On Jan. 17, 2025, RUS CB published reg 845-P on procedure for calculating credit risk based on internal ratings which is in force on Feb. 17, 2025 and invalidates reg 483.
On Mar. 25, RUS CB proposed regulation on credit risk calculations.
RUS CB proposed reg on procedure for calculating credit risk based on internal ratings.
Consultation documents are only available on RUS CB website until comment deadline.
Proposals
The proposed regulation was developed to replace regulation 483-Pprocedure for calculating credit risk based on internal ratings in line with law 86-FZ on RUS CB.
The regulation is developed in order to clarify the requirements established by reg 483-P to reduce the variability of bank assessments of credit risk parameters.
The reg provides for clarification of procedure for determining default and introduces control indicators for the quality of credit risk parameter assessment models.
Also specification of requirements for banks to conduct internal validation of methodologies and models for assessing credit risk based on internal ratings.
The regulation introduces of a requirement for banks to calculate a conservative risk premium to credit risk parameters, indicating the reasons for its application.
It also clarifies definition of a downturn risk premium in assessing default loss levels.
As well as provides the opportunity for banks to account for guarantees from the Russian Federation and a number of state institutions when assessing transactions of specialized lending according to the methodology of Appendix 2 of the draft regulation.
Effectiveness
Comments and feedback are expected by Apr. 15, 2024
Jan. 2025 Update
On Jan. 17, 2025, RUS CB published reg 845-P on procedure for calculating credit risk based on internal ratings which is in force on Feb. 17, 2025 and invalidates reg 483.