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Title I General Requirements, Valuation and Reporting (arts. 92-106) |
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Chapter 1 Required level of own funds (arts. 92-98) |
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Section 1 Own funds requirements for institutions (arts. 92-94) |
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Article 92 Own funds requirements |
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Article 92a Requirements for own funds and eligible liabilities for G-SIIs |
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Article 92b Requirement for own funds and eligible liabilities for non-EU G-SIIs |
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Article 93 Initial capital requirement on going concern |
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Article 94 Derogation for small trading book business |
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Section 2 Own funds requirements for investment firms with limited authorisation to provide investment services (arts. 95-98) |
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Article 95 Own funds requirements for investment firms with limited authorisation to provide investment services |
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Article 96 Own funds requirements for investment firms which hold initial capital as laid down in Article 28(2) of Directive 2013/36/EU |
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Article 97 Own Funds based on Fixed Overheads |
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Article 98 Own funds for investment firms on a consolidated basis |
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Chapter 2 Calculation and reporting requirements (arts. 99-101) |
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Article 99 Reporting on own funds requirements and financial information |
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Article 100 Additional reporting requirements |
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Article 101 Specific reporting obligations |
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Chapter 3 Trading book (arts. 102-106) |
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Article 102 Requirements for the trading book |
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Article 103 Management of the trading book |
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Article 104 Inclusion in the trading book |
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Article 104a Reclassification of a position |
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Article 104b Requirements for trading desk |
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Article 104c Treatment of foreign exchange risk hedges of capital ratios |
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Article 105 Requirements for prudent valuation |
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Article 106 Internal Hedges |
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Title II Capital Requirements for Credit Risk (arts. 107-311) |
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Chapter 1 General principles (arts. 107-110a) |
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Article 107 Approaches to credit risk |
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Article 108 Use of credit risk mitigation techniques under the Standardised Approach and the IRB Approach for credit risk and dilution risk |
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Article 109 Treatment of securitisation positions |
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Article 110 Treatment of credit risk adjustment |
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Article 110a Monitoring of contractual arrangements that are not commitments |
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Chapter 2 Standardised Approach (arts. 111-141) |
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Section 1 General principles (arts. 111-113) |
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Article 111 Exposure value |
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Article 112 Exposure classes |
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Article 113 Calculation of risk-weighted exposure amounts |
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Section 2 Risk weights (arts. 114-134) |
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Article 114 Exposures to central governments or central banks |
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Article 115 Exposures to regional governments or local authorities |
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Article 116 Exposures to public sector entities |
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Article 117 Exposures to multilateral development banks |
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Article 118 Exposures to international organisations |
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Article 119 Exposures to institutions |
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Article 120 Exposures to rated institutions |
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Article 121 Exposures to unrated institutions |
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Article 122 Exposures to corporates |
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Article 122a Specialised lending exposures |
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Article 123 Retail exposures |
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Article 123a Exposures with a currency mismatch |
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Article 124 Exposures secured by mortgages on immovable property |
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Article 125 Exposures secured by mortgages on residential property |
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Article 126 Exposures fully and completely secured by mortgages on commercial immovable property |
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Article 126a Land acquisition, development and construction exposures |
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Article 127 Exposures in default |
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Article 128 Items associated with particular high risk |
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Article 129 Exposures in the form of covered bonds |
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Article 130 Items representing securitisation positions |
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Article 131 Exposures to institutions and corporates with a short-term credit assessment |
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Article 132 Own funds requirements for exposures in the form of units or shares in CIUs |
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Article 132a Approaches for calculating risk-weighted exposure amounts of CIUs |
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Article 132b Exclusions from the approaches for calculating risk-weighted exposure amounts of CIUs |
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Article 132c Treatment of off-balance-sheet exposures to CIUs |
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Article 133 Equity exposures |
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Article 134 Other items |
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Section 3 Recognition and mapping of credit risk assessment (arts. 135-137) |
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Sub-section 1 Recognition of ECAIs (art. 135) |
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Article 135 Use of credit assessments by ECAIs |
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Sub-section 2 Mapping of ECAI's credit assessments (art. 136) |
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Article 136 Mapping of ECAI's credit assessments |
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Sub-section 3 Use of credit assessments by Export Credit Agencies (art. 137) |
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Article 137 Use of credit assessments by export credit agencies |
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Section 4 Use of the ecai credit assessments for the determination of risk weights (arts. 138-141) |
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Article 138 General requirements |
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Article 139 Issuer and issue credit assessment |
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Article 140 Long-term and short-term credit assessments |
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Article 141 Domestic and foreign currency items |
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Chapter 3 Internal Ratings Based Approach (arts. 142-191) |
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Section 1 Permission by competent authorities to use the IRB Approach (arts. 142-150) |
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Article 142 Definitions |
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Article 143 Permission to use the IRB Approach |
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Article 144 Competent authorities' assessment of an application to use an IRB Approach |
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Article 145 Prior experience of using IRB approaches |
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Article 146 Measures to be taken where the requirements of this Chapter cease to be met |
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Article 147 Methodology to assign exposure to exposures classes |
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Article 148 Conditions for implementing the IRB Approach across different classes of exposure and business units |
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Article 149 Conditions to revert to the use of less sophisticated approaches |
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Article 150 Conditions for permanent partial use |
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Section 2 Calculation of risk weighted exposure amounts (arts. 151-157) |
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Sub-section 1 Treatment by type of exposure class (arts. 151-152) |
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Article 151 Treatment by exposure class |
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Article 152 Treatment of exposures in the form of units or shares in CIUs |
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Sub-section 2 Calculation of risk weighted exposure amounts for credit risk (arts. 153-156) |
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Article 153 Risk-weighted exposure amounts for exposures to central governments and central banks, exposures to regional governments, local authorities and public sector entities, exposures to institutions and exposures to corporates |
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Article 154 Risk-weighted exposure amounts for retail exposures |
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Article 155 Risk-weighted exposure amounts for equity exposures |
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Article 156 Risk-weighted exposure amounts for other non credit-obligation assets |
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Sub-section 3 Calculation of risk-weighted exposure amounts for dilution risk of purchased receivables (art. 157) |
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Article 157 Risk-weighted exposure amounts for dilution risk of purchased receivables |
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Section 3 Expected loss amounts (arts. 158-159) |
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Article 158 Treatment by exposure type |
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Article 159 Treatment of expected loss amounts, IRB shortfall and IRB excess |
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Section 4 PD, LGD and maturity (arts. 160-165) |
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Sub-section -1 Exposures to corporates, institutions, central governments and central banks, regional governments, local authorities and public sector entities (art. 159a) |
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Article 159a Non-application of PD, LGD and CCF input floors |
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Sub-section 1 Exposures to corporates, institutions, central governments and central banks, regional governments, local authorities and public sector entities (arts. 160-162) |
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Article 160 Probability of default (PD) |
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Article 161 Loss Given Default (LGD) |
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Article 162 Maturity |
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Sub-section 2 Retail exposures (arts. 163-164) |
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Article 163 Probability of default (PD) |
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Article 164 Loss Given Default (LGD) |
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Sub-section 3 Equity exposures subject to PD/LGD method (art. 165) |
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Article 165 Equity exposures subject to the PD/LGD method |
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Section 5 Exposure value (arts. 166-168) |
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Article 166 Exposures to corporates, institutions, central governments and central banks, regional governments, local authorities and public sector entities and retail exposures |
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Article 167 Equity exposures |
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Article 168 Other non credit-obligation assets |
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Section 6 Requirements for the IRB approach (arts. 169-191) |
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Sub-section 1 Rating systems (arts. 169-177) |
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Article 169 General principles |
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Article 170 Structure of rating systems |
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Article 171 Assignment to grades or pools |
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Article 172 Assignment of exposures |
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Article 173 Integrity of assignment process |
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Article 174 Use of models |
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Article 175 Documentation of rating systems |
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Article 176 Data maintenance |
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Article 177 Stress tests used in assessment of capital adequacy |
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Sub-section 2 Risk quantification (arts. 178-184) |
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Article 178 Default of an obligor or credit facility |
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Article 179 Overall requirements for estimation |
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Article 180 Requirements specific to PD estimation |
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Article 181 Requirements specific to own-LGD estimates |
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Article 182 Requirements specific to own-conversion factor estimates |
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Article 183 Requirements for assessing the effect of unfunded credit protection for exposures to central governments and central banks, exposures to regional governments, local authorities and public sector entities, and exposures to corporates, where own estimates of LGD are used and for retail exposures |
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Article 184 Requirements for purchased receivables |
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Sub-section 3 Validation of internal estimates (art. 185) |
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Article 185 Validation of internal estimates |
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Sub-section 4 Requirements for equity exposures under the internal models approach (arts. 186-188) |
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Article 186 Own funds requirement and risk quantification |
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Article 187 Risk management process and controls |
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Article 188 Validation and documentation |
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Sub-section 5 Internal governance and oversight (arts. 189-191) |
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Article 189 Corporate Governance |
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Article 190 Credit risk control |
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Article 191 Internal Audit |
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Chapter 4 Credit risk mitigation (arts. 192-241) |
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Section 1 Definitions and general requirements (arts. 192-194) |
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Article 192 Definitions |
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Article 193 Principles for recognising the effect of credit risk mitigation techniques |
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Article 194 Principles governing the eligibility of credit risk mitigation techniques |
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Section 2 Eligible forms of credit risk mitigation (arts. 195-204a) |
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Sub-section 1 Funded credit protection (arts. 195-200) |
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Article 195 On-balance sheet netting |
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Article 196 Master netting agreements covering repurchase transactions or securities or commodities lending or borrowing transactions or other capital market-driven transactions |
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Article 197 Eligibility of collateral under all approaches and methods |
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Article 198 Additional eligibility of collateral under the Financial Collateral Comprehensive Method |
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Article 199 Additional eligibility for collateral under the IRB Approach |
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Article 200 Other funded credit protection |
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Sub-section 2 Unfunded credit protection (arts. 201-203) |
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Article 201 Eligibility of protection providers under all approaches |
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Article 202 Eligibility of protection providers under the IRB Approach which qualify for the treatment set out in Article 153(3) |
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Article 203 Eligibility of guarantees as unfunded credit protection |
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Sub-section 3 Types of derivatives (arts. 204-204a) |
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Article 204 Eligible types of credit derivatives |
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Article 204a Eligible types of equity derivatives |
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Section 3 Requirements (arts. 205-217) |
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Sub-section 1 Funded credit protection (arts. 205-212) |
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Article 205 Requirements for on-balance sheet netting agreements other than master netting agreements referred to in Article 206 |
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Article 206 Requirements for master netting agreements covering repurchase transactions or securities or commodities lending or borrowing transactions or other capital market driven transactions |
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Article 207 Requirements for financial collateral |
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Article 208 Requirements for immovable property collateral |
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Article 209 Requirements for receivables |
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Article 210 Requirements for other physical collateral |
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Article 211 Requirements for treating lease exposures as collateralised |
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Article 212 Requirements for other funded credit protection |
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Sub-section 2 Unfunded credit protection and credit linked notes (arts. 213-217) |
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Article 213 Requirements common to guarantees and credit derivatives |
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Article 214 Sovereign and other public sector counter-guarantees |
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Article 215 Additional requirements for guarantees |
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Article 216 Additional requirements for credit derivatives |
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Article 217 Requirements to qualify for the treatment set out in Article 153(3) |
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Section 4 Calculating the effects of credit risk mitigation (arts. 218-236) |
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Sub-section 1 Funded credit protection (arts. 218-232) |
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Article 218 Credit linked notes |
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Article 219 On-balance-sheet netting |
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Article 220 Using the Supervisory Volatility Adjustments Approach for master netting agreements |
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Article 221 Using the internal models approach for master netting agreements |
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Article 222 Financial Collateral Simple Method |
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Article 223 Financial Collateral Comprehensive Method |
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Article 224 Supervisory volatility adjustment under the Financial Collateral Comprehensive Method |
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Article 225 Own estimates of volatility adjustments under the Financial Collateral Comprehensive Method |
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Article 226 Scaling up of volatility adjustment under the Financial Collateral Comprehensive Method |
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Article 227 Conditions for applying a 0 % volatility adjustment under the Financial Collateral Comprehensive Method |
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Article 228 Calculating risk-weighted exposure amounts under the Financial Collateral Comprehensive method for exposures treated under the Standardised Approach |
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Article 229 Valuation principles for eligible collateral other than financial collateral |
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Article 230 Calculating risk-weighted exposure amounts and expected loss amounts for an exposure with an eligible funded credit protection under the IRB Approach |
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Article 231 Calculating risk-weighted exposure amounts and expected loss amounts in the case of pools of eligible funded credit protection for an exposure treated under the IRB Approach |
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Article 232 Other funded credit protection |
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Sub-section 2 Unfunded credit protection (arts. 233-236a) |
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Article 233 Valuation |
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Article 234 Calculating risk-weighted exposure amounts and expected loss amounts in the event of partial protection and tranching |
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Article 235 Calculat risk-weighted exposure amounts under the substitution approach where the guaranteed exposure is treated under the Standardised Approach |
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Article 235a Calculating risk-weighted exposure amounts and expected loss amounts under the substitution approach where the guaranteed exposure is treated under the IRB Approach and a comparable direct exposure to the protection provider is treated under the Standardised Approach |
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Article 236 Calculating risk-weighted exposure amounts and expected loss amounts under the substitution approach where the guaranteed exposure is treated under the IRB Approach without the use of own estimates of LGD and a comparable direct exposure to the protection provider is treated under the IRB Approach |
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Article 236a Calculating risk-weighted exposure amounts and expected loss amounts under the substitution approach where the guaranteed exposure is treated under the IRB Approach using own estimates of LGD and a comparable direct exposure to the protection provider is treated under the IRB Approach |
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Section 5 Maturity mismatches (arts. 237-239) |
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Article 237 Maturity mismatch |
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Article 238 Maturity of credit protection |
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Article 239 Valuation of protection |
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Section 6 Basket CRM techniques (arts. 240-241) |
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Article 240 First-to-default credit derivatives |
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Article 241 Nth-to-default credit derivatives |
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Chapter 5 Securitisation (arts. 242-270e) |
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Section 1 Definitions and criteria for simple, transparent and standardised securitisations (arts. 242-243) |
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Article 242 Definitions |
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Article 243 Criteria for STS securitisations qualifying for differentiated capital treatment |
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Section 2 Recognition of significant risk transfer (arts. 244-246) |
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Article 244 Traditional securitisation |
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Article 245 Synthetic securitisation |
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Article 246 Operational requirements for early amortisation provisions |
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Section 3 Calculation of risk-weighted exposure amounts (arts. 247-270a) |
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Sub-section 1 General Provisions (arts. 247-253) |
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Article 247 Calculation of risk-weighted exposure amounts |
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Article 248 Exposure value |
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Article 249 Recognition of credit risk mitigation for securitisation positions |
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Article 250 Implicit support |
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Article 251 Originator institutions' calculation of risk-weighted exposure amounts securitised in a synthetic securitisation |
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Article 252 Treatment of maturity mismatches in synthetic securitisations |
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Article 253 Reduction in risk-weighted exposure amounts |
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Sub-section 2 Hierarchy of methods and common parameters (arts. 254-257) |
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Article 254 Hierarchy of methods |
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Article 255 Determination of KIRB and KSA |
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Article 256 Determination of attachment point (A) and detachment point (D) |
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Article 257 Determination of tranche maturity (MT) |
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Sub-section 3 Methods to calculate risk-weighted exposure amounts (arts. 258-266) |
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Article 258 Conditions for the use of the Internal Ratings Based Approach (SEC-IRBA) |
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Article 259 Calculation of risk-weighted exposure amounts under the SEC-IRBA |
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Article 260 Treatment of STS securitisations under the SEC-IRBA |
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Article 261 Calculation of risk-weighted exposure amounts under the Standardised Approach (SEC-SA) |
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Article 262 Treatment of STS securitisations under the SEC-SA |
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Article 263 Calculation of risk-weighted exposure amounts under the External Ratings Based Approach (SEC-ERBA) |
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Article 264 Treatment of STS securitisations under the SEC-ERBA |
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Article 265 Scope and operational requirements for the Internal Assessment Approach |
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Article 266 Calculation of risk-weighted exposure amounts under the Internal Assessment Approach |
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Sub-section 4 Caps for securitisation positions (arts. 267-268) |
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Article 267 Maximum risk weight for senior securitisation positions: look-through approach |
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Article 268 Maximum capital requirements |
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Sub-section 5 Miscellaneous provisions (arts. 269-270a) |
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Article 269 Re-securitisations |
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Article 269a Treatment of non-performing exposures (NPE) securitisations |
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Article 270 Senior positions in STS on-balance sheet securitisations |
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Article 270a Additional risk weight. |
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Section 4 External credit assessments (arts. 270b-270e) |
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Article 270b Use of credit assessments by ECAIs. |
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Article 270c Requirements to be met by the credit assessments of ECAIs |
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Article 270d Use of credit assessments. |
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Article 270e Securitisation mapping. |
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Chapter 6 Counterparty credit risk (arts. 271-311) |
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Section 1 Definitions (arts. 271-272) |
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Article 271 Determination of the exposure value |
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Article 272 Definitions |
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Section 2 Methods for calculating the exposure value (art. 273-273b) |
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Article 273 Methods for calculating the exposure value |
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Article 273a Conditions for using simplified methods for calculating the exposure value |
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Article 273b Non-compliance with the conditions for using simplified methods for calculating the exposure value of derivatives and the simplified approach for calculating the own funds requirements for CVA risk |
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Section 3 Standardised approach for counter party credit risk (arts. 274-208f) |
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Article 274 Exposure value |
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Article 275 Replacement cost |
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Article 276 Recognition and treatment of collateral |
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Article 277 Mapping of transactions to risk categories |
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Article 277a Hedging sets |
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Article 278 Potential future exposure |
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Article 279 Calculation of the risk position |
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Article 279a Supervisory delta |
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Article 279b Adjusted notional amount |
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Article 279c Maturity Factor |
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Article 280 Hedging set supervisory factor coefficient |
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Article 280a Interest rate risk category add-on |
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Article 280b Foreign exchange risk category add-on |
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Article 280c Credit risk category add-on |
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Article 280d Equity risk category add-on |
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Article 280e Commodity risk category add-on |
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Article 280f Other risks category add-on |
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Section 4 Simplified standardised approach for counter party credit risk (art. 281) |
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Article 281 Calculation of the exposure value |
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Section 5 Original exposure method (art. 282) |
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Article 282 Calculation of the exposure value |
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Section 6 Internal Model Method (arts. 283-294) |
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Article 283 Permission to use the Internal Model Method |
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Article 284 Exposure value |
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Article 285 Exposure value for netting sets subject to a margin agreement |
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Article 286 Management of CCR - Policies, processes and systems |
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Article 287 Organisation structures for CCR management |
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Article 288 Review of CCR management system |
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Article 289 Use test |
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Article 290 Stress testing |
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Article 291 Wrong-Way Risk |
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Article 292 Integrity of the modelling process |
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Article 293 Requirements for the risk management system |
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Article 294 Validation requirements |
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Section 7 Contractual netting (arts. 295-298) |
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Article 295 Recognition of contractual netting as risk-reducing |
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Article 296 Recognition of contractual netting agreements |
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Article 297 Obligations of institutions |
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Article 298 Effects of recognition of netting as risk-reducing |
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Section 8 Items in the trading book (art. 299) |
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Article 299 Items in the trading book |
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Section 9 Own funds requirements for exposures to a central counterparty (arts. 300-311) |
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Article 300 Definitions |
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Article 301 Material scope |
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Article 302 Monitoring of exposures to CCPs |
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Article 303 Treatment of clearing members' exposures to CCPs |
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Article 304 Treatment of clearing members' exposures to clients |
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Article 305 Treatment of clients' exposures |
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Article 306 Own funds requirements for trade exposures |
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Article 307 Own funds requirements for contributions to the default fund of a CCP |
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Article 308 Own funds requirements for pre-funded contributions to the default fund of a QCCP |
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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 |
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Article 310 Own funds requirements for unfunded contributions to the default fund of a QCCP |
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Article 311 Own funds requirements for exposures to CCPs that cease to meet certain conditions |
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Title III Own funds requirement for operational risk (arts. 311a-324) |
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Chapter 1 Calculation of the own funds requirement for operational risk (arts. 311a-315) |
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Article 311a Definitions |
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Article 312 Own funds requirement for operational risk |
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Article 313 Business indicator component |
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Article 314 Business indicator |
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Article 315 Adjustments to the business indicator |
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Chapter 2 Data Collection and Governance (arts. 316-324) |
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Article 316 Calculation of the annual operational risk loss |
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Article 317 Loss data set |
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Article 318 Calculation of net loss and gross loss |
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Article 319 Loss data thresholds |
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Article 320 Exclusion of losses |
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Article 321 Inclusion of losses from merged or acquired entities or activities |
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Article 322 Comprehensiveness, accuracy and quality of the loss data |
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Article 323 Operational risk management framework |
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Article 324 Loss event type classification |
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Title IV Own funds requirements for market risk (arts. 325-377) |
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Chapter 1 General Provisions (arts. 325-325b) |
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Article 325 Approaches for calculating the own funds requirements for market risk |
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Article 325a Conditions for using the simplified standardised approach |
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Article 325b Permission for consolidated requirements |
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Chapter 1a Alternative standardised approach (arts. 325c-325ay) |
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Section 1 General provisions (art. 325c) |
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Article 325c Scope, structure and qualitative requirements of the alternative standardised approach |
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Section 2 Sensitivities-based method for calculating the own funds requirement (art. 325d-325k) |
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Article 325d Definitions |
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Article 325e Components of the sensitivities-based method |
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Article 325f Own funds requirements for delta and vega risks |
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Article 325g Own funds requirements for curvature risk |
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Article 325h Aggregation of risk-class specific own funds requirements for delta, vega and curvature risks |
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Article 325i Treatment of index instruments and other multi-underlying instruments |
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Article 325j Treatment of collective investment undertakings |
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Article 325k Underwriting positions |
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Section 3 Risk factor and sensitivity definitions (arts. 325l-325t) |
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Subsection 1 Risk factor definitions (arts. 325l-325q) |
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Article 325l General interest rate risk factors |
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Article 325m Credit spread risk factors for non-securitisation |
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Article 325n Credit spread risk factors for securitisation |
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Article 325o Equity risk factors |
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Article 325p Commodity risk factors |
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Article 325q Foreign exchange risk factors |
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Subsection 2 Sensitivity definitions (arts. 325r-325t) |
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Article 325r Delta risk sensitivities |
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Article 325s Vega risk sensitivities |
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Article 325t Requirements on sensitivity computations |
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Section 4 The residual risk add-on (art. 325u) |
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Article 325u Own funds requirements for residual risks |
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Section 5 Own funds requirements for the default risk (arts. 325v-325ad) |
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Article 325v Definitions and general provisions |
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Subsection 1 Own funds requirements for the default risk for non-securitisations (arts. 325w-325y) |
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Article 325w Gross jump-to-default amounts |
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Article 325x Net jump-to-default amounts |
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Article 325y Calculation of the own funds requirements for the default risk |
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Subsection 2 Own funds requirements for the default risk for securitisations not included in the ACTP (arts. 325z-325aa) |
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Article 325z Jump-to-default amounts |
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Article 325aa Calculation of the own funds requirement for the default risk for securitisations |
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Subsection 3 Own funds requirements for the default risk for securitisations included in the ACTP (arts. 325ab-325ad) |
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Article 325ab Scope |
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Article 325ac Jump-to-default amounts for the ACTP |
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Article 325ad Calculation of the own funds requirements for the default risk for the ACTP |
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Section 6 Risk weights and correlations (arts. 325ae-325ay) |
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Subsection 1 Delta risk weights and correlations (arts. 325ae-325aw) |
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Article 325ae Risk weights for general interest rate risk |
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Article 325af Intra bucket correlations for general interest rate risk |
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Article 325ag Correlations across buckets for general interest rate risk |
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Article 325ah Risk weights for credit spread risk for non-securitisations |
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Article 325ai Intra-bucket correlations for credit spread risk for non-securitisations |
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Article 325aj Correlations across buckets for credit spread risk for non-securitisations |
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Article 325ak Risk weights for credit spread risk for securitisations included in the ACTP |
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Article 325al Correlations for credit spread risk for securitisations included in the ACTP |
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Article 325am Risk weights for credit spread risk for securitisations not included in the ACTP |
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Article 325an Intra-bucket correlations for credit spread risk for securitisations not included in the ACTP |
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Article 325ao Correlations across buckets for credit spread risk for securitisations not included in the ACTP |
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Article 325ap Risk weights for equity risk |
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Article 325aq Intra-bucket correlations for equity risk |
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Article 325ar Correlations across buckets for equity risk |
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Article 325as Risk weights for commodity risk |
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Article 325at Intra-bucket correlations for commodity risk |
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Article 325au Correlations across buckets for commodity risk |
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Article 325av Risk weights for foreign exchange risk |
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Article 325aw Correlations for foreign exchange risk |
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Subsection 2 Vega and curvature risk weights and correlations (arts. 325ax-325ay) |
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Article 325ax Vega and curvature risk weights |
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Article 325ay Vega and curvature risk correlations |
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Chapter 1b Alternative internal model approach (arts. 325az-325bp) |
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Section 1 Permission and own funds requirements (arts. 325az-325ba) |
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Article 325az Alternative internal model approach and permission to use alternative internal models |
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Article 325ba Own funds requirements when using alternative internal models |
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Section 2 General requirements (arts. 325bb-325bk) |
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Article 325bb Expected shortfall risk measure |
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Article 325bc Partial expected shortfall calculations |
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Article 325bd Liquidity horizons |
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Article 325be Assessment of the modellability of risk factors |
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Article 325bf Regulatory back-testing requirements and multiplication factors |
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Article 325bg Profit and loss attribution requirement |
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Article 325bh Requirements on risk measurement |
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Article 325bi Qualitative requirements |
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Article 325bj Internal validation |
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Article 325bk Calculation of stress scenario risk measure |
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Section 3 Internal default risk model (arts. 325bl-325bp) |
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Article 325bl Scope of the internal default risk model |
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Article 325bm Permission to use an internal default risk model |
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Article 325bn Own funds requirements for default risk using an internal default risk model |
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Article 325bo Recognition of hedges in an internal default risk model |
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Article 325bp Particular requirements for an internal default risk model |
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Chapter 2 Own funds requirements for position risk (arts. 326-350) |
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Section 1 General provisions and specific instruments (arts. 326-333) |
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Article 326 Own funds requirements for position risk |
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Article 327 Netting |
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Article 328 Interest rate futures and forwards |
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Article 329 Options and warrants |
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Article 330 Swaps |
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Article 331 Interest rate risk on derivative instruments |
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Article 332 Credit Derivatives |
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Article 333 Securities sold under a repurchase agreement or lent |
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Section 2 Debt instruments (arts. 334-340) |
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Article 334 Net positions in debt instruments |
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Sub-section 1 Specific risk (arts. 335-338) |
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Article 335 Cap on the own funds requirement for a net position |
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Article 336 Own funds requirement for non-securitisation debt instruments |
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Article 337 Own funds requirement for securitisation instruments |
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Article 338 Own funds requirement for the correlation trading portfolio |
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Sub-section 2 General risk (arts. 339-340) |
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Article 339 Maturity-based calculation of general risk |
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Article 340 Duration-based calculation of general risk |
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Section 3 Equities (arts. 341-344) |
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Article 341 Net positions in equity instruments |
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Article 342 Specific risk of equity instruments |
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Article 343 General risk of equity instruments |
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Article 344 Stock indices |
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Section 4 Underwriting (art. 345) |
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Article 345 Reduction of net positions |
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Section 5 Specific risk own funds requirements for positions hedged by credit derivatives (arts. 346-347) |
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Article 346 Allowance for hedges by credit derivatives |
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Article 347 Allowance for hedges by first and nth-to default credit derivatives |
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Section 6 Own funds requirements for CIUs (arts. 348-350) |
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Article 348 Own funds requirements for CIUs |
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Article 349 General criteria for CIUs |
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Article 350 Specific methods for CIUs |
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Chapter 3 Own funds requirements for foreign-exchange risk (arts. 351-354) |
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Article 351 De minimis and weighting for foreign exchange risk |
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Article 352 Calculation of the overall net foreign exchange position |
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Article 353 Foreign exchange risk of CIUs |
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Article 354 Closely correlated currencies |
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Chapter 4 Own funds requirements for commodities risk (arts. 355-361) |
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Article 355 Choice of method for commodities risk |
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Article 356 Ancillary commodities business |
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Article 357 Positions in commodities |
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Article 358 Particular instruments |
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Article 359 Maturity ladder approach |
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Article 360 Simplified approach |
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Article 361 Extended maturity ladder approach |
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Chapter 5 Use of internal models to calculate own funds requirements (arts. 362-377) |
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Section 1 Permission and own funds requirements (arts. 362-364) |
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Article 362 Specific and general risks |
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Article 363 Permission to use internal models |
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Article 364 Own funds requirements when using internal models |
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Section 2 General requirements (arts. 365-369) |
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Article 365 VaR and stressed VaR Calculation |
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Article 366 Regulatory back testing and multiplication factors |
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Article 367 Requirements on risk measurement |
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Article 368 Qualitative requirements |
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Article 369 Internal Validation |
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Section 3 Requirements particular to specific risk modelling (arts. 370-371) |
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Article 370 Requirements for modelling specific risk |
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Article 371 Exclusions from specific risk models |
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Section 4 Internal model for incremental default and migration risk (arts. 372-376) |
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Article 372 Requirement to have an internal IRC model |
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Article 373 Scope of the internal IRC model |
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Article 374 Parameters of the internal IRC model |
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Article 375 Recognition of hedges in the internal IRC model |
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Article 376 Particular requirements for the internal IRC model |
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Section 5 Internal model for correlation trading (art. 377) |
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Article 377 Requirements for an internal model for correlation trading |
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Title V Own Funds Requirements for Settlement Risk (arts. 378-380) |
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Article 378 Settlement/delivery risk |
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Article 379 Free deliveries |
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Article 380 Waiver |
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Title VI Own Funds Requirements for Credit Valuation Adjustment Risk (arts. 381-386) |
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Article 381 Meaning of credit valuation adjustment |
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Article 382 Scope |
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Article 382a Approaches for calculating the own funds requirements for CVA risk |
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Article 383 Standardised approach |
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Article 383a Regulatory CVA model |
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Article 383b Own funds requirements for delta and vega risks |
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Article 383c Interest rate risk factors |
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Article 383d Foreign exchange risk factors |
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Article 383e Counterparty credit spread risk factors |
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Article 383f Reference credit spread risk factors |
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Article 383g Equity risk factors |
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Article 383h Commodity risk factors |
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Article 383i Delta risk sensitivities |
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Article 383j Vega risk sensitivities |
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Article 383k Risk weights for interest rate risk |
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Article 383l Intra-bucket correlations for interest rate risk |
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Article 383m Correlation across buckets for interest rate risk |
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Article 383n Risk weights for foreign exchange risk |
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Article 383o Correlations for foreign exchange risk |
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Article 383p Risk weights for counterparty credit spread risk |
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Article 383q Intra-bucket correlations for counterparty credit spread risk |
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Article 383r Correlations across buckets for counterparty credit spread risk |
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Article 383s Risk weights for reference credit spread risk |
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Article 383t Intra-bucket correlations for reference credit spread risk |
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Article 383u Correlations across buckets for reference credit spread risk |
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Article 383v Risk weight buckets for equity risk |
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Article 383w Correlations across buckets for equity risk |
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Article 383x Risk weight buckets for commodity risk |
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Article 383z Correlations across buckets for commodity risk |
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Article 384 Basic approach |
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Article 385 Simplified approach |
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Article 386 Eligible hedges |
