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Version status: Applicable | Document consolidation status: Updated to reflect all known changes
Published date: 27 June 2013

Regulation 575/2013/EU - Capital Requirements Regulation CRR

Comparing proposed amendment...
Recitals
Part One - General Provisions (arts. 1-24)
Title I Subject matter, scope and definitions (arts. 1-5)
Amended
Article 1 Scope
Amended
Article 2 Supervisory powers
Applicable
Article 3 Application of stricter requirements by institutions
Amended
Article 4 Definitions
Applicable
Article 5 Definitions specific to capital requirements for credit risk
Title II Level of Application of Requirements (arts. 6-24)
Chapter 1 Application of requirements on an individual basis (arts. 6-10)
Amended
Article 6 General principles
Applicable
Article 7 Derogation from the application of prudential requirements on an individual basis
Amended
Article 8 Derogation from the application of liquidity requirements on an individual basis
Applicable
Article 9 Individual consolidation method
Amended
Article 10 Waiver for credit institutions permanently affiliated to a central body
Chapter 2 Prudential consolidation (arts. 10a-24)
Section 1 Application of requirements on a consolidated basis (arts. 10a-17)
Inserted
Article 10a Application of prudential requirements on a consolidated basis where investment firms are parent undertakings
Amended
Article 11 General treatment
Deleted
Article 12 Financial holding company or mixed financial holding company with both a subsidiary credit institution and a subsidiary investment firm
Amended
Article 12a Consolidated calculation for G-SIIs with multiple resolution entities
Amended
Article 13 Application of disclosure requirements on a consolidated basis
Amended
Article 14 Application of requirements of Article 5 of Regulation (EU) 2017/2402 on a consolidated basis
Amended
Article 15 Derogation from the application of own funds requirements on a consolidated basis for groups of investment firms
Amended
Article 16 Derogation from the application of the leverage ratio requirements on a consolidated basis for groups of investment firms
Deleted
Article 17 Supervision of investment firms waived from the application of own funds requirements on a consolidated basis
Section 2 Methods for prudential consolidation (art. 18)
Amended
Article 18 Methods of prudential consolidation
Section 3 Scope of prudential consolidation (arts. 19-24)
Amended
Article 19 Entities excluded from the scope of prudential consolidation
Applicable
Article 20 Joint decisions on prudential requirements
Applicable
Article 21 Joint decisions on the level of application of liquidity requirements
Amended
Article 22 Sub-consolidation in case of entities in third countries
Applicable
Article 23 Undertakings in third countries
Applicable
Article 24 Valuation of assets and off-balance sheet items
Part Two - Own Funds and eligible liabilities (arts. 25-91)
Title I Elements of Own Funds (arts. 25-80)
Chapter 1 Tier 1 capital (art. 25)
Applicable
Article 25 Tier 1 capital
Chapter 2 Common Equity Tier 1 capital (arts. 26-50)
Section 1 Common equity tier 1 items and instruments (arts. 26-31)
Amended
Article 26 Common Equity Tier 1 items
Applicable
Article 27 Capital instruments of mutuals, cooperative societies, savings institutions or similar institutions in Common Equity Tier 1 items
Amended
Article 28 Common Equity Tier 1 instruments
Applicable
Article 29 Capital instruments issued by mutuals, cooperative societies, savings institutions and similar institutions
Applicable
Article 30 Consequences of the conditions for Common Equity Tier 1 instruments ceasing to be met
Applicable
Article 31 Capital instruments subscribed by public authorities in emergency situations
Section 2 Prudential filters (arts. 32-35)
Applicable
Article 32 Securitised assets
Amended
Article 33 Cash flow hedges and changes in the value of own liabilities
Applicable
Article 34 Additional value adjustments
Applicable
Article 35 Unrealised gains and losses measured at fair value
Section 3 Deductions from common equity tier 1 items, exemptions and alternatives (arts. 36-49)
Sub-section 1 Deductions from Common Equity Tier 1 items (arts. 36-47c)
Amended
Article 36 Deductions from Common Equity Tier 1 items
Amended
Article 37 Deduction of intangible assets
Applicable
Article 38 Deduction of deferred tax assets that rely on future profitability
Amended
Article 39 Tax overpayments, tax loss carry backs and deferred tax assets that do not rely on future profitability
Applicable
Article 40 Deduction of negative amounts resulting from the calculation of expected loss amounts
Applicable
Article 41 Deduction of defined benefit pension fund assets
Applicable
Article 42 Deduction of holdings of own Common Equity Tier 1 instruments
Applicable
Article 43 Significant investment in a financial sector entity
Applicable
Article 44 Deduction of holdings of Common Equity Tier 1 instruments of financial sector entities and where an institution has a reciprocal cross holding designed artificially to inflate own funds
Amended
Article 45 Deduction of holdings of Common Equity Tier 1 instruments of financial sector entities
Applicable
Article 46 Deduction of holdings of Common Equity Tier 1 instruments where an institution does not have a significant investment in a financial sector entity
Applicable
Article 47 Deduction of holdings of Common Equity Tier 1 instruments where an institution has a significant investment in a financial sector entity
In force
Article 47a Non-performing exposures
Inserted
Article 47b Forbearance measures
Amended
Article 47c Deduction for non-performing exposures
Sub-section 2 Exemptions from and alternatives to deduction from Common Equity Tier 1 items (arts. 48-49)
Applicable
Article 48 Threshold exemptions from deduction from Common Equity Tier 1 items
Amended
Article 49 Requirement for deduction where consolidation, supplementary supervision or institutional protection schemes are applied
Section 4 Common equity tier 1 capital (art. 50)
Applicable
Article 50 Common Equity Tier 1 capital
Chapter 3 Additional Tier 1 capital (arts. 51-61)
Section 1 Additional tier 1 items and instruments (arts. 51-55)
Applicable
Article 51 Additional Tier 1 items
Amended
Article 52 Additional Tier 1 instruments
Applicable
Article 53 Restrictions on the cancellation of distributions on Additional Tier 1 instruments and features that could hinder the recapitalisation of the institution
Amended
Article 54 Write down or conversion of Additional Tier 1 instruments
Applicable
Article 55 Consequences of the conditions for Additional Tier 1 instruments ceasing to be met
Section 2 Deductions from additional tier 1 items (arts. 56-60)
Amended
Article 56 Deductions from Additional Tier 1 items
Applicable
Article 57 Deductions of holdings of own Additional Tier 1 instruments
Applicable
Article 58 Deduction of holdings of Additional Tier 1 instruments of financial sector entities and where an institution has a reciprocal cross holding designed artificially to inflate own funds
Amended
Article 59 Deduction of holdings of Additional Tier 1 instruments of financial sector entities
Applicable
Article 60 Deduction of holdings of Additional Tier 1 instruments where an institution does not have a significant investment in a financial sector entity
Section 3 Additional Tier 1 capital (art. 61)
Applicable
Article 61 Additional Tier 1 capital
Chapter 4 Tier 2 capital (arts. 62-71)
Section 1 Tier 2 items and instruments (arts. 62-65)
Amended
Article 62 Tier 2 items
Amended
Article 63 Tier 2 instruments
Amended
Article 64 Amortisation of Tier 2 instruments
Applicable
Article 65 Consequences of the conditions for Tier 2 instruments ceasing to be met
Section 2 Deductions from Tier 2 items (arts. 66-70)
Amended
Article 66 Deductions from Tier 2 items
Applicable
Article 67 Deductions of holdings of own Tier 2 instruments
Applicable
Article 68 Deduction of holdings of Tier 2 instruments of financial sector entities and where an institution has a reciprocal cross holding designed artificially to inflate own funds
Amended
Article 69 Deduction of holdings of Tier 2 instruments of financial sector entities
Applicable
Article 70 Deduction of Tier 2 instruments where an institution does not have a significant investment in a relevant entity
Section 3 Tier 2 capital (art. 71)
Applicable
Article 71 Tier 2 capital
Chapter 5 Own funds (art. 72)
Applicable
Article 72 Own funds
Chapter 5a Eligible liabilities (arts. 72a-72l)
Section 1 Eligible liabilities items and instruments (arts. 72a-72d)
Inserted
Article 72a Eligible liabilities items
Amended
Article 72b Eligible liabilities instruments
Inserted
Article 72c Amortisation of eligible liabilities instruments
Inserted
Article 72d Consequences of the eligibility conditions ceasing to be met
Section 2 Deductions from eligible liabilities items (arts. 72e-72j)
Amended
Article 72e Deductions from eligible liabilities items
Inserted
Article 72f Deduction of holdings of own eligible liabilities instruments
Inserted
Article 72g Deduction base for eligible liabilities items
Inserted
Article 72h Deduction of holdings of eligible liabilities of other G-SII entities
Inserted
Article 72i Deduction of eligible liabilities where the institution does not have a significant investment in G-SII entities
Inserted
Article 72j Trading book exception from deductions from eligible liabilities items
Section 3 Own funds and eligible liabilities (atrs. 72k-72l)
Inserted
Article 72k Eligible liabilities
Inserted
Article 72l Own funds and eligible liabilities
Chapter 6 General requirements for own funds and eligible liabilities (arts. 73-80)
Amended
Article 73 Distributions on instruments
Applicable
Article 74 Holdings of capital instruments issued by regulated financial sector entities that do not qualify as regulatory capital
Amended
Article 75 Deduction and maturity requirements for short positions
Amended
Article 76 Index holdings of capital instruments and of liabilities
Amended
Article 77 Conditions for reducing own funds and eligible liabilities
Amended
Article 78 Supervisory permission to reduce own funds
Inserted
Article 78a Permission to reduce eligible liabilities instruments
Amended
Article 79 Temporary waiver from deduction from own funds and eligible liabilities
Inserted
Article 79a Assessment of compliance with the conditions for own funds and eligible liabilities instruments
Amended
Article 80 Continuing review of the quality of own funds and eligible liabilities instruments
Title II Minority Interest and Additional Tier 1 and Tier 2 Instruments Issued by Subsidiaries (arts. 81-88a)
Amended
Article 81 Minority interests that qualify for inclusion in consolidated Common Equity Tier 1 capital
Amended
Article 82 Qualifying Additional Tier 1, Tier 1, Tier 2 capital and qualifying own funds
Amended
Article 83 Qualifying Additional Tier 1 and Tier 2 capital issued by a special purpose entity
Amended
Article 84 Minority interests included in consolidated Common Equity Tier 1 capital
Amended
Article 85 Qualifying Tier 1 instruments included in consolidated Tier 1 capital
Applicable
Article 86 Qualifying Tier 1 capital included in consolidated Additional Tier 1 capital
Amended
Article 87 Qualifying own funds included in consolidated own funds
Applicable
Article 88 Qualifying own funds instruments included in consolidated Tier 2 capital
Inserted
Article 88a Qualifying eligible liabilities instruments
Title III Qualifying Holdings Outside the Financial Sector (arts. 89-91)
Applicable
Article 89 Risk weighting and prohibition of qualifying holdings outside the financial sector
Applicable
Article 90 Alternative to 1 250 % risk weight
Applicable
Article 91 Exceptions
Part Three - Capital Requirements (arts. 92-386)
Title I General Requirements, Valuation and Reporting (arts. 92-106)
Chapter 1 Required level of own funds (arts. 92-98)
Section 1 Own funds requirements for institutions (arts. 92-94)
Amended
Article 92 Own funds requirements
Amended
Article 92a Requirements for own funds and eligible liabilities for G-SIIs
Inserted
Article 92b Requirement for own funds and eligible liabilities for non-EU G-SIIs
Amended
Article 93 Initial capital requirement on going concern
Amended
Article 94 Derogation for small trading book business
Section 2 Own funds requirements for investment firms with limited authorisation to provide investment services (arts. 95-98)
Applicable
Article 95 Own funds requirements for investment firms with limited authorisation to provide investment services
Applicable
Article 96 Own funds requirements for investment firms which hold initial capital as laid down in Article 28(2) of Directive 2013/36/EU
Applicable
Article 97 Own Funds based on Fixed Overheads
Applicable
Article 98 Own funds for investment firms on a consolidated basis
Chapter 2 Calculation and reporting requirements (arts. 99-101)
Deleted
Article 99 Reporting on own funds requirements and financial information
Deleted
Article 100 Additional reporting requirements
Deleted
Article 101 Specific reporting obligations
Chapter 3 Trading book (arts. 102-106)
Amended
Article 102 Requirements for the trading book
Amended
Article 103 Management of the trading book
Amended
Article 104 Inclusion in the trading book
Inserted
Article 104a Reclassification of a position
Inserted
Article 104b Requirements for trading desk
Amended
Article 105 Requirements for prudent valuation
Amended
Article 106 Internal Hedges
Title II Capital Requirements for Credit Risk (arts. 107-311)
Chapter 1 General principles (arts. 107-110)
Amended
Article 107 Approaches to credit risk
Applicable
Article 108 Use of credit risk mitigation technique under the Standardised Approach and the IRB Approach
Amended
Article 109 Treatment of securitisation positions
Applicable
Article 110 Treatment of credit risk adjustment
Chapter 2 Standardised Approach (arts. 111-141)
Section 1 General principles (arts. 111-113)
Amended
Article 111 Exposure value
Applicable
Article 112 Exposure classes
Amended
Article 113 Calculation of risk-weighted exposure amounts
Section 2 Risk weights (arts. 114-134)
Amended
Article 114 Exposures to central governments or central banks
Applicable
Article 115 Exposures to regional governments or local authorities
Applicable
Article 116 Exposures to public sector entities
Amended
Article 117 Exposures to multilateral development banks
Amended
Article 118 Exposures to international organisations
Amended
Article 119 Exposures to institutions
Applicable
Article 120 Exposures to rated institutions
Applicable
Article 121 Exposures to unrated institutions
Applicable
Article 122 Exposures to corporates
Amended
Article 123 Retail exposures
Amended
Article 124 Exposures secured by mortgages on immovable property
Applicable
Article 125 Exposures fully and completely secured by mortgages on residential property
Applicable
Article 126 Exposures fully and completely secured by mortgages on commercial immovable property
Amended
Article 127 Exposures in default
Amended
Article 128 Items associated with particular high risk
Amended
Article 129 Exposures in the form of covered bonds
Applicable
Article 130 Items representing securitisation positions
Applicable
Article 131 Exposures to institutions and corporates with a short-term credit assessment
Amended
Article 132 Own funds requirements for exposures in the form of units or shares in CIUs
Inserted
Article 132a Approaches for calculating risk-weighted exposure amounts of CIUs
Inserted
Article 132b Exclusions from the approaches for calculating risk-weighted exposure amounts of CIUs
Inserted
Article 132c Treatment of off-balance-sheet exposures to CIUs
Applicable
Article 133 Equity exposures
Amended
Article 134 Other items
Section 3 Recognition and mapping of credit risk assessment (arts. 135-137)
Sub-section 1 Recognition of ECAIs (art. 135)
Applicable
Article 135 Use of credit assessments by ECAIs
Sub-section 2 Mapping of ECAI's credit assessments (art. 136)
Applicable
Article 136 Mapping of ECAI's credit assessments
Sub-section 3 Use of credit assessments by Export Credit Agencies (art. 137)
Applicable
Article 137 Use of credit assessments by export credit agencies
Section 4 Use of the ecai credit assessments for the determination of risk weights (arts. 138-141)
Applicable
Article 138 General requirements
Applicable
Article 139 Issuer and issue credit assessment
Applicable
Article 140 Long-term and short-term credit assessments
Applicable
Article 141 Domestic and foreign currency items
Chapter 3 Internal Ratings Based Approach (arts. 142-191)
Section 1 Permission by competent authorities to use the IRB Approach (arts. 142-150)
Amended
Article 142 Definitions
Applicable
Article 143 Permission to use the IRB Approach
Amended
Article 144 Competent authorities' assessment of an application to use an IRB Approach
Applicable
Article 145 Prior experience of using IRB approaches
Applicable
Article 146 Measures to be taken where the requirements of this Chapter cease to be met
Applicable
Article 147 Methodology to assign exposure to exposures classes
Applicable
Article 148 Conditions for implementing the IRB Approach across different classes of exposure and business units
Applicable
Article 149 Conditions to revert to the use of less sophisticated approaches
Amended
Article 150 Conditions for permanent partial use
Section 2 Calculation of risk weighted exposure amounts (arts. 151-157)
Sub-section 1 Treatment by type of exposure class (arts. 151-152)
Amended
Article 151 Treatment by exposure class
Amended
Article 152 Treatment of exposures in the form of units or shares in CIUs
Sub-section 2 Calculation of risk weighted exposure amounts for credit risk (arts. 153-156)
Amended
Article 153 Risk-weighted exposure amounts for exposures to corporates, institutions and central governments and central banks
Amended
Article 154 Risk-weighted exposure amounts for retail exposures
Applicable
Article 155 Risk-weighted exposure amounts for equity exposures
Applicable
Article 156 Risk-weighted exposure amounts for other non credit-obligation assets
Sub-section 3 Calculation of risk-weighted exposure amounts for dilution risk of purchased receivables (art. 157)
Applicable
Article 157 Risk-weighted exposure amounts for dilution risk of purchased receivables
Section 3 Expected loss amounts (arts. 158-159)
Amended
Article 158 Treatment by exposure type
Amended
Article 159 Treatment of expected loss amounts
Section 4 PD, LGD and maturity (arts. 160-165)
Sub-section 1 Exposures to corporates, institutions and central governments and central banks (arts. 160-162)
Applicable
Article 160 Probability of default (PD)
Applicable
Article 161 Loss Given Default (LGD)
Amended
Article 162 Maturity
Sub-section 2 Retail exposures (arts. 163-164)
Applicable
Article 163 Probability of default (PD)
Amended
Article 164 Loss Given Default (LGD)
Sub-section 3 Equity exposures subject to PD/LGD method (art. 165)
Applicable
Article 165 Equity exposures subject to the PD/LGD method
Section 5 Exposure value (arts. 166-168)
Applicable
Article 166 Exposures to corporates, institutions, central governments and central banks and retail exposures
Applicable
Article 167 Equity exposures
Applicable
Article 168 Other non credit-obligation assets
Section 6 Requirements for the IRB approach (arts. 169-191)
Sub-section 1 Rating systems (arts. 169-177)
Applicable
Article 169 General principles
Applicable
Article 170 Structure of rating systems
Applicable
Article 171 Assignment to grades or pools
Applicable
Article 172 Assignment of exposures
Applicable
Article 173 Integrity of assignment process
Applicable
Article 174 Use of models
Applicable
Article 175 Documentation of rating systems
Applicable
Article 176 Data maintenance
Applicable
Article 177 Stress tests used in assessment of capital adequacy
Sub-section 2 Risk quantification (arts. 178-184)
Amended
Article 178 Default of an obligor
Applicable
Article 179 Overall requirements for estimation
Applicable
Article 180 Requirements specific to PD estimation
Applicable
Article 181 Requirements specific to own-LGD estimates
Applicable
Article 182 Requirements specific to own-conversion factor estimates
Applicable
Article 183 Requirements for assessing the effect of guarantees and credit derivatives for exposures to corporates, institutions and central governments and central banks where own estimates of LGD are used and for retail exposures
Applicable
Article 184 Requirements for purchased receivables
Sub-section 3 Validation of internal estimates (art. 185)
Applicable
Article 185 Validation of internal estimates
Sub-section 4 Requirements for equity exposures under the internal models approach (arts. 186-188)
Applicable
Article 186 Own funds requirement and risk quantification
Applicable
Article 187 Risk management process and controls
Applicable
Article 188 Validation and documentation
Sub-section 5 Internal governance and oversight (arts. 189-191)
Applicable
Article 189 Corporate Governance
Applicable
Article 190 Credit risk control
Applicable
Article 191 Internal Audit
Chapter 4 Credit risk mitigation (arts. 192-241)
Section 1 Definitions and general requirements (arts. 192-194)
Applicable
Article 192 Definitions
Applicable
Article 193 Principles for recognising the effect of credit risk mitigation techniques
Applicable
Article 194 Principles governing the eligibility of credit risk mitigation techniques
Section 2 Eligible forms of credit risk mitigation (arts. 195-204a)
Sub-section 1 Funded credit protection (arts. 195-200)
Applicable
Article 195 On-balance sheet netting
Applicable
Article 196 Master netting agreements covering repurchase transactions or securities or commodities lending or borrowing transactions or other capital market-driven transactions
Amended
Article 197 Eligibility of collateral under all approaches and methods
Applicable
Article 198 Additional eligibility of collateral under the Financial Collateral Comprehensive Method
Amended
Article 199 Additional eligibility for collateral under the IRB Approach
Amended
Article 200 Other funded credit protection
Sub-section 2 Unfunded credit protection (arts. 201-203)
Amended
Article 201 Eligibility of protection providers under all approaches
Amended
Article 202 Eligibility of protection providers under the IRB Approach which qualify for the treatment set out in Article 153(3)
Applicable
Article 203 Eligibility of guarantees as unfunded credit protection
Sub-section 3 Types of derivatives (arts. 204-204a)
Applicable
Article 204 Eligible types of credit derivatives
Inserted
Article 204a Eligible types of equity derivatives
Section 3 Requirements (arts. 205-217)
Sub-section 1 Funded credit protection (arts. 205-212)
Applicable
Article 205 Requirements for on-balance sheet netting agreements other than master netting agreements referred to in Article 206
Applicable
Article 206 Requirements for master netting agreements covering repurchase transactions or securities or commodities lending or borrowing transactions or other capital market driven transactions
Applicable
Article 207 Requirements for financial collateral
Applicable
Article 208 Requirements for immovable property collateral
Applicable
Article 209 Requirements for receivables
Applicable
Article 210 Requirements for other physical collateral
Applicable
Article 211 Requirements for treating lease exposures as collateralised
Applicable
Article 212 Requirements for other funded credit protection
Sub-section 2 Unfunded credit protection and credit linked notes (arts. 213-217)
Applicable
Article 213 Requirements common to guarantees and credit derivatives
Applicable
Article 214 Sovereign and other public sector counter-guarantees
Applicable
Article 215 Additional requirements for guarantees
Applicable
Article 216 Additional requirements for credit derivatives
Applicable
Article 217 Requirements to qualify for the treatment set out in Article 153(3)
Section 4 Calculating the effects of credit risk mitigation (arts. 218-236)
Sub-section 1 Funded credit protection (arts. 218-232)
Applicable
Article 218 Credit linked notes
Applicable
Article 219 On-balance sheet netting
Applicable
Article 220 Using the Supervisory Volatility Adjustments Approach or the Own Estimates Volatility Adjustments Approach for master netting agreements
Applicable
Article 221 Using the internal models approach for master netting agreements
Applicable
Article 222 Financial Collateral Simple Method
Amended
Article 223 Financial Collateral Comprehensive Method
Amended
Article 224 Supervisory volatility adjustment under the Financial Collateral Comprehensive Method
Applicable
Article 225 Own estimates of volatility adjustments under the Financial Collateral Comprehensive Method
Applicable
Article 226 Scaling up of volatility adjustment under the Financial Collateral Comprehensive Method
Amended
Article 227 Conditions for applying a 0 % volatility adjustment under the Financial Collateral Comprehensive Method
Applicable
Article 228 Calculating risk-weighted exposure amounts and expected loss amounts under the Financial Collateral Comprehensive method
Applicable
Article 229 Valuation principles for other eligible collateral under the IRB Approach
Applicable
Article 230 Calculating risk-weighted exposure amounts and expected loss amounts for other eligible collateral under the IRB Approach
Applicable
Article 231 Calculating risk-weighted exposure amounts and expected loss amounts in the case of mixed pools of collateral
Applicable
Article 232 Other funded credit protection
Sub-section 2 Unfunded credit protection (arts. 233-236)
Applicable
Article 233 Valuation
Applicable
Article 234 Calculating risk-weighted exposure amounts and expected loss amounts in the event of partial protection and tranching
Applicable
Article 235 Calculating risk-weighted exposure amounts under the Standardised Approach
Applicable
Article 236 Calculating risk-weighted exposure amounts and expected loss amounts under the IRB Approach
Section 5 Maturity mismatches (arts. 237-239)
Applicable
Article 237 Maturity mismatch
Applicable
Article 238 Maturity of credit protection
Applicable
Article 239 Valuation of protection
Section 6 Basket CRM techniques (arts. 240-241)
Applicable
Article 240 First-to-default credit derivatives
Applicable
Article 241 Nth-to-default credit derivatives
Chapter 5 Securitisation (arts. 242-270e)
Section 1 Definitions and criteria for simple, transparent and standardised securitisations (arts. 242-243)
Amended
Article 242 Definitions
Amended
Article 243 Criteria for STS securitisations qualifying for differentiated capital treatment
Section 2 Recognition of significant risk transfer (arts. 244-246)
Amended
Article 244 Traditional securitisation
Amended
Article 245 Synthetic securitisation
Amended
Article 246 Operational requirements for early amortisation provisions
Section 3 Calculation of risk-weighted exposure amounts (arts. 247-270a)
Sub-section 1 General Provisions (arts. 247-253)
Amended
Article 247 Calculation of risk-weighted exposure amounts
Amended
Article 248 Exposure value
Amended
Article 249 Recognition of credit risk mitigation for securitisation positions
Amended
Article 250 Implicit support
Amended
Article 251 Originator institutions' calculation of risk-weighted exposure amounts securitised in a synthetic securitisation
Amended
Article 252 Treatment of maturity mismatches in synthetic securitisations
Amended
Article 253 Reduction in risk-weighted exposure amounts
Sub-section 2 Hierarchy of methods and common parameters (arts. 254-257)
Amended
Article 254 Hierarchy of methods
Amended
Article 255 Determination of KIRB and KSA
Amended
Article 256 Determination of attachment point (A) and detachment point (D)
Amended
Article 257 Determination of tranche maturity (MT)
Sub-section 3 Methods to calculate risk-weighted exposure amounts (arts. 258-266)
Amended
Article 258 Conditions for the use of the Internal Ratings Based Approach (SEC-IRBA)
Amended
Article 259 Calculation of risk-weighted exposure amounts under the SEC-IRBA
Amended
Article 260 Treatment of STS securitisations under the SEC-IRBA
Amended
Article 261 Calculation of risk-weighted exposure amounts under the Standardised Approach (SEC-SA)
Amended
Article 262 Treatment of STS securitisations under the SEC-SA
Amended
Article 263 Calculation of risk-weighted exposure amounts under the External Ratings Based Approach (SEC-ERBA)
Amended
Article 264 Treatment of STS securitisations under the SEC-ERBA
Amended
Article 265 Scope and operational requirements for the Internal Assessment Approach
Amended
Article 266 Calculation of risk-weighted exposure amounts under the Internal Assessment Approach
Sub-section 4 Caps for securitisation positions (arts. 267-268)
Amended
Article 267 Maximum risk weight for senior securitisation positions: look-through approach
Amended
Article 268 Maximum capital requirements
Sub-section 5 Miscellaneous provisions (arts. 269-270a)
Amended
Article 269 Re-securitisations
Inserted
Article 269a Treatment of non-performing exposures (NPE) securitisations
Amended
Article 270 Senior positions in STS on-balance sheet securitisations
Inserted
Article 270a Additional risk weight.
Section 4 External credit assessments (arts. 270b-270e)
Inserted
Article 270b Use of credit assessments by ECAIs.
Inserted
Article 270c Requirements to be met by the credit assessments of ECAIs
Inserted
Article 270d Use of credit assessments.
Inserted
Article 270e Securitisation mapping.
Chapter 6 Counterparty credit risk (arts. 271-311)
Section 1 Definitions (arts. 271-272)
Applicable
Article 271 Determination of the exposure value
Amended
Article 272 Definitions
Section 2 Methods for calculating the exposure value (art. 273-273b)
Amended
Article 273 Methods for calculating the exposure value
Inserted
Article 273a Conditions for using simplified methods for calculating the exposure value
Inserted
Article 273b Non-compliance with the conditions for using simplified methods for calculating the exposure value of derivatives
Section 3 Standardised approach for counter party credit risk (arts. 274-208f)
Amended
Article 274 Exposure value
Amended
Article 275 Replacement cost
Amended
Article 276 Recognition and treatment of collateral
Amended
Article 277 Mapping of transactions to risk categories
Inserted
Article 277a Hedging sets
Amended
Article 278 Potential future exposure
Amended
Article 279 Calculation of the risk position
Amended
Article 279a Supervisory delta
Amended
Article 279b Adjusted notional amount
Inserted
Article 279c Maturity Factor
Amended
Article 280 Hedging set supervisory factor coefficient
Amended
Article 280a Interest rate risk category add-on
Inserted
Article 280b Foreign exchange risk category add-on
Amended
Article 280c Credit risk category add-on
Amended
Article 280d Equity risk category add-on
Amended
Article 280e Commodity risk category add-on
Inserted
Article 280f Other risks category add-on
Section 4 Simplified standardised approach for counter party credit risk (art. 281)
Amended
Article 281 Calculation of the exposure value
Section 5 Original exposure method (art. 282)
Amended
Article 282 Calculation of the exposure value
Section 6 Internal Model Method (arts. 283-294)
Amended
Article 283 Permission to use the Internal Model Method
Amended
Article 284 Exposure value
Applicable
Article 285 Exposure value for netting sets subject to a margin agreement
Applicable
Article 286 Management of CCR - Policies, processes and systems
Applicable
Article 287 Organisation structures for CCR management
Applicable
Article 288 Review of CCR management system
Applicable
Article 289 Use test
Applicable
Article 290 Stress testing
Applicable
Article 291 Wrong-Way Risk
Applicable
Article 292 Integrity of the modelling process
Applicable
Article 293 Requirements for the risk management system
Applicable
Article 294 Validation requirements
Section 7 Contractual netting (arts. 295-298)
Applicable
Article 295 Recognition of contractual netting as risk-reducing
Applicable
Article 296 Recognition of contractual netting agreements
Applicable
Article 297 Obligations of institutions
Amended
Article 298 Effects of recognition of netting as risk-reducing
Section 8 Items in the trading book (art. 299)
Amended
Article 299 Items in the trading book
Section 9 Own funds requirements for exposures to a central counterparty (arts. 300-311)
Amended
Article 300 Definitions
Amended
Article 301 Material scope
Amended
Article 302 Monitoring of exposures to CCPs
Amended
Article 303 Treatment of clearing members' exposures to CCPs
Amended
Article 304 Treatment of clearing members' exposures to clients
Amended
Article 305 Treatment of clients' exposures
Amended
Article 306 Own funds requirements for trade exposures
Amended
Article 307 Own funds requirements for contributions to the default fund of a CCP
Amended
Article 308 Own funds requirements for pre-funded contributions to the default fund of a QCCP
Amended
Article 309 Own funds requirements for pre-funded contributions to the default fund of a non-qualifying CCP and for unfunded contributions to a non-qualifying CCP
Amended
Article 310 Own funds requirements for unfunded contributions to the default fund of a QCCP
Amended
Article 311 Own funds requirements for exposures to CCPs that cease to meet certain conditions
Title III Own funds requirements for operational risk (arts. 312-324)
Chapter 1 General principles governing the use of the different approaches (arts. 312-314)
Applicable
Article 312 Permission and notification
Applicable
Article 313 Reverting to the use of less sophisticated approaches
Applicable
Article 314 Combined use of different approaches
Chapter 2 Basic indicator approach (arts. 315-316)
Applicable
Article 315 Own funds requirement
Amended
Article 316 Relevant indicator
Chapter 3 Standardised Approach (arts. 317-320)
Applicable
Article 317 Own funds requirement
Applicable
Article 318 Principles for business line mapping
Applicable
Article 319 Alternative Standardised Approach
Applicable
Article 320 Criteria for the Standardised Approach
Chapter 4 Advanced measurement approaches (arts. 321-324)
Applicable
Article 321 Qualitative standards
Applicable
Article 322 Quantitative Standards
Applicable
Article 323 Impact of insurance and other risk transfer mechanisms
Applicable
Article 324 Loss event type classification
Title IV Own funds requirements for market risk (arts. 325-377)
Chapter 1 General Provisions (arts. 325-325b)
Amended
Article 325 Approaches for calculating the own funds requirements for market risk
Amended
Article 325a Exemptions from specific reporting requirements for market risk
Inserted
Article 325b Permission for consolidated requirements
Chapter 1a Alternative standardised approach (arts. 325c-325ay)
Section 1 General provisions (art. 325c)
Inserted
Article 325c Scope and structure of the alternative standardised approach
Section 2 Sensitivities-based method for calculating the own funds requirement (art. 325d-325k)
Inserted
Article 325d Definitions
Amended
Article 325e Components of the sensitivities-based method
Amended
Article 325f Own funds requirements for delta and vega risks
Amended
Article 325g Own funds requirements for curvature risk
Amended
Article 325h Aggregation of risk-class specific own funds requirements for delta, vega and curvature risks
Amended
Article 325i Treatment of index instruments and other multi-underlying instruments
Amended
Article 325j Treatment of collective investment undertakings
Inserted
Article 325k Underwriting positions
Section 3 Risk factor and sensitivity definitions (arts. 325l-325t)
Subsection 1 Risk factor definitions (arts. 325l-325q)
Inserted
Article 325l General interest rate risk factors
Inserted
Article 325m Credit spread risk factors for non-securitisation
Inserted
Article 325n Credit spread risk factors for securitisation
Inserted
Article 325o Equity risk factors
Inserted
Article 325p Commodity risk factors
Amended
Article 325q Foreign exchange risk factors
Subsection 2 Sensitivity definitions (arts. 325r-325t)
Amended
Article 325r Delta risk sensitivities
Amended
Article 325s Vega risk sensitivities
Inserted
Article 325t Requirements on sensitivity computations
Section 4 The residual risk add-on (art. 325u)
Inserted
Article 325u Own funds requirements for residual risks
Section 5 Own funds requirements for the default risk (arts. 325v-325ad)
Inserted
Article 325v Definitions and general provisions
Subsection 1 Own funds requirements for the default risk for non-securitisations (arts. 325w-325y)
Amended
Article 325w Gross jump-to-default amounts
Inserted
Article 325x Net jump-to-default amounts
Inserted
Article 325y Calculation of the own funds requirements for the default risk
Subsection 2 Own funds requirements for the default risk for securitisations not included in the ACTP (arts. 325z-325aa)
Inserted
Article 325z Jump-to-default amounts
Inserted
Article 325aa Calculation of the own funds requirement for the default risk for securitisations
Subsection 3 Own funds requirements for the default risk for securitisations included in the ACTP (arts. 325ab-325ad)
Inserted
Article 325ab Scope
Inserted
Article 325ac Jump-to-default amounts for the ACTP
Amended
Article 325ad Calculation of the own funds requirements for the default risk for the ACTP
Section 6 Risk weights and correlations (arts. 325ae-325ay)
Subsection 1 Delta risk weights and correlations (arts. 325ae-325aw)
Amended
Article 325ae Risk weights for general interest rate risk
Inserted
Article 325af Intra bucket correlations for general interest rate risk
Inserted
Article 325ag Correlations across buckets for general interest rate risk
Amended
Article 325ah Risk weights for credit spread risk for non-securitisations
Inserted
Article 325ai Intra-bucket correlations for credit spread risk for non-securitisations
Amended
Article 325aj Correlations across buckets for credit spread risk for non-securitisations
Amended
Article 325ak Risk weights for credit spread risk for securitisations included in the ACTP
Inserted
Article 325al Correlations for credit spread risk for securitisations included in the ACTP
Amended
Article 325am Risk weights for credit spread risk for securitisations not included in the ACTP
Amended
Article 325an Intra-bucket correlations for credit spread risk for securitisations not included in the ACTP
Inserted
Article 325ao Correlations across buckets for credit spread risk for securitisations not included in the ACTP
Amended
Article 325ap Risk weights for equity risk
Amended
Article 325aq Intra-bucket correlations for equity risk
Amended
Article 325ar Correlations across buckets for equity risk
Amended
Article 325as Risk weights for commodity risk
Inserted
Article 325at Intra-bucket correlations for commodity risk
Inserted
Article 325au Correlations across buckets for commodity risk
Amended
Article 325av Risk weights for foreign exchange risk
Inserted
Article 325aw Correlations for foreign exchange risk
Subsection 2 Vega and curvature risk weights and correlations (arts. 325ax-325ay)
Amended
Article 325ax Vega and curvature risk weights
Amended
Article 325ay Vega and curvature risk correlations
Chapter 1b Alternative internal model approach (arts. 325az-325bp)
Section 1 Permission and own funds requirements (arts. 325az-325ba)
Inserted
Article 325az Alternative internal model approach and permission to use alternative internal models
Inserted
Article 325ba Own funds requirements when using alternative internal models
Section 2 General requirements (arts. 325bb-325bk)
Amended
Article 325bb Expected shortfall risk measure
Amended
Article 325bc Partial expected shortfall calculations
Amended
Article 325bd Liquidity horizons
Inserted
Article 325be Assessment of the modellability of risk factors
Inserted
Article 325bf Regulatory back-testing requirements and multiplication factors
Inserted
Article 325bg Profit and loss attribution requirement
Inserted
Article 325bh Requirements on risk measurement
Inserted
Article 325bi Qualitative requirements
Inserted
Article 325bj Internal validation
Inserted
Article 325bk Calculation of stress scenario risk measure
Section 3 Internal default risk model (arts. 325bl-325bp)
Inserted
Article 325bl Scope of the internal default risk model
Inserted
Article 325bm Permission to use an internal default risk model
Inserted
Article 325bn Own funds requirements for default risk using an internal default risk model
Inserted
Article 325bo Recognition of hedges in an internal default risk model
Inserted
Article 325bp Particular requirements for an internal default risk model
Chapter 2 Own funds requirements for position risk (arts. 326-350)
Section 1 General provisions and specific instruments (arts. 326-333)
Applicable
Article 326 Own funds requirements for position risk
Applicable
Article 327 Netting
Applicable
Article 328 Interest rate futures and forwards
Applicable
Article 329 Options and warrants
Applicable
Article 330 Swaps
Applicable
Article 331 Interest rate risk on derivative instruments
Applicable
Article 332 Credit Derivatives
Applicable
Article 333 Securities sold under a repurchase agreement or lent
Section 2 Debt instruments (arts. 334-340)
Applicable
Article 334 Net positions in debt instruments
Sub-section 1 Specific risk (arts. 335-338)
Applicable
Article 335 Cap on the own funds requirement for a net position
Applicable
Article 336 Own funds requirement for non-securitisation debt instruments
Amended
Article 337 Own funds requirement for securitisation instruments
Applicable
Article 338 Own funds requirement for the correlation trading portfolio
Sub-section 2 General risk (arts. 339-340)
Applicable
Article 339 Maturity-based calculation of general risk
Applicable
Article 340 Duration-based calculation of general risk
Section 3 Equities (arts. 341-344)
Applicable
Article 341 Net positions in equity instruments
Applicable
Article 342 Specific risk of equity instruments
Applicable
Article 343 General risk of equity instruments
Applicable
Article 344 Stock indices
Section 4 Underwriting (art. 345)
Applicable
Article 345 Reduction of net positions
Section 5 Specific risk own funds requirements for positions hedged by credit derivatives (arts. 346-347)
Applicable
Article 346 Allowance for hedges by credit derivatives
Applicable
Article 347 Allowance for hedges by first and nth-to default credit derivatives
Section 6 Own funds requirements for CIUs (arts. 348-350)
Applicable
Article 348 Own funds requirements for CIUs
Applicable
Article 349 General criteria for CIUs
Applicable
Article 350 Specific methods for CIUs
Chapter 3 Own funds requirements for foreign-exchange risk (arts. 351-354)
Applicable
Article 351 De minimis and weighting for foreign exchange risk
Applicable
Article 352 Calculation of the overall net foreign exchange position
Applicable
Article 353 Foreign exchange risk of CIUs
Applicable
Article 354 Closely correlated currencies
Chapter 4 Own funds requirements for commodities risk (arts. 355-361)
Applicable
Article 355 Choice of method for commodities risk
Applicable
Article 356 Ancillary commodities business
Applicable
Article 357 Positions in commodities
Applicable
Article 358 Particular instruments
Applicable
Article 359 Maturity ladder approach
Applicable
Article 360 Simplified approach
Applicable
Article 361 Extended maturity ladder approach
Chapter 5 Use of internal models to calculate own funds requirements (arts. 362-377)
Section 1 Permission and own funds requirements (arts. 362-364)
Applicable
Article 362 Specific and general risks
Applicable
Article 363 Permission to use internal models
Applicable
Article 364 Own funds requirements when using internal models
Section 2 General requirements (arts. 365-369)
Applicable
Article 365 VaR and stressed VaR Calculation
Applicable
Article 366 Regulatory back testing and multiplication factors
Applicable
Article 367 Requirements on risk measurement
Applicable
Article 368 Qualitative requirements
Applicable
Article 369 Internal Validation
Section 3 Requirements particular to specific risk modelling (arts. 370-371)
Applicable
Article 370 Requirements for modelling specific risk
Applicable
Article 371 Exclusions from specific risk models
Section 4 Internal model for incremental default and migration risk (arts. 372-376)
Applicable
Article 372 Requirement to have an internal IRC model
Applicable
Article 373 Scope of the internal IRC model
Applicable
Article 374 Parameters of the internal IRC model
Applicable
Article 375 Recognition of hedges in the internal IRC model
Applicable
Article 376 Particular requirements for the internal IRC model
Section 5 Internal model for correlation trading (art. 377)
Applicable
Article 377 Requirements for an internal model for correlation trading
Title V Own Funds Requirements for Settlement Risk (arts. 378-380)
Applicable
Article 378 Settlement/delivery risk
Applicable
Article 379 Free deliveries
Applicable
Article 380 Waiver
Title VI Own Funds Requirements for Credit Valuation Adjustment Risk (arts. 381-386)
Applicable
Article 381 Meaning of credit valuation adjustment
Amended
Article 382 Scope
Applicable
Article 383 Advanced method
Amended
Article 384 Standardised method
Amended
Article 385 Alternative to using CVA methods for calculating own funds requirements
Applicable
Article 386 Eligible hedges
Part Four - Large exposures (arts. 387-403)
Applicable
Article 387 Subject matter
Deleted
Article 388 Negative Scope
Applicable
Article 389 Definition
Amended
Article 390 Calculation of the exposure value
Amended
Article 391 Definition of an institution for large exposures purposes
Amended
Article 392 Definition of a large exposure
Applicable
Article 393 Capacity to identify and manage large exposures
Amended
Article 394 Reporting requirements
Amended
Article 395 Limits to large exposures
Amended
Article 396 Compliance with large exposures requirements
Amended
Article 397 Calculating additional own funds requirements for large exposures in the trading book
Applicable
Article 398 Procedures to prevent institutions from avoiding the additional own funds requirement
Amended
Article 399 Eligible credit mitigation techniques
Amended
Article 400 Exemptions
Amended
Article 401 Calculating the effect of the use of credit risk mitigation techniques
Amended
Article 402 Exposures arising from mortgage lending
Amended
Article 403 Substitution approach
Part Five - Exposures to Transferred Credit Risk (arts. 404-410)
Title I General Provisions for this Part (art. 404)
Deleted
Article 404 Scope of application
Title II Requirements for Investor Institutions (arts. 405-407)
Deleted
Article 405 Retained interest of the issuer
Deleted
Article 406 Due diligence
Deleted
Article 407 Additional risk weight
Title III Requirements for Sponsor and Originator Institutions (arts. 408-410)
Deleted
Article 408 Criteria for credit granting
Deleted
Article 409 Disclosure to investors
Deleted
Article 410 Uniform condition of application
Part Six - Liquidity (arts. 411-428az)
Title I Definitions and Liquidity Requirements (arts. 411-414)
Amended
Article 411 Definitions
Amended
Article 412 Liquidity coverage requirement
Amended
Article 413 Stable funding requirement
Amended
Article 414 Compliance with liquidity requirements
Title II Liquidity Reporting (arts. 415-426)
Amended
Article 415 Reporting obligation and reporting format
Amended
Article 416 Reporting on liquid assets
Applicable
Article 417 Operational requirements for holdings of liquid assets
Applicable
Article 418 Valuation of liquid assets
Amended
Article 419 Currencies with constraints on the availability of liquid assets
Applicable
Article 420 Liquidity outflows
Applicable
Article 421 Outflows on retail deposits
Amended
Article 422 Outflows on other liabilities
Amended
Article 423 Additional outflows
Amended
Article 424 Outflows from credit and liquidity facilities
Amended
Article 425 Inflows
Applicable
Article 426 Updating Future liquidity requirements
Title III Reporting on Stable Funding (arts. 427-428)
Amended
Article 427 Items providing stable funding
Amended
Article 428 Items requiring stable funding
Title IV The net stable funding ratio (arts. 428a-428az)
Chapter 1 The net stable funding ratio (arts. 428a-428b)
Inserted
Article 428a Application on a consolidated basis
Inserted
Article 428b The net stable funding ratio
Chapter 2 General rules for the calculation of the net stable funding ratio (arts. 428c-428h)
Inserted
Article 428c Calculation of the net stable funding ratio
Inserted
Article 428d Derivative contracts
Inserted
Article 428e Netting of secured lending transactions and capital market-driven transactions
Inserted
Article 428f Interdependent assets and liabilities
Inserted
Article 428g Deposits in institutional protection schemes and cooperative networks
Inserted
Article 428h Preferential treatment within a group or within an institutional protection scheme
Chapter 3 Available stable funding (arts. 428i-428o)
Section 1 General provisions (arts. 428i-428j)
Inserted
Article 428i Calculation of the amount of available stable funding
Inserted
Article 428j Residual maturity of a liability or of own funds
Section 2 Available stable funding factors (arts. 428k-428o)
Amended
Article 428k 0 % available stable funding factor
Amended
Article 428l 50 % available stable funding factor
Inserted
Article 428m 90 % available stable funding factor
Inserted
Article 428n 95 % available stable funding factor
Inserted
Article 428o 100 % available stable funding factor
Chapter 4 Required stable funding (arts. 428p-428ah)
Section 1 General provisions (arts. 428p-428q)
Inserted
Article 428p Calculation of the amount of required stable funding
Inserted
Article 428q Residual maturity of an asset
Section 2 Required stable funding factors (arts. 428r-428ah)
Inserted
Article 428r 0 % required stable funding factor
Inserted
Article 428s 5 % required stable funding factor
Inserted
Article 428t 7 % required stable funding factor
Inserted
Article 428u 7,5 % required stable funding factor
Inserted
Article 428v 10 % required stable funding factor
Inserted
Article 428w 12 % required stable funding factor
Inserted
Article 428x 15 % required stable funding factor
Inserted
Article 428y 20 % required stable funding factor
Inserted
Article 428z 25 % required stable funding factor
Inserted
Article 428aa 30 % required stable funding factor
Inserted
Article 428ab 35 % required stable funding factor
Inserted
Article 428ac 40 % required stable funding factor
Inserted
Article 428ad 50 % required stable funding factor
Inserted
Article 428ae 55 % required stable funding factor
Inserted
Article 428af 65 % required stable funding factor
Inserted
Article 428ag 85 % required stable funding factor
Inserted
Article 428ah 100 % required stable funding factor
Chapter 5 Derogation for small and non-complex institutions (art. 428ai)
Inserted
Article 428ai Derogation for small and non-complex institutions
Chapter 6 Available stable funding for the simplified calculation of the net stable funding ratio (arts. 428aj-428ap)
Section 1 General provisions (arts. 428aj-428ak)
Inserted
Article 428aj Simplified calculation of the amount of available stable funding
Inserted
Article 428ak Residual maturity of a liability or own funds
Section 2 Available stable funding factors (arts. 428al-428ap)
Amended
Article 428al 0 % available stable funding factor
Amended
Article 428am 50 % available stable funding factor
Inserted
Article 428an 90 % available stable funding factor
Inserted
Article 428ao 95 % available stable funding factor
Inserted
Article 428ap 100 % available stable funding factor
Chapter 7 Required stable funding for the simplified calculation of the net stable funding ratio (arts. 428aq-428az)
Section 1 General provisions (arts. 428aq-428ar)
Inserted
Article 428aq Simplified calculation of the amount of required stable funding
Inserted
Article 428ar Residual maturity of an asset
Section 2 Required stable funding factors (428as-428az)
Inserted
Article 428as 0 % required stable funding factor
Inserted
Article 428at 5 % required stable funding factor
Inserted
Article 428au 10 % required stable funding factor
Inserted
Article 428av 20 % required stable funding factor
Inserted
Article 428aw 50 % required stable funding factor
Inserted
Article 428ax 55 % required stable funding factor
Inserted
Article 428ay 85 % required stable funding factor
Inserted
Article 428az 100 % required stable funding factor
Part Seven - Leverage (arts. 429-429g)
Amended
Article 429 Calculation of the leverage ratio
Amended
Article 429a Exposures excluded from the total exposure measure
Amended
Article 429b Calculation of the exposure value of assets
Inserted
Article 429c Calculation of the exposure value of derivatives
Inserted
Article 429d Additional provisions on the calculation of the exposure value of written credit derivatives
Inserted
Article 429e Counterparty credit risk add-on for securities financing transactions
Inserted
Article 429f Calculation of the exposure value of off-balance-sheet items
Inserted
Article 429g Calculation of the exposure value of regular-way purchases and sales awaiting settlement
Part Seven A - Reporting requirements (arts. 430-430c)
Amended
Article 430 Reporting on prudential requirements and financial information
Inserted
Article 430a Specific reporting obligations
Amended
Article 430b Specific reporting requirements for market risk
Inserted
Article 430c Feasibility report on the integrated reporting system
Part Eight - Disclosure by Institutions (arts. 431-455)
Title I General Principles (arts. 431-434b)
Amended
Article 431 Disclosure requirements and policies
Amended
Article 432 Non-material, proprietary or confidential information
Amended
Article 433 Frequency and scope of disclosures
Inserted
Article 433a Disclosures by large institutions
Inserted
Article 433b Disclosures by small and non-complex institutions
Inserted
Article 433c Disclosures by other institutions
Amended
Article 434 Means of disclosures
Inserted
Article 434a Uniform disclosure formats
Inserted
Article 434b Accessibility of information on the European single access point
Title II Technical Criteria on Transparency and Disclosure (arts. 435-451a)
Amended
Article 435 Disclosure of risk management objectives and policies
Amended
Article 436 Disclosure of the scope of application
Amended
Article 437 Disclosure of own funds
Inserted
Article 437a Disclosure of own funds and eligible liabilities
Amended
Article 438 Disclosure of own funds requirements and risk-weighted exposure amounts
Amended
Article 439 Disclosure of exposures to counterparty credit risk
Amended
Article 440 Disclosure of countercyclical capital buffers
Amended
Article 441 Disclosure of indicators of global systemic importance
Amended
Article 442 Disclosure of exposures to credit risk and dilution risk
Amended
Article 443 Disclosure of encumbered and unencumbered assets
Amended
Article 444 Disclosure of the use of the Standardised Approach
Amended
Article 445 Disclosure of exposure to market risk
Amended
Article 446 Disclosure of operational risk management
Amended
Article 447 Disclosure of key metrics
Amended
Article 448 Disclosure of exposures to interest rate risk on positions not held in the trading book
Amended
Article 449 Disclosure of exposures to securitisation positions
Inserted
Article 449a Disclosure of environmental, social and governance risks (ESG risks)
Amended
Article 450 Disclosure of remuneration policy
Amended
Article 451 Disclosure of the leverage ratio
Inserted
Article 451a Disclosure of liquidity requirements
Title III Qualifying Requirements for the Use of Particular Instruments or Methodologies (arts. 452-455)
Amended
Article 452 Use of the IRB Approach to credit risk
Amended
Article 453 Disclosure of the use of credit risk mitigation techniques
Amended
Article 454 Disclosure of the use of the Advanced Measurement Approaches to operational risk
Amended
Article 455 Use of internal market risk models
Part Nine - Delegated and Implementing Acts (arts. 456-464)
Amended
Article 456 Delegated acts
Amended
Article 457 Technical adjustments and corrections
Amended
Article 458 Macroprudential or systemic risk identified at the level of a Member State
Applicable
Article 459 Prudential requirements
Amended
Article 460 Liquidity
Applicable
Article 461 Review of the phasing-in of the liquidity coverage requirement
Amended
Article 461a Alternative standardised approach for market risk
Amended
Article 462 Exercise of the delegation
Applicable
Article 463 Objections to regulatory technical standards
Applicable
Article 464 European Banking Committee
Part Ten - Transitional Provisions, Reports, Reviews and Amendments (arts. 465-520)
Title I Transitional Provisions (arts. 465-501)
Chapter 1 Own funds requirements, unrealised gains and losses measured at fair value and deductions (arts. 465-482)
Section 1 Own funds requirements (arts. 465-466)
Applicable
Article 465 Own funds requirements
Applicable
Article 466 First time application of International Financial Reporting Standards
Section 2 Unrealised gains and losses measured at fair value (arts. 467-468)
Deleted
Article 467 Unrealised losses measured at fair value
Amended
Article 468 Temporary treatment of unrealised gains and losses measured at fair value through other comprehensive income in view of the COVID-19 pandemic
Section 3 Deductions (arts. 469-478)
Sub-section 1 Deductions from Common Equity Tier 1 items (arts. 469-473a)
Applicable
Article 469 Deductions from Common Equity Tier 1 items
Inserted
Article 469a Derogation from deductions from Common Equity Tier 1 items for non-performing exposures
Applicable
Article 470 Exemption from deduction from Common Equity Tier 1 items
Amended
Article 471 Exemption from Deduction of Equity Holdings in Insurance Companies from Common Equity Tier 1 Items
Applicable
Article 472 Items not deducted from Common Equity Tier 1
Applicable
Article 473 Introduction of amendments to IAS 19
Amended
Article 473a Introduction of IFRS 9
Sub-section 2 Deductions from Additional Tier 1 items (arts. 474-475)
Applicable
Article 474 Deductions from Additional Tier 1 items
Applicable
Article 475 Items not deducted from Additional Tier 1 items
Sub-section 3 Deductions from Tier 2 items (arts. 476-477)
Article 476 Deductions from Tier 2 items
Applicable
Article 477 Deductions from Tier 2 items
Sub-Section 3a Deductions from eligible liabilities items (art. 447a)
Inserted
Article 477a Deductions from eligible liabilities items
Sub-section 4 Applicable percentages for deduction (art. 478)
Applicable
Article 478 Applicable percentages for deduction from Common Equity Tier 1, Additional Tier 1 and Tier 2 items
Section 4 Minority interest and Additional Tier 1 and Tier 2 instruments issued by subsidiaries (arts. 479-480)
Applicable
Article 479 Recognition in consolidated Common Equity Tier 1 capital of instruments and items that do not qualify as minority interests
Applicable
Article 480 Recognition in consolidated own funds of minority interests and qualifying Additional Tier 1 and Tier 2 capital
Section 5 Additional filters and deductions (arts. 481-482)
Applicable
Article 481 Additional filters and deductions
Applicable
Article 482 Scope of application for derivatives transactions with pension funds
Chapter 2 Grandfathering of capital instruments (arts. 483-491)
Section 1 Instruments constituting State aid (art. 483)
Applicable
Article 483 Grandfathering of State aid instruments
Section 2 Instruments not constituting state aid (arts. 484-491)
Sub-section 1 Grandfathering eligibility and limits (arts. 484-488)
Applicable
Article 484 Eligibility for grandfathering of items that qualified as own funds under national transposition measures for Directive 2006/48/EC
Applicable
Article 485 Eligibility for inclusion in the Common Equity Tier 1 of share premium accounts related to items that qualified as own funds under national transposition measures for Directive 2006/48/EC
Applicable
Article 486 Limits for grandfathering of items within Common Equity Tier 1, Additional Tier 1 and Tier 2 items
Applicable
Article 487 Items excluded from grandfathering in Common Equity Tier 1 or Additional Tier 1 items in other elements of own funds
Applicable
Article 488 Amortisation of items grandfathered as Tier 2 items
Sub-section 2 Inclusion of instruments with a call and incentive to redeem in Additional Tier 1 and Tier 2 items (arts. 489-491)
Applicable
Article 489 Hybrid instruments with a call and incentive to redeem
Applicable
Article 490 Tier 2 items with an incentive to redeem
Applicable
Article 491 Effective maturity
Chapter 3 Transitional provisions for disclosure of own funds (art. 492)
Applicable
Article 492 Disclosure of own funds
Chapter 4 Large exposures, own funds requirements, leverage and the Basel I floor (arts. 493-501b)
Amended
Article 493 Transitional provisions for large exposures
Amended
Article 494 Transitional provisions concerning the requirement for own funds and eligible liabilities
Amended
Article 494a Grandfathering of issuances through special purpose entities
Amended
Article 494b Grandfathering of own funds instruments and eligible liabilities instruments
Inserted
Article 494c Grandfathering of senior securitisation positions
Amended
Article 495 Treatment of equity exposures under the IRB Approach
Deleted
Article 496 Own funds requirements for covered bonds
Amended
Article 497 Own funds requirements for exposures to CCPs
Amended
Article 498 Exemption for Commodities dealers
Amended
Article 499 Leverage
Amended
Article 500 Adjustment for massive disposals
Inserted
Article 500a Temporary treatment of public debt issued in the currency of another Member State
Inserted
Article 500b Temporary exclusion of certain exposures to central banks from the total exposure measure in view of the COVID-19 pandemic
Inserted
Article 500c Exclusion of overshootings from the calculation of the back-testing addend in view of the COVID-19 pandemic
Inserted
Article 500d Temporary calculation of the exposure value of regular-way purchases and sales awaiting settlement in view of the COVID-19 pandemic
Amended
Article 501 Adjustment of risk-weighted non-defaulted SME exposures
Inserted
Article 501a Adjustment to own funds requirements for credit risk for exposures to entities that operate or finance physical structures or facilities, systems and networks that provide or support essential public services
Inserted
Article 501b Derogation from reporting requirements
Title II Reports and Reviews (arts. 501c-519b)
Amended
Article 501c Prudential treatment of exposures related to environmental and/or social objectives
Applicable
Article 502 Cyclicality of capital requirements
Applicable
Article 503 Own funds requirements for exposures in the form of covered bonds
Applicable
Article 504 Capital instruments subscribed by public authorities in emergency situations
Inserted
Article 504a Holdings of eligible liabilities instruments
Applicable
Article 505 Review of long-term financing
Applicable
Article 506 Credit risk - definition of default
Inserted
Article 506a CIUs with an underlying portfolio of euro area sovereign bonds
Inserted
Article 506b NPE securitisations
Amended
Article 507 Large exposures
Amended
Article 508 Level of application
Applicable
Article 509 Liquidity requirements
Amended
Article 510 Net Stable Funding Requirements
Amended
Article 511 Leverage
Applicable
Article 512 Exposures to transferred credit risk
Amended
Article 513 Macroprudential rules
Amended
Article 514 Method for the calculation of the exposure value of derivative transactions
Applicable
Article 515 Monitoring and evaluation
Applicable
Article 516 Long-term financing
Applicable
Article 517 Definition of eligible capital
Applicable
Article 518 Review of capital instruments which may be written down or converted at the point of non-viability
Inserted
Article 518a Review of cross-default provisions
Inserted
Article 518b Report on overshootings and supervisory powers to limit distributions
Applicable
Article 519 Deduction of defined benefit pension fund assets from Common Equity Tier 1 items
Amended
Article 519a Reporting and review
Inserted
Article 519b Own funds requirements for market risk
Title IIA Implementation of rules (art. 519c)
Inserted
Article 519c Compliance tool
Title III Amendments (art. 520)
Applicable
Article 520 Amendment of Regulation (EU) No 648/2012
Part Eleven - Final Provisions (art. 521)
Applicable
Article 521 Entry into force and date of application
Amended
Annex I Classification of off-balance sheet items
Amended
Annex II Types of derivatives
Amended
Annex III Items subject to supplementary reporting of liquid assets
Applicable
Annex IV Correlation table
Done at