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)
Applicable
Article 92 Own funds requirements
Inserted
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
Applicable
Article 93 Initial capital requirement on going concern
Applicable
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)
Applicable
Article 99 Reporting on own funds requirements and financial information
Applicable
Article 100 Additional reporting requirements
Applicable
Article 101 Specific reporting obligations
Chapter 3 Trading book (arts. 102-106)
Applicable
Article 102 Requirements for the trading book
Applicable
Article 103 Management of the trading book
Applicable
Article 104 Inclusion in the trading book
Inserted
Article 104a Reclassification of a position
Inserted
Article 104b Requirements for trading desk
Applicable
Article 105 Requirements for prudent valuation
Applicable
Article 106 Internal Hedges
Title II Capital Requirements for Credit Risk (arts. 107-311)
Chapter 1 General principles (arts. 107-110)
Applicable
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
Applicable
Article 113 Calculation of risk weighted exposure amounts
Section 2 Risk weights (arts. 114-134)
Applicable
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
Applicable
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
Applicable
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
Applicable
Article 128 Items associated with particular high risk
Applicable
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
Applicable
Article 132 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
Applicable
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
Applicable
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)
Applicable
Article 151 Treatment by exposure class
Applicable
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)
Applicable
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)
Applicable
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)
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
Applicable
Article 200 Other funded credit protection
Sub-section 2 Unfunded credit protection (arts. 201-203)
Applicable
Article 201 Eligibility of protection providers under all approaches
Applicable
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
Applicable
Article 223 Financial Collateral Comprehensive Method
Applicable
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
Applicable
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 Hierarchy of methods
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 Use of Credit Assessments by ECAIs
Amended
Article 268 Requirements to be met by the credit assessments of ECAIs
Sub-section 5 Miscellaneous provisions (arts. 269-270a)
Amended
Article 269 Re-securitisations
Amended
Article 270 Senior positions in SME 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
Applicable
Article 272 Definitions
Section 2 Methods for calculating the exposure value (art. 273-273b)
Applicable
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
Inserted
Article 279a Supervisory delta
Inserted
Article 279b Adjusted notional amount
Inserted
Article 279c Maturity Factor
Amended
Article 280 Hedging set supervisory factor coefficient
Inserted
Article 280a Interest rate risk category add-on
Inserted
Article 280b Foreign exchange risk category add-on
Inserted
Article 280c Credit risk category add-on
Inserted
Article 280d Equity risk category add-on
Inserted
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)
Applicable
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
Applicable
Article 298 Effects of recognition of netting as risk-reducing
Section 8 Items in the trading book (art. 299)
Applicable
Article 299 Items in the trading book
Section 9 Own funds requirements for exposures to a central counterparty (arts. 300-311)
Applicable
Article 300 Definitions
Applicable
Article 301 Material scope
Applicable
Article 302 Monitoring of exposures to CCPs
Applicable
Article 303 Treatment of clearing members' exposures to CCPs
Applicable
Article 304 Treatment of clearing members' exposures to clients
Applicable
Article 305 Treatment of clients' exposures
Applicable
Article 306 Own funds requirements for trade exposures
Applicable
Article 307 Own funds requirements for pre-funded contributions to the default fund of a CCP
Applicable
Article 308 Own funds requirements for pre-funded contributions to the default fund of a QCCP
Applicable
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
Applicable
Article 310 Alternative calculation of own funds requirement for exposures to a QCCP
Applicable
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
Applicable
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
Inserted
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
Inserted
Article 325e Components of the sensitivities-based method
Inserted
Article 325f Own funds requirements for delta and vega risks
Inserted
Article 325g Own funds requirements for curvature risk
Inserted
Article 325h Aggregation of risk-class specific own funds requirements for delta, vega and curvature risks
Inserted
Article 325i Treatment of index instruments and multi-underlying options
Inserted
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
Inserted
Article 325q Foreign exchange risk factors
Subsection 2 Sensitivity definitions (arts. 325r-325t)
Inserted
Article 325r Delta risk sensitivities
Inserted
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)
Inserted
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
Inserted
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)
Inserted
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
Inserted
Article 325ah Risk weights for credit spread risk for non-securitisations
Inserted
Article 325ai Intra-bucket correlations for credit spread risk for non-securitisations
Inserted
Article 325aj Correlations across buckets for credit spread risk for non-securitisations
Inserted
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
Inserted
Article 325am Risk weights for credit spread risk for securitisations not included in the ACTP
Inserted
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
Inserted
Article 325ap Risk weights for equity risk
Inserted
Article 325aq Intra-bucket correlations for equity risk
Inserted
Article 325ar Correlations across buckets for equity risk
Inserted
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
Inserted
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)
Inserted
Article 325ax Vega and curvature risk weights
Inserted
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)
Inserted
Article 325bb Expected shortfall risk measure
Inserted
Article 325bc Partial expected shortfall calculations
Inserted
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
Applicable
Article 382 Scope
Applicable
Article 383 Advanced method
Applicable
Article 384 Standardised method
Applicable
Article 385 Alternative to using CVA methods to calculating own funds requirements
Applicable
Article 386 Eligible hedges