banking groups", No. 40318 registered by the Ministry of Justice of the Russian Federation on December 28, 2015 ("the Bulletin of the Bank of Russia" of December 31, 2015 No. 122) shall cover VPODK of group (further - the Provision of the Bank of Russia No. 509-P) (further - members of banking group).".

1.3. In paragraph four of Item 3.2 of the word "country risk)" shall be replaced with words "risk of origin at credit institution of losses as a result of non-execution by foreign partners (legal, physical persons) of obligations, restrictions of activities of credit institution in the territory of foreign states because of economic, political, social changes and also because the currency of monetary commitment can be unavailable to the partner because of features of the national legal system (irrespective of financial position of the partner) (country risk)".

1.4. State Item 3.3 in the following edition:

"3.3. Concerning each of significant risks the credit institution (parent credit institution of banking group) determines methodology of assessment of the given type of risk and definition of capital need, including data sources, used for risk assessment, procedures of stress testing according to Chapter 5 of this Instruction (except non-bank credit institution), the methods used by credit institution (parent credit institution of banking group) for decrease in risk and risk management, arising because the methods of decrease in risk applied by credit institution can not give the expected effect in connection with realization concerning the accepted ensuring legal risk or liquidity risk (further - residual risk).

The credit institution (parent credit institution of banking group) shall develop the methodology providing them assessment with qualitative methods on the basis of the professional judgment created on analysis results of factors of emergence of risk for non-financial risks.

For the purposes of this Instruction are understood as non-financial risks, including:

risk of origin at credit institution of losses owing to violation by credit institution and (or) its partners of conditions of the signed agreements, legal mistakes made by credit institution when implementing activities (for example, the wrong legal advice bureaus or incorrect creation of documents, including by consideration of matters of argument in judicial authorities), imperfections of system of law (for example, inconsistency of the legislation, lack of precepts of law on regulation of the single questions arising in activities of credit institution (banking group), violation by partners of regulatory legal acts, findings of branches of credit institution, legal entities concerning whom the credit institution exercises control or considerable influence, and also partners of credit institution under jurisdiction of the different states (further - legal risk);

regulatory risk in the value established by the paragraph the second Item 4.1.1 of the Provision of the Bank of Russia of December 16, 2003 No. 242-P "About the organization of internal control in credit institutions and banking groups", No. registered by the Ministry of Justice of the Russian Federation on January 27, 2004 5489, on December 22, 2004 No. 6222, on March 20, 2009 No. 13547, on June 30, 2014 No. 32913 ("the Bulletin of the Bank of Russia" of February 4, 2004 No. 7, of December 31, 2004 No. 74, of April 1, 2009 No. 21, of July 9, 2014 No. 63);

risk of adverse change of results of activities of credit institution owing to adoption of wrong decisions in management of credit institution, including in case of development, approval and strategy implementation of development of credit institution, improper execution of the made decisions, and also inability of governing bodies of credit institution to consider changes of external factors (strategic risk);

risk of emergence of losses as a result of negative perception of credit institution from her participants, partners, supervisory authorities and other concerned parties which can negatively affect capability of credit institution to support existing and (or) to establish new business relations and to support access to financing sources (risk of loss of goodwill) on permanent basis.

The list of the factors considered under management of non-financial risks is established by credit institution (parent credit institution of banking group) in the documents developed within VPODK.

The credit institution (parent credit institution of banking group) performs the choice of evaluation methods of the risks applied within VPODK independently taking into account the following:

the credit institution (parent credit institution of banking group) which size of assets constitutes 500 billion rubles and more shall not be limited to the evaluation methods of risks established by the Provision of the Bank of Russia of March 26, 2004 No. 254-P "About procedure for forming by credit institutions of reserves on possible losses according to loans, on the loan and equated to it debt" the registered Ministry of Justice of the Russian Federation on April 26, 2004 No. 5774, on April 20, 2006 No. 7728, on December 27, 2006 No. 8676, on December 10, 2007 No. 10660, on January 23, 2008 No. 10968, on May 22, 2008 No. 11724, on May 22, 2008 No. 11730, on June 30, 2008 No. 11903, on January 29, 2009 No. 13219, on February 20, 2009 No. 13414, on December 21, 2009 No. 15772, on December 24, 2009 No. 15811, on August 17, 2012 No. 25204, on December 13, 2012 No. 26113, on December 28, 2012 No. 26407, on June 26, 2013 No. 28896, on September 24, 2013 No. 30005, on November 29, 2013 No. 30494, on June 18, 2014 No. 32736, on November 10, 2014 No. 34627, on December 11, 2014 No. 35134, on December 26, 2014 No. 35437, on July 13, 2015 No. 37996, on September 25, 2015 No. 39006 ("the Bulletin of the Bank of Russia" of May 7, 2004 No. 28, of May 4, 2006 No. 26, of January 15, 2007 No. 1, of December 17, 2007 No. 69, of January 31, 2008 No. 4, of May 28, 2008 No. 25, of June 4, 2008 No. 28, of July 9, 2008 No. 36, of February 4, 2009 No. 7, of March 4, 2009 No. 15, of December 28, 2009 No. 77, of August 22, 2012 No. 50, of December 19, 2012 No. 73, of December 29, 2012 No. 78, of June 28, 2013 No. 36, of October 2, 2013 No. 54, of November 30, 2013 No. 69, of July 9, 2014 No. 63, of November 26, 2014 No. 105, of December 22, 2014 No. 112, of December 31, 2014 No. 117 - 118, of July 22, 2015 No. 60, of October 12, 2015 No. 86) (further - the Provision of the Bank of Russia No. 254-P), Provision of the Bank of Russia of March 20, 2006 No. 283-P "About procedure for forming by credit institutions of reserves on possible losses", the registered Ministry of Justice of the Russian Federation on April 25, 2006 No. 7741, on July 2, 2007 No. 9739, on December 6, 2007 No. 10639, on September 10, 2008 No. 12260, on August 5, 2009 No. 14477, on December 17, 2009 No. 15670, on May 24, 2011 No. 20837, on December 21, 2011 No. 22714, on December 18, 2012 No. 26162, on December 11, 2013 No. 30582, on October 20, 2014 No. 34363, on September 25, 2015 No. 39003 ("the Bulletin of the Bank of Russia" of May 4, 2006 No. 26, of July 11, 2007 No. 39, of December 17, 2007 No. 69, of September 17, 2008 No. 49, of August 12, 2009 No. 47, of December 28, 2009 No. 77, of June 1, 2011 No. 30, of December 28, 2011 No. 74, of December 26, 2012 No. 75, of December 18, 2013 No. 73, of October 23, 2014 No. 99, of October 12, 2015 No. 86) ( further - the Provision of the Bank of Russia No. 283-P), the Provision of the Bank of Russia No. 346-P, the Provision of the Bank of Russia No. 511-P, the Instruction of the Bank of Russia No. 139-I as the specified methods can not consider all factors credit, market, operational it is risk, characteristic of the transactions performed by credit institution (banking group); for the purpose of this Instruction

the size of assets represents value of Article "All assets", determined according to "the Razrabotochny table for creation of the Balance sheet (the published form) of" Item 3 of the Procedure for creation and submission of the reporting under form 0409806 "The balance sheet (the published form)", the Bank of Russia established by appendix 1 to the Instruction of November 12, 2009 No. 2332-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", to No. registered by the Ministry of Justice of the Russian Federation on December 16, 2009 15615, on June 18, 2010 No. 17590, on December 22, 2010 No. 19313, on June 20, 2011 No. 21060, on December 16, 2011 No. 22650, on July 10, 2012 No. 24863, on September 20, 2012 No. 25499, on December 20, 2012 No. 26203, on March 29, 2013 No. 27926, on June 14, 2013 No. 28809, on December 11, 2013 No. 30579, on March 28, 2014 No. 31760, on June 18, 2014 No. 32765, on December 22, 2014 No. 35313, on February 20, 2015 No. 36169, on June 8, 2015 No. 37564,

On July 16, 2015 No. 38037 ("the Bulletin of the Bank of Russia" of December 25, 2009 No. 75 - 76, of June 25, 2010 No. 35, of December 28, 2010 No. 72, of June 28, 2011 No. 34, of December 23, 2011 No. 73, of July 19, 2012 No. 41, of September 26, 2012 No. 58, of December 27, 2012 No. 76, of March 30, 2013 No. 20, of June 25, 2013 No. 34, of December 28, 2013 No. 79 - 80, of March 31, 2014 No. 34, of June 27, 2014 No. 61, of December 30, 2014 No. 115 - 116, of March 10, 2015 No. 20, of June 25, 2015 No. 55, of July 24, 2015 No. 61) (further - the Instruction of the Bank of Russia No. 2332-U);

the credit institution (parent credit institution of banking group) which size of assets constitutes less than 500 billion rubles can be limited to the evaluation methods of risks established by the Provision of the Bank of Russia No. 254-P, the Provision of the Bank of Russia No. 283-P, the Provision of the Bank of Russia No. 346-P, the Provision of the Bank of Russia No. 511-P, the Instruction of the Bank of Russia No. 139-I, except as specified, when the specified methods do not consider all factors credit, market, operational is risky, characteristic of the transactions performed by credit institution (banking group).

The evaluation methods of risks applied by affiliated credit institution within VPODK shall be approved in writing with parent credit institution of banking group. Requirements to the organization of procedures of management of separate types of risks are established in appendix to this Instruction and are applied by credit institution to significant risks.

If the credit institution (parent credit institution of banking group, affiliated credit institution) uses the evaluation methods of risks other than the methods established by the Provision of the Bank of Russia No. 254-P, the Provision of the Bank of Russia No. 283-P, the Provision of the Bank of Russia No. 346-P, the Provision of the Bank of Russia No. 511-P, the Instruction of the Bank of Russia No. 139-I, applied by credit institution (parent credit institution of banking group, affiliated credit institution), methods shall conform to requirements imposed to such methods in the international practice.".

1.5. In paragraph one of Item 3.4 of the word of "Item 4.7" shall be replaced with words "Item 4.12", shall be replaced with words the words "proceeding from cumulative" "proceeding from phase of business cycle, cumulative".

1.6. In paragraph four of subitem 4.4.1 of Item 4.4 of the word "the Instruction of the Bank of Russia No. 3090-U" shall be replaced with words "the Provision of the Bank of Russia No. 509-P".

1.7. Item 4.7 after the words "proceeds from" to add with words "phases of business cycle,".

1.8. In Item 4.9:

add subitem 4.9.1 with the paragraph of the following content:

"Concerning interest risk and concentration risk by credit institution (parent credit institution of banking group) assessment procedures of capital adequacy or technique of determination of requirements to the capital for covering of the specified risks shall be established.";

to state paragraphs of the fifth and sixth of subitem 4.9.2 in the following edition:

"the technique of the Bank of Russia established by the Instruction of the Bank of Russia No. 139-I and the Provision of the Bank of Russia No. 509-P for assessment of sufficiency of own means (capital) of credit institution (banking group) in cases when this technique considers all factors credit, market operational it is risk, characteristic of the transactions performed by credit institution (banking group). When using of the specified technique the total volume of the capital necessary for credit institution (banking group) shall be determined by total multiplication of size of the credit, market and operational risks calculated according to the specified technique by the planned (target) level of capital adequacy established in internal documents of credit institution (parent credit institution of banking group).

For accounting of other types of risks, significant for credit institution (banking group), concerning which the Bank of Russia does not establish assessment technique and also factors credit, market and operational it is risk, completely not considered within the methodology of the Bank of Russia used for determination of requirements to the capital, established by the Provision of the Bank of Russia No. 346-P, the Provision of the Bank of Russia No. 511-P, the Instruction of the Bank of Russia No. 139-I, the credit institution (parent credit institution of banking group) determines own technique of accounting of these risks (factors of risks) in case of assessment of capital adequacy of credit institution (banking group).".

1.9. To declare paragraph two of Item 5.1 invalid.

1.10. In appendix:

1.10.1. in Item 2.1:

the fourth to declare the paragraph invalid;

to state the paragraph of the sixth in the following edition:

"The credit institution (parent credit institution of banking group) develops procedures of application of methods of decrease in credit risk which can be used for the purpose of reduction of requirements to the capital (the accumulated providing in value, stipulated in Item 10.9 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. 38996 registered by the Ministry of Justice of the Russian Federation on September 25, 2015 ("the Bulletin of the Bank of Russia" of September 29, 2015 No. 81) (further - the Provision of the Bank of Russia No. 483-P), and not accumulated providing determined by Item 10.2 of the Provision of the Bank of Russia No. 483-P, and also control procedure for the residual risk resulting from application of the specified methods. The residual risk can be expressed in impossibility to implement the accepted providing, refusal or payment deferral on independent guarantees, and also in use of the documents constituted in an inadequate way. The credit institution (parent credit institution of banking group) determines evaluation procedure of justification of application of plenary confession of cost of providing for the purpose of decrease in the credit risk established by the Instruction of the Bank of Russia No. 139-I and the Provision of the Bank of Russia No. 483-P.";

add with the paragraph of the following content:

"The methodology of assessment of credit risk and determination of requirements to the capital for its covering shall cover all transaction types of credit institution in which the credit risk is inherent, including concentration risk (requirements to management of which are installed by Chapter 7 of the present applications), credit risk of the partner (requirements to management of which are established by subitems 2.1.1 - 2.1.5 these Items), and also the residual risk concluded in the tools used by credit institution for decrease in credit risk.";

add with subitems 2.1.1 - 2.1.5 following contents:

"2.1.1. In credit institution (parent credit institution of the banking group, affiliated credit institution) performing transactions with derivative financial instruments, repo transactions and similar transactions the procedures for risk management of default of the partner before completion of calculations for transactions with derivative financial instruments, to repo transactions and similar transactions (further - credit risk of the partner) including procedures of identification of credit risk of the partner, methodology of its assessment, control of amount of the accepted risk, and also the reporting under this risk shall be adopted. Procedures for credit risk management of the partner shall include the description of the basic principles of management of this risk, and also the detailed description of methodology of its assessment. The specified procedures shall correspond to nature and scale of the transactions performed by credit institution (banking group), level and combination of the accepted risks.

Procedures for credit risk management of the partner of credit institution (parent credit institution of banking group, affiliated credit institution) shall consider market, operational (including legal) the risks, and also liquidity risk connected with credit risk of the partner and mutual influence of these risks. The credit institution (parent credit institution of banking group, affiliated credit institution) needs to provide that transactions with partners were not performed without provisional estimate of financial position of the partner, and also assessment of probability of realization of credit risk of the partner both until completion of calculations, and in the course of implementation of payment under the transaction. Assessment of level of the accepted risk shall be performed both by certain partners, and at the level of credit institution (banking group).

Information on the size of credit risk of the partner shall be brought to the attention of the board of directors (supervisory board) of credit institution (parent credit institution of banking group) quarterly. The board of directors (supervisory board) and executive bodies of credit institution (parent credit institution of banking group, affiliated credit institution) also shall be informed on all cases of violation of procedures of credit risk management of the partner in process of identification of the specified facts.

2.1.2. If the credit institution (parent credit institution of banking group, affiliated credit institution) applies models of quantitative assessment of credit risk of the partner, individual and joint executive bodies of credit institution (parent credit institution of banking group, affiliated credit institution) shall be informed:

about restrictions and assumptions of models of quantitative assessment of credit risk of the partner and about influence of these assumptions (restrictions) for reliability of the results of assessment of credit risk of the partner received with use of the specified models;

about change of the market conditions complicating realization of providing and (or) leading to decrease in amount of transactions in the market and to irregularity of quotations of financial instruments and also about how changes of market conditions are considered in models of quantitative assessment of credit risk of the partner.

If the credit risk of the partner is referred by credit institution (parent credit institution of banking group, affiliated credit institution) to significant risks, the report on credit risk of the partner shall be created on daily basis according to the procedure, established by Chapter 6 of this Instruction. The specified report shall be submitted to the head of service of risk management and division managers, or to the other person having the powers performing transactions with derivative financial instruments, repo transactions and the similar transactions, and also to sole executive body or the member of collegiate executive body to which the head of service of risk management, division managers submit performing transactions with derivative financial instruments, repo transactions and similar transactions to make decisions on decrease in size of open line items on derivative financial instruments, repo transactions and similar transactions and (or) decrease in general level of credit risk of the partner accepted by credit institution (parent credit institution of banking group).

2.1.3. The limits of credit risk of the partner considering crediting limits and trade limits of these partners shall be set by credit institution (parent credit institution of banking group, affiliated credit institution).

Accepted in credit institution (parent credit institution of banking group, affiliated credit institution) of procedure for credit risk management of the partner shall provide intra day monitoring of use of credit lines.

The credit institution (parent credit institution of banking group, affiliated credit institution) shall:

determine the current and potential credit risk by derivative financial instruments taking into account the available agreement on netting (in connection with providing availability) and without the available agreement on netting (in connection with providing availability);

estimate the size of credit risk of the partner taking into account the concentration risk inherent in transactions with derivative financial instruments, to repo transactions and similar transactions, including concerning groups of the connected partners, sectors of economy, the markets.

If the credit risk of the partner is referred by credit institution (parent credit institution of banking group, affiliated credit institution) to significant risks, it shall perform monitoring of the maximum sizes of credit risk of the partner determined with the confidential interval established by credit institution (parent credit institution of banking group) at the level of portfolios and partners of credit institution (banking group).

2.1.4. The credit institution (parent credit institution of banking group, affiliated credit institution) shall perform stress testing of credit risk of the partner according to the procedure, established by Chapter 5 of this Instruction. Results of stress testing shall be considered in case of establishment of limits of credit risk of the partner. Information on results of stress testing shall be led up the head of service of risk management to the board of directors (supervisory board), individual and joint executive bodies of credit institution (parent credit institution of banking group). In procedures for credit risk management of the partner the operations procedure of officials on decrease in credit risk of the partner depending on results of stress testing shall be established.

2.1.5. In credit institution (parent credit institution of banking group, affiliated credit institution) the procedure and frequency (at least once a year) evaluating efficiency of procedures of management of credit risk of the partner by service of internal audit (other division independent of the divisions performing the functions connected with acceptance of credit risk of the partner) within which are estimated shall be established:

compliance of the documents containing procedures of credit risk management of the partner, to nature and scale the performed credit institution (parent credit institution of banking group, affiliated credit institution) of transactions with derivative financial instruments, repo and similar transactions and also to the level of the accepted credit risk of the partner;

the organization of credit risk management of the partner, including assessment of independence of the division exercising credit risk management of the partner from the divisions performing the transactions connected with acceptance of credit risk, including credit risk of the partner;

integration of procedures of credit risk management of the partner in daily procedures of risk management;

correctness of models of value assessment of the derivative financial instruments used by the divisions performing transactions with derivative financial instruments, repo transactions and similar transactions ("front office") and the divisions performing accounting of these transactions ("back office");

observance established in credit institution (parent credit institution of banking group, affiliated credit institution) of requirements to the information system providing credit risk management of the partner.

The credit institution (parent credit institution of the banking group) applying models of quantitative assessment of credit risk of the partner shall be performed assessment of materiality of changes in the applied models, and also be estimated in addition:

completeness of scope the applied models of transactions with derivative financial instruments;

accuracy and completeness of the data necessary for assessment of credit risk of the partner;

the sequence and timeliness of information, and also reliability of the data sources used in models;

results of quality evaluation (accuracy) of models of assessment of credit risk of the partner according to historical data which is carried out with frequency at least once a year, including assessment of adequacy of the assumptions used in them.";

1.10.2. in Item 2.2 of the word "regulations of the Bank of Russia" shall be replaced with words "Provision of the Bank of Russia No. 483-P, and also to conditions of permission to application for assessment of credit risk of the approach on the basis of internal ratings (further - TAC) issued by the Bank of Russia according to the Instruction of the Bank of Russia of August 6, 2015 to No. 3752-U "About procedure for receipt of permissions to application of bank control techniques credit risks and models of quantitative assessment of credit risks for the purpose of calculation of capital adequacy ratios of bank, and also evaluation procedure of their quality", the registered Ministry of Justice of the Russian Federation on August 25, 2015 No. 38679 ("the Bulletin of the Bank of Russia" of September 29, 2015 No. 81), - for the credit institutions applying TAC for the purpose of calculation of capital adequacy ratios";

1.10.3. add Item 2.4 with the paragraph of the following content:

"procedures of stress testing of credit risk and procedure for use of results of stress testing when calculating size of credit risk within TAC.";

1.10.4. add Item 2.5 with the paragraph of the following content:

"about the size of residual risk.";

1.10.5. in Item 3.2 of the word "the Provision of the Bank of Russia No. 387-P" shall be replaced with words "the Provision of the Bank of Russia No. 511-P";

1.10.6. in Item 3.4:

the paragraph one to add with the offer of the following content: "The methodology of determination of fair value of tools of trade portfolio shall provide that if the market on financial instruments stops being active, the quoted prices in this market cannot form basis for reliable determination of their cost in this connection credit institution (parent credit institution of banking group) based on the International accounting standard (IFRS) 13 "Assessment of fair value" enacted in the territory of the Russian Federation by the order of the Ministry of Finance of the Russian Federation of July 18, 2012 No. 106n "About enforcement and cancellation of documents of International accounting standards in the territory of the Russian Federation", the registered Ministry of Justice of the Russian Federation on August 3, 2012 No. 25095 (The Russian newspaper of August 15, 2012), with amendments, enacted in the territory of the Russian Federation by the order of the Ministry of Finance of the Russian Federation of December 17, 2014 No. 151n "About introduction of documents of International accounting standards in action in the territory of the Russian Federation", the registered Ministry of Justice of the Russian Federation on January 15, 2015 No. 35544 ("The official Internet portal of legal information" (www.pravo.gov.ru), on January 15, 2015), the order of the Ministry of Finance of the Russian Federation of August 26, 2015 No. 133n "About enforcement and cancellation of International accounting standards in the territory of the Russian Federation", the registered Ministry of Justice of the Russian Federation on September 15, 2015 No. 38889 ("The official Internet portal of legal information" (www.pravo.gov.ru), on September 18, 2015), changes evaluation method and uses several evaluation methods, for example, market and profitable.";

paragraph two after words "costs of tools of trade portfolio," to add with the words "including assessment of accuracy of the results received with use of the specified methodology both in the conditions of stability, and in stressful situations".

1.10.7. The paragraph one of Item 4.1 to state in the following edition:

"4.1. Procedures for risk management of emergence of losses as a result of unreliability and shortcomings of internal procedures of management of credit institution, refusal of information and other systems or owing to influence on activities of credit institution of external events (further - operational risk) shall include methods of identification and assessment of the accepted operational risk concerning different activities of credit institution (the affiliated organizations), including evaluation methods and the analysis of probability of realization of operational risk. The legal risk is part of operational risk.".

1.10.8. The paragraph the tenth Item 7.1 after the words "application of identical types of providing" to add with the word of "independent".

2. This Instruction becomes effective after 10 days after day of its official publication in "the Bulletin of the Bank of Russia".

 

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