INSTRUCTION OF CENTRAL BANK OF THE RUSSIAN FEDERATION

of April 15, 2015 No. 3624-U

About requirements to risk management system and capital of credit institution and banking group

This Instruction based on the Federal Law of July 10, 2002 No. 86-FZ "About the Central bank the Russian Federation (Bank of Russia)" (The Russian Federation Code, 2002, No. 28, Art. 2790; 2003, No. 2, Art. 157; No. 52, Art. 5032; 2004, No. 27, Art. 2711; No. 31, Art. 3233; 2005, No. 25, Art. 2426; No. 30, Art. 3101; 2006, No. 19, Art. 2061; No. 25, Art. 2648; 2007, No. 1, Art. 9, Art. 10; No. 10, Art. 1151; No. 18, Art. 2117; 2008, No. 42, Art. 4696, Art. 4699; No. 44, Art. 4982; No. 52, Art. 6229, Art. 6231; 2009, No. 1, Art. 25; No. 29, Art. 3629; No. 48, Art. 5731; 2010, No. 45, Art. 5756; 2011, No. 7, Art. 907; No. 27, Art. 3873; No. 43, Art. 5973; No. 48, Art. 6728; 2012, No. 50, Art. 6954; No. 53, Art. 7591, Art. 7607; 2013, No. 11, Art. 1076; No. 14, Art. 1649; No. 19, Art. 2329; No. 27, Art. 3438, Art. 3476, Art. 3477; No. 30, Art. 4084; No. 49, Art. 6336; No. 51, Art. 6695, Art. 6699; No. 52, Art. 6975; 2014, No. 19, Art. 2311, Art. 2317; No. 27, Art. 3634; No. 30, Art. 4219; No. 45, Art. 6154; No. 52, Art. 7543; 2015, No. 1, the Art. 4, the Art. 37) and the Federal Law "About Banks and Banking Activity" (in edition of the Federal Law of February 3, 1996 No. 17-FZ) (Sheets of the Congress of People's Deputies of RSFSR and the Supreme Council of RSFSR, 1990, No. 27, Art. 357; Russian Federation Code, 1996, No. 6, Art. 492; 1998, No. 31, Art. 3829; 1999, No. 28, Art. 3459, Art. 3469; 2001, No. 26, Art. 2586; No. 33, Art. 3424; 2002, No. 12, Art. 1093; 2003, No. 27, Art. 2700; No. 50, Art. 4855; No. 52, Art. 5033, Art. 5037; 2004, No. 27, Art. 2711; No. 31, Art. 3233; 2005, No. 1, Art. 18, Art. 45; No. 30, Art. 3117; 2006, No. 6, Art. 636; No. 19, Art. 2061; No. 31, Art. 3439; No. 52, Art. 5497; 2007, No. 1, Art. 9; No. 22, Art. 2563; No. 31, Art. 4011; No. 41, Art. 4845; No. 45, Art. 5425; No. 50, Art. 6238; 2008, No. 10, Art. 895; 2009, No. 1, Art. 23; No. 9, Art. 1043; No. 18, Art. 2153; No. 23, Art. 2776; No. 30, Art. 3739; No. 48, Art. 5731; No. 52, Art. 6428; 2010, No. 8, Art. 775; No. 27, Art. 3432; No. 30, Art. 4012; No. 31, Art. 4193; No. 47, Art. 6028; 2011, No. 7, Art. 905; No. 27, Art. 3873, Art. 3880; No. 29, Art. 4291; No. 48, Art. 6728, Art. 6730; No. 49, Art. 7069; No. 50, Art. 7351; 2012, No. 27, Art. 3588; No. 31, Art. 4333; No. 50, Art. 6954; No. 53, Art. 7605, Art. 7607; 2013, No. 11, Art. 1076; No. 19, Art. 2317, Art. 2329; No. 26, Art. 3207; No. 27, Art. 3438, Art. 3477; No. 30, Art. 4048; No. 40, Art. 5036; No. 49, Art. 6336; No. 51, Art. 6683, Art. 6699; 2014, No. 6, Art. 563; No. 19, Art. 2311; No. 26, Art. 3379, Art. 3395; No. 30, Art. 4219; No. 40, Art. 5317, Art. 5320; No. 45, Art. 6144, Art. 6154; No. 49, Art. 6912; No. 52, Art. 7543; 2015, No. 1, the Art. 37) (further - the Federal Law "About Banks and Banking Activity") establishes requirements to risk management system and the capital in credit institution and banking group.

Chapter 1. General provisions

1.1. The credit institution (parent credit institution of banking group) creates risk management system and the capital by realization of internal procedures of assessment of capital adequacy (further - VPODK), requirements to which are established by Chapter 2 presents of the Instruction.

1.2. Risk management system and the capital is created for the purpose of:

identifications, estimates, aggregations of the most significant risks, other types of risks which in combination with the most significant risks can lead to the losses significantly influencing capital adequacy assessment (further - significant risks), and control of their amounts (further - risk management);

estimates of sufficiency available credit institution (banking group, affiliated credit institution) of the capital (further - the capital) for covering of significant risks and new types (additional amounts) of risks which acceptance is caused by implementation of actions, the provided development strategy of credit institution (banking group, affiliated credit institution) (further - potential risks);

planning of the capital proceeding from results of comprehensive assessment of significant risks, testing of stability of credit institution (banking group, affiliated credit institution) in relation to internal and external factors of risks (further - stress testing), the reference points of business development provided by the development strategy of credit institution, established by the Bank of Russia of requirements to sufficiency of own means (capital) (further - capital management), and also phases of business cycle.

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 September 3, 2018 No. 652-P "About procedure of payments of the extent of operational risk", the registered Ministry of Justice of the Russian Federation on November 19, 2018 No. 52705, on December 19, 2018 No. 53050 (further - the Provision of the Bank of Russia No. 652-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, on March 7, 2019 No. 53986 (further - the Provision of the Bank of Russia No. 511-P), The instruction of the Bank of Russia of November 29, 2019 No. 199-I "About obligatory standard rates and allowances to capital adequacy ratios of banks with the universal license", registered by the Ministry of Justice of the Russian Federation on December 27, 2019 No. 57008 (further - the Instruction of the Bank of Russia No. 199-I), and also other significant risks, for example interest risk and concentration risk.

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, Chapters 1, 2 and 3 Instructions of the Bank of Russia of November 21, 2017 No. 182-I "About admissible combinations of banking activities of the non-bank credit institutions performing deposit credit operations about obligatory standard rates of the non-bank credit institutions performing deposit credit operations and about implementation by the Bank of Russia of supervision of their observance" (it is registered by the Ministry of Justice of the Russian Federation on February 5, 2018, registration No. 49902, with the changes made by Instructions of the Bank of Russia of October 24, 2018 No. 4940-U (it is registered by the Ministry of Justice of the Russian Federation on November 19, 2018, registration No. 52715), 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), of January 12, 2021 No. 5705-U (it is registered by the Ministry of Justice of the Russian Federation on April 15, 2021, registration No. 63150), Chapters 1 and 2 of the Instruction of the Bank of Russia of November 8, 2021 No. 207-I "About admissible combinations of banking activities of settlement non-bank credit institutions, about obligatory standard rates of settlement non-bank credit institutions and about implementation by the Bank of Russia of supervision of their observance" (it is registered by the Ministry of Justice of the Russian Federation on June 10, 2022, registration No. 68834) and Chapters 1 and 2 of the Instruction of the Bank of Russia of June 6, 2019 No. 198-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 implementation by the Bank of Russia of supervision of their observance" (it is registered by the Ministry of Justice of the Russian Federation on September 25, 2019, registration No. 56067, with changes, brought 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).

1.3. The credit institution which is not parent credit institution of banking group develops and carries out VPODK on individual basis.

The parent credit institution of banking group performs development of VPODK at the level of banking group (further - VPODK of group) and on individual basis.

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).

1.4. The credit institution (parent credit institution of banking group) develops VPODK (VPODK of group) corresponding to nature and scale of the transactions performed by credit institution (banking group), level and combination of risks (pro-rata rule). Executive bodies of credit institution (parent credit institution of banking group) provide application of VPODK in credit institution (credit institution, the being banking group, affiliated in relation to parent credit institution (further - affiliated credit institution).

1.5. Parent credit institution of banking group:

establishes on the basis of VPODK of group approaches to development and realization of VPODK in affiliated credit institutions;

provides development of VPODK by affiliated credit institutions on individual basis taking into account group provisions VPODK, and also accomplishment of VPODK at the level of banking group and at the level of affiliated credit institutions;

establishes approaches to determination of capital need and risk management, accepted by banking group through her participants, not being affiliated credit institutions.

1.6. The credit institution entering into banking group which parent credit institution is registered in the territory of foreign state develops and carries out VPODK on the basis of the approaches established by VPODK of group taking into account requirements of the legislation of the Russian Federation, including this Instruction.

1.7. Banks with the universal license annually represent to the Bank of Russia (the structural division of the Bank of Russia performing collection and processing of the reporting) information on the VPODK organization and their results specified in appendix 2 to this Instruction as of January 1 of each next year no later than April 1 of the same year.

Chapter 2. VPODK organization

2.1. VPODK of credit institution shall be included:

methods and procedures of management of significant risks;

methods and procedures of capital management, including determination of planned (target) level of the capital, current demand in the capital, assessment of sufficiency and capital allocation by types of significant risks and activities of credit institution;

the control system behind significant risks, capital adequacy and observance of limits of risks;

the reporting of credit institution created within VPODK, requirements to which are established in Chapter 6 of this Instruction;

the control system behind accomplishment of VPODK and their efficiency;

the documents developed by credit institution (parent credit institution of banking group) according to Chapter 7 of this Instruction.

2.2. VPODK of group shall conform to the following requirements:

cover significant risks for banking group;

determine the planned (target) level of the capital, current demand in the capital at the level of banking group and by affiliated credit institutions;

establish methods and procedures of management of significant risks, estimates of capital adequacy and its distribution by types of significant risks at the level of banking group and for affiliated credit institutions;

install the control system behind significant risks, capital adequacy and observance of limits of risks;

establish the reporting created within VPODK at the level of banking group and affiliated credit institutions;

determine procedures of internal control behind accomplishment of VPODK at the level of banking group and affiliated credit institutions.

Are developed by VPODK of affiliated credit institution on the basis of approaches to development and realization of VPODK established in VPODK of group.

2.3. The board of directors (supervisory board) of credit institution (parent credit institution of banking group, affiliated credit institution) takes part in development, approval and realization of VPODK of credit institution (VPODK of group, affiliated credit institution).

The board of directors (supervisory board) of credit institution (parent credit institution of banking group, affiliated credit institution) claims:

strategy of risk management and capital of credit institution (banking group, affiliated credit institution);

the procedure for management of the most significant risks and the capital of credit institution (banking group, affiliated credit institution) also exercises control of its realization.

2.4. Individual and joint executive bodies of credit institution (parent credit institution of banking group) approve procedures of risk management and the capital and procedures of stress testing on the basis of the strategy of risk management and the capital of credit institution (banking group) approved by the board of directors (supervisory board) of credit institution (parent credit institution of banking group) and also provide accomplishment of VPODK and maintenance of sufficiency of own means (capital) at the level established by internal documents of credit institution (banking group).

2.5. The board of directors (supervisory board) and executive bodies of credit institution (parent credit institution of banking group) at least once a year consider question of need of modification of the documents developed within VPODK.

2.6. Shall be integrated by VPODK into system of strategic planning of credit institution (banking group, affiliated credit institution), that is results of accomplishment of VPODK shall be used in case of decision making on business development (forming of the development strategy) of credit institution (banking group, affiliated credit institution) as basis for assessment of the capital size necessary for credit institution (banking group) for covering of significant and potential risks.

In the course of forming of the development strategy VPODK shall be exposed to assessment regarding their compliance to new conditions of activities of credit institution (banking group, affiliated credit institution), to the changing nature and scale of the performed transactions, level and combination of the accepted risks.

The strategy of development for members of banking group is created taking into account the main directions of development approved at the level of banking group.

2.7. The credit institution (parent credit institution of banking group) provides distribution between structural divisions of credit institution (banking group, affiliated credit institution) of the functions connected with acceptance and risk management so that implementation of transactions (transactions) connected with acceptance of risks, and risk management were not functions of one structural division.

Chapter 3. The organization of risk management system within VPODK

3.1. Risk management system within VPODK shall allow credit institution (parent credit institution of banking group):

reveal the risks inherent in activities of credit institution (banking group, members of banking group);

reveal potential risks to which the credit institution can be subject (banking group, members of banking group);

mark out significant for credit institution (banking group, members of banking group) risks;

perform assessment significant for credit institution (banking group, members of banking group) it is risk;

perform aggregation of quantitative estimates significant for credit institution (banking group, members of banking group) it is risk for the purpose of determination of total volume of the risk accepted by credit institution (banking group);

exercise control of amounts significant for credit institution (banking group, members of banking group) it is risk;

provide accomplishment of the values of obligatory standard rates and the size of open foreign exchange position of credit institution (banking group, affiliated credit institution) established by the Bank of Russia, and also centralized control of cumulative (aggregative) amount of the risk accepted by credit institution (banking group, members of banking group).

3.2. The credit institution (parent credit institution of banking group) establishes methodology of determination significant for credit institution (banking group, members of banking group) is risky which shall be based on system of the indicators characterizing:

level is risk on the transactions performed by credit institution (members of banking group) (for example, the high share of loans in portfolio of credit institution (members of banking group) issued to borrowers whose financial position and service quality of debt are estimated as "bad" can testify to the high level of credit risk);

complexity the performed credit institution (members of banking group) of transactions (transactions);

amounts of the performed transactions (transactions) on separate activities (for example, the essential amount of the international transactions of credit institution (members of banking group) can form the basis for recognition significant risk of origin at credit institution of losses as a result of non-execution by foreign partners (legal, physical persons) of obligations, restriction 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);

the beginning of implementation of new transaction types (implementation of new products) (for example, the beginning of implementation of trading activities with securities can be the basis for recognition of market risk as significant).

The credit institution (parent credit institution of banking group) shall regularly (at least once a year) to perform risks assessment, inherent in its activities (activities of banking group), regarding their importance.

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, discrepancy 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 various 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 June 28, 2017 No. 590-P "About procedure for forming by credit institutions of reserves on possible losses according to loans, the loan and equated to it debt", the registered Ministry of Justice of the Russian Federation on July 12, 2017 No. 47384, on October 3, 2018 No. 52308, on December 19, 2018 No. 53053, on January 23, 2019 No. 53505, on September 12, 2019 No. 55910, on November 27, 2019 No. 56646 (further - the Provision of the Bank of Russia No. 590-P), the Provision of the Bank of Russia of October 23, 2017 No. 611-P "About procedure for forming by credit institutions of reserves on possible losses", the registered Ministry of Justice of the Russian Federation on March 15, 2018 No. 50381, on December 19, 2018 No. 53054, on September 12, 2019 No. 55911 (further - the Provision of the Bank of Russia No. 611-P), the Provision of the Bank of Russia No. 652-P, the Provision of the Bank of Russia No. 511-P, the Instruction of the Bank of Russia No. 199-I; 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 "Balance sheet (the published form)", the Bank of Russia established by appendix 1 to the Instruction of April 10, 2023 No. 6406-U "About forms, terms, procedure for creation and submission of the reporting of credit institutions (banking groups) to the Central bank of the Russian Federation, and also of the list of information on activities of credit institutions (banking groups)" (it is registered by the Ministry of Justice of the Russian Federation on August 16, 2023, registration No. 74823) (further - the Instruction of the Bank of Russia No. 6406-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. 590-P, the Provision of the Bank of Russia No. 611-P, the Provision of the Bank of Russia No. 652-P, the Provision of the Bank of Russia No. 511-P, the Instruction of the Bank of Russia No. 199-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 1 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. 590-P, the Provision of the Bank of Russia No. 611-P, the Provision of the Bank of Russia No. 652-P, the Provision of the Bank of Russia No. 511-P, the Instruction of the Bank of Russia No. 199-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.

3.4. For the purpose of control of the amounts of significant risks accepted by credit institution the credit institution determines planned (target) levels of risks, target structure of risks and system of limits (according to requirements of Item 4.12 of this Instruction) proceeding from phase of business cycle, cumulative limiting amount of risk which the credit institution (banking group) is ready to accept proceeding from the purposes established in its development strategy (for example, maintenance at the certain level of the indicators characterizing profitability of the capital or other financial performance), planned targets of business development (transactions, transactions), the current and planned structure of risks (further - tendency to risk), and also control procedures for observance of the set limits. Tendency to risk is determined according to Item 4.1 of this Instruction.

The parent credit institution of banking group determines planned (target) levels of risks, system of limits at the level of banking group and for each affiliated credit institution. The risks accepted by banking group through members of banking group, not being affiliated credit institutions, shall become covered by planned (target) levels of risks and limits set at the level of banking group.

The credit institution (parent credit institution of banking group) exercises control of significant risks by comparison of their amounts to the set limits (the target objectives of risks).

The parent credit institution of banking group provides monthly control of amounts of significant risks of members of banking group. Control of amounts of significant risks at the level of banking group shall be exercised at least, than quarterly.

3.5. The credit institution (parent credit institution of banking group) at least once a year estimates compliance of procedures of risk management, including procedures of aggregation of risks, the current situation in credit institution (banking group), including regarding scope of all members of banking group and essential activities. In need of the procedure of risk management corrections according to the procedure established in credit institution (parent credit institution of banking group) shall be made.

The credit institution (parent credit institution of banking group) determines tasks and powers of the divisions performing the functions connected with acceptance of risks by credit institution (banking group, affiliated credit institution) and risk management.

3.6. In credit institution (parent credit institution of banking group) the service of risk management shall be created. The service of risk management performs the functions in credit institution on permanent basis.

The service of risk management can consist of several divisions performing risk management functions. In cases when functions of service of risk management are performed by several structural divisions of credit institution, distribution of obligations between these structural divisions shall be established.

In credit institution (parent credit institution of banking group) the head of service of risk management who shall be under direct supervision of sole executive body of credit institution (parent credit institution of banking group) or his deputy who is the member of collegiate executive body which subordination does not include the divisions connected with making by credit institution of banking activities and other transactions shall be appointed. Taking into account provisions of part five of article 11.1-2 of the Federal law "About Banks and Banking Activity" in bank with the basic license for the head of service of risk management functions of the head of internal control can be assigned.

The service of risk management of parent credit institution of banking group shall provide risk management in banking group.

In the credit institution which is part of banking group transfer of separate functions on risk management of other credit institution entering into banking group taking into account the requirements established by the paragraph the sixth subitem 7.2.1 of Item 7.2 of this Instruction is allowed. Transfer by credit institution of separate risk management functions of other credit institution does not exempt the board of directors (supervisory board), executive bodies, the head of service of risk management of the credit institution which transferred separate risk management functions from execution of the functions determined by this Instruction.

3.7. The head and employees of service of risk management shall be on the staff of credit institution.

The head of service of risk management coordinates and controls work of all divisions (workers) performing risk management functions, and also special working bodies (committees) which are responsible for risk management in case of their creation.

3.8. The head of service of risk management shall conform to the qualification requirements established by the Instruction of the Bank of Russia of December 25, 2017 No. 4662-U "About qualification requirements to the head of service of risk management, service of internal control and service of internal audit of credit institution, person responsible for the organization of risk management system, and the controller of non-state pension fund, the auditor of insurance company about the notification procedure of the Bank of Russia about position assignment (about dismissal) specified persons (except for the controller of non-state pension fund), the special officials responsible for implementation of rules of internal control for the purpose of counteraction of legalization (washing) of income gained in the criminal way and to financing of terrorism of credit institution, non-state pension fund, insurance company, managing company of investment funds, mutual investment funds and non-state pension funds, microfinance company, the employee of service of internal control of managing company of investment funds, mutual investment funds and non-state pension funds, and also about evaluation procedure the Bank of Russia of compliance of specified persons (except for the controller of non-state pension fund) to qualification requirements and requirements to goodwill", the registered Ministry of Justice of the Russian Federation on March 14, 2018 No. 50341 (further - the Instruction of the Bank of Russia No. 4662-U), and to requirements to goodwill, stipulated in Item the first parts one of article 16 of the Federal Law "About banks and banking activity.

Chapter 4. Organization of procedures of capital management

4.1. The credit institution (parent credit institution of banking group) determines tendency to risk for the purpose of ensuring steady functioning of credit institution (banking group) on continuous basis in the long term, including in stressful situations.

4.2. Tendency to risk shall be determined by the strategy of risk management and the capital of credit institution (parent credit institution of banking group) at the level of credit institution (banking group) by activities of credit institution (affiliated credit institution).

4.3. Tendency to risk shall be determined in the form of set of quantitative and qualitative indexes. The credit institution (parent credit institution of banking group) independently performs the choice of indicators of tendency to risk.

4.4. Quantitative, in particular, the following indicators are among.

4.4.1. The indicators characterizing capital adequacy:

capital adequacy level necessary for receipt of the rating of creditworthness, desirable for credit institution;

the level of sufficiency of the available capital of credit institution (banking group) determined percentage of the capital (economic capital), necessary for covering of risks;

the indicators of regulating sufficiency of own means (capital) of credit institution (the basic, fixed and aggregate capital) determined according to the Instruction of the Bank of Russia No. 199-I, the Provision of the Bank of Russia No. 509-P and the Provision of the Bank of Russia of July 4, 2018 No. 646-P "About technique of determination of own means (capital) of credit institutions ("Basel III")", the registered Ministry of Justice of the Russian Federation on September 10, 2018 No. 52122, on December 19, 2018 No. 53064, on September 30, 2019 No. 56084 (further - the Provision of the Bank of Russia No. 646-P).

4.4.2. The indicators characterizing separate types of significant risks:

for credit risk - the relation of amount of the reserves required to forming on possible losses to the credit requirements weighed on risk;

amounts of reserves on possible losses by portfolios of credit requirements;

levels of probability of default and losses concerning classes (segments) of credit requirements;

for interest risk - sensitivity of percentage margin to fluctuations of market rates, capital costs to fluctuations of market rates;

for market risk - the size of the capital necessary for covering of losses from change in value of financial instruments;

for liquidity risk - the maximum gap between assets and liabilities on various terms of claiming and repayment as up to one year, and more than one year, limits on dependence of credit institution on means of one legal entity or physical person (further - the partner) or on attraction of financial resources in case of placement of one product;

for concentration risk - concentration hazard rate on the largest borrowers (the attitude of amount of requirements of credit institution towards the largest borrowers to total portfolio of loan debt, for example, to five or ten largest borrowers), concentration hazard rate on borrowers by types of economic activity or on investments in securities of issuers by types of economic activity;

the statistics characterizing extent of portfolio diversification of credit institution (for example, Gerfindalya-Girshman's index).

4.5. Are among qualitative indexes, for example:

risks assessment and respect for the established tendency to risk in case of decision making about entry into the new markets, about implementation of new transactions (about implementation of new products);

assessment of ratio of risk and profitability in case of acceptance of management decisions.

4.6. On the basis of indicators of tendency to risk the credit institution (parent credit institution of banking group) determines the planned (target) level of the capital, planned capital structure, sources of its forming, planned (target) level of capital adequacy, and also planned (target) levels of risks and target structure of risks of credit institution (banking group).

4.7. In case of determination of planned (target) level of the capital, planned capital structure, planned (target) level of capital adequacy the credit institution (parent credit institution of banking group) proceeds from phase of business cycle, assessment of current demand in the capital necessary for covering of significant risks (further - amount of the necessary capital), and also considers the possible need for attraction of the supplementary capital and the available sources of its attraction for covering of significant risks taking into account reference points of business development, planned (target) levels of risks and target structure of the risks of credit institution (affiliated credit institution) established by the development strategy.

4.8. The total volume of the necessary capital shall be determined by credit institution (parent credit institution of banking group) on the basis of aggregative assessment of requirements to the capital concerning risks, significant for credit institution (banking group).

4.9. For the purpose of assessment of total volume of the necessary capital the credit institution (parent credit institution of banking group) establishes the following techniques.

4.9.1. Technique of determination of the size of the capital necessary for covering of requirements for each of risks, significant for credit institution (banking group).

For this purpose the credit institution (parent credit institution of banking group) shall determine:

risks concerning which capital need will be determined by quantitative methods. Quantitative requirements to the capital at least shall be determined by credit institution by credit, market, operational risks;

risks concerning which capital need will not be determined by quantitative methods. At the same time the covering of possible losses from their realization will be performed due to allocation of certain amount of the capital on their covering, and restriction of risks will be performed by other methods (for example, by establishment of limits).

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.

4.9.2. Technique of determination of total volume of the capital necessary for credit institution (banking group) on the basis of aggregation of estimates of significant risks.

The credit institution establishes technique of determination of total volume of the necessary capital independently. The parent credit institution of banking group establishes technique of determination of total volume of the necessary capital of banking group, and also technique of determination of total volume of the necessary capital for affiliated credit institution.

For this purpose can be used:

the methods applied in the international practice (for example, methodology of determination of the economic capital). In this case the approaches applied by credit institution (parent credit institution of banking group) shall conform to the requirements applied in the international practice to methodology of determination of the economic capital;

the technique of the Bank of Russia established by the Instruction of the Bank of Russia No. 199-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. 652-P, the Provision of the Bank of Russia No. 511-P, the Instruction of the Bank of Russia No. 199-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).

4.10. For the purpose of capital adequacy assessment the credit institution (parent credit institution of banking group) establishes procedures of correlation of total volume of the capital necessary for credit institution (banking group) and amount of the available capital of credit institution (banking group). The specified procedures shall also allow credit institution (parent credit institution of banking group) to control observance of obligatory standard rates.

The structure of sources of the available capital of credit institution (banking group) in addition to the sources included in the calculation of cumulative size of own means (capital) established by the Provision of the Bank of Russia No. 646-P can join also other sources, such as the unrealized incomes (corrected on unrealized expenses) regarding assets (obligations) reflected in financial accounting not at fair value, the planned income. At the same time such sources shall be available to covering of losses from realization of risks.

4.11. For the purpose of control of sufficiency of own means (capital) the credit institution (parent credit institution of banking group) establishes procedures of capital allocation through system of limits of activities (on affiliated credit institutions), to types of significant risks (in particular, credit, market) and to the divisions performing the functions connected with acceptance of risks (the divisions performing crediting of enterprise and retail customers regarding credit risk the treasury and other divisions performing transactions with securities, foreign currency and derivative financial instruments regarding market and percentage it is risk).

4.12. In credit institution (affiliated credit institution) limits shall be set for all divisions performing the functions connected with acceptance of risks.

For risks concerning which requirements to the capital are determined limits are based on estimates of capital need concerning these risks.

For risks concerning which requirements to the capital are not determined, set structural limits or limits on amount of the performed transactions (transactions).

The system of limits shall have the multi-level structure including, in particular:

limits on significant for credit institution (banking group, the affiliated organization of parent credit institution of banking group (further - the affiliated organization) to risks (for example, limits of credit and market risks);

limits of the divisions performing the functions connected with acceptance significant for credit institution (banking group, the affiliated organization) it is risk;

limits of amount of the made transactions (transactions) with one partner (partners of separate type of economic activity);

limits of amount of transactions (transactions) performed with financial instruments;

limits of limit of losses of structural divisions of credit institution.

4.13. In the course of capital allocation on activities (affiliated credit institutions), the types of significant risks, divisions of credit institution performing the functions connected with acceptance of risks, the credit institution (parent credit institution of banking group) provides reserve availability on the capital for:

coverings of the risks which are not estimated by quantitative methods and also risks which distribution on structural divisions of credit institution is impossible or it is difficult (for example, operational risk);

implementations of actions on business development, provided by the development strategy of credit institution (affiliated credit institution).

4.14. The credit institution (parent credit institution of banking group) exercises control of observance by its structural divisions (the affiliated organizations) of the limits allocated to them. Within control of the set limits the credit institution (parent credit institution of banking group) installs system of the indicators testimonial of high extent of use of credit institution by structural divisions (the affiliated organizations) of the limit allocated to them (further - alarm values).

For each of alarm values the corresponding list of the adjusting actions depending on extent of approach of use of limit to alarm value, for example is established:

decrease in level of the accepted risk;

redistribution of the capital allocated for covering of significant risks between structural divisions of credit institution (the affiliated organizations);

increase in the size of the capital.

Results of control of limits (achievement of alarm values, the facts of excess of limits) shall join in the reporting of credit institution created within VPODK and be represented according to the procedure, established in Item 6.4 of this Instruction, to the board of directors (supervisory board), executive bodies of credit institution (parent credit institution of banking group), division managers of credit institution (parent credit institution of banking group), performing the functions connected with acceptance of risks, and also with management of the accepted risks.

Chapter 5. Organization of procedures of stress testing

5.1. The credit institution (parent credit institution of banking group) which size of assets constitutes 500 billion rubles and more and also the credit institution using for the purpose of assessment of size of significant risk (significant risks) and total requirement in the capital methods excellent from established by the Bank of Russia, uses within VPODK stress testing technique on the basis of historical and hypothetical events (the scenario analysis) and sensitivity analysis of credit institution to change of risk factors (risks).

Paragraph two of ceased to be valid.

5.2. The credit institution which size of assets constitutes less than 500 billion rubles, and not using methods in case of risks assessment and capital adequacy, excellent from established by regulations of the Bank of Russia, when implementing stress testing has the right to be limited to sensitivity analysis in relation to credit, percentage risks and concentration risk.

5.3. The credit institution (parent credit institution of banking group) which size of assets reaches 500 billion rubles after one year from the date of achievement of the specified size of assets uses stress testing technique, the stipulated in Item 5.1 presents of the Instruction.

5.4. The credit institution (parent credit institution of banking group) develops procedures of stress testing and determines in them:

the types of stress tests and the main objectives solved in the course of stress testing, accepted at the level of credit institution (banking group, affiliated credit institution);

frequency of carrying out stress testing depending on types of stress tests and tasks solved with their help (at least, than once a year);

the list of the used scenarios and methodology of their choice;

procedure for use of results of stress testing in procedures of risk management and determination of capital need, including in the affiliated organizations;

procedure for informing individual and joint executive bodies of credit institution (parent credit institution of banking group) on results of stress testing and taking measures to decrease in level of risks by results of stress testing in credit institution (affiliated credit institution);

possible corrective actions in stressful situations in credit institution (banking group, affiliated credit institution).

5.5. In case of the choice of the scenario of stress testing the credit institution (parent credit institution of banking group) proceeds from the following:

stress testing shall cover all risks and activities, significant for credit institution (banking group);

scenarios of stress testing shall consider events which can cause the maximum damage of credit institution (banking group, members of banking group) or to entail loss of goodwill.

The credit institution (parent credit institution of banking group) regularly (at least once a year) performs assessment of the considered scenarios, qualities of the used data and assumptions, compliance of the received results of stress testing to the established purposes.

5.6. Procedures of stress testing shall be reflected in the documents of credit institution (banking group) developed within VPODK and be reviewed depending on change of external and internal factors of its activities, but at least once a year.

The procedures of stress testing used by affiliated credit institution shall be approved in writing with parent credit institution of banking group.

Chapter 6. The reporting of credit institution created within VPODK

6.1. The credit institution (parent credit institution of banking group) creates the reporting within VPODK (further - the reporting of VPODK) credit institution (banking group).

6.2. The reporting of VPODK shall contain reports:

about results of accomplishment of VPODK by credit institution (banking group), including about observance of planned (target) level of the capital and capital adequacy, planned capital structure, planned (target) levels of risks and target structure of risks;

about results of stress testing;

about significant risks;

about the capital size, results of assessment of capital adequacy of credit institution (banking group, affiliated credit institution) and the accepted assumptions applied for the purpose of capital adequacy assessment;

about accomplishment of obligatory standard rates by credit institution (banking group, affiliated credit institution).

Reports on significant risks shall include the following information:

about aggregative amount of the significant risks accepted by credit institution (banking group) and also about the accepted amounts of each risk type, significant for credit institution (banking group), about changes of amounts of significant risks and about influence of the specified changes on capital adequacy;

about amounts of the significant risks accepted by structural divisions of credit institution (the affiliated organizations);

about use of credit institution by structural divisions (the affiliated organizations) of the limits allocated to them;

about the facts of violation of credit institution by structural divisions (the affiliated organizations) of the set limits, and also the undertaken measures for settlement of the revealed violations.

The credit institution determining the size of credit risk on the basis of internal ratings shall include also in reports on significant risks information on key parameters and on assumptions of the applied models and on quantitative results of risk assessment.

6.3. Report forms shall be unified so that to provide opportunity:

perform generalization of information on different types of significant risks (on members of banking group) for the purpose of carrying out the complex analysis of degree of exposure of credit institution (banking group) to risks;

perform capital adequacy assessment at the level of credit institution (banking group, affiliated credit institutions) and to estimate capital need on prospect;

inform governing bodies of credit institution (parent credit institution of banking group, members of banking group), the divisions performing the functions connected with acceptance and risk management about results of assessment of capital adequacy by credit institution (banking group).

6.4. The credit institution (parent credit institution of banking group) creates the reporting of VPODK on regular basis.

The reporting of VPODK is created by service of risk management or other division independent of the divisions performing the functions connected with acceptance of risks (except for services of internal audit).

Reports on results of accomplishment of VPODK are submitted to the board of directors (supervisory board) and executive bodies of credit institution (parent credit institution of banking group) annually.

Reports on results of stress testing are submitted to the board of directors (supervisory board) and executive bodies of credit institution (parent credit institution of banking group) annually.

Reports on significant risks, on accomplishment of obligatory standard rates, on the size of the capital and on results of assessment of capital adequacy of credit institution, the large member of banking group (the concept of the large member of banking group is accepted in the value determined in subitem 6.7 of Item 6 of appendix to the Instruction of the Bank of Russia of August 7, 2017 No. 4482-U "About form and procedure for disclosure by credit institution (parent credit institution of banking group) of information on the accepted risks, procedures of their assessment, risk management and the capital", 48769, on June 29, 2018 51480, on February 21, 2019 No. 53860) are represented to No. registered by the Ministry of Justice of the Russian Federation on November 1, 2017 No.:

to the board of directors (supervisory board) of credit institution (parent credit institution of banking group) - quarterly;

to executive bodies of credit institution (parent credit institution of banking group) - at least once a month.

Information on achievement of the established alarm values and non-compliance with the set limits is carried to the board of directors (supervisory board) and executive bodies of credit institution in process of identification of the specified facts.

Representation to the head of service of risk management, to division managers and members of committees of credit institution whose competence includes risk management of reports is performed in the following procedure:

reports on significant risks regarding information on amounts of the risks accepted by structural divisions of credit institution, use (violation) of the set limits, and also reports on the capital size, on results of assessment of capital adequacy, on accomplishment of obligatory standard rates in credit institution are represented daily;

reports on significant risks regarding information on aggregative amount of the significant risks accepted by credit institution - at least once a month.

Reports on significant risks, on the capital size, on results of assessment of capital adequacy, on accomplishment of obligatory standard rates of affiliated credit institution are represented to the head of service of risk management, division managers and members of committees of parent credit institution of banking group whose competence includes risk management in banking group at least once a month.

Reports on significant risks, on accomplishment of obligatory standard rates, on the size of the capital and capital adequacy of banking group are represented to the board of directors (supervisory board), executive bodies of parent credit institution of banking group, and also the head of service of risk management, division managers and members of committees of parent credit institution of banking group which competence includes risk management in banking group, quarterly.

Chapter 7. The documents developed within VPODK

7.1. The documents developed by credit institution (parent credit institution of banking group) within VPODK shall be based on the development strategy of credit institution (banking group) determining including the directions of development of credit institution (banking group), reference points on amounts of the transactions (transactions) planned to implementation, the planned (target) level of the capital and capital adequacy of credit institution (banking group, the affiliated organization).

7.2. The documents developed within VPODK shall contain the following.

7.2.1. The strategy of risk management and the capital of credit institution (banking group) determining:

structure of governing bodies of credit institution (parent credit institution of banking group) and the divisions performing the functions connected with risk management and the capital in credit institution (banking group);

distribution of the functions connected with risk management and the capital between the board of directors (supervisory board), individual and joint executive bodies, divisions and employees of credit institution (parent credit institution of banking group, members of banking group);

the organization of control from the board of directors (supervisory board) and executive bodies of credit institution (parent credit institution of banking group, affiliated credit institution) of accomplishment of VPODK in credit institution (banking group, affiliated credit institution) and their efficiency, including frequency of control of observance of procedures for risk management and the capital;

approaches to the organization of risk management system in credit institution (banking group) (including the list of the divisions performing risk management functions and acceptances of risks, the applied evaluation methods, restrictions and decrease in risks, procedure and frequency of assessment of conformity of procedures of risk management and the capital of the approved strategy of risk management and the capital of credit institution, to nature and scale of the transactions performed by credit institution);

the list of the functions on risk management transferred to other credit institution entering into banking group, and order of interaction of credit institutions when implementing procedures of risk management;

terms for which planning of amounts of transactions (transactions) and the capital in credit institution (banking group) is performed;

tendency to risk of credit institution (banking group) and the direction of its distribution, including indicators of tendency to risk of credit institution (banking group, affiliated credit institution);

planned capital structure;

planned (target) levels of risks, target structure of risks;

scenarios of stress testing of credit institution (banking group, affiliated credit institution);

structure of the reporting of VPODK of credit institution (banking group, affiliated credit institution), procedure and frequency of its forming, representation of credit institution to governing bodies (parent credit institution of banking group), considerations and uses by the board of directors (supervisory board), individual and joint executive bodies of credit institution (parent credit institution of banking group), structural divisions of credit institution (parent credit institution of banking group, members of banking group) in case of decision making on the current activities and during development of the development strategy;

procedure and frequency of informing the board of directors (supervisory board) of credit institution (parent credit institution of banking group) on the revealed shortcomings of methodology of assessment and risk management, achievement of alarm values, the facts of excess of the set limits and actions taken for their elimination in credit institution (banking group, the affiliated organization);

procedures of taking measures in credit institution (banking group, the affiliated organization) for decrease in risks on the basis of information containing in the reporting of VPODK.

7.2.2. The procedures of management of separate types of risks and assessment of capital adequacy accepted in credit institution (banking group, affiliated credit institution), including methodology of identification of risks, significant for credit institution (banking group), the description of risk management processes, methodology of assessment and risk control, the methods applied to aggregation of risks and assessment of capital adequacy, technique of assessment of availability of additional capital sources of credit institution (banking group, affiliated credit institution), the description of procedures of development (creation) of new products and (or) procedure for entry into the new markets.

7.2.3. Procedures of stress testing.

7.3. The documents developed by credit institution within VPODK are brought to the attention of all employees of credit institution (parent credit institution of banking group) exercising functions of acceptance and risk managements.

Chapter 8. Final provisions

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

8.2. To credit institutions which size of assets constitutes 500 billion rubles and more to bring procedures of risk management and the capital into accord with requirements of this Instruction at the individual level till December 31, 2015, at the level of banking group till December 31, 2016.

8.3. To credit institutions which size of assets constitutes less than 500 billion rubles to bring procedures of risk management and the capital into accord with requirements of this Instruction at the individual level till December 31, 2016, at the level of banking group till December 31, 2017.

Appendix 1

to 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"

Requirements to the organization of procedures of management of separate types of risks

Chapter 1. General requirements

1.1. Concerning each of significant risks the credit institution (parent credit institution of banking group) establishes:

the risk identification accepted in credit institution (banking group);

transaction types (transactions) in which this risk is inherent;

powers of heads of structural divisions of credit institution (banking group) concerning implementation of transactions (transactions) connected with acceptance of risk, establishment of limits of risk and methods of its decrease;

control procedure (including frequency) from the board of directors (supervisory board) and executive bodies of credit institution (parent credit institution of banking group) behind observance of the established procedures on risk management, amounts of the accepted risk and observance of the set limits in credit institution (banking group, the affiliated organization);

methods of identification of risk;

risk evaluation methods, including determination of capital need;

methods of restriction of risk (system of limits);

methods of decrease in risk;

evaluation methods of efficiency of methodology of risk assessment, including the models of quantitative risks assessment and procedures used in rating systems and also the component values of risk calculated with use of these systems (further - validation of models of quantitative risks assessment) for the credit institution applying such models;

procedure and frequency (but at least once a year) evaluating efficiency of evaluation methods of risk, including updating of documents in which evaluation methods of risks, and implementation of validation of models of quantitative risk assessment, service of internal audit (other division of credit institution independent of the divisions performing the functions connected with acceptance of risk, development of evaluation methods of risk, including models of quantitative risk assessment) or the external auditor are established;

procedures and frequency of carrying out stress testing (at least once a year);

control procedures for risk;

reports on risks;

operations procedure of officials in case of achievement of alarm values and excess of the set limits in credit institution (at the level of banking group, in the affiliated organizations);

procedure for informing internal audit by service of the board of directors (supervisory board), executive bodies of credit institution (parent credit institution of banking group) about the revealed shortcomings of functioning of internal systems of risks assessment of credit institution (banking group, the affiliated organization) and actions taken for their elimination;

requirements to the automated system (the automated systems) providing (providing) risk management.

1.2. Requirements to the organization of management of separate types of risks are established by Chapters 2 - 7 these appendices.

Chapter 2. Credit risk

2.1. Procedures for risk management, the borrower arising in connection with probability of failure to carry out of contractual commitments or the partner before credit institution (further - credit risk) shall include:

procedure for provision of loans and decision making about their issue in credit institution (the affiliated organization);

techniques of determination and procedure for establishment of limits (risk limit on one borrower (group of the connected borrowers), risk limit of types of economic activity of borrowers, other limits) in credit institution (banking group, the affiliated organization);

paragraph fourth ceased to be valid;

requirements imposed in credit institution (the affiliated organization) to ensuring obligation fulfillment of partners (borrowers) and methodology of its assessment.

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. 199-I and the Provision of the Bank of Russia No. 483-P.

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.

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.

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