natgillin/translations-raw huggingface dataset:
INTERNE KREDITVURDERINGSSYSTEMER I DE NATIONALE CENTRALBANKER ANVENDT SOM KILDEDenne kilde består på nuværende tidspunkt af defire kreditvurderingssystemer, der drives af Deutsche Bundesbank, Banco de España, Banque de France og Oesterreichische Nationalbank.
The ECAF performance monitoring process consists of an annual ex post comparison of the observed default rate for the set of all eligible debtors (the static pool) and the credit quality threshold of the Eurosystem given by the benchmark PD.
Nationale centralbanker, der beslutter at udvikle dereseget interne kreditvurderingssystem, vil skullegennemgå en valideringsprocedure, som udføresaf eurosystemet.
It aims to ensure that the results from credit assessments are comparable across systems and sources.
Interne kreditvurderingssystemer er omfattet af eurosystemets performanceovervågning (se afsnit 6.3.5).
The monitoring process takes place one year after the date on which the static pool was defined. ned.
Navn og adresse på både den kompetente banktilsynsmyndighed og den eksterne revisor.
The Eurosystem may decide to suspend or exclude the credit assessment system in cases where no improvement in performance is observed over a number of years.
Desuden skal modparten øjeblikkeligt underretteden nationale centralbank med det interne kreditvurderingssystem om alle kreditbegivenheder,som kun modparten er vidende om, herunder forsinkelse i de angivne debitorers betalinger.
In addition, in the event of an infringement of the rules governing the ECAF, the credit assessment system will be excluded from the ECAF.
Ovenstående bestemmelser finder anvendelse påalle modparter uanset status – moderselskab, datterselskab eller filial – og uanset om godkendelsen af det interne ratingbaserede systemkommer fra tilsynsmyndigheden i det sammeland (hvad angår et moderselskab og eventueltdatterselskaber) eller fra en tilsynsmyndighed idet land, hvor moderselskabet har hjemsted (hvadangår filialer og eventuelt datterselskaber).
The first element of the process is the annual compilation by the credit assessment system provider of a static pool of eligible debtors, i.e. a pool consisting of all corporate and public debtors, receiving a credit assessment from the system satisfying the following condition:
INTERNE RATINGBASEREDE SYSTEMER SOM KILDEHvis en modpart ønsker at anvende et interntratingbaseret system til at vurdere kreditkvaliteten hos belånbare gældsinstrumenters debitorer,udstedere eller garanter, skal modparten indhente tilladelse fra sin egen nationale central-
Risk control measures are applied to the assets underlying Eurosystem credit operations in order to protect the Eurosystem against the risk of financial loss if underlying assets have to be realised owing to the default of a counterparty. The risk control measures at the disposal of the Eurosystem are described in Box 7.
Værktøjerne skal betjenes af udbyderne af ratingværktøjerne.
Valuation haircuts The Eurosystem applies “valuation haircuts” in the valuation of underlying assets.
Afgørelsen baseres på envurdering af, om værktøjet overholder de godkendelseskriterier, som er fastsat af eurosystemet.42
This implies that the value of the underlying asset is calculated as the market value of the asset less a certain percentage (haircut).
En kopi af den nyeste vurdering af modpartens interne ratingbaserede system foretagetaf modpartens tilsynsmyndighed oversat til etaf den nationale centralbanks arbejdssprog.
Similarly, if the value of the underlying assets, following their revaluation, exceeds a certain level, the counterparty may retrieve the excess assets or cash. (The calculations relevant for the execution of margin calls are presented in Box 8.)
Desuden skal modparten underrette udbyderenaf ratingværktøjet om alle kreditbegivenheder,som kun modparten er vidende om, herunder forsinkelse i de angivne debitorers betalinger.
The following risk control measures may also be applied by the Eurosystem at any time if required to ensure adequate risk protection of the Eurosystem in line with Article 18.1 of the Statute of the ESCB:
Eventuelle ændringer af modpartens interneratingbaserede system, som tilsynsmyndigheden har anbefalet eller krævet, samt datoen,hvor disse ændringer skal være gennemført.
This would imply that counterparties would need to provide underlying assets with a value at least equal to the liquidity provided by the Eurosystem plus the value of the initial margin.
Den årlige ajourføring af de oplysningerunder søjle 3 (markedsdisciplin), som modparten skal offentliggøre regelmæssigt i henhold til kravene om markedsdisciplin undersøjle 3 inden for Basel II-reglerne og kapitalkravsdirektivet.
Such limits can also be applied to specific counterparties, in particular if the credit quality of the counterparty appears to exhibit a high correlation with the credit quality of the collateral submitted by the counterparty.
Oplysninger om den kompetente banktilsynsmyndighed og den eksterne revisor.
Additional guarantees The Eurosystem may require additional guarantees from financially sound entities in order to accept certain assets.
Modpartens relevante tilsynsmyndighed og eventuelle eksterne revisormodtager en kopi af denne skrivelse fra eurosystemet.
Exclusion The Eurosystem may exclude certain assets from use in its monetary policy operations.
42Godkendelseskriterierne er opstillet på ECBs websted(www.ecb.europa.eu).43Modparten skal øjeblikkeligt underrette udbyderen af ratingværktøjet om alle kreditbegivenheder, som kan tyde på forringelse af kreditkvaliteten.
Such exclusion can also be applied to specific counterparties, in particular if the credit quality of the counterparty appears to exhibit a high correlation with the credit quality of the collateral submitted by the counterparty.
6.3.5PERFORMANCEOVERVÅGNING AF KREDITVURDERINGSSYSTEMER stemet med henblik på at analysere årsagerne tilafvigelsen.
The Eurosystem applies specific risk control measures according to the types of underlying assets offered by the counterparty.
Eurosystemet kan beslutte at suspendere ellerudelukke kreditvurderingssystemet, såfremt derikke iagttages forbedringer med hensyn til systemets performance over en årrække.
The risk control framework for eligible marketable assets includes the following main elements: harmonised across the euro area 44 and ought to ensure consistent, transparent and non-
Performanceovervågningen inden for eurosystemets rammer for kreditvurdering består af enårlig efterfølgende sammenligning af den observerede misligholdelsesfrekvens for alle godkendte debitorer (den statiske pulje) og eurosystemets mindsteværdi for kreditkvalitet, som erfremkommet ved den sandsynlighed for misligholdelse (PD), der anvendes som benchmark.Formålet er at sikre, at resultaterne af kreditvurderingerne er sammenlignelige på tværs af systemer og kilder.
44 Owing to operational differences across Member States, some differences in terms of risk control measures may prevail. For instance, in respect of the procedures for counterparties’ delivery of underlying assets to the national central banks (in the form of a pool of collateral pledged with the national central bank or as repurchase agreements based on individual assets specified for each transaction), minor differences may occur with regard to the timing of the valuation and other operational features of the risk control framework.
Overvågningsprocessen findersted et år efter den dato, hvor den statiske puljeblev defineret.
Furthermore, in the case of nonmarketable assets, the precision of valuation techniques may differ, which is reflected in the overall level of haircuts (see Section 6.4.3).
PD(i,t) 0,10 pct. (benchmark PD(t))
Credit institution debt instruments (unsecured)
Alle debitorer, der opfylder denne betingelse istarten af perioden t, udgør den statiske pulje fort.
Debt instrumentsissued by bonds 3) central banks 2) and other issuers 4)
Eurosystemet anvender særlige risikostyringsinstrumenter, alt efter hvilken type underliggendeaktiver modparten leverer.
1) In general, the issuer classification determines the liquidity category.
ECB fastsætter passende risikostyringsinstrumenter for både omsættelige og ikkeomsættelige belånbare aktiver.Risikostyringsinstrumenterne er stort set harmoniserede i hele euroområdet44 og bør sikre ensartede, gennemsigtige og ikke-diskriminerendebetingelser for alle typer belånbare aktiver i heleeuroområdet.
However, all assetbacked securities are included in category V, regardless of the classification of the issuer, and Jumbo covered bank bonds are included in category II, while traditional covered bank bonds and other debt instruments issued by credit institutions are included in categories III and IV.
44På grund af operationelle forskelle mellem medlemsstaternesprocedurer for modparters levering af underliggende aktiver tilde nationale centralbanker (i form af en sikkerhedspulje deponeret hos den nationale centralbank eller som genkøbsforretningerbaseret på individuelle aktiver angivet for hver enkelt transaktion) kan der forekomme mindre forskelle med hensyn til tidspunktet for værdiansættelse og andre operationelle karakteristika i forbindelse med rammerne for risikostyring.
2) Debt certificates issued by the ECB and debt instruments issued by the national central banks prior to the adoption of the euro in their respective Member State are included in liquidity category I. 3) Only instruments with an issuing volume of at least €1 billion, for which at least three market-makers provide regular bid and ask quotes, fall into the asset class of Jumbo covered bank bonds.
Desuden kanværdiansættelsesteknikkernes præcisionsgrad med hensyn tilikke-omsættelige aktiver variere, hvilket afspejles i det generellehaircuts-niveau (se afsnit 6.4.3).
4) Only marketable assets issued by issuers that have been classified as agencies by the ECB are included in liquidity category II.
Ved en væsentlig afvigelse mellem denobserverede misligholdelsesfrekvens for den statiske pulje og mindsteværdien for kreditkvalitetover en årlig og/eller flerårig periode retter eurosystemet henvendelse til udbyderen af ratingsy-
Marketable assets issued by other agencies are included in liquidity category III.
Det indebærer,at værdien af det underliggende aktiv beregnes som aktivets kursværdi minus en vis procentdel(haircut).
Residualmaturity (years) fixed coupon fixed coupon fixed coupon fixed coupon zero coupon zero coupon zero coupon zero coupon
•Variationsmarginer (tilpasning til markedsværdi)Eurosystemet kræver, at kursværdien af de underliggende aktiver i likviditetstilførende tilbageførselsforretninger efter fradrag af haircut holdes på et bestemt niveau.
* Individual debt instruments included in category V that are theoretically valued according to Section 6.5 are subject to an additional valuation haircut.
Det indebærer, at den nationale centralbank pålægger modparten at levere yderligere aktiver eller kontanter (dvs. denforetager et margin call), hvis de underliggende aktivers værdi, målt regelmæssigt, falder underet bestemt niveau.
This haircut is directly applied at the level of theoretical valuation of the individual debt instrument in the form of a valuation markdown of 5%.
Tilsvarende returneres overskydende aktiver eller kontanter til modparten,hvis de underliggende aktivers værdi efter en genberegning ligger over et bestemt niveau.
• valuation of the individual debt instrument in the form of a valuation markdown of 5%.
(Derelevante beregninger i forbindelse med margin calls er beskrevet i boks 8).
The valuation haircuts applied to all marketable inverse floating rate debt instruments included in categories I to IV are the same and are described in Table 8.
•Yderligere garantier Eurosystemet kan kræve yderligere garantier af økonomisk velfunderede enheder for at accepterevisse aktiver.
• with variable rate coupons is that applied
• Udelukkelse Eurosystemet kan ekskludere visse aktiver fra anvendelse i sine pengepolitiske operationer.
Individual debt instruments included in category V are subject to a unique haircut of 12% regardless of the maturity or coupon structure.
Denne form for udelukkelse kan også anvendes i forhold til specifikke modparter, især hvis der synesat være en høj grad af sammenfald mellem modpartens kreditkvalitet og kreditkvaliteten på deaktiver, som modparten stiller som sikkerhed.
45 The valuation haircut levels applied to fixed coupon debt instruments are also applicable to debt instruments, the coupon of which is linked to a change in the rating of the issuer itself or to inflation-indexed bonds.46 A coupon payment is considered a variable rate payment if the coupon is linked to a reference interest rate and if the resetting period corresponding to this coupon is no longer than one year.
Eurosystemet forbeholder sig ret til om nødvendigt at anvende yderligere risikostyringsinstrumenter for at sikre en passende risikobeskyttelse af eurosystemet i overensstemmelse med ESCB-statuttens artikel 18.1.
Individual debt instruments included in category V that are theoretically valued according to Section 6.5 are subject to an additional valuation haircut.
Sådanne instrumenter,som skal anvendes ensartet, gennemsigtigt og
This haircut is directly applied at the level of theoretical
ECBGennemførelsen af pengepolitikken i euroområdet
Table 8 Levels of valuation haircuts applied to eligible marketable inverse floating rate debt instruments included in categories I to IV
Traditionelle særligt dækkede obligationer
The assets are subject to daily valuation.
Gældsinstrumenter udstedt af lokale og regionale myndigheder
No valuation haircuts are applied in liquidityabsorbing operations.
Gældsinstrumenterudstedt af virksomhederog andre udstedere4) er udstedt af centralbanker2)
Depending on both the jurisdiction and the national operational systems, national central banks allow for the pooling of underlying assets and/or require the earmarking of the assets used in each individual transaction.
Gældsinstrumenter udstedt af agencies4)
By contrast, in
4)Kun værdipapirer udstedt af udstedere, som af ECB er klassificeret som agencies, hører til likviditetskategori II.
If applied, this trigger point is 0.5% of the amount of liquidity provided.
Omsættelige aktiver udstedt af andre agencies hører til likviditetskategori III.
Depending on the jurisdiction, national central banks may require margin calls to be effected either through the supply of additional assets or by means of cash payments.
Ved haircuts trækkes en vis procentdel fra det underliggende aktivs kursværdi.De haircuts, der anvendes til gældsinstrumenterne i kategori I til IV varierer i forhold til restløbetid og kuponstruktur som beskrevet i tabel7 for belånbare omsættelige gældsinstrumentermed fast kuponrente og nulkuponrente.45
The total amount of eligible assets J (for j = 1 to J; value C at time t) a counterparty must provide j , t for a set of liquidity-providing operations I (for i = 1 to I; amount L at time t) is determined by i , t the following formula:
Rammerne for risikostyring i forbindelse medbelånbare omsættelige aktiver omfatter følgende:
(1) i , t j j , t i=1 j=1 where: h j is the valuation haircut applied to eligible asset j.
Restløbetid (år)
In an earmarking system (I = 1), a margin call is effected when:
* Enkelte gældsinstrumenter i kategori V, som undergår en teoretisk værdiansættelse i henhold til afsnit 6.5, er underlagt yderligere et haircut i form af en værdinedskrivning på 5 pct., der sker direkte i forbindelse med den teoretiske værdiansættelse af det enkelte instrument.
In both earmarking and pooling systems, margin calls shall ensure that the relation expressed in (1) above is re-established.
Enkelte gældsinstrumenter i kategori V, somundergår en teoretisk værdiansættelse i henhold til afsnit 6.5, er underlagt yderligere ethaircut i form af en værdinedskrivning på 5pct., der sker direkte i forbindelse med denteoretiske værdiansættelse af det enkelteinstrument.
In pooling systems, counterparties may substitute underlying assets on a daily basis.
De risikostyringsinstrumenter, der anvendes iforbindelse med et omsætteligt gældsinstrument med flere typer rentebetaling, somomfattes af kategorierne I til IV, afhængeralene af rentebetalingerne i instrumentetsrestløbetid.
• differ according to the residual maturity, type of interest payment (fixed or variable) and the valuation methodology applied by the national central bank (see Section 6.5), as described in Table 9.48
De haircuts, der anvendes i forbindelse medalle omsættelige inverse gældsinstrumentermed variabel rente, som er omfattet af kategori I til IV, er de samme og er beskrevet itabel 8.
In earmarking systems, the substitution of underlying assets may be permitted by national central banks.
I forbindelse med omsættelige gældsinstrumenter med variabel kuponrente46, der omfat-
The ECB may at any time decide to remove individual debt instruments from the published list of eligible marketable assets.47
Alt efter retssystem og nationalt operationeltsystem kan de nationale centralbanker tillade tes af kategorierne I til IV, anvendes det haircut, som gælder for løbetider på 0-1 år forinstrumenter med fast kuponrente i den likviditetskategori, som instrumentet hører til.
The haircut applied to credit claims with variable rate interest payments is 7%, irrespective of the valuation methodology applied by the national central bank.
BEREGNING AF MARGIN CALLS
Residual maturity (years)
Den samlede mængde belånbare aktiver J (for j = 1 til J; værdien Cj,t på tidspunktet t), som en modpart skal stille til rådighed for en række likviditetstilførende operationer I (for i = 1 til I; mængden på tidspunktet t), beregnes ved følgende formel:
Fixed interest payment and a valuation according to the outstanding amount assigned by the NCB
Hvis er tiden mellem genberegningerne, er margin call-grundlaget på tidspunktet t + lig med:
MARKETABLE ASSETS• For each eligible marketable asset, the Eurosystem defines the most representative price source to be used for the calculation of the market value.
Margin calls gennemføres kun, hvis margin call-grundlaget er større end en given tærskelværdi.
The risk control measures applied to a credit claim with more than one type of interest payment depend only on the interest payments during the remaining life of the credit claim.
I et system med øremærkning (I=1) gennemføres et margincall, når:
If more than one price is quoted, the lowest of these prices (normally the bid price) is used.
45De nationale centralbanker kan beslutte, at de som underliggende aktiver i tilbageførselsforretninger ikke vil accepteregældsinstrumenter med betalingsstrømme (fx rentebetalinger),der forfalder i perioden indtil udløbet af den pengepolitiske operation (se afsnit 6.2.3).
The national central banks apply the same trigger point (if applicable) for the execution of margin calls for marketable and nonmarketable assets.
er hver kreditoperation derimod knyttet tilbestemte, identificerbare aktiver.
The market or theoretical value of a debt instrument is calculated including accrued interest.
• pooling af underliggende aktiver og/ellerkræve øremærkning af de aktiver, der anvendes i den enkelte transaktion.
NON-MARKETABLE RETAIL MORTGAGE-BACKED DEBT INSTRUMENTSNon-marketable retail mortgage-backed debt instruments are subject to a valuation haircut of 20%.
Ved poolingsamler modparten en pulje af tilstrækkeligeunderliggende aktiver, som den stiller tilrådighed for centralbanken som sikkerhed forde relevante lån hos centralbanken.
Depending on differences in national legal systems and operational practices, the treatment of income flows (e.g. coupon payments) related to an asset which are received during the life of a reverse transaction may differ between national central banks.
Aktiverne værdiansættes dagligt. De nationale centralbanker beregner dagligt de underliggende aktivers påkrævede værdi under hensyntagen til ændringer i størrelsen af udestående lån, principperne for værdiansættelseifølge afsnit 6.5 og de krævede haircuts.
When determining the value of underlying assets used in reverse transactions, the Eurosystem applies the following principles:
Fast rente og værdiansættelse ifølge det udestående beløb fastsat af NCBen
The correspondent central banking model is illustrated in Chart 3 below.
Fast rentebetaling og værdiansættelse baseret på en teoretisk kurs, der fastsættes af NCBen
national central banks aim to ensure that the economic effect of the treatment of income flows is equivalent to a situation in which the income is transferred to the counterparty on the payment day.49
6.4.3RISIKOSTYRING I FORBINDELSE MED IKKE-OMSÆTTELIGE AKTIVER
The precise procedure of the CCBM depends on whether the eligible assets are earmarked for each individual transaction or whether they are held in a pool of underlying assets.52
GÆLDSFORDRINGER•Rammerne for risikostyring i forbindelse medbelånbare gældsfordringer omfatter følgende:
If the national central bank opts for the valuation corresponding to the outstanding amount, the nonmarketable assets may be subject to higher haircuts (see Section 6.4.3).
De enkelte gældsfordringer er underlagt særlige haircuts.
6.6 CROSS-BORDER USE OF ELIGIBLE ASSETS
Hvis de underliggende aktiver efter værdiansættelsen ikke opfylder kravene for denpågældende dag, udføres symmetriske margincalls.
Eurosystem counterparties may use eligible assets on a crossborder basis, i.e. they may obtain funds from the national central bank of the Member State in which they are established by making use of assets located in another Member State.
For at nedbringe frekvensen af margincalls kan de nationale centralbanker anvendeen tærskelværdi, der i så fald skal være 0,5pct. af den mængde likviditet, der tilføres.
Underlyingassets must be usable on a crossborder basis throughout the euro area for the handling of all types of operations in which the Eurosystem provides liquidity against eligible assets.
Altefter jurisdiktion kan de nationale centralbanker kræve, at margin calls gennemføres somlevering af yderligere aktiver eller som kontantbetalinger.
In an earmarking system, as soon as a counterparty’s bid for credit is accepted by the national central bank of the Member State in which the counterparty is established (i.e. the “home central bank”), the counterparty instructs (via its own custodian, if necessary) the SSS in the country in which its marketable assets are held to transfer them to the central bank of that country for the account of the home central bank.
Det indebærer, at modparterneskal levere yderligere aktiver (eller kontanter), hvis de underliggende aktivers kursværdifalder under den nedre tærskelværdi.
Once the home central bank has been informed by the correspondent central bank that the collateral has been received, it transfers the funds to the counterparty.
Tilsvarende returnerer den nationale centralbankoverskydende aktiver (eller kontanter) tilmodparten, hvis de underliggende aktiverskursværdi efter en genberegning ligger overden øvre tærskelværdi (se boks 8).
Central banks do not advance funds until they are certain that the counterparties’ marketable assets have been received by the correspondent central
I systemer med pooling kan modparterneombytte underliggende aktiver dagligt.
49 National central banks may decide not to accept debt instruments with an income flow (e.g. a coupon payment) occurring in the period up to the maturity date of the monetary policy operation as underlying assets in reverse transactions (see Section 6.2.3).50 Details are provided in the brochure entitled “Correspondent central banking model (CCBM) procedure for Eurosystem counterparties”, which is available on the ECB’s website (www.ecb.europa.eu).
Det haircut, der anvendes i forbindelse medgældsfordringer med variabel rente, er 7 pct.,uanset hvilken værdiansættelsesmetode dennationale centralbank anvender. En rente anses for variabel, hvis den er knyttet til en referencerente, og rentetilpasningsperioden forrenten er højst 1 år.
51 Eligible assets may be used through an account of a central bank in an SSS located in a country other than that of the central bank in question if the Eurosystem has approved the use of such an account.