CRR — REGULATION (EU) No 575/2013 OF THE EUROPEAN PARLIAMENT AND…

CRR — REGULATION (EU) No 575/2013 OF THE EUROPEAN PARLIAMENT AND OF THE COUNCIL of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (Text with EEA relevance)

regulation · European Union · 32013R0575

5043 provisions in 17321 nodes · cited by 95 instruments we hold · 10 provisions hand work to national law

Defined terms · All instruments · European Central Bank · Internet · accounting · auditing · banking supervision · basis of tax assessment · branch · capital market

PART ONE GENERAL PROVISIONS

TITLE I SUBJECT MATTER, SCOPE AND DEFINITIONS

Article 2 Supervisory powers

Division

Article 3 Application of stricter requirements by institutions

Division

Article 4 Definitions

Article 5 Definitions specific to capital requirements for credit risk

TITLE II LEVEL OF APPLICATION OF REQUIREMENTS

CHAPTER 1 Application of requirements on an individual basis

Article 6 General principles

Division

Article 7 Derogation to the application of prudential requirements on an individual basis

Article 8 Derogation to the application of liquidity requirements on an individual basis

Article 9 Individual consolidation method

Division

Article 10 Waiver for credit institutions permanently affiliated to a central body

CHAPTER 2 Prudential consolidation

Section 1 Application of requirements on a consolidated basis

Article 11 General treatment

Division

Article 12 Financial holding company or mixed financial holding company with both a subsidiary credit institution and a subsidiary investment firm

Division

Article 13 Application of disclosure requirements on a consolidated basis

Division

Article 14 Application of requirements of Part Five on a consolidated basis

Division

Article 15 Derogation to the application of own funds requirements on a consolidated basis for groups of investment firms

Article 16 Derogation to the application of the leverage ratio requirements on a consolidated basis for groups of investment firms

Division

Article 17 Supervision of investment firms waived from the application of own funds requirements on a consolidated basis

Division

Section 2 Methods for prudential consolidation

Article 18 Methods for prudential consolidation

Section 3 Scope of prudential consolidation

Article 19 Entities excluded from the scope of prudential consolidation

Article 20 Joint decisions on prudential requirements

Article 21 Joint decisions on the level of application of liquidity requirements

Division

Article 22 Sub-consolidation in cases of entities in third countries

Division

Article 23 Undertakings in third countries

Division

Article 24 Valuation of assets and off-balance sheet items

Division

PART TWO OWN FUNDS

TITLE I ELEMENTS OF OWN FUNDS

CHAPTER 1 Tier 1 capital

Article 25 Tier 1 capital

Division

CHAPTER 2 Common Equity Tier 1 capital

Section 1 Common equity tier 1 items and instruments

Article 26 Common Equity Tier 1 items

Article 27 Capital instruments of mutuals, cooperative societies, savings institutions or similar institutions in Common Equity Tier 1 items

Article 28 Common Equity Tier 1 instruments

Article 29 Capital instruments issued by mutuals, cooperative societies, savings institutions and similar institutions

Article 30 Consequences of the conditions for Common Equity Tier 1 instruments ceasing to be met

Article 31 Capital instruments subscribed by public authorities in emergency situations

Section 2 Prudential filters

Article 32 Securitised assets

Article 33 Cash flow hedges and changes in the value of own liabilities

Article 34 Additional value adjustments

Division

Article 35 Unrealised gains and losses measured at fair value

Division

Section 3 Deductions from common equity tier 1 items, exemptions and alternatives

Sub-Section 1 Deductions from Common Equity Tier 1 items

Article 36 Deductions from Common Equity Tier 1 items

Article 37 Deduction of intangible assets

Article 38 Deduction of deferred tax assets that rely on future profitability

Article 39 Tax overpayments, tax loss carry backs and deferred tax assets that do not rely on future profitability

Article 40 Deduction of negative amounts resulting from the calculation of expected loss amounts

Division

Article 41 Deduction of defined benefit pension fund assets

Article 42 Deduction of holdings of own Common Equity Tier 1 instruments

Article 43 Significant investment in a financial sector entity

Article 44 Deduction of holdings of Common Equity Tier 1 instruments of financial sector entities and where an institution has a reciprocal cross holding designed artificially to inflate own funds

Article 45 Deduction of holdings of Common Equity Tier 1 instruments of financial sector entities

Article 46 Deduction of holdings of Common Equity Tier 1 instruments where an institution does not have a significant investment in a financial sector entity

Article 47 Deduction of holdings of Common Equity Tier 1 instruments where an institution has a significant investment in a financial sector entity

Division

Sub-Section 2 Exemptions from and alternatives to deduction from Common Equity Tier 1 items

Article 48 Threshold exemptions from deduction from Common Equity Tier 1 items

Article 49 Requirement for deduction where consolidation, supplementary supervision or institutional protection schemes are applied

Section 4 Common equity tier 1 capital

Article 50 Common Equity Tier 1 capital

Division

CHAPTER 3 Additional Tier 1 capital

Section 1 Additional tier 1 items and instruments

Article 51 Additional Tier 1 items

Article 52 Additional Tier 1 instruments

Article 53 Restrictions on the cancellation of distributions on Additional Tier 1 instruments and features that could hinder the recapitalisation of the institution

Article 54 Write down or conversion of Additional Tier 1 instruments

Article 55 Consequences of the conditions for Additional Tier 1 instruments ceasing to be met

Section 2 Deductions from additional tier 1 items

Article 56 Deductions from Additional Tier 1 items

Article 57 Deductions of holdings of own Additional Tier 1 instruments

Article 58 Deduction of holdings of Additional Tier 1 instruments of financial sector entities and where an institution has a reciprocal cross holding designed artificially to inflate own funds

Article 59 Deduction of holdings of Additional Tier 1 instruments of financial sector entities

Article 60 Deduction of holdings of Additional Tier 1 instruments where an institution does not have a significant investment in a financial sector entity

Section 3 Additional Tier 1 capital

Article 61 Additional Tier 1 capital

Division

CHAPTER 4 Tier 2 capital

Section 1 Tier 2 items and instruments

Article 62 Tier 2 items

Article 63 Tier 2 instruments

Article 64 Amortisation of Tier 2 instruments

Article 65 Consequences of the conditions for Tier 2 instruments ceasing to be met

Section 2 Deductions from tier 2 items

Article 66 Deductions from Tier 2 items

Article 67 Deductions of holdings of own Tier 2 instruments

Article 68 Deduction of holdings of Tier 2 instruments of financial sector entities and where an institution has a reciprocal cross holding designed artificially to inflate own funds

Article 69 Deduction of holdings of Tier 2 instruments of financial sector entities

Article 70 Deduction of Tier 2 instruments where an institution does not have a significant investment in a relevant entity

Section 3 Tier 2 capital

Article 71 Tier 2 capital

CHAPTER 6 General requirements

Article 73 Distributions on own funds instruments

Article 74 Holdings of capital instruments issued by regulated financial sector entities that do not qualify as regulatory capital

Division

Article 75 Deduction and maturity requirements for short positions

Article 76 Index holdings of capital instruments

Article 77 Conditions for reducing own funds

Article 78 Supervisory permission for reducing own funds

Article 79 Temporary waiver from deduction from own funds

Division

Article 80 Continuing review of quality of own funds

TITLE II MINORITY INTEREST AND ADDITIONAL TIER 1 AND TIER 2 INSTRUMENTS ISSUED BY SUBSIDIARIES

Article 81 Minority interests that qualify for inclusion in consolidated Common Equity Tier 1 capital

Article 82 Qualifying Additional Tier 1, Tier 1, Tier 2 capital and qualifying own funds

Article 83 Qualifying Additional Tier 1 and Tier 2 capital issued by a special purpose entity

Article 84 Minority interests included in consolidated Common Equity Tier 1 capital

Article 85 Qualifying Tier 1 instruments included in consolidated Tier 1 capital

Article 86 Qualifying Tier 1 capital included in consolidated Additional Tier 1 capital

Division

Article 87 Qualifying own funds included in consolidated own funds

Article 88 Qualifying own funds instruments included in consolidated Tier 2 capital

Division

TITLE III QUALIFYING HOLDINGS OUTSIDE THE FINANCIAL SECTOR

Article 89 Risk weighting and prohibition of qualifying holdings outside the financial sector

Article 90 Alternative to 1250 % risk weight

Division

Article 91 Exceptions

PART THREE CAPITAL REQUIREMENTS

TITLE I GENERAL REQUIREMENTS, VALUATION AND REPORTING

CHAPTER 1 Required level of own funds

Section 1 Own funds requirements for institutions

Article 92 Own funds requirements

Article 93 Initial capital requirement on going concern

Division

Article 94 Derogation for small trading book business

Section 2 Own funds requirements for investment firms with limited authorisation to provide investment services

Article 95 Own funds requirements for investment firms with limited authorisation to provide investment services

Article 96 Own funds requirements for investment firms which hold initial capital as laid down in Article 28(2) of Directive 2013/36/EU

Article 97 Own Funds based on Fixed Overheads

Article 98 Own funds for investment firms on a consolidated basis

CHAPTER 2 Calculation and reporting requirements

Article 99 Reporting on own funds requirements and financial information

Division

Article 100 Additional reporting requirements

Division

Article 101 Specific reporting obligations

CHAPTER 3 Trading book

Article 102 Requirements for the Trading Book

Division

Article 103 Management of the trading book

Article 104 Inclusion in the Trading Book

Article 105 Requirements for Prudent Valuation

Article 106 Internal Hedges

TITLE II CAPITAL REQUIREMENTS FOR CREDIT RISK

CHAPTER 1 General principles

Article 107 Approaches to credit risk

Article 108 Use of credit risk mitigation technique under the Standardised Approach and the IRB Approach

Division

Article 109 Treatment of securitised exposures under the Standardised Approach and the IRB Approach

Division

Article 110 Treatment of credit risk adjustment

CHAPTER 2 Standardised Approach

Section 1 General principles

Article 111 Exposure value

Article 112 Exposure classes

Article 113 Calculation of risk weighted exposure amounts

Section 2 Risk weights

Article 114 Exposures to central governments or central banks

Article 115 Exposures to regional governments or local authorities

Division

Article 116 Exposures to public sector entities

Division

Table

Division

Article 117 Exposures to multilateral development banks

Article 118 Exposures to international organisations

Article 119 Exposures to institutions

Article 120 Exposures to rated institutions

Article 121 Exposures to unrated institutions

Division

Table

Division

Article 122 Exposures to corporates

Division

Table

Division

Article 123 Retail exposures

Article 124 Exposures secured by mortgages on immovable property

Article 125 Exposures fully and completely secured by mortgages on residential property

Article 126 Exposures fully and completely secured by mortgages on commercial immovable property

Article 127 Exposures in default

Article 128 Items associated with particular high risk

Article 129 Exposures in the form of covered bonds

Article 130 Items representing securitisation positions

Division

Article 131 Exposures to institutions and corporates with a short-term credit assessment

Division

Table

Division

Article 132 Exposures in the form of units or shares in CIUs

Article 133 Equity exposures

Article 134 Other items

Division

Section 3 Recognition and mapping of credit risk assessment

Sub-Section 1 Recognition of ECAIs

Article 135 Use of credit assessments by ECAIs

Division

Sub-Section 2 Mapping of ECAI's credit assessments

Article 136 Mapping of ECAI's credit assessments

Sub-Section 3 Use of credit assessments by Export Credit Agencies

Article 137 Use of credit assessments by Export Credit Agencies

Section 4 Use of the ecai credit assessments for the determination of risk weights

Article 138 General requirements

Article 139 Issuer and issue credit assessment

Article 140 Long-term and short-term credit assessments

Article 141 Domestic and foreign currency items

Division

CHAPTER 3 Internal Ratings Based Approach

Section 1 Permission by competent authorities to use the irb approach

Article 142 Definitions

Article 143 Permission to use the IRB Approach

Article 144 Competent authorities' assessment of an application to use an IRB Approach

Article 145 Prior experience of using IRB approaches

Division

Article 146 Measures to be taken where the requirements of this Chapter cease to be met

Article 147 Methodology to assign exposure to exposures classes

Article 148 Conditions for implementing the IRB Approach across different classes of exposure and business units

Division

Article 149 Conditions to revert to the use of less sophisticated approaches

Article 150 Conditions for permanent partial use

Section 2 Calculation of risk weighted exposure amounts

Sub-Section 1 Treatment by type of exposure class

Article 151 Treatment by exposure class

Division

10.

Division

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

Article 153 Risk weighted exposure amounts for exposures to corporates, institutions and central governments and central banks

Article 154 Risk weighted exposure amounts for retail exposures

Article 155 Risk weighted exposure amounts for equity exposures

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

Article 157 Risk weighted exposure amounts for dilution risk of purchased receivables

Division

Section 3 Expected loss amounts

Article 158 Treatment by exposure type

Article 159 Treatment of expected loss amounts

Division

Section 4 PD, LGD and maturity

Sub-Section 1 Exposures to corporates, institutions and central governments and central banks

Article 160 Probability of default (PD)

Article 161 Loss Given Default (LGD)

Sub-Section 2 Retail exposures

Article 163 Probability of default (PD)

Division

Article 164 Loss Given Default (LGD)

Division

Sub-Section 3 Equity exposures subject to PD/LGD method

Article 165 Equity exposures subject to the PD/LGD method

Section 5 Exposure value

Article 166 Exposures to corporates, institutions, central governments and central banks and retail exposures

Article 167 Equity exposures

Division

Article 168 Other non credit-obligation assets

Division

Section 6 Requirements for the IRB approach

Sub-Section 1 Rating systems

Article 169 General principles

Division

Article 170 Structure of rating systems

Article 171 Assignment to grades or pools

Article 172 Assignment of exposures

Article 173 Integrity of assignment process

Article 174 Use of models

Article 175 Documentation of rating systems

Article 176 Data maintenance

Article 177 Stress tests used in assessment of capital adequacy

Division

Sub-Section 2 Risk quantification

Article 178 Default of an obligor

Article 179 Overall requirements for estimation

Article 180 Requirements specific to PD estimation

Article 181 Requirements specific to own-LGD estimates

Article 182 Requirements specific to own-conversion factor estimates

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 retail exposures

Article 184 Requirements for purchased receivables

Sub-Section 3 Validation of internal estimates

Article 185 Validation of internal estimates

Sub-Section 4 Requirements for equity exposures under the internal models approach

Article 186 Own funds requirement and risk quantification

Article 187 Risk management process and controls

Article 188 Validation and documentation

Sub-Section 5 Internal governance and oversight

Article 189 Corporate Governance

Article 190 Credit risk control

Article 191 Internal Audit

Division

CHAPTER 4 Credit risk mitigation

Section 1 Definitions and general requirements

Article 192 Definitions

Article 193 Principles for recognising the effect of credit risk mitigation techniques

Article 194 Principles governing the eligibility of credit risk mitigation techniques

Section 2 Eligible forms of credit risk mitigation

Sub-Section 1 Funded credit protection

Article 195 On-balance sheet netting

Division

Article 196 Master netting agreements covering repurchase transactions or securities or commodities lending or borrowing transactions or other capital market-driven transactions

Division

Article 197 Eligibility of collateral under all approaches and methods

Article 198 Additional eligibility of collateral under the Financial Collateral Comprehensive Method

Article 199 Additional eligibility for collateral under the IRB Approach

Article 200 Other funded credit protection

Sub-Section 2 Unfunded credit protection

Article 201 Eligibility of protection providers under all approaches

Article 202 Eligibility of protection providers under the IRB Approach which qualify for the treatment set out in Article 153(3)

Article 203 Eligibility of guarantees as unfunded credit protection

Division

Sub-Section 3 Types of derivatives

Article 204 Eligible types of credit derivatives

Section 3 Requirements

Sub-Section 1 Funded credit protection

Article 205 Requirements for on-balance sheet netting agreements other than master netting agreements referred to in Article 206

Article 206 Requirements for master netting agreements covering repurchase transactions or securities or commodities lending or borrowing transactions or other capital market driven transactions

Article 207 Requirements for financial collateral

Article 208 Requirements for immovable property collateral

Article 209 Requirements for receivables

Article 210 Requirements for other physical collateral

Article 211 Requirements for treating lease exposures as collateralised

Article 212 Requirements for other funded credit protection

Sub-Section 2 Unfunded credit protection and credit linked notes

Article 213 Requirements common to guarantees and credit derivatives

Article 214 Sovereign and other public sector counter-guarantees

Article 215 Additional requirements for guarantees

Article 216 Additional requirements for credit derivatives

Article 217 Requirements to qualify for the treatment set out in Article 153(3)

Section 4 Calculating the effects of credit risk mitigation

Sub-Section 1 Funded credit protection

Article 218 Credit linked notes

Division

Article 219 On-balance sheet netting

Division

Article 220 Using the Supervisory Volatility Adjustments Approach or the Own Estimates Volatility Adjustments Approach for master netting agreements

Article 221 Using the Internal Models Approach for Master netting agreements

Article 222 Financial Collateral Simple Method

Article 223 Financial Collateral Comprehensive Method

Article 224 Supervisory volatility adjustment under the Financial Collateral Comprehensive Method

Article 225 Own estimates of volatility adjustments under the Financial Collateral Comprehensive Method

Article 226 Scaling up of volatility adjustment under the Financial Collateral Comprehensive method

Article 227 Conditions for applying a 0 % volatility adjustment under the Financial Collateral Comprehensive method

Article 228 Calculating risk-weighted exposure amounts and expected loss amounts under the Financial Collateral Comprehensive method

Article 229 Valuation principles for other eligible collateral under the IRB Approach

Division

Article 230 Calculating risk-weighted exposure amounts and expected loss amounts for other eligible collateral under the IRB Approach

Division

Table

Division

Article 231 Calculating risk-weighted exposure amounts and expected loss amounts in the case of mixed pools of collateral

Article 232 Other funded credit protection

Sub-Section 2 Unfunded credit protection

Article 233 Valuation

Article 234 Calculating risk-weighted exposure amounts and expected loss amounts in the event of partial protection and tranching

Division

Article 235 Calculating risk-weighted exposure amounts under the Standardised Approach

Article 236 Calculating risk-weighted exposure amounts and expected loss amounts under the IRB Approach

Division

Section 5 Maturity mismatches

Article 237 Maturity mismatch

Article 238 Maturity of credit protection

Division

Article 239 Valuation of protection

Section 6 Basket CRM techniques

Article 240 First-to-default credit derivatives

Article 241 Nth-to-default credit derivatives

Division

CHAPTER 5 Securitisation

Section 1 Definitions

Article 242 Definitions

Section 2 Recognition of significant risk transfer

Article 243 Traditional securitisation

Article 244 Synthetic securitisation

Section 3 Calculation of the risk weighted exposure amounts

Sub-Section 1 Principles

Article 245 Calculation of risk-weighted exposure amounts

Article 246 Exposure value

Article 247 Recognition of credit risk mitigation for securitisation positions

Division

Article 248 Implicit support

Sub-Section 2 Originator institutions' calculation of risk-weighted exposure amounts securitised in a synthetic securitisation

Article 249 General treatment

Division

Article 250 Treatment of maturity mismatches in synthetic securitisations

Sub-Section 3 Calculation of risk-weighted exposure amounts under the Standardised Approach

Article 251 Risk-weights

Division

Table

Division

Article 252 Originator and sponsor institutions

Article 253 Treatment of unrated positions

Division

Article 254 Treatment of securitisation positions in a second loss tranche or better in an ABCP programme

Article 255 Treatment of unrated liquidity facilities

Article 256 Additional own funds requirements for securitisations of revolving exposures with early amortisation provisions

Article 257 Credit risk mitigation for securitisation positions subject to the Standardised Approach

Division

Article 258 Reduction in risk-weighted exposure amounts

Division

Sub-Section 4 Calculation of risk-weighted exposure amounts under the IRB Approach

Article 259 Hierarchy of methods

Article 260 Maximum risk-weighted exposure amounts

Division

Article 261 Ratings Based Method

Division

Table

Division

Article 262 Supervisory Formula Method

Article 263 Liquidity Facilities

Division

Article 264 Credit risk mitigation for securitisation positions subject to the IRB Approach

Article 265 Additional own funds requirements for securitisations of revolving exposures with early amortisation provisions

Article 266 Reduction in risk-weighted exposure amounts

Section 4 External credit assessments

Article 267 Use of Credit Assessments by ECAIs

Division

Article 268 Requirements to be met by the credit assessments of ECAIs

Article 269 Use of credit assessments

CHAPTER 6 Counterparty credit risk

Section 1 Definitions

Article 271 Determination of the exposure value

Division

Article 272 Definitions

Section 2 Methods for calculating the exposure value

Article 273 Methods for calculating the exposure value

Section 3 Mark – to – market Method

Article 274 Mark-to-market Method

Section 4 Original Exposure Method

Article 275 Original Exposure Method

Division

Table

Division

Section 5 Standardised Method

Article 276 Standardised Method

Article 277 Transactions with a linear risk profile

Article 278 Transactions with a non-linear risk profile

Division

Article 279 Treatment of Collateral

Article 280 Calculation of risk positions

Article 281 Interest rate risk positions

Article 282 Hedging sets

Section 6 Internal Model Method

Article 283 Permission to use the Internal Model Method

Article 284 Exposure value

Article 285 Exposure value for netting sets subject to a margin agreement

Article 286 Management of CCR – Policies, processes and systems

Article 287 Organisation structures for CCR management

Article 288 Review of CCR management system

Article 290 Stress testing

Article 291 Wrong-Way Risk

Article 292 Integrity of the modelling process

Article 293 Requirements for the risk management system

Article 294 Validation requirements

Section 7 Contractual netting

Article 295 Recognition of contractual netting as risk-reducing

Article 296 Recognition of contractual netting agreements

Article 297 Obligations of institutions

Division

Article 298 Effects of recognition of netting as risk-reducing

Section 8 Items in the trading book

Article 299 Items in the trading book

Section 9 Own funds requirements for exposures to a central counterparty

Article 300 Definitions

Article 301 Material scope

Article 302 Monitoring of exposures to CCPs

Division

Article 303 Treatment of clearing members' exposures to CCPs

Article 304 Treatment of clearing members' exposures to clients

Article 305 Treatment of clients' exposures

Article 306 Own funds requirements for trade exposures

Article 307 Own funds requirements for pre-funded contributions to the default fund of a CCP

Article 308 Own funds requirements for pre-funded contributions to the default fund of a Q_(CCP)

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

Division

Article 310 Alternative calculation of own funds requirement for exposures to a Q_(CCP)

Division

Article 311 Own funds requirements for exposures to CCPs that cease to meet certain conditions

TITLE III OWN FUNDS REQUIREMENTS FOR OPERATIONAL RISK

CHAPTER 1 General principles governing the use of the different approaches

Article 312 Permission and notification

Article 313 Reverting to the use of less sophisticated approaches

Article 314 Combined use of different approaches

CHAPTER 2 Basic indicator approach

Article 315 Own funds requirement

Division

Article 316 Relevant indicator

CHAPTER 3 Standardised Approach

Article 317 Own funds requirement

Division

Table

Division

Article 318 Principles for business line mapping

Article 319 Alternative Standardised Approach

Article 320 Criteria for the Standardised Approach

CHAPTER 4 Advanced measurement approaches

Article 321 Qualitative standards

Article 322 Quantitative Standards

Article 323 Impact of insurance and other risk transfer mechanisms

Article 324 Loss event type classification

Division

Table

Division

TITLE IV OWN FUNDS REQUIREMENTS FOR MARKET RISK

CHAPTER 1 General Provisions

Article 325 Allowances for consolidated requirements

CHAPTER 2 Own funds requirements for position risk

Section 1 General provisions and specific instruments

Article 326 Own funds requirements for position risk

Division

Article 327 Netting

Division

Article 328 Interest rate futures and forwards

Division

Article 329 Options and warrants

Division

Article 330 Swaps

Division

Article 331 Interest rate risk on derivative instruments

Article 332 Credit Derivatives

Article 333 Securities sold under a repurchase agreement or lent

Division

Section 2 Debt instruments

Article 334 Net positions in debt instruments

Division

Sub-Section 1 Specific risk

Article 335 Cap on the own funds requirement for a net position

Division

Article 336 Own funds requirement for non-securitisation debt instruments

Article 337 Own funds requirement for securitisation instruments

Article 338 Own funds requirement for the correlation trading portfolio

Sub-Section 2 General risk

Article 339 Maturity-based calculation of general risk

Article 340 Duration-based calculation of general risk

Article 341 Net positions in equity instruments

Division

Article 342 Specific risk of equity instruments

Division

Article 343 General risk of equity instruments

Division

Article 344 Stock indices

Division

Section 4 Underwriting

Article 345 Reduction of net positions

Division

Table

Division

Section 5 Specific risk own funds requirements for positions hedged by credit derivatives

Article 346 Allowance for hedges by credit derivatives

Article 347 Allowance for hedges by first and nth-to default credit derivatives

Section 6 Own funds requirements for CIUs

Article 348 Own funds requirements for CIUs

Division

Article 349 General criteria for CIUs

Article 350 Specific methods for CIUs

CHAPTER 3 Own funds requirements for foreign-exchange risk

Article 351 De minimis and weighting for foreign exchange risk

Division

Article 352 Calculation of the overall net foreign exchange position

Article 353 Foreign exchange risk of CIUs

Article 354 Closely correlated currencies

Division

CHAPTER 4 Own funds requirements for commodities risk

Article 355 Choice of method for commodities risk

Division

Article 356 Ancillary commodities business

Article 357 Positions in commodities

Article 358 Particular instruments

Article 359 Maturity ladder approach

Article 360 Simplified approach

Article 361 Extended maturity ladder approach

CHAPTER 5 Use of internal models to calculate own funds requirements

Section 1 Permission and own funds requirements

Article 362 Specific and general risks

Division

Article 363 Permission to use internal models

Article 364 Own funds requirements when using internal models

Section 2 General requirements

Article 365 VaR and stressed VaR Calculation

Article 366 Regulatory back testing and multiplication factors

Division

Table

Division

Article 367 Requirements on risk measurement

Article 368 Qualitative requirements

Article 369 Internal Validation

Section 3 Requirements particular to specific risk modelling

Article 370 Requirements for modelling specific risk

Article 371 Exclusions from specific risk models

Division

Section 4 Internal model for incremental default and migration risk

Article 372 Requirement to have an internal IRC model

Article 373 Scope of the internal IRC model

Division

Article 374 Parameters of the internal IRC model

Division

Article 375 Recognition of hedges in the internal IRC model

Article 376 Particular requirements for the internal IRC model

Section 5 Internal model for correlation trading

Article 377 Requirements for an internal model for correlation trading

TITLE V OWN FUNDS REQUIREMENTS FOR SETTLEMENT RISK

Article 378 Settlement/delivery risk

Division

Table

Division

Article 379 Free deliveries

TITLE VI OWN FUNDS REQUIREMENTS FOR CREDIT VALUATION ADJUSTMENT RISK

Article 381 Meaning of Credit Valuation Adjustment

Article 383 Advanced method

Article 384 Standardised method

Article 385 Alternative to using CVA methods to calculating own funds requirements

Division

Article 386 Eligible hedges

PART FOUR LARGE EXPOSURES

Article 387 Subject matter

Division

Article 388 Negative Scope

Division

Article 389 Definition

Division

Article 390 Calculation of the exposure value

Article 391 Definition of an institution for large exposures purposes

Division

Article 392 Definition of a large exposure

Division

Article 393 Capacity to identify and manage large exposures

Division

Article 394 Reporting requirements

Article 395 Limits to large exposures

Article 396 Compliance with large exposures requirements

Division

Article 397 Calculating additional own funds requirements for large exposures in the trading book

Division

Table

Division

Article 398 Procedures to prevent institutions from avoiding the additional own funds requirement

Division

Article 399 Eligible credit mitigation techniques

Division

Article 400 Exemptions

Article 401 Calculating the effect of the use of credit risk mitigation techniques

Article 402 Exposures arising from mortgage lending

Article 403 Substitution approach

PART FIVE EXPOSURES TO TRANSFERRED CREDIT RISK

TITLE I GENERAL PROVISIONS FOR THIS PART

Article 404 Scope of application

Division

TITLE II REQUIREMENTS FOR INVESTOR INSTITUTIONS

Article 405 Retained interest of the issuer

Article 406 Due diligence

Article 407 Additional risk weight

Division

TITLE III REQUIREMENTS FOR SPONSOR AND ORIGINATOR INSTITUTIONS

Article 408 Criteria for credit granting

Division

Article 409 Disclosure to investors

Division

Article 410 Uniform condition of application

TITLE I DEFINITIONS AND LIQUIDITY COVERAGE REQUIREMENT

Article 411 Definitions

Article 412 Liquidity coverage requirement

Division

Article 413 Stable Funding

Division

Article 414 Compliance with liquidity requirements

Division

TITLE II LIQUIDITY REPORTING

Article 415 Reporting obligation and reporting format

Article 416 Reporting on liquid assets

Article 417 Operational requirements for holdings of liquid assets

Article 418 Valuation of liquid assets

Article 419 Currencies with constraints on the availability of liquid assets

Article 420 Liquidity outflows

Article 421 Outflows on retail deposits

Article 422 Outflows on other liabilities

Article 423 Additional Outflows

Article 424 Outflows from credit and liquidity facilities

Article 426 Updating Future liquidity requirements

Division

TITLE III REPORTING ON STABLE FUNDING

Article 427 Items providing stable funding

Article 428 Items requiring stable funding

Article 429 Calculation of the leverage ratio

Article 430 Reporting requirement

Division

PART EIGHT DISCLOSURE BY INSTITUTIONS

TITLE I GENERAL PRINCIPLES

Article 431 Scope of disclosure requirements

Division

Article 432 Non-material, proprietary or confidential information

Division

Article 433 Frequency of disclosure

Division

Article 434 Means of disclosures

Division

TITLE II TECHNICAL CRITERIA ON TRANSPARENCY AND DISCLOSURE

Article 435 Risk management objectives and policies

Article 436 Scope of application

Article 437 Own funds

Article 438 Capital requirements

Article 439 Exposure to counterparty credit risk

Article 440 Capital buffers

Article 441 Indicators of global systemic importance

Division

Article 442 Credit risk adjustments

Article 443 Unencumbered assets

Division

Article 444 Use of ECAIs

Article 445 Exposure to market risk

Division

Article 446 Operational risk

Division

Article 447 Exposures in equities not included in the trading book

Article 448 Exposure to interest rate risk on positions not included in the trading book

Article 449 Exposure to securitisation positions

Article 450 Remuneration policy

TITLE III QUALIFYING REQUIREMENTS FOR THE USE OF PARTICULAR INSTRUMENTS OR METHODOLOGIES

Article 452 Use of the IRB Approach to credit risk

Article 453 Use of credit risk mitigation techniques

Article 454 Use of the Advanced Measurement Approaches to operational risk

Division

Article 455 Use of Internal Market Risk Models

PART NINE DELEGATED AND IMPLEMENTING ACTS

Article 456 Delegated acts

Article 457 Technical adjustments and corrections

Article 458 Macroprudential or systemic risk identified at the level of a Member State

Article 459 Prudential requirements

Article 460 Liquidity

Article 461 Review of the phasing-in of the liquidity coverage requirement

Division

Article 462 Exercise of the delegation

Division

Article 463 Objections to regulatory technical standards

Division

Article 464 European Banking Committee

Division

PART TEN TRANSITIONAL PROVISIONS, REPORTS, REVIEWS AND AMENDMENTS

TITLE I TRANSITIONAL PROVISIONS

CHAPTER 1 Own funds requirements, unrealised gains and losses measured at fair value and deductions

Section 1 Own funds requirements

Article 465 Own funds requirements

Article 466 First time application of International Financial Reporting Standards

Division

Section 2 Unrealised gains and losses measured at fair value

Article 467 Unrealised losses measured at fair value

Article 468 Unrealised gains measured at fair value

Sub-Section 1 Deductions from Common Equity Tier 1 items

Article 469 Deductions from Common Equity Tier 1 items

Article 470 Exemption from deduction from Common Equity Tier 1 items

Article 471 Exemption from Deduction of Equity Holdings in Insurance Companies from Common Equity Tier 1 Items

Article 472 Items not deducted from Common Equity Tier 1

Article 473 Introduction of amendments to IAS 19

Sub-Section 2 Deductions from Additional Tier 1 items

Article 474 Deductions from Additional Tier 1 items

Article 475 Items not deducted from Additional Tier 1 items

Sub-Section 3 Deductions from Tier 2 items

Article 476 Deductions from Tier 2 items

Article 477 Deductions from Tier 2 items

Sub-Section 4 Applicable percentages for deduction

Article 478 Applicable percentages for deduction from Common Equity Tier 1, Additional Tier 1 and Tier 2 items

Section 4 Minority interest and Additional Tier 1 and Tier 2 instruments issued by subsidiaries

Article 479 Recognition in consolidated Common Equity Tier 1 capital of instruments and items that do not qualify as minority interests

Article 480 Recognition in consolidated own funds of minority interests and qualifying Additional Tier 1 and Tier 2 capital

Section 5 Additional filters and deductions

Article 481 Additional filters and deductions

Article 482 Scope of application for derivatives transactions with pension funds

Division

CHAPTER 2 Grandfathering of capital instruments

Section 1 Instruments constituting State aid

Article 483 Grandfathering of State aid instruments

Section 2 Instruments not constituting state aid

Sub-Section 1 Grandfathering eligibility and limits

Article 484 Eligibility for grandfathering of items that qualified as own funds under national transposition measures for Directive 2006/48/EC

Division

Article 485 Eligibility for inclusion in the Common Equity Tier 1 of share premium accounts related to items that qualified as own funds under national transposition measures for Directive 2006/48/EC

Division

Article 486 Limits for grandfathering of items within Common Equity Tier 1, Additional Tier 1 and Tier 2 items

Article 487 Items excluded from grandfathering in Common Equity Tier 1 or Additional Tier 1 items in other elements of own funds

Article 488 Amortisation of items grandfathered as Tier 2 items

Division

Sub-Section 2 Inclusion of instruments with a call and incentive to redeem in Additional Tier 1 and Tier 2 items

Article 489 Hybrid instruments with a call and incentive to redeem

Article 490 Tier 2 items with an incentive to redeem

Article 491 Effective maturity

CHAPTER 3 Transitional provisions for disclosure of own funds

Article 492 Disclosure of own funds

CHAPTER 4 Large exposures, own funds requirements, leverage and the Basel I floor

Article 493 Transitional provisions for large exposures

Article 494 Transitional provisions for eligible capital

Article 495 Treatment of equity exposures under the IRB Approach

Division

Article 496 Own funds requirements for covered bonds

Article 497 Own funds requirements for exposures to CCPs

Article 498 Exemption for Commodities dealers

Article 500 Transitional provisions – Basel I floor

Article 501 Capital requirements deduction for credit risk on exposures to SMEs

TITLE II REPORTS AND REVIEWS

Article 502 Cyclicality of capital requirements

Division

Article 503 Own funds requirements for exposures in the form of covered bonds

Article 504 Capital instruments subscribed by public authorities in emergency situations

Division

Article 505 Review of long-term financing

Division

Article 506 Credit risk – definition of default

Division

Article 507 Large exposures

Division

Article 508 Level of application

Division

Article 509 Liquidity requirements

Article 510 Net Stable Funding Requirements

Article 512 Exposures to transferred credit risk

Division

Article 513 Macroprudential rules

Article 514 Counterparty Credit Risk and the Original Exposure Method

Division

Article 515 Monitoring and evaluation

Division

Article 516 Long-term financing

Division

Article 517 Definition of eligible capital

Division

Article 518 Review of capital instruments which may be written down or converted at the point of non-viability

Division

Article 519 Deduction of defined benefit pension fund assets from Common Equity Tier 1 items

Division

TITLE III AMENDMENTS

Article 520 Amendment of Regulation (EU) No 648/2012

PART ELEVEN FINAL PROVISIONS

Article 521 Entry into force and date of application

Classification of off-balance sheet items

Items subject to supplementary reporting of liquid assets