Tài liệu 20160109guideline for rwa calculator (eng)

Guideline for RWA calculator 1. Purpose: Create the tool for business unit defining the RW and RWA of their risk weighted assets. 2. Subject: Define asset class, corresponding RW and RWA of risk weighted assets of each contract ID/ transaction in business unit. These asset classes are: - Credit granting to customer (including guarantee and LC transactions) - The loan and deposit at other credit institutions - Investments in capital instruments, purchase of corporate securities (except for investments which have been excluded from capital) and loans for securities trading 3. Abbreviations: RW : Risk weight RWA : Risk weighted asset FS : Financial statement BS : Balance Sheet LT : Long term ST : Short term CRM : Credit risk mitigation LTV : Loan to value ratio DSC : Debt service coverage ratio PSE : Public sector entities CCF : Credit conversion factor GL : General ledger CAR : Capital adequacy ratio FI : Financial institution NPL : non – performing loan 4. General requirement: - Information need to be clear and correct according to the following guideline. - All amount inputted in this file is in VND currency - Please check to fulfill all required information or check data logical when you see the message “Please check again” to make sure the correct result. 5. Detail guideline 1 # Field I General information 1 Inputting date 2 3 4 5 6 7 8 9 1 0 1 1 Description Requirement Standard format of the date is: mm/dd/yyyy. For example: 03/31/2016 Clarify whether customer 2 options: Existing customer has transaction in VPBank - If yes: Y already or not - If no: N Incase fill "xxxaaaa": Identification of customer in xxx is code of company, for VP Bank. example: "CN AN GIANG" is CIF If (2) is Y, this field has "AGG", "CNC CHAU DOC" is value (CIF in T24), if (2) is "CDC" N, fill "xxxaaaa" aaaa is ordinary number of customer of company Identification Tax/Legal Identification Number/ Text number number Customer's name The name of customer Capitalized letter For example: "CN AN GIANG" Branch code where Branch name is "AGG", "CNC CHAU DOC" is disbursement "CDC" List of international financial Clarify whether customer is organizations in 6.2 table Eligible_FI international financial 2 options: organization or not - If yes: Y - If no: N Choose from dropdown list Loan group Loan group of customer (1,2,3,4,5) Total acceptable usage limit of customer, including Total Limit include both existing limits and Number proposed limits new proposed limits (total online limit) Undisbursed amount after excluding amount of Available Limit Number existing and proposed contracts Including 2 parts: - Principal outstanding Total existing exposure Existing amount at inputting date in VND customer's *(this field is valid only If - Interest, accrual exposure (2) is Y) outstanding in VND Number The date to input data (reporting date) 2 # 1 2 1 3 Field Total existing limit excluding Mortgage, Securitized Trading and NPL Total loan payment in current year of existing contracts Description Total existing limit excluding Mortgage, Securitized Trading and NPL Number Total payment in current year of customer (Principal and Interest) for existing contracts Number The sector of customer Choose from dropdown list 1 4 Sector 1 5 Birth_corporate_d Established date of ate corporate customer 1 6 Resident 1 8 Annual income (VND) 1 9 Industry II Information of contracts 2 0 2 1 Contract ID Claim purpose Requirement The nation of customer. In case customer is credit institution or financial institution, fill nation having its headquarter Total yearly income of customer (Total income after deducting personal income tax as required, not including income generated from real estate used for securing the claim). In case, the customers are households, total income of customer in a year is the total income of members who engaged in the payment. The economic industry of Customer according to VP Bank’s regulations ID number of contract. Incase no existing ID in T24, fill "LD.CIF.x": Purpose of claims 3 Standard format of the date is: mm/dd/yyyy, example: 12/17/2012 2 options: VN or Other The most updated income; If having no information, fill = 0; Number Choose from dropdown list CIF is CIF of customer x is the order of proposed contract Choose from dropdown list(detail definitions of purpose in 6.1 table) # Field Description 2 2 Original contract currency Original currency of contract, 2 3 On/Off BS Clarify whether this contract is on BS or off BS 2 4 GL type 2 5 Exposure amount 2 6 Value_date Effective date of the transaction 2 7 Marturity_date The final maturity date of the transaction. 2 8 Payment in current year Total payment in current year of customer (Principal and Interest) for this contract Name of GL class if (23) is Off Balance Sheet item Exposure of Contract ID (proposed amount including principal and interest if have) Financial III statement (FS) Information: 2 9 Type of report The type of the customer’s FS 4 Requirement Choose from dropdown list, example: VND, USD, …. Choose one of 2 values: "On BS", "Off BS": + “Off BS" includes the activities such as: irrevocable loan commitment, guarantees, standby L/C which provides financial guarantees for a loan or securities, undrawn credit limits, Payment acceptances, Other off-balance sheet commitments. + "On BS" is the remaining items, such as: deposit, credit granting, … Choose from dropdown list Number Standard format of the date is: mm/dd/yyyy, for example: 12/17/2012 Standard format of the date is: mm/dd/yyyy, for example: 12/17/2015 Number Only fill when the message "Please input information in the table below" appear in the screen for this table (only apply for corporate customers) Choose from dropdown list Note: Priority in selection is Audited FS, Tax FS and Internal FS # Field Description 3 0 Reporting period 3 1 Short-term loans (311) 3 2 Long-term loans (334) 3 3 Total Asset (270) Total Asset on Balance sheet 3 4 Equity (400) Equity obtained from Balance sheet 3 5 Gross sales of merchandise and services (01 +21) Total revenue (Gross sales of merchandise and services and gross sales from finance activity) obtained from Income statement I V Rating Information: 3 6 3 7 Rating Flag Rating Standard & Poor's The period of the customer’s FS Short-term borrowing and finance lease liability on Balance sheet Long-term borrowing and finance lease liability on Balance sheet Requirement Text, inputter fill in according to format mm/dd/yyyy ( Example:03/31/2016) Note: First priority is the most latest fiscal year FS In case have no fiscal year, fill the most latest quarter FS Code 311 on Balance sheet (according to current accounting standard) Code 334 on Balance sheet (according to current accounting standard) Code 270 on Balance sheet (according to current accounting standard) Code 400 on Balance sheet (according to current accounting standard) Code 1 + 21 on Income statement (according to current accounting standard) Only fill when the message "Please input information in the table below" appear in the screen for this table Clarify whether customer is rated by one of 3 agencies (Standard & Poor's, Moody or Fitch) already or not 2 options: - If yes: Y - If no: N The rating of customer incase the customer rated by Standard & Poor's agency Choose to fill the rating with the priority as follows: 1. LT and Issuer and Domestic 2. ST and Issuer and Domestic, in case of no existing LT and Issuer and Domestic 3. LT and Deposit and Domestic 4. ST and Deposit and Domestic 5. Unrated if no existing 1 & 2 & 3&4 5 # Field Description 3 8 Rating Moody's The rating of customer incase the customer is rated by Moody agency 3 9 Rating Fitch The rating of customer incase the customer is rated by Fitch agency V Information of customer's collateral Requirement Choose to fill the rating with the priority as follows: 1. LT and Issuer and Domestic 2. ST and Issuer and Domestic 3. LT and Deposit and Domestic 4. ST and Deposit and Domestic 5. Unrated if no existing 1 & 2 & 3&4 Choose to fill the rating with the priority as follows: 1. LT and Issuer and Local 2. ST and Issuer and Local 3. LT and Issuer 4. ST and Issuer 5. Unrated if no existing 1 & 2 & 3&4 ID of collateral In case no existing ID in T24, fill "COLL.CIF.x": In case fill "COLL.CIF.x" CIF is CIF of customer (as in 3 item) x is the number of proposed contracts ID of claim contract that secured by this collateral Contract ID in 20 item Groups of collateral in T24 Choose from dropdown list 4 0 Collateral ID 4 1 4 2 Contract ID secured Collateral group T24 4 3 Collateral Type T24 Type of collateral 4 4 4 5 Original collateral currency Collateral currency type Collateral amount Value number of collateral Exposure of other contract secured by this Collateral Exposure amount of other contracts which secured by this collateral ID Limit of other contracts secured by this Collateral Limit of other contracts secured Total limit of other contracts by this Collateral (online limit which are secured by this allocated for each contract) and collateral ID must not be less than exposure of these contracts 4 6 4 7 6 Choose from dropdown list (corresponding to the collateral group T24) Choose from dropdown list (example: VND, USD, … ) The latest evaluated value of collateral in VND Number # V I 4 8 4 9 5 0 5 1 Field Description Requirement CRM - Collateral Collateral ID ID of collateral in T24 as in 40 item Contract ID secured Original collateral currency ID of claim contract that secured by this collateral as in 41 item Collateral currency type Choose from dropdown list (example: VND, USD, … ) Type of collateral eligible for CRM Choose from dropdown list Collateral type 5 2 Collateral issuer Issuer of this collateral 5 3 External rating of debt security issuer External rating of debt security issuer 5 4 Type of equity security Type of equity security (listed or not) 5 5 Original maturity (year) Original term of collateral 5 6 Residual maturity (year) Remaining time of collateral V II CRM- Guarantee 5 7 Contract ID guaranteed Choose from dropdown list (corresponding to collateral type) Choose from dropdown list (only apply for collateral is debt security) and only use the rating of 3 agencies: Standard & Poor’s, Moody, Fitch Choose from dropdown list (only apply for collateral is equity security) Original term of collateral. Expressed in year Calculated as: Original maturity of collateral - Inputting date Expressed in year Only fill when the guarantee meets requirements on 6.Conditions of guarantee to fill in the table CRM - Guarantee ID of the contract which is guaranteed as in 20 item 5 8 Rating agency The rating agency for guarantor Choose from dropdown list (only accept 3 agencies: Standard & Poor’s, Moody, Fitch) In case the guarantor is unrated, still choose one of 3 options, then in column "External rating" choose “unrated” 5 9 External rating The external rating of guarantor Choose from dropdown list 7 # Field Description Requirement 6 0 Guarantor type Type of Guarantor that is eligible for CRM (classified by SBV in Circular) Choose from dropdown list. 6 1 Exposure Amount guaranteed Amount guaranteed in total exposure amount of contract Number 6 2 Total liability/Total asset Corp Guarantor Total liability/Total asset in Audited or Tax FS of corporate as Guarantor 6 3 Revenue Corp Guarantor Revenue in Audited or Tax FS of corporate as Guarantor. 6 4 Equity Corp Guarantor Equity in Audited or Tax FS of corporate as Guarantor 6 5 Establishment time Corp Guarantor Established time corporate as Guarantor V Result III 6 Contract ID 6 6 Asset 7 classification Asset 6 classification 8 category 6 9 7 0 7 Exposure amount RW RWA _pre CRM Using in case the guarantor is corporate and unrated, can be used for calculating credit risk weight Defining methodology as FS information item Using in case the guarantor is corporate and unrated, can be used for calculating credit risk weight Defining methodology as FS information item Using in case the guarantor is corporate and unrated, can be used for calculating credit risk weight Defining methodology as FS information item Calculated as: Inputting date – Birth of corporate date Expressed in year ID of contract claim as in 20 item Asset class number of each contract ID Asset number classified by SBV in Circular Name of asset class Full name of asset according to Circular of SBV Exposure of Contract ID (proposed amount including principal and interest, fee) Credit risk weight applied for each contract ID RWA value before CRM 8 as in 25 item RW applied corresponding to each asset # 1 7 2 7 3 Field Description RWA _post CRM RWA after CRM Capital charge (with CAR 8%) The minimum capital requirement for the asset 9 Requirement Calculated as: RWA after CRM * 8% (assuming CAR is 8%) 6. Definition of some terms 6.1. Claim purpose:  Securitized trading: Investments on equity instruments, buying corporates’ shares and loan for investing on securities.  Mortgage: means claims against individual meeting following conditions: - Loans are mortgaged by the residential house itself; -     Sources of repayment of the obligation is not the income generated from leasing the house; - Completed houses for residential or leasing purposes as intended; - Banks FBBs have full and legitimate rights over the mortgage houses when customers are not able to repay debts in accordance with law on secured transaction. - Mortgaged houses must be independently valuated/ priced (by a third party or a unit that is independent with credit approver). Secured by Real Estate: Mean loans granted to individuals, organizations for purchasing, investing in real estate and meet the following conditions: - Secured by the real estate itself in accordance with laws on secured transactions; - Not loans for residential mortgage and loans for financing real estate trading projects. Commercial real estate means a real estate that was invested in, purchased, transferred, rented, lease for sale, disposed of, lease, leaseback, and purchase option lease with the intention to generate profit. Financial Leasing: Claims which satisfy the following requirements: - Purpose is financial leasing (according to current regulations); - Claims against corporate customers. Project Finance, Object Finance, Commodities Finance: Claims are used to finance the project, and payment resources also come from this project: - Borrowers are established purely for implementing projects, operating machines/ equipment, trading goods funding from loans, not from other business activities - Secured by the project, machines/ equipment, goods funding from loans and source of repayment is the income generated from trading, implementing projects,/ machines/ equipment and goods - Business units have the contractual right to control all disbursement process under progress of the project, machines/ equipment investing, good purchasing and manage incomes, cash flows of trading, implementing projects, machines/ equipment and goods to collect debts under credit granting contract - Granting loan to finance projects (Project Finance) means specialized lending to implement projects; 10 - Granting loans to finance machines/ equipment (Object Finance) means specialized lending to invest in machines/ equipment (Ship, airplanes, satellites, trains…); - Granting loan to finance commodities (Commodities Finance) mean specialized lending to purchase commodities (Crude oil, metals, cereals…).  Income Producing Real Estate: - Borrowers are established purely for implementing projects, operating machines/ equipment, trading goods funding from loans, not from other business activities - Secured by the project, machines/ equipment, goods funding from loans and source of repayment is the income generated from trading, implementing projects,/ machines/ equipment and goods - Business units have the contractual right to control all disbursement process under progress of the project, machines/ equipment investing, good purchasing and manage incomes, cash flows of trading, implementing projects, machines/ equipment and goods to collect debts under credit granting contract - Granting loan to finance real estate projects (Income producing real estate) means specialized lending to implement project of trading real estate (offices, shopping malls, urban areas, complex buildings, warehouses, hotels, industrial zones…); 5.2 International financial organizations list: 7. International financial organizations World Bank group -The International Bank for Reconstruction and Development-IBRD -The International Financial Corporation – IFC. -The International Development association-IDA. -The Multilateral Investment Guarantee Agency-MIGA The Asian Development Bank - ADB The Africa Development Bank - AfDB The European Bank for Reconstruction and Development - EBRD The Inter-American Development Bank - IADB The European Investment Bank - EIB The European Investment Fun - EIF The Nordic Investment Bank - NIB The Caribbean Development Bank - CDB The Islamic Development Bank - IDB The Council of European Development Bank - CEDB Other international financial organizations having charter capital distributed by sovereigns CRM 7.1. General conditions for CRM: - There must be well founded legal basis as required by applicable laws and regulations for credit risk mitigation. All documents used in 11 collateralized transactions, guarantees must have eligible signatures of all parties, must set out clear responsibilities of all involved parties and legally enforceable. There must be regular and sufficient review to verify and ensure the eligibility and validity of the documentation 7.2. Conditions for CRM using financial collaterals: - Business units have the right to liquidate or take legal possession of the collateral in a timely manner in the event when the client doesn’t perform their obligations as committed. Business units must have procedures to take necessary steps to ensure the right to liquidate or legal possession of the collateral - Collaterals are not the financial assets that customer or parent company of customer issue or guarantee payment - Collaterals are financial assets having defined value based on daily mark to market and could be sold in 10 working days - A part of or the entire value of collateral can be used to provide credit protection for a part of or the entire obligations of the client as agreed in the collateralized transaction contracts or equivalent agreements between business unit and the client - Where the collateral is held, managed by a third party, business unit must take responsible steps to ensure that the third party segregates the collateral from its own assets 7.3. Conditions for CRM using guarantee: - Must represent a direct, clear and undeniable claim on the guarantor and must be explicitly referenced to a specific exposure of the customer/counterparty - The guarantee contract must be irrevocable; the guarantor is not allowed to unilaterally cancel the credit cover or increase the guarantee fees as a result of deteriorating in the repayment capacity of the customer/ counterparty; the guarantor is obliged to pay out in a timely manner in the event that the original customer/ counterparty fails to make the payment(s) as committed; - The guarantee contract has minimum of maturity in year of the transaction; - The guarantor must have the lower credit risk weight than the guaranteed (the guarantor must have better/higher credit worthiness than the guaranteed). 8. External rating Business unit use the ratings in the following websites: - http://www.standardandpoors.com/en_US/web/guest/ratings/entity/-/or g-details/sectorCode/FI/entityId/102911 https://www.fitchratings.com/gws/en/esp/issr/80090714 https://www.moodys.com/credit-ratings/Oversea-Chinese-BankingCorp-Ltd-credit-rating-359200 12 13