Styring av kredittrisiko

Formålet med denne retningslinjen er å skissere rammene for styring av kredittrisiko i Norges Bank Investment Management (NBIM), som skal omfatte identifisering, vurdering, måling, styring og intern rapportering av kredittrisiko. Retningslinjen gjelder både for absolutt og relativ risiko. Rammene for kredittrisiko skal støtte NBIMs overordnede mål og investeringsstrategi for å sikre riktig balanse mellom forretningsmål og risikovilje. Motpartskredittrisiko er ikke en del av denne retningslinjen og omfattes av retningslinjen for styring av motpartsrisiko.

Utstedt 23. januar 2009
Sist oppdatert 12. juni 2024

Retningslinjen er kun tilgjengelig på engelsk.

Policy

NBIM shall ensure segregation of duties between a recipient of an investment mandate who shall ensure that credit risk is taken and managed and an independent risk management function which shall identify, assess, measure, monitor, manage and report credit risk. NBIM shall manage credit risk at an issuer and portfolio level.

Both the recipient of an investment mandate and the independent risk management function shall report developments in credit risk based on independent processes in a prompt and appropriate manner.

Definitions

Credit risk is defined as the risk of losses related to an issuer being unable to meet its obligations.
Default occurs when an issuer has not made a scheduled payment of interest or principal within 30 business days of the scheduled payment, or a bond covenant is breached. NBIM may deem a security as in default following an assessment that it is unlikely that the issuer will pay its obligations in full.

Credit risk measurement

Credit risk measurement shall include a credit exposure overview with respect to all instruments included in the funds under management.
Criteria shall be in place for identification of high risk issuers and for monitoring of these issuers.
The credit rating distribution for all issuers of fixed income instruments in the funds under management shall be monitored. Where credit ratings are not available, NBIM shall establish criteria for assessment of credit risk arising from such issuers.
For single issuer credit risk, the credit risk framework shall, as a minimum, include measurement and monitoring of the probability of default, credit exposure and expected loss.
For portfolio credit risk, the credit risk framework shall include measurement and monitoring of credit var, taking the correlation between instruments and issuers into consideration. Further to this, NBIM shall analyse concentration risk as well as undertake stress tests stemming from extraordinary market conditions.

Risk monitoring

The recipient of an investment mandate has ownership of and shall manage and monitor the credit risk according to the investment mandate.
The risk management function shall independently monitor and assess credit risk and the risk characteristics of the funds under management.
Adequate processes shall be in place in order to ensure timely and accurate credit risk monitoring. These processes shall also ensure an active dialogue regarding risk.

Reporting

The investment areas shall report credit risk to the relevant levels in the organisation.
Credit risk shall be independently reported by the risk management function through standardised risk reporting in a prompt, accurate and consistent manner.
In addition to regular standardised reporting, pro-active risk analysis shall be facilitated and communicated to the Chief Risk Officer.

Management of issuer default

NBIM shall have procedures for management of default and CDS credit events with the aim of achieving the highest possible recovery.
The Chief Risk Officer shall without delay call the Leader Group investment meeting to inform them about matters of special importance or circumstances that require special attention.