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
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Article 113 Calculation of risk weighted exposure amounts
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
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
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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 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
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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
Section 2 Calculation of risk weighted exposure amounts (arts. 151-157)
Sub-section 1 Treatment by type of exposure class (arts. 151-152)
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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)
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Article 162 Maturity
Sub-section 2 Retail exposures (arts. 163-164)
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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)
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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)
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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
Sub-section 2 Risk quantification (arts. 178-184)
Amended
Article 178 Default of an obligor
Applicable
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 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
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Article 184 Requirements for purchased receivables
Sub-section 3 Validation of internal estimates (art. 185)
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Article 185 Validation of internal estimates
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
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
Chapter 4 Credit risk mitigation (arts. 192-241)
Section 1 Definitions and general requirements (arts. 192-194)
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Article 192 Definitions
Applicable
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
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)
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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)
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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
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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
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
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
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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
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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
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
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Article 228 Calculating risk-weighted exposure amounts and expected loss amounts under the Financial Collateral Comprehensive method
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Article 229 Valuation principles for other eligible collateral under the IRB Approach
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Article 230 Calculating risk-weighted exposure amounts and expected loss amounts for other eligible collateral under the IRB Approach
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Article 231 Calculating risk-weighted exposure amounts and expected loss amounts in the case of mixed pools of collateral
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Article 232 Other funded credit protection
Sub-section 2 Unfunded credit protection (arts. 233-236)
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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 Calculating risk-weighted exposure amounts under the Standardised Approach
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Article 236 Calculating risk-weighted exposure amounts and expected loss amounts under the IRB Approach
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
Section 6 Basket CRM techniques (arts. 240-241)
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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