TITLE ISUBJECT MATTER, SCOPE AND DEFINITIONSTITLE IIREQUIREMENTS FOR ACCESS TO THE TAKING UP AND PURSUIT OF THE BUSINESS OF CREDIT INSTITUTIONSTITLE IIIPROVISIONS CONCERNING THE FREEDOM OF ESTABLISHMENT AND THE FREEDOM TO PROVIDE SERVICESSection 1Credit institutionsSection 2Financial institutionsSection 3Exercise of the right of establishmentSection 4Exercise of the freedom to provide servicesSection 5Powers of the competent authorities of the host Member StateTITLE IVRELATIONS WITH THIRD COUNTRIESSection 1Notification in relation to third countries' undertakings and conditions of access to the markets of these countriesSection 2Cooperation with third countries' competent authorities regarding supervision on a consolidated basisTITLE VPRINCIPLES AND TECHNICAL INSTRUMENTS FOR PRUDENTIAL SUPERVISION AND DISCLOSURECHAPTER 1Principles of prudential supervisionSection 1Competence of home and host Member StateSection 2Exchange of information and professional secrecySection 3Duty of persons responsible for the legal control of annual and consolidated accountsSection 4Power of sanction and right to apply to the courtsCHAPTER 2Technical instruments of prudential supervisionSection 1Own fundsSection 2Provision against risksSubsection 1Level of applicationSubsection 2Calculation and reporting requirementsSubsection 3Minimum level of own fundsSection 3Minimum own funds requirements for credit riskSubsection 1Standardised approachSubsection 2Internal Ratings Based ApproachSubsection 3Credit risk mitigationSubsection 4SecuritisationSection 4Minimum own funds requirements for operational riskSection 5Large exposuresSection 6Qualifying holdings outside the financial sectorSection 7Exposures to transferred credit riskCHAPTER 3Credit institutions' assessment processCHAPTER 4Supervision and disclosure by competent authoritiesSection 1SupervisionSection 2Disclosure by competent authoritiesCHAPTER 5Disclosure by credit institutionsTITLE VI
DELEGATED ACTS AND POWERS OF EXECUTION
TITLE VIITRANSITIONAL AND FINAL PROVISIONSCHAPTER 1Transitional provisionsCHAPTER 2Final provisions1.. . . . . . . . . ....2.. . . . . . . . . ....3.. . . . . . . . . ....4.. . . . . . . . . ....5.. . . . . . . . . ....6.. . . . . . . . . ....7.Trading for own account or for account of customers in:...8.. . . . . . . . . ....9.. . . . . . . . . ....10.. . . . . . . . . ....11.. . . . . . . . . ....12.. . . . . . . . . ....13.. . . . . . . . . ....14.Safe custody services 15.. . . . . . . . . ....PART 1Definitions General terms 1.. . . . . . . . . ....2.. . . . . . . . . ....Transaction types 3.. . . . . . . . . ....4.. . . . . . . . . ....Netting sets, hedging sets, and related terms 5.. . . . . . . . . ....6.. . . . . . . . . ....7.. . . . . . . . . ....8.. . . . . . . . . ....9.. . . . . . . . . ....10.. . . . . . . . . ....11.. . . . . . . . . ....12.. . . . . . . . . ....13.. . . . . . . . . ....Distributions 14.. . . . . . . . . ....15.. . . . . . . . . ....16.. . . . . . . . . ....17.. . . . . . . . . ....Exposure measures and adjustments 18.. . . . . . . . . ....19.. . . . . . . . . ....20.. . . . . . . . . ....21.. . . . . . . . . ....22.. . . . . . . . . ....23.. . . . . . . . . ....24.. . . . . . . . . ....25.. . . . . . . . . ....CCR related risks 26.. . . . . . . . . ....27.. . . . . . . . . ....28.. . . . . . . . . ....PART 2Choice of the method 1.Subject to paragraphs 2 to 7, credit institutions shall determine...2.Subject to the approval of the competent authorities, credit institutions...3.When a credit institution purchases credit derivative protection against a...4.. . . . . . . . . ....5.. . . . . . . . . ....6.. . . . . . . . . ....7.. . . . . . . . . ....8.. . . . . . . . . ....PART 3Mark-to-Market Method Step (a):. . . . . . . . . ....Step (b):to obtain a figure for potential future credit exposure, except...Step (c):. . . . . . . . . ....PART 4Original Exposure Method Step (a):the notional principal amount of each instrument is multiplied by...Step (b):. . . . . . . . . ....PART 5Standardised Method 1.The Standardised Method (SM) can be used only for OTC...2.. . . . . . . . . ....3.. . . . . . . . . ....4.. . . . . . . . . ....5.. . . . . . . . . ....6.. . . . . . . . . ....7.. . . . . . . . . ....8.. . . . . . . . . ....9.. . . . . . . . . ....10.. . . . . . . . . ....11.Credit institutions may use the following formulae to determine the...12.The risk positions are to be grouped into hedging sets....13.For interest rate risk positions from money deposits received from...14.. . . . . . . . . ....15.There is one hedging set for each issuer of a...16.. . . . . . . . . ....17.Underlying financial instruments other than debt instruments shall be assigned...18.The CCR multipliers (CCRM) for the different hedging set categories...19.. . . . . . . . . ....20.. . . . . . . . . ....21.. . . . . . . . . ....PART 6Internal Model Method 1.. . . . . . . . . ....2.. . . . . . . . . ....3.. . . . . . . . . ....4.. . . . . . . . . ....Exposure value 5.. . . . . . . . . ....6.. . . . . . . . . ....7.The exposure value shall be calculated as the product of...8.Effective EE shall be computed recursively as: 9.In this regard, Effective EPE is the average Effective EE...10.. . . . . . . . . ....11.. . . . . . . . . ....12.. . . . . . . . . ....13.. . . . . . . . . ....14.. . . . . . . . . ....15.If the netting set is subject to a margin agreement,...16.. . . . . . . . . ....CCR control 17.. . . . . . . . . ....18.. . . . . . . . . ....19.. . . . . . . . . ....20.. . . . . . . . . ....21.. . . . . . . . . ....22.. . . . . . . . . ....23.. . . . . . . . . ....24.. . . . . . . . . ....25.. . . . . . . . . ....26.A credit institution shall conduct an independent review of its...Use test 27.. . . . . . . . . ....28.. . . . . . . . . ....29.. . . . . . . . . ....30.. . . . . . . . . ....31.. . . . . . . . . ....Stress testing 32.. . . . . . . . . ....33.. . . . . . . . . ....Wrong-Way Risk 34.. . . . . . . . . ....35.. . . . . . . . . ....Integrity of the modelling process 36.. . . . . . . . . ....37.. . . . . . . . . ....38.. . . . . . . . . ....39.A credit institution shall monitor the appropriate risks and have...40.. . . . . . . . . ....41.. . . . . . . . . ....Validation requirements for EPE models 42.A credit institution's EPE model shall meet the following validation...PART 7Contractual netting (contracts for novation and other netting agreements) 1.Interest-rate contracts: 2.Foreign-exchange contracts and contracts concerning gold: 3.. . . . . . . . . ....1.GOVERNANCE 1.. . . . . . . . . ....2.TREATMENT OF RISKS 2.. . . . . . . . . ....3.CREDIT AND COUNTERPARTY RISK 3.. . . . . . . . . ....4.. . . . . . . . . ....5.. . . . . . . . . ....4.RESIDUAL RISK 6.. . . . . . . . . ....5.CONCENTRATION RISK 7.. . . . . . . . . ....6.SECURITISATION RISK 8.. . . . . . . . . ....9.. . . . . . . . . ....7.MARKET RISK 10.. . . . . . . . . ....8.INTEREST RATE RISK ARISING FROM NON-TRADING ACTIVITIES 11.. . . . . . . . . ....9.OPERATIONAL RISK 12.. . . . . . . . . ....13.. . . . . . . . . ....10.LIQUIDITY RISK 14.. . . . . . . . . ....14a.. . . . . . . . . ....15.. . . . . . . . . ....16.. . . . . . . . . ....17.. . . . . . . . . ....18.. . . . . . . . . ....19.. . . . . . . . . ....20.. . . . . . . . . ....21.. . . . . . . . . ....22.. . . . . . . . . ....11.REMUNERATION POLICIES 23.When establishing and applying the total remuneration policies, inclusive of...24.Credit institutions that are significant in terms of their size,...PART 1RISK WEIGHTS1.EXPOSURES TO CENTRAL GOVERNMENTS OR CENTRAL BANKS 1.1.Treatment 1.. . . . . . . . . ....2.Subject to point 3, exposures to central governments and central...3.. . . . . . . . . ....1.2.Exposures in the national currency of the borrower 4.. . . . . . . . . ....5.. . . . . . . . . ....1.3.Use of credit assessments by Export Credit Agencies 6.Export Credit Agency credit assessments shall be recognised by the...7.Exposures for which a credit assessment by an Export Credit...2.EXPOSURES TO REGIONAL GOVERNMENTS OR LOCAL AUTHORITIES 8.. . . . . . . . . ....9.Exposures to regional governments and local authorities shall be treated...10.. . . . . . . . . ....11.. . . . . . . . . ....11a.. . . . . . . . . ....3.EXPOSURES TO ADMINISTRATIVE BODIES AND NON-COMMERCIAL UNDERTAKINGS 3.1.Treatment 12.. . . . . . . . . ....3.2.Public Sector Entities 13.. . . . . . . . . ....14.. . . . . . . . . ....15.. . . . . . . . . ....16.. . . . . . . . . ....17.. . . . . . . . . ....4.EXPOSURES TO MULTILATERAL DEVELOPMENT BANKS 4.1.Scope 18.. . . . . . . . . ....4.2.Treatment 19.. . . . . . . . . ....20.Exposures to the following multilateral development banks shall be assigned...21.. . . . . . . . . ....5.EXPOSURES TO INTERNATIONAL ORGANISATIONS 22.Exposures to the following international organisations shall be assigned a...6.EXPOSURES TO INSTITUTIONS 6.1.Treatment 23.. . . . . . . . . ....24.. . . . . . . . . ....6.2.Risk-weight floor on exposures to unrated institutions 25.. . . . . . . . . ....6.3.Central government risk weight based method 26.Exposures to institutions shall be assigned a risk weight according...27.. . . . . . . . . ....28.. . . . . . . . . ....6.4.Credit assessment based method 29.Exposures to institutions with a residual maturity of more than...30.. . . . . . . . . ....31.Exposures to an institution of up to three months residual...32.. . . . . . . . . ....6.5.Interaction with short-term credit assessments 33.. . . . . . . . . ....34.. . . . . . . . . ....35.. . . . . . . . . ....36.. . . . . . . . . ....6.6.Short-term exposures in the national currency of the borrower 37.. . . . . . . . . ....38.. . . . . . . . . ....6.7Investments in regulatory capital instruments 39.. . . . . . . . . ....6.8Minimum reserves required by the ECB 40.Where an exposure to an institution is in the form...7.EXPOSURES TO CORPORATES 7.1.Treatment 41.Exposures for which a credit assessment by a nominated ECAI...42.. . . . . . . . . ....8.RETAIL EXPOSURES 43.. . . . . . . . . ....9.EXPOSURES SECURED BY REAL ESTATE PROPERTY 44.. . . . . . . . . ....9.1.Exposures secured by mortgages on residential property 45.. . . . . . . . . ....46.. . . . . . . . . ....47.. . . . . . . . . ....48.In the exercise of their judgement for the purposes of...49.. . . . . . . . . ....50.. . . . . . . . . ....9.2.Exposures secured by mortgages on commercial real estate 51.. . . . . . . . . ....52.. . . . . . . . . ....53.. . . . . . . . . ....54.The application of points 51 to 53 is subject to...55.The 50 % risk weight shall be assigned to the...56.. . . . . . . . . ....57.. . . . . . . . . ....58.Competent authorities may dispense with the condition contained in point...59.. . . . . . . . . ....60.. . . . . . . . . ....10.PAST DUE ITEMS 61.Without prejudice to the provisions contained in points 62 to...62.. . . . . . . . . ....63.. . . . . . . . . ....64.. . . . . . . . . ....65.. . . . . . . . . ....11.ITEMS BELONGING TO REGULATORY HIGH-RISK CATEGORIES 66.. . . . . . . . . ....67.Competent authorities may permit non past due items to be...12.EXPOSURES IN THE FORM OF COVERED BONDS 68.‘Covered bonds’, shall mean bonds as defined in Article 22(4)...69.. . . . . . . . . ....70.. . . . . . . . . ....71.Covered bonds shall be assigned a risk weight on the...13.ITEMS REPRESENTING SECURITISATION POSITIONS 72.. . . . . . . . . ....14.EXPOSURES TO INSTITUTIONS AND CORPORATES WITH A SHORT-TERM CREDIT ASSESSMENT...73.Exposures to institutions where points 29 to 32 apply, and...15.EXPOSURES IN THE FORM OF COLLECTIVE INVESTMENT UNDERTAKINGS (CIUS) 74.. . . . . . . . . ....75.Exposures in the form of CIUs for which a credit...76.. . . . . . . . . ....77.Credit institutions may determine the risk weight for a CIU...78.. . . . . . . . . ....79.. . . . . . . . . ....80.. . . . . . . . . ....81.. . . . . . . . . ....16.OTHER ITEMS 16.1.Treatment 82.. . . . . . . . . ....83.. . . . . . . . . ....84.. . . . . . . . . ....85.. . . . . . . . . ....86.. . . . . . . . . ....87.. . . . . . . . . ....88.. . . . . . . . . ....89.. . . . . . . . . ....90.. . . . . . . . . ....PART 2Recognition of ECAIs and mapping of their credit assessments1.METHODOLOGY 1.1.Objectivity 1.. . . . . . . . . ....1.2.Independence 2.. . . . . . . . . ....3.Independence of the ECAI's methodology shall be assessed by competent...1.3.Ongoing review 4.. . . . . . . . . ....5.Before any recognition, competent authorities shall verify that the assessment...6.. . . . . . . . . ....1.4.Transparency and disclosure 7.. . . . . . . . . ....2.INDIVIDUAL CREDIT ASSESSMENTS 2.1.Credibility and market acceptance 8.. . . . . . . . . ....9.Credibility shall be assessed by competent authorities according to factors...2.2.Transparency and Disclosure 10.. . . . . . . . . ....11.. . . . . . . . . ....3.‘MAPPING’ 12.. . . . . . . . . ....13.. . . . . . . . . ....14.. . . . . . . . . ....15.. . . . . . . . . ....16.. . . . . . . . . ....PART 3Use of ECAIs' credit assessments for the determination of risk weights1.TREATMENT 1.. . . . . . . . . ....2.. . . . . . . . . ....3.. . . . . . . . . ....4.. . . . . . . . . ....5.. . . . . . . . . ....6.. . . . . . . . . ....7.. . . . . . . . . ....2.ISSUER AND ISSUE CREDIT ASSESSMENT 8.. . . . . . . . . ....9.. . . . . . . . . ....10.. . . . . . . . . ....11.. . . . . . . . . ....3.LONG-TERM AND SHORT-TERM CREDIT ASSESSMENTS 12.. . . . . . . . . ....13.. . . . . . . . . ....14.. . . . . . . . . ....15.. . . . . . . . . ....4.DOMESTIC AND FOREIGN CURRENCY ITEMS 16.. . . . . . . . . ....17.. . . . . . . . . ....PART 1Risk weighted exposure amounts and expected loss amounts1.CALCULATION OF RISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT RISK 1.. . . . . . . . . ....2.. . . . . . . . . ....1.1.Risk weighted exposure amounts for exposures to corporates, institutions and...3.Subject to points 5 to 9, the risk weighted exposure...4.The risk weighted exposure amount for each exposure which meets...5.For exposures to companies where the total annual sales for...6.For specialised lending exposures in respect of which a credit...7.. . . . . . . . . ....8.. . . . . . . . . ....9.. . . . . . . . . ....1.2.Risk weighted exposure amounts for retail exposures 10.Subject to points 12 and 13, the risk weighted exposure...11.. . . . . . . . . ....12.. . . . . . . . . ....13.For qualifying revolving retail exposures as defined in points (a)...14.To be eligible for the retail treatment, purchased receivables shall...15.. . . . . . . . . ....16.. . . . . . . . . ....1.3.Risk weighted exposure amounts for equity exposures 17.. . . . . . . . . ....18.. . . . . . . . . ....1.3.1.Simple risk weight approach 19.The risk weighted exposure amount shall be calculated according to...20.. . . . . . . . . ....21.. . . . . . . . . ....1.3.2.PD/LGD approach 22.. . . . . . . . . ....23.. . . . . . . . . ....24.. . . . . . . . . ....1.3.3.Internal models approach 25.. . . . . . . . . ....26.. . . . . . . . . ....1.4.Risk weighted exposure amounts for other non credit-obligation assets 27.The risk weighted exposure amounts shall be calculated according to...2.CALCULATION OF RISK WEIGHTED EXPOSURE AMOUNTS FOR DILUTION RISK OF...28.Risk weights for dilution risk of purchased corporate and retail...3.CALCULATION OF EXPECTED LOSS AMOUNTS 29.. . . . . . . . . ....30.The expected loss amounts for exposures to corporates, institutions, central...31.The EL values for specialised lending exposures where credit institutions...32.The expected loss amounts for equity exposures where the risk...33.The expected loss amounts for equity exposures where the risk...34.. . . . . . . . . ....35.The expected loss amounts for dilution risk of purchased receivables...4.TREATMENT OF EXPECTED LOSS AMOUNTS 36.. . . . . . . . . ....PART 2PD, LGD and Maturity1.. . . . . . . . . ....1.EXPOSURES TO CORPORATES, INSTITUTIONS AND CENTRAL GOVERNMENTS AND CENTRAL BANKS...1.1.PD 2.. . . . . . . . . ....3.. . . . . . . . . ....4.. . . . . . . . . ....5.. . . . . . . . . ....6.. . . . . . . . . ....7.. . . . . . . . . ....1.2.LGD 8.Credit institutions shall use the following LGD values: 9.. . . . . . . . . ....10.. . . . . . . . . ....11.. . . . . . . . . ....1.3.Maturity 12.. . . . . . . . . ....13.Credit institutions permitted to use own LGDs and/or own conversion...14.Notwithstanding point 13(a), (b), (c), (d) and (e), M shall...15.. . . . . . . . . ....16.. . . . . . . . . ....2.RETAIL EXPOSURES 2.1.PD 17.. . . . . . . . . ....18.. . . . . . . . . ....19.. . . . . . . . . ....20.. . . . . . . . . ....2.2.LGD 21.. . . . . . . . . ....22.. . . . . . . . . ....23.. . . . . . . . . ....3.EQUITY EXPOSURES SUBJECT TO PD/LGD METHOD 3.1.PD 24.PDs shall be determined according to the methods for corporate...3.2.LGD 25.. . . . . . . . . ....26.. . . . . . . . . ....3.3.Maturity 27.. . . . . . . . . ....PART 3Exposure value1.EXPOSURES TO CORPORATES, INSTITUTIONS, CENTRAL GOVERNMENTS AND CENTRAL BANKS AND...1.. . . . . . . . . ....2.. . . . . . . . . ....3.. . . . . . . . . ....4.The exposure value for leases shall be the discounted minimum...5.. . . . . . . . . ....6.. . . . . . . . . ....7.. . . . . . . . . ....8.. . . . . . . . . ....9.The exposure value for the following items shall be calculated...10.. . . . . . . . . ....11.For all off-balance sheet items other than those mentioned in...2.EQUITY EXPOSURES 12.The exposure value shall be the value presented in the...3.OTHER NON CREDIT-OBLIGATION ASSETS 13.. . . . . . . . . ....PART 4Minimum requirements for IRB Approach1.RATING SYSTEMS 1.. . . . . . . . . ....2.. . . . . . . . . ....3.. . . . . . . . . ....1.1.Structure of rating systems 4.. . . . . . . . . ....1.1.1.Exposures to corporates, institutions and central governments and central banks...5.. . . . . . . . . ....6.. . . . . . . . . ....7.. . . . . . . . . ....8.. . . . . . . . . ....9.. . . . . . . . . ....10.. . . . . . . . . ....11.. . . . . . . . . ....12.. . . . . . . . . ....1.1.2.Retail exposures 13.. . . . . . . . . ....14.. . . . . . . . . ....15.. . . . . . . . . ....16.Credit institutions shall consider the following risk drivers when assigning...1.2.Assignment to grades or pools 17.A credit institution shall have specific definitions, processes and criteria...18.. . . . . . . . . ....1.3.Assignment of exposures 1.3.1.Exposures to corporates, institutions and central governments and central banks...19.. . . . . . . . . ....20.. . . . . . . . . ....21.. . . . . . . . . ....22.. . . . . . . . . ....23.Separate exposures to the same obligor shall be assigned to...1.3.2.Retail exposures 24.. . . . . . . . . ....1.3.3.Overrides 25.. . . . . . . . . ....1.4.Integrity of assignment process 1.4.1.Exposures to corporates, institutions and central governments and central banks...26.. . . . . . . . . ....27.. . . . . . . . . ....28.. . . . . . . . . ....1.4.2.Retail exposures 29.. . . . . . . . . ....1.5.Use of models 30.If a credit institution uses statistical models and other mechanical...1.6.Documentation of rating systems 31.. . . . . . . . . ....32.. . . . . . . . . ....33.. . . . . . . . . ....34.If the credit institution employs statistical models in the rating...35.. . . . . . . . . ....1.7.Data maintenance 36.. . . . . . . . . ....1.7.1.Exposures to corporates, institutions and central governments and central banks...37.Credit institutions shall collect and store: 38.Credit institutions using own estimates of LGDs and/or conversion factors...1.7.2.Retail exposures 39.Credit institutions shall collect and store: 1.8.Stress tests used in assessment of capital adequacy 40.. . . . . . . . . ....41.. . . . . . . . . ....42.. . . . . . . . . ....2.RISK QUANTIFICATION 43.. . . . . . . . . ....2.1.Definition of default 44.A ‘default’ shall be considered to have occurred with regard...45.Elements to be taken as indications of unlikeliness to pay...46.. . . . . . . . . ....47.. . . . . . . . . ....48.. . . . . . . . . ....2.2.Overall requirements for estimation 49.. . . . . . . . . ....50.. . . . . . . . . ....51.. . . . . . . . . ....52.. . . . . . . . . ....53.. . . . . . . . . ....54.. . . . . . . . . ....55.. . . . . . . . . ....56.. . . . . . . . . ....57.If a credit institution uses data that is pooled across...58.. . . . . . . . . ....2.2.1.Requirements specific to PD estimation Exposures to corporates, institutions and central governments and central banks...59.. . . . . . . . . ....60.. . . . . . . . . ....61.. . . . . . . . . ....62.. . . . . . . . . ....63.. . . . . . . . . ....64.. . . . . . . . . ....65.. . . . . . . . . ....66.. . . . . . . . . ....Retail exposures 67.. . . . . . . . . ....68.. . . . . . . . . ....69.Credit institutions shall regard internal data for assigning exposures to...70.. . . . . . . . . ....71.. . . . . . . . . ....72.. . . . . . . . . ....2.2.2.Requirements specific to own-LGD estimates 73.. . . . . . . . . ....74.. . . . . . . . . ....75.. . . . . . . . . ....76.. . . . . . . . . ....77.. . . . . . . . . ....78.. . . . . . . . . ....79.. . . . . . . . . ....80.. . . . . . . . . ....81.. . . . . . . . . ....Exposures to corporates, institutions and central governments and central banks...82.. . . . . . . . . ....Retail exposures 83.. . . . . . . . . ....84.. . . . . . . . . ....85.. . . . . . . . . ....86.. . . . . . . . . ....2.2.3.Requirements specific to own-conversion factor estimates 87.. . . . . . . . . ....88.. . . . . . . . . ....89.Credit institutions' estimates of conversion factors shall reflect the possibility...90.. . . . . . . . . ....91.. . . . . . . . . ....92.. . . . . . . . . ....Exposures to corporates, institutions and central governments and central banks...93.. . . . . . . . . ....Retail exposures 94.. . . . . . . . . ....95.. . . . . . . . . ....2.2.4.Minimum requirements for assessing the effect of guarantees and credit...96.. . . . . . . . . ....97.. . . . . . . . . ....Eligible guarantors and guarantees 98.. . . . . . . . . ....99.. . . . . . . . . ....100.. . . . . . . . . ....Adjustment criteria 101.. . . . . . . . . ....102.. . . . . . . . . ....Credit derivatives 103.. . . . . . . . . ....104.. . . . . . . . . ....2.2.5.Minimum requirements for purchased receivables Legal certainty 105.. . . . . . . . . ....Effectiveness of monitoring systems 106.The credit institution shall monitor both the quality of the...Effectiveness of work-out systems 107.. . . . . . . . . ....Effectiveness of systems for controlling collateral, credit availability, and cash...108.. . . . . . . . . ....Compliance with the credit institution's internal policies and procedures 109.. . . . . . . . . ....3.VALIDATION OF INTERNAL ESTIMATES 110.. . . . . . . . . ....111.. . . . . . . . . ....112.. . . . . . . . . ....113.. . . . . . . . . ....114.. . . . . . . . . ....4.CALCULATION OF RISK WEIGHTED EXPOSURE AMOUNTS FOR EQUITY EXPOSURES UNDER...4.1.Capital requirement and risk quantification 115.For the purpose of calculating capital requirements credit institutions shall...4.2.Risk management process and controls 116.With regard to the development and use of internal models...4.3.Validation and documentation 117.. . . . . . . . . ....118.. . . . . . . . . ....119.. . . . . . . . . ....120.. . . . . . . . . ....121.. . . . . . . . . ....122.. . . . . . . . . ....123.. . . . . . . . . ....5.CORPORATE GOVERNANCE AND OVERSIGHT 5.1.Corporate Governance 124.. . . . . . . . . ....125.. . . . . . . . . ....126.. . . . . . . . . ....127.. . . . . . . . . ....5.2.Credit risk control 128.. . . . . . . . . ....129.The areas of responsibility for the credit risk control unit(s)...130.Notwithstanding point 129, credit institutions using pooled data according to...5.3.Internal Audit 131.. . . . . . . . . ....PART 1Eligibility1.. . . . . . . . . ....2.For the purposes of this Annex: 1.FUNDED CREDIT PROTECTION 1.1.On-balance sheet netting 3.. . . . . . . . . ....4.. . . . . . . . . ....1.2.Master netting agreements covering repurchase transactions and/or securities or commodities...5.. . . . . . . . . ....1.3.Collateral 6.. . . . . . . . . ....1.3.1.Eligibility under all approaches and methods 7.The following financial items may be recognised as eligible collateral...8.Debt securities issued by institutions which securities do not have...9.Units in collective investment undertakings may be recognised as eligible...10.. . . . . . . . . ....1.3.2.Additional eligibility under the Financial Collateral Comprehensive Method 11.In addition to the collateral set out in points 7...1.3.3.Additional eligibility for calculations under Articles 84 to 89 12.. . . . . . . . . ....(a)Real estate collateral 13.Residential real estate property which is or will be occupied...14.. . . . . . . . . ....15.. . . . . . . . . ....16.. . . . . . . . . ....17.The competent authorities of the Member States may waive the...18.. . . . . . . . . ....19.. . . . . . . . . ....(b)Receivables 20.. . . . . . . . . ....(c)Other physical collateral 21.The competent authorities may recognise as eligible collateral physical items...(d)Leasing 22.. . . . . . . . . ....1.4.Other funded credit protection 1.4.1.Cash on deposit with, or cash assimilated instruments held by,...23.. . . . . . . . . ....1.4.2.Life insurance policies pledged to the lending credit institution 24.. . . . . . . . . ....1.4.3.Institution instruments repurchased on request 25.. . . . . . . . . ....2.UNFUNDED CREDIT PROTECTION 2.1.Eligibility of protection providers under all approaches 26.The following parties may be recognised as eligible providers of...27.. . . . . . . . . ....28.. . . . . . . . . ....2.2Eligibility of protection providers under the IRB Approach which qualify...29.Institutions, insurance and reinsurance undertakings and export credit agencies which...3.TYPES OF CREDIT DERIVATIVES 30.The following types of credit derivatives, and instruments that may...31.. . . . . . . . . ....3.1.Internal hedges 32.. . . . . . . . . ....PART 2Minimum Requirements1.. . . . . . . . . ....2.. . . . . . . . . ....1.FUNDED CREDIT PROTECTION 1.1.On-balance sheet netting agreements (other than master netting agreements covering...3.For on-balance sheet netting agreements — other than master netting...1.2.Master netting agreements covering repurchase transactions and/or securities or commodities...4.For master netting agreements covering repurchase transactions and/or securities or...5.. . . . . . . . . ....1.3.Financial collateral 1.3.1.Minimum requirements for the recognition of financial collateral under all...6.For the recognition of financial collateral and gold, the following...1.3.2.Additional minimum requirements for the recognition of financial collateral under...7.. . . . . . . . . ....1.4.Minimum requirements for the recognition of real estate collateral 8.For the recognition of real estate collateral the following conditions...1.5.Minimum requirements for the recognition of receivables as collateral 9.For the recognition of receivables as collateral the following conditions...1.6.Minimum requirements for the recognition of other physical collateral 10.For the recognition of other physical collateral the following conditions...1.7.Minimum requirements for treating lease exposures as collateralised 11.For the exposures arising from leasing transactions to be treated...1.8.Minimum requirements for the recognition of other funded credit protection...1.8.1.Cash on deposit with, or cash assimilated instruments held by,...12.To be eligible for the treatment set out at Part...1.8.2.Life insurance policies pledged to the lending credit institution. 13.For life insurance policies pledged to the lending credit institution...2.UNFUNDED CREDIT PROTECTION AND CREDIT LINKED NOTES 2.1.Requirements common to guarantees and credit derivatives 14.Subject to point 16, for the credit protection deriving from...2.1.1.Operational requirements 15.. . . . . . . . . ....2.2.Sovereign and other public sector counter-guarantees 16.Where an exposure is protected by a guarantee which is...17.. . . . . . . . . ....2.3.Additional requirements for guarantees 18.For a guarantee to be recognised the following conditions shall...19.In the case of guarantees provided in the context of...2.4.Additional requirements for credit derivatives 20.For a credit derivative to be recognised the following conditions...21.A mismatch between the underlying obligation and the reference obligation...2.5.Requirements to qualify for the treatment set out in Annex...22.To be eligible for the treatment set out in Annex...PART 3Calculating the effects of credit risk mitigation1.. . . . . . . . . ....2.. . . . . . . . . ....1.FUNDED CREDIT PROTECTION 1.1.Credit linked notes 3.. . . . . . . . . ....1.2.On-balance sheet netting 4.. . . . . . . . . ....1.3.Master netting agreements covering repurchase transactions and/or securities or commodities...1.3.1.Calculation of the fully-adjusted exposure value (a)Using the ‘Supervisory’ volatility adjustments or the ‘Own Estimates’ volatility...5.. . . . . . . . . ....6.. . . . . . . . . ....7.. . . . . . . . . ....8.. . . . . . . . . ....9.. . . . . . . . . ....10.. . . . . . . . . ....11.E* shall be calculated according to the following formula: (b)Using the Internal Models approach 12.. . . . . . . . . ....13.. . . . . . . . . ....14.. . . . . . . . . ....15.. . . . . . . . . ....16.Recognition shall only be given if the competent authority is...17.The calculation of the potential change in value shall be...18.. . . . . . . . . ....19.. . . . . . . . . ....20.The fully adjusted exposure value (E*) for credit institutions using...21.. . . . . . . . . ....1.3.2.Calculating risk-weighted exposure amounts and expected loss amounts for repurchase...22.E* as calculated under points 5 to 21 shall be...23.. . . . . . . . . ....1.4.Financial collateral 1.4.1.Financial Collateral Simple Method 24.The Financial Collateral Simple Method shall be available only where...25.Under this method, recognised financial collateral is assigned a value...26.The risk weight that would be assigned under Articles 78...27.A risk weight of 0 % shall be assigned to...28.A risk weight of 0 % shall, to the extent...29.A 0 % risk weight may be assigned where the...1.4.2.Financial Collateral Comprehensive Method 30.. . . . . . . . . ....31.. . . . . . . . . ....32.. . . . . . . . . ....(a)Calculating adjusted values 33.The volatility-adjusted value of the collateral to be taken into...(b)Calculation of volatility adjustments to be applied 34.. . . . . . . . . ....35.A credit institution may choose to use the Supervisory volatility...(i)Supervisory volatility adjustments 36.The volatility adjustments to be applied under the Supervisory volatility...VOLATILITY ADJUSTMENTS 37.. . . . . . . . . ....38.. . . . . . . . . ....39.. . . . . . . . . ....40.. . . . . . . . . ....41.. . . . . . . . . ....(ii)Own estimates of volatility adjustments 42.. . . . . . . . . ....43.. . . . . . . . . ....44.. . . . . . . . . ....45.. . . . . . . . . ....46.. . . . . . . . . ....47.. . . . . . . . . ....48.. . . . . . . . . ....49.Credit institutions may use volatility adjustment numbers calculated according to...50.. . . . . . . . . ....51.. . . . . . . . . ....52.. . . . . . . . . ....53.. . . . . . . . . ....54.. . . . . . . . . ....55.. . . . . . . . . ....56.An independent review of the credit institution's system for the...(iii)Scaling up of volatility adjustments 57.The volatility adjustments set out in points 36 to 41...(iv)Conditions for applying a 0 % volatility adjustment 58.In relation to repurchase transactions and securities lending or borrowing...59.. . . . . . . . . ....(c)Calculating risk-weighted exposure amounts and expected loss amounts 60.E* as calculated under point 33 shall be taken as...61.LGD* (the effective LGD)calculated as set out in this point...1.5.Other eligible collateral for Articles 84 to 89 1.5.1.Valuation (a)Real estate collateral 62.. . . . . . . . . ....63.. . . . . . . . . ....64.. . . . . . . . . ....65.. . . . . . . . . ....(b)Receivables 66.. . . . . . . . . ....(c)Other physical collateral 67.. . . . . . . . . ....1.5.2.Calculating risk-weighted exposure amounts and expected loss amounts (a)General treatment 68.. . . . . . . . . ....69.. . . . . . . . . ....70.. . . . . . . . . ....71.. . . . . . . . . ....72.Table 5 sets out the applicable LGD* and required collateralisation...(b)Alternative treatment for real estate collateral 73.Subject to the requirements of this point and point 74...74.. . . . . . . . . ....75.. . . . . . . . . ....1.6.Calculating risk-weighted exposure amounts and expected loss amounts in the...76.. . . . . . . . . ....77.. . . . . . . . . ....78.. . . . . . . . . ....1.7.Other funded credit protection 1.7.1.Deposits with third party institutions 79.. . . . . . . . . ....1.7.2.Life insurance policies pledged to the lending credit institution 80.Where the conditions set out in Part 2, point 13...80a.For purposes of point 80(a), the following risk weights shall...1.7.3.Institution instruments repurchased on request 81.. . . . . . . . . ....82.The value of the credit protection recognised shall be the...2.UNFUNDED CREDIT PROTECTION 2.1.Valuation 83.The value of unfunded credit protection (G) shall be the...84.Where unfunded credit protection is denominated in a currency different...85.. . . . . . . . . ....2.2.Calculating risk-weighted exposure amounts and expected loss amounts 2.2.1.Partial protection — tranching 86.. . . . . . . . . ....2.2.2.Standardised Approach (a)Full protection 87.For the purposes of Article 80, g shall be the...(b)Partial protection — equal seniority 88.Where the protected amount is less than the exposure value...(c)Sovereign guarantees 89.. . . . . . . . . ....2.2.3.IRB Approach 90.. . . . . . . . . ....91.. . . . . . . . . ....92.. . . . . . . . . ....PART 4Maturity Mismatches1.. . . . . . . . . ....2.Where there is a maturity mismatch the credit protection shall...1.DEFINITION OF MATURITY 3.. . . . . . . . . ....4.. . . . . . . . . ....5.. . . . . . . . . ....2.VALUATION OF PROTECTION 2.1.Transactions subject to funded credit protection — Financial Collateral Simple...6.. . . . . . . . . ....2.2.Transactions subject to funded credit protection — Financial Collateral Comprehensive...7.The maturity of the credit protection and that of the...2.3.Transactions subject to unfunded credit protection 8.The maturity of the credit protection and that of the...PART 5Combinations of credit risk mitigation in the Standardised Approach1.. . . . . . . . . ....2.. . . . . . . . . ....PART 6Basket CRM techniques1.FIRST-TO-DEFAULT CREDIT DERIVATIVES 1.. . . . . . . . . ....2.N NTH-TO-DEFAULT CREDIT DERIVATIVES 2.. . . . . . . . . ....PART 1Definitions for the purposes of Annex IX1.For the purposes of this Annex: PART 2Minimum requirements for recognition of significant credit risk transfer and calculation of risk-weighted exposure amounts and expected loss amounts for securitised exposures1.MINIMUM REQUIREMENTS FOR RECOGNITION OF SIGNIFICANT CREDIT RISK TRANSFER IN...1.The originator credit institution of a traditional securitisation may exclude...1a.Unless the competent authority decides in a specific instance that...1b.For the purposes of point 1a, mezzanine securitisation positions mean...1c.. . . . . . . . . ....1d.In addition to points 1 to 1c, all the following...2.MINIMUM REQUIREMENTS FOR RECOGNITION OF SIGNIFICANT CREDIT RISK TRANSFER IN...2.An originator credit institution of a synthetic securitisation may calculate...2a.Unless the competent authority decides on a case- by-case basis...2b.For the purposes of point 2a, mezzanine securitisation positions means...2c.. . . . . . . . . ....2d.In addition, the transfer shall comply with the following conditions:...3.ORIGINATOR CREDIT INSTITUTIONS' CALCULATION OF RISK-WEIGHTED EXPOSURE AMOUNTS FOR EXPOSURES...3.. . . . . . . . . ....4.. . . . . . . . . ....3.1.Treatment of maturity mismatches in synthetic securitisations 5.. . . . . . . . . ....6.. . . . . . . . . ....7.An originator credit institution shall ignore any maturity mismatch in...PART 3External credit assessments1.REQUIREMENTS TO BE MET BY THE CREDIT ASSESSMENTS OF ECAIS...1.To be used for the purposes of calculating risk-weighted exposure...2.USE OF CREDIT ASSESSMENTS 2.. . . . . . . . . ....3.. . . . . . . . . ....4.. . . . . . . . . ....5.. . . . . . . . . ....6.. . . . . . . . . ....7.. . . . . . . . . ....7a.. . . . . . . . . ....3.MAPPING 8.. . . . . . . . . ....9.. . . . . . . . . ....PART 4Calculation1.CALCULATION OF RISK-WEIGHTED EXPOSURE AMOUNTS 1.. . . . . . . . . ....2.Subject to point 3: 3.. . . . . . . . . ....4.. . . . . . . . . ....5.Where a credit institution has two or more overlapping positions...2.CALCULATION OF RISK-WEIGHTED EXPOSURE AMOUNTS UNDER THE STANDARDISED APPROACH 6.Subject to point 8, the risk-weighted exposure amount of a...7.. . . . . . . . . ....2.1.Originator and sponsor credit institutions 8.. . . . . . . . . ....2.2.Treatment of unrated positions 9.. . . . . . . . . ....10.. . . . . . . . . ....2.3.Treatment of securitisation positions in a second loss tranche or...11.. . . . . . . . . ....12.For the treatment set out in point 11 to be...2.4.Treatment of unrated liquidity facilities 2.4.1.Eligible liquidity facilities 13.When the following conditions are met, to determine its exposure...2.4.2.Liquidity facilities that may be drawn only in the event...14.. . . . . . . . . ....2.4.3.Cash advance facilities 15.. . . . . . . . . ....2.5.Additional capital requirements for securitisations of revolving exposures with early...16.. . . . . . . . . ....17.. . . . . . . . . ....18.. . . . . . . . . ....19.For the purposes of point 16 to 31, ‘originator's interest’...20.. . . . . . . . . ....2.5.1.Exemptions from early amortisation treatment 21.Originators of the following types of securitisation are exempt from...2.5.2.Maximum capital requirement 22.For an originator credit institution subject to the capital requirement...23.. . . . . . . . . ....2.5.3.Calculation of risk-weighted exposure amounts 24.. . . . . . . . . ....25.An early amortisation provision shall be considered to be ‘controlled’...26.. . . . . . . . . ....27.. . . . . . . . . ....28.The conversion figure to be applied shall be determined by...29.. . . . . . . . . ....30.. . . . . . . . . ....31.. . . . . . . . . ....32.. . . . . . . . . ....33.. . . . . . . . . ....2.6.Recognition of credit risk mitigation on securitisation positions 34.. . . . . . . . . ....2.7.Reduction in risk-weighted exposure amounts 35.. . . . . . . . . ....36.. . . . . . . . . ....3.CALCULATION OF RISK-WEIGHTED EXPOSURE AMOUNTS UNDER THE INTERNAL RATINGS BASED...3.1.Hierarchy of methods 37.. . . . . . . . . ....38.. . . . . . . . . ....39.. . . . . . . . . ....40.. . . . . . . . . ....41.. . . . . . . . . ....3.1.1.Use of inferred ratings 42.When the following minimum operational requirements are satisfied, an institution...3.1.2.The ‘Internal Assessment Approach’ for positions in ABCP programmes 43.Subject to the approval of the competent authorities, when the...44.. . . . . . . . . ....3.2.Maximum risk-weighted exposure amounts 45.. . . . . . . . . ....3.3.Ratings Based Method 46.Under the Ratings Based Method, the risk-weighted exposure amount of...47.. . . . . . . . . ....48.A risk weight of 6 % may be applied to...49.In calculating the effective number of exposures securitised multiple exposures...50.. . . . . . . . . ....51.. . . . . . . . . ....3.4.Supervisory Formula Method 52.. . . . . . . . . ....53.Subject to points 58 and 59, the risk weight to...54.. . . . . . . . . ....3.5.Liquidity Facilities 55.. . . . . . . . . ....3.5.1.Liquidity Facilities Only Available in the Event of General Market...56.. . . . . . . . . ....3.5.2.Cash advance facilities 57.. . . . . . . . . ....3.5.3.Exceptional treatment where Kirb cannot be calculated. 58.. . . . . . . . . ....59.. . . . . . . . . ....3.6.Recognition of credit risk mitigation in respect of securitisation positions...3.6.1.Funded credit protection 60.. . . . . . . . . ....3.6.2.Unfunded credit protection 61.. . . . . . . . . ....3.6.3.Calculation of capital requirements for securitisation positions with credit risk...Ratings Based Method 62.. . . . . . . . . ....Supervisory Formula Method — full credit protection 63.. . . . . . . . . ....64.. . . . . . . . . ....65.. . . . . . . . . ....Supervisory formula method — partial protection 66.. . . . . . . . . ....67.. . . . . . . . . ....3.7.Additional capital requirements for securitisations of revolving exposures with early...68.. . . . . . . . . ....69.. . . . . . . . . ....70.For the purposes of these provisions, ‘originators interest’ shall be...71.. . . . . . . . . ....3.8.Reduction in risk-weighted exposure amounts 72.. . . . . . . . . ....73.. . . . . . . . . ....74.. . . . . . . . . ....75.For the purposes of point 74: 76.. . . . . . . . . ....PART 1Basic Indicator Approach1.CAPITAL REQUIREMENT 1.. . . . . . . . . ....2.RELEVANT INDICATOR 2.. . . . . . . . . ....3.. . . . . . . . . ....4.. . . . . . . . . ....2.1.Credit institutions subject to Directive 86/635/EEC 5.. . . . . . . . . ....6.These elements may need to be adjusted to reflect the...2.1.1.Qualifications 7.. . . . . . . . . ....8.The following elements shall not be used in the calculation...2.2.Credit institutions subject to a different accounting framework 9.. . . . . . . . . ....PART 2Standardised Approach1.CAPITAL REQUIREMENT 1.. . . . . . . . . ....2.The three-year average is calculated on the basis of the...3.. . . . . . . . . ....2.PRINCIPLES FOR BUSINESS LINE MAPPING 4.Credit institutions must develop and document specific policies and criteria...3.ALTERNATIVE INDICATORS FOR CERTAIN BUSINESS LINES 3.1.Modalities 5.. . . . . . . . . ....6.. . . . . . . . . ....7.. . . . . . . . . ....3.2.Conditions 8.. . . . . . . . . ....3.2.1.General condition 9.. . . . . . . . . ....3.2.2.Conditions specific to retail banking and commercial banking 10.. . . . . . . . . ....11.. . . . . . . . . ....4.QUALIFYING CRITERIA 12.Credit institutions must meet the qualifying criteria listed below, in...PART 3Advanced Measurement Approaches1.QUALIFYING CRITERIA 1.. . . . . . . . . ....1.1.Qualitative Standards 2.. . . . . . . . . ....3.. . . . . . . . . ....4.. . . . . . . . . ....5.. . . . . . . . . ....6.. . . . . . . . . ....7.The validation of the operational risk measurement system by the...1.2.Quantitative Standards 1.2.1.Process 8.. . . . . . . . . ....9.. . . . . . . . . ....10.. . . . . . . . . ....11.. . . . . . . . . ....12.. . . . . . . . . ....1.2.2.Internal data 13.. . . . . . . . . ....14.. . . . . . . . . ....15.. . . . . . . . . ....16.. . . . . . . . . ....17.. . . . . . . . . ....18.. . . . . . . . . ....1.2.3.External data 19.. . . . . . . . . ....1.2.4.Scenario analysis 20.. . . . . . . . . ....1.2.5.Business environment and internal control factors 21.. . . . . . . . . ....22.. . . . . . . . . ....23.. . . . . . . . . ....24.. . . . . . . . . ....2.IMPACT OF INSURANCE AND OTHER RISK TRANSFER MECHANISMS 25.. . . . . . . . . ....26.. . . . . . . . . ....27.The insurance and the credit institutions' insurance framework shall meet...28.The methodology for recognising insurance shall capture the following elements...29.. . . . . . . . . ....3.APPLICATION TO USE AN ADVANCED MEASUREMENT APPROACH ON A GROUP-WIDE...30.. . . . . . . . . ....31.. . . . . . . . . ....PART 4Combined use of different methodologies1.USE OF AN ADVANCED MEASUREMENT APPROACH IN COMBINATION WITH OTHER...1.A credit institution may use an Advanced Measurement Approach in...2.On a case-by case basis, the competent authority may impose...2.COMBINED USE OF THE BASIC INDICATOR APPROACH AND OF THE...3.. . . . . . . . . ....4.. . . . . . . . . ....PART 5Loss event type classification1.In addition to credit, market and operational risks, the review...1a.. . . . . . . . . ....2.. . . . . . . . . ....3.. . . . . . . . . ....PART 1General criteria1.. . . . . . . . . ....2.. . . . . . . . . ....3.. . . . . . . . . ....4.. . . . . . . . . ....5.. . . . . . . . . ....PART 2General requirements1.The risk management objectives and policies of the credit institution...2.The following information shall be disclosed regarding the scope of...3.The following information shall be disclosed by the credit institutions...4.The following information shall be disclosed regarding the compliance by...5.The following information shall be disclosed regarding the credit institution's...6.The following information shall be disclosed regarding the credit institution's...7.For credit institutions calculating the risk-weighted exposure amounts in accordance...8.. . . . . . . . . ....9.. . . . . . . . . ....10.The following information shall be disclosed by each credit institution...11.The following information shall be disclosed by the credit institutions...12.The following information shall be disclosed regarding the exposures in...13.The following information shall be disclosed by credit institutions on...14.Credit institutions calculating risk weighted exposure amounts in accordance with...15.The following information, including regular, at least annual, updates, shall...PART 3Qualifying requirements for the use of particular instruments or methodologies1.The credit institutions calculating the risk-weighted exposure amounts in accordance...2.The credit institutions applying credit risk mitigation techniques shall disclose...3.. . . . . . . . . ....PART ARepealed Directives Together With Their Successive Amendments (referred To In Article 158)PART Bdeadlines for transposition (referred to in Article 158)ATTACHMENTS
ANΝΕΧ XIV
CORRELATION TABLE
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)
F1. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Annotations:
Amendments (Textual)
Repealed by Directive 2013/36/EU of the European Parliament and of the Council of 26 June 2013 on access to the activity of credit institutions and the prudential supervision of credit institutions and investment firms, amending Directive 2002/87/EC and repealing Directives 2006/48/EC and 2006/49/EC (Text with EEA relevance).