PROVISION OF CENTRAL BANK OF THE RUSSIAN FEDERATION

of September 18, 2023 No. 824-P

About procedure of payments banks of size of credit risk using bank control techniques risks and models of quantitative risks assessment according to transactions of which attraction of money by means of release of debt securities is result obligation fulfillment on each of which is provided fully or partially with cash receipts from the assets transferred to providing

This Provision based on Item 6 parts one of Article 62, parts one of article 72 of the Federal Law of July 10, 2002 No. 86-FZ "About the Central bank the Russian Federation (Bank of Russia)" and according to the solution of the Board of directors of the Bank of Russia (the minutes of the Board of directors of the Bank of Russia of September 6, 2023 No. PSD-37) for the purpose of determination of capital adequacy ratios of bank establish procedure of payments banks of size of credit risk using bank control techniques risks and the models of quantitative risks assessment used for calculation of size of credit risk on the basis of internal ratings according to transactions of which attraction of money by means of release of debt securities is result, obligation fulfillment on each of which is provided fully or partially with cash receipts from the assets transferred to providing.

1. Participating banks of transactions of which attraction of money by means of release of debt securities is result obligation fulfillment on each of which is provided fully or partially with cash receipts from the assets transferred to providing (further - transactions of securitization), for the purpose of determination of capital adequacy ratios of bank calculate the size of credit risk according to transactions of securitization according to this Provision if the credit risk on at least than 95 percent of the assets transferred in providing according to the transaction of securitization (further - underlying assets), is calculated using bank control techniques by risks and the models of quantitative risks assessment used for calculation of size of credit risk on the basis of internal ratings (further respectively - TAC, techniques and models of TAC) originator according to the transaction of securitization, No. 647-P determined according to item 4 of the Provision of the Bank of Russia of July 4, 2018 "About determination of the size of credit risk by banks according to transactions of which attraction of money by means of release of debt securities is result obligation fulfillment on each of which is provided fully or partially with cash receipts from the assets transferred to providing" <1> (further respectively - the Provision of the Bank of Russia No. 647-P, originator).

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<1> It is registered by the Ministry of Justice of the Russian Federation on October 10, 2018, registration No. 52392, with the changes made by the Instruction of the Bank of Russia of February 27, 2020 No. 5404-U (it is registered by the Ministry of Justice of the Russian Federation on March 31, 2020, registration No. 57915).

2. This Provision does not extend on:

transactions of securitization according to which credit risk is calculated according to the Provision of the Bank of Russia No. 647-P, including the transaction of repeated securitization, stipulated in Item 8 Provisions of the Bank of Russia No. 647-P;

investments and transactions, stipulated in Item 1 Provision of the Bank of Russia No. 647-P;

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