- Y Diweddaraf sydd Ar Gael (Diwygiedig)
- Pwynt Penodol mewn Amser (09/12/2011)
- Gwreiddiol (Fel y’i mabwysiadwyd gan yr UE)
Directive 2006/48/EC of the European Parliament and of the Council of 14 June 2006 relating to the taking up and pursuit of the business of credit institutions (recast) (Text with EEA relevance) (repealed)
When the UK left the EU, legislation.gov.uk published EU legislation that had been published by the EU up to IP completion day (31 December 2020 11.00 p.m.). On legislation.gov.uk, these items of legislation are kept up-to-date with any amendments made by the UK since then.
Mae unrhyw newidiadau sydd wedi cael eu gwneud yn barod gan y tîm yn ymddangos yn y cynnwys a chyfeirir atynt gydag anodiadau.Ar ôl y diwrnod ymadael bydd tair fersiwn o’r ddeddfwriaeth yma i’w gwirio at ddibenion gwahanol. Y fersiwn legislation.gov.uk yw’r fersiwn sy’n weithredol yn y Deyrnas Unedig. Y Fersiwn UE sydd ar EUR-lex ar hyn o bryd yw’r fersiwn sy’n weithredol yn yr UE h.y. efallai y bydd arnoch angen y fersiwn hon os byddwch yn gweithredu busnes yn yr UE. EUR-Lex Y fersiwn yn yr archif ar y we yw’r fersiwn swyddogol o’r ddeddfwriaeth fel yr oedd ar y diwrnod ymadael cyn cael ei chyhoeddi ar legislation.gov.uk ac unrhyw newidiadau ac effeithiau a weithredwyd yn y Deyrnas Unedig wedyn. Mae’r archif ar y we hefyd yn cynnwys cyfraith achos a ffurfiau mewn ieithoedd eraill o EUR-Lex. The EU Exit Web Archive legislation_originated_from_EU_p3
Version Superseded: 01/01/2014
EU Directives are published on this site to aid cross referencing from UK legislation. Since IP completion day (31 December 2020 11.00 p.m.) no amendments have been applied to this version.
exposure value =
where:
CMV = current market value of the portfolio of transactions within the netting set with a counterparty gross of collateral, that is, where:
where:
CMVi = the current market value of transaction i;
CMC = the current market value of the collateral assigned to the netting set, that is, where:
where
CMCl = the current market value of collateral l;
i = index designating transaction;
l = index designating collateral;
j = index designating hedging set category. These hedging sets correspond to risk factors for which risk positions of opposite sign can be offset to yield a net risk position on which the exposure measure is then based;
RPTij = risk position from transaction i with respect to hedging set j;
RPClj = risk position from collateral l with respect to hedging set j;
CCRMj = CCR Multiplier set out in Table 5 with respect to hedging set j;
β = 1.4.
Collateral received from a counterparty has a positive sign and collateral posted to a counterparty has a negative sign.
Collateral that is recognised for this method is confined to the collateral that is eligible under point 11 of Part 1 of Annex VIII to this Directive and point 9 of Annex II to Directive 2006/49/EC.
for all instruments other than debt instruments:
effective notional value, or
where:
Pref = price of the underlying instrument, expressed in the reference currency;
V = value of the financial instrument (in the case of an option this is the option price and in the case of a transaction with a linear risk profile this is the value of the underlying instrument itself);
p = price of the underlying instrument, expressed in the same currency as V;
for debt instruments and the payment legs of all transactions:
effective notional value multiplied by the modified duration, or
delta equivalent in notional value multiplied by the modified duration
where:
V = value of the financial instrument (in the case of an option this is the option price and in the case of a transaction with a linear risk profile this is the value of the underlying instrument itself or of the payment leg, respectively);
r = interest rate level.
If V is denominated in a currency other than the reference currency, the derivative must be converted into the reference currency by multiplication with the relevant exchange rate.
in the formulae set out in paragraph 1.
Government referenced interest rates | Non-government referenced interest rates | |
---|---|---|
Maturity Maturity Maturity | ← 1 year >1 — ← 5 years > 5 years | ← 1 year >1 — ← 5 years > 5 years |
the size of a risk position in a reference debt instrument in a basket underlying an ‘ nth to default ’ credit default swap is the effective notional value of the reference debt instrument, multiplied by the modified duration of the ‘ nth to default ’ derivative with respect to a change in the credit spread of the reference debt instrument;
there is one hedging set for each reference debt instrument in a basket underlying a given ‘ nth to default ’ credit default swap; risk positions from different ‘ nth to default ’ credit default swaps shall not be included in the same hedging set;
the CCR multiplier applicable to each hedging set created for one of the reference debt instruments of an ‘ nth to default ’ derivative is 0,3 % for reference debt instruments that have a credit assessment from a recognised ECAI equivalent to credit quality step 1 to 3 and 0,6 % for other debt instruments.]
Textual Amendments
F1 Substituted by Directive 2009/111/EC of the European Parliament and of the Council of 16 September 2009 amending Directives 2006/48/EC, 2006/49/EC and 2007/64/EC as regards banks affiliated to central institutions, certain own funds items, large exposures, supervisory arrangements, and crisis management (Text with EEA relevance).
for equities, similar instruments are those of the same issuer. An equity index is treated as a separate issuer;
for precious metals, similar instruments are those of the same metal. A precious metal index is treated as a separate precious metal;
for electric power, similar instruments are those delivery rights and obligations that refer to the same peak or off-peak load time interval within any 24-hour interval; and
for commodities, similar instruments are those of the same commodity. A commodity index is treated as a separate commodity.
Hedging set categories | CCRM | |
---|---|---|
1. | Interest Rates | 0,2 % |
2. | Interest Rates for risk positions from a reference debt instrument that underlies a credit default swap and to which a capital charge of 1,6 %, or less, applies under Table 1 of Annex I to Directive 2006/49/EC | 0,3 % |
3. | Interest Rates for risk positions from a debt instrument or reference debt instrument to which a capital charge of more than 1,6 % applies under Table 1 of Annex I to Directive 2006/49/EC | 0,6 % |
4. | Exchange Rates | 2,5 % |
5. | Electric Power | 4 % |
6. | Gold | 5 % |
7. | Equity | 7 % |
8. | Precious Metals (except gold) | 8,5 % |
9. | Other Commodities (excluding precious metals and electricity power) | 10 % |
10. | Underlying instruments of OTC derivatives that are not in any of the above categories | 10 % |
Underlying instruments of OTC derivatives, as referred to in point 10 of Table 5, shall be assigned to separate individual hedging sets for each category of underlying instrument.
The Whole Directive you have selected contains over 200 provisions and might take some time to download. You may also experience some issues with your browser, such as an alert box that a script is taking a long time to run.
Would you like to continue?
Y Rhestrau you have selected contains over 200 provisions and might take some time to download. You may also experience some issues with your browser, such as an alert box that a script is taking a long time to run.
Would you like to continue?
Y Diweddaraf sydd Ar Gael (diwygiedig):Y fersiwn ddiweddaraf sydd ar gael o’r ddeddfwriaeth yn cynnwys newidiadau a wnaed gan ddeddfwriaeth ddilynol ac wedi eu gweithredu gan ein tîm golygyddol. Gellir gweld y newidiadau nad ydym wedi eu gweithredu i’r testun eto yn yr ardal ‘Newidiadau i Ddeddfwriaeth’.
Gwreiddiol (Fel y’i mabwysiadwyd gan yr UE): Mae'r wreiddiol version of the legislation as it stood when it was first adopted in the EU. No changes have been applied to the text.
Pwynt Penodol mewn Amser: This becomes available after navigating to view revised legislation as it stood at a certain point in time via Advanced Features > Show Timeline of Changes or via a point in time advanced search.
Rhychwant ddaearyddol: Indicates the geographical area that this provision applies to. For further information see ‘Frequently Asked Questions’.
Dangos Llinell Amser Newidiadau: See how this legislation has or could change over time. Turning this feature on will show extra navigation options to go to these specific points in time. Return to the latest available version by using the controls above in the What Version box.
Gallwch wneud defnydd o ddogfennau atodol hanfodol a gwybodaeth ar gyfer yr eitem ddeddfwriaeth o’r tab hwn. Yn ddibynnol ar yr eitem ddeddfwriaeth sydd i’w gweld, gallai hyn gynnwys:
Mae’r llinell amser yma yn dangos y fersiynau gwahanol a gymerwyd o EUR-Lex yn ogystal ag unrhyw fersiynau dilynol a grëwyd ar ôl y diwrnod ymadael o ganlyniad i newidiadau a wnaed gan ddeddfwriaeth y Deyrnas Unedig.
Cymerir dyddiadau fersiynau’r UE o ddyddiadau’r dogfennau ar EUR-Lex ac efallai na fyddant yn cyfateb â’r adeg pan ddaeth y newidiadau i rym ar gyfer y ddogfen.
Ar gyfer unrhyw fersiynau a grëwyd ar ôl y diwrnod ymadael o ganlyniad i newidiadau a wnaed gan ddeddfwriaeth y Deyrnas Unedig, bydd y dyddiad yn cyd-fynd â’r dyddiad cynharaf y daeth y newid (e.e. ychwanegiad, diddymiad neu gyfnewidiad) a weithredwyd i rym. Am ragor o wybodaeth gweler ein canllaw i ddeddfwriaeth ddiwygiedig ar Ddeall Deddfwriaeth.
Defnyddiwch y ddewislen hon i agor dogfennau hanfodol sy’n cyd-fynd â’r ddeddfwriaeth a gwybodaeth am yr eitem hon o ddeddfwriaeth. Gan ddibynnu ar yr eitem o ddeddfwriaeth sy’n cael ei gweld gall hyn gynnwys:
liciwch ‘Gweld Mwy’ neu ddewis ‘Rhagor o Adnoddau’ am wybodaeth ychwanegol gan gynnwys