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The competent authorities may allow the capital requirement for an exchange-traded future to be equal to the margin required by the exchange if they are fully satisfied that it provides an accurate measure of the risk associated with the future and that it is at least equal to the capital requirement for a future that would result from a calculation made using the method set out in this Annex or applying the internal models method described in Annex V. The competent authorities may also allow the capital requirement for an OTC derivatives contract of the type referred to in this point cleared by a clearing house recognised by them to be equal to the margin required by the clearing house if they are fully satisfied that it provides an accurate measure of the risk associated with the derivatives contract and that it is at least equal to the capital requirement for the contract in question that would result from a calculation made using the method set out in the this Annex or applying the internal models method described in Annex V.
For the purposes of this point, ‘long position’ means a position in which an institution has fixed the interest rate it will receive at some time in the future, and ‘short position’ means a position in which it has fixed the interest rate it will pay at some time in the future.
However, the competent authorities may also prescribe that institutions calculate their deltas using a methodology specified by the competent authorities.
Other risks, apart from the delta risk, associated with options shall be safeguarded against. The competent authorities may allow the requirement against a written exchange-traded option to be equal to the margin required by the exchange if they are fully satisfied that it provides an accurate measure of the risk associated with the option and that it is at least equal to the capital requirement against an option that would result from a calculation made using the method set out in the remainder of this Annex or applying the internal models method described in Annex V. The competent authorities may also allow the capital requirement for an OTC option cleared by a clearing house recognised by them to be equal to the margin required by the clearing house if they are fully satisfied that it provides an accurate measure of the risk associated with the option and that it is at least equal to the capital requirement for an OTC option that would result from a calculation made using the method set out in the remainder of this Annex or applying the internal models method described in Annex V. In addition they may allow the requirement on a bought exchange-traded or OTC option to be the same as that for the instrument underlying it, subject to the constraint that the resulting requirement does not exceed the market value of the option. The requirement against a written OTC option shall be set in relation to the instrument underlying it.
A total return swap creates a long position in the general market risk of the reference obligation and a short position in the general market risk of a government bond with a maturity equivalent to the period until the next interest fixing and which is assigned a 0 % risk weight under Annex VI of Directive 2006/48/EC. It also creates a long position in the specific risk of the reference obligation.
A credit default swap does not create a position for general market risk. For the purposes of specific risk, the institution must record a synthetic long position in an obligation of the reference entity, unless the derivative is rated externally and meets the conditions for a qualifying debt item, in which case a long position in the derivative is recorded. If premium or interest payments are due under the product, these cash flows must be represented as notional positions in government bonds.
A single name credit linked note creates a long position in the general market risk of the note itself, as an interest rate product. For the purpose of specific risk, a synthetic long position is created in an obligation of the reference entity. An additional long position is created in the issuer of the note. Where the credit linked note has an external rating and meets the conditions for a qualifying debt item, a single long position with the specific risk of the note need only be recorded.
In addition to a long position in the specific risk of the issuer of the note, a multiple name credit linked note providing proportional protection creates a position in each reference entity, with the total notional amount of the contract assigned across the positions according to the proportion of the total notional amount that each exposure to a reference entity represents. Where more than one obligation of a reference entity can be selected, the obligation with the highest risk weighting determines the specific risk.
Where a multiple name credit linked note has an external rating and meets the conditions for a qualifying debt item, a single long position with the specific risk of the note need only be recorded.
A first-asset-to-default credit derivative creates a position for the notional amount in an obligation of each reference entity. If the size of the maximum credit event payment is lower than the capital requirement under the method in the first sentence of this point, the maximum payment amount may be taken as the capital requirement for specific risk.
A second-asset-to-default credit derivative creates a position for the notional amount in an obligation of each reference entity less one (that with the lowest specific risk capital requirement). If the size of the maximum credit event payment is lower than the capital requirement under the method in the first sentence of this point, this amount may be taken as the capital requirement for specific risk.
[F1Where an n-th-to-default credit derivative is externally rated, the protection seller shall calculate the specific risk capital charge using the rating of the derivative and apply the respective securitisation risk weights as applicable.]
Textual Amendments
F1 Substituted by Directive 2010/76/EU of the European Parliament and of the Council of 24 November 2010 amending Directives 2006/48/EC and 2006/49/EC as regards capital requirements for the trading book and for re-securitisations, and the supervisory review of remuneration policies (Text with EEA relevance).
For the party who transfers credit risk (the protection buyer), the positions are determined as the mirror principle of the protection seller, with the exception of a credit linked note (which entails no short position in the issuer). If at a given moment there is a call option in combination with a step-up, such moment is treated as the maturity of the protection. In the case of first-to-default credit derivatives and nth-to-default credit derivatives, the following treatment applies instead of the mirror principle.
Where an institution obtains credit protection for a number of reference entities underlying a credit derivative under the terms that the first default among the assets shall trigger payment and that this credit event shall terminate the contract, the institution may offset specific risk for the reference entity to which the lowest specific risk percentage charge among the underlying reference entities applies according to Table 1 of this Annex.
Where the nth default among the exposures triggers payment under the credit protection, the protection buyer may only offset specific risk if protection has also been obtained for defaults 1 to n-1 or when n-1 defaults have already occurred. In such cases, the methodology set out above for first-to-default credit derivatives shall be followed appropriately modified for nth-to-default products.]
the positions are of the same value and denominated in the same currency;
the reference rate (for floating-rate positions) or coupon (for fixed-rate positions) is closely matched; and
the next interest-fixing date or, for fixed coupon positions, residual maturity corresponds with the following limits:
less than one month hence: same day;
between one month and one year hence: within seven days; and
over one year hence: within 30 days.
Textual Amendments
For the purposes of this point and points 14a and 16a, the institution may cap the product of the weight and the net position at the maximum possible default-risk related loss. For a short position, that limit may be calculated as a change in value due to the underlying names immediately becoming default risk-free.]
Categories | Specific risk capital charge |
---|---|
Debt securities issued or guaranteed by central governments, issued by central banks, international organisations, multilateral development banks or Member States′ regional government or local authorities which would qualify for credit quality step 1 or which would receive a 0 % risk weight under the rules for the risk weighting of exposures under Articles 78 to 83 of Directive 2006/48/EC. | 0 % |
Debt securities issued or guaranteed by central governments, issued by central banks, international organisations, multilateral development banks or Member States′ regional governments or local authorities which would qualify for credit quality step 2 or 3 under the rules for the risk weighting of exposures under Articles 78 to 83 of Directive 2006/48/EC, and debt securities issued or guaranteed by institutions which would qualify for credit quality step 1 or 2 under the rules for the risk weighting of exposures under Articles 78 to 83 of Directive 2006/48/EC, and debt securities issued or guaranteed by institutions which would qualify for credit quality step 3 under the rules for the risk weighting of exposures under point 29, Part 1 of Annex VI to Directive 2006/48/EC, and debt securities issued or guaranteed by corporates which would qualify for credit quality step 1, 2 or 3 under the rules for the risk weighting of exposures under Articles 78 to 83 of Directive 2006/48/EC. Other qualifying items as defined in point 15. | 0,25 % (residual term to final maturity six months or less) 1,00 % (residual term to final maturity greater than six months and up to and including 24 months) 1,60 % (residual term to maturity exceeding 24 months) |
Debt securities issued or guaranteed by central governments, issued by central banks, international organisations, multilateral development banks or Member States′ regional governments or local authorities or institutions which would qualify for credit quality step 4 or 5 under the rules for the risk weighting of exposures under Articles 78 to 83 of Directive 2006/48/EC, and debt securities issued or guaranteed by institutions which would qualify for credit quality step 3 under the rules for the risk weighting of exposures under point 26 of Part 1 of Annex VI to Directive 2006/48/EC, and debt securities issued or guaranteed by corporates which would qualify for credit quality step 4 under the rules for the risk weighting of exposures under Articles 78 to 83 of Directive 2006/48/EC. Exposures for which a credit assessment by a nominated ECAI is not available. | 8,0 % |
Debt securities issued or guaranteed by central governments, issued by central banks, international organisations, multilateral development banks or Member States′ regional governments or local authorities or institutions which would qualify for credit quality step 6 under the rules for the risk weighting of exposures under Articles 78 to 83 of Directive 2006/48/EC, and debt securities issued or guaranteed by corporates which would qualify for credit quality step 5 or 6 under the rules for the risk weighting of exposures under Articles 78 to 83 of Directive 2006/48/EC. | 12,0 %] |
For institutions which apply the rules for the risk weighting of exposures under Articles 84 to 89 of Directive 2006/48/EC, to qualify for a credit quality step the obligor of the exposure shall have an internal rating with a PD equivalent to or lower than that associated with the appropriate credit quality step under the rules for the risk weighting of exposures to corporates under Articles 78 to 83 of that Directive.
Instruments issued by a non-qualifying issuer shall receive a specific risk capital charge of 8 % or 12 % according to Table 1. Competent authorities may require institutions to apply a higher specific risk charge to such instruments and/or to disallow offsetting for the purposes of defining the extent of general market risk between such instruments and any other debt instruments.
Securitisation exposures that would be subject to a deduction treatment as set out in Article 66(2) of Directive 2006/48/EC, or risk-weighted at 1,25 % as set out in Part 4 of Annex IX to that Directive, shall be subject to a capital charge that is no less than that set out under those treatments. Unrated liquidity facilities shall be subject to a capital charge that is no less than that set out in Part 4 of Annex IX to Directive 2006/48/EC.
the total specific risk capital charges that would apply just to the net long positions of the correlation trading portfolio;
the total specific risk capital charges that would apply just to the net short positions of the correlation trading portfolio.
Textual Amendments
F3 Inserted by Directive 2010/76/EU of the European Parliament and of the Council of 24 November 2010 amending Directives 2006/48/EC and 2006/49/EC as regards capital requirements for the trading book and for re-securitisations, and the supervisory review of remuneration policies (Text with EEA relevance).
the positions are neither re-securitisation positions, nor options on a securitisation tranche, nor any other derivatives of securitisation exposures that do not provide a pro-rata share in the proceeds of a securitisation tranche; and
all reference instruments are either single-name instruments, including single-name credit derivatives for which a liquid two-way market exists, or commonly-traded indices based on those reference entities. A two-way market is deemed to exist where there are independent bona fide offers to buy and sell so that a price reasonably related to the last sales price or current bona fide competitive bid and offer quotations can be determined within 1 day and settled at such price within a relatively short time conforming to trade custom.
an underlying that is capable of being assigned to the exposure classes referred to in Article 79(1)(h) and (i) of Directive 2006/48/EC in an institution’s non-trading book; or
a claim on a special purpose entity.
An institution may include in the correlation trading portfolio positions which are neither securitisation positions nor n-th-to-default credit derivatives but which hedge other positions of that portfolio, provided that a liquid two-way market as described in point 14b(b) exists for the instrument or its underlyings.]
long and short positions in assets qualifying for a credit quality step corresponding at least to investment grade in the mapping process described in Title V, Chapter 2, Section 3, Sub-section 1 of Directive 2006/48/EC;
long and short positions in assets which, because of the solvency of the issuer, have a PD which is not higher than that of the assets referred to under (a), under the approach described in Title V, Chapter 2, Section 3, Sub-section 2 of Directive 2006/48/EC;
long and short positions in assets for which a credit assessment by a nominated external credit assessment institution is not available and which meet the following conditions:
they are considered by the institutions concerned to be sufficiently liquid;
their investment quality is, according to the institution's own discretion, at least equivalent to that of the assets referred to under point (a); and
they are listed on at least one regulated market in a Member State or on a stock exchange in a third country provided that the exchange is recognised by the competent authorities of the relevant Member State;
long and short positions in assets issued by institutions subject to the capital adequacy requirements set out in Directive 2006/48/EC which are considered by the institutions concerned to be sufficiently liquid and whose investment quality is, according to the institution's own discretion, at least equivalent to that of the assets referred to under point (a); and
securities issued by institutions that are deemed to be of equivalent, or higher, credit quality than those associated with credit quality step 2 under the rules for the risk weighting of exposures to institutions set out in Articles 78 to 83 of Directive 2006/48/EC and that are subject to supervisory and regulatory arrangements comparable to those under this Directive.
The manner in which the debt instruments are assessed shall be subject to scrutiny by the competent authorities, which shall overturn the judgment of the institution if they consider that the instruments concerned are subject to too high a degree of specific risk to be qualifying items.
for securitisation positions that would be subject to the Standardised Approach for credit risk in the same institution’s non-trading book, 8 % of the risk weight under the Standardised Approach as set out in Part 4 of Annex IX to Directive 2006/48/EC;
for securitisation positions that would be subject to the Internal Ratings Based Approach in the same institution’s non-trading book, 8 % of the risk weight under the Internal Ratings Based Approach as set out in Part 4 of Annex IX to Directive 2006/48/EC.
For the purpose of points (a) and (b), the Supervisory Formula Method may be used only with supervisory approval by institutions other than an originator institution that may apply it for the same securitisation position in its non-trading book. Where relevant, estimates of PD and LGD as inputs to the Supervisory Formula Method shall be determined in accordance with Articles 84 to 89 of Directive 2006/48/EC or alternatively and subject to separate supervisory approval, based on estimates that are derived from an approach set out in point 5a of Annex V and that are in line with the quantitative standards for the Internal Ratings Based Approach. The Committee of European Banking Supervisors shall establish guidelines in order to ensure a convergent use of estimates of PD and LGD as inputs when those estimates are based on the approach set out in point 5a of Annex V.
Notwithstanding points (a) and (b), for securitisation positions that would be subject to a risk weight in accordance with Article 122a of Directive 2006/48/EC if they were in the same institutions’ non-trading book, 8 % of the risk weight in accordance with that Article shall be applied.
The institution shall sum its weighted positions resulting from the application of this point (regardless of whether they are long or short) in order to calculate its capital requirement against specific risk.
By way of derogation from the fourth paragraph, for a transitional period ending 31 December 2013 , the institution shall sum separately its weighted net long positions and its weighted net short positions. The larger of those sums shall constitute the specific risk capital requirement. The institution shall, however, report to the home Member State competent authority the total sum of its weighted net long and net short positions, broken down by types of underlying assets.]
10 % of the sum of the matched weighted positions in all maturity bands;
40 % of the matched weighted position in zone one;
30 % of the matched weighted position in zone two;
30 % of the matched weighted position in zone three;
40 % of the matched weighted position between zones one and two and between zones two and three (see point 21);
150 % of the matched weighted position between zones one and three; and
100 % of the residual unmatched weighted positions.
where:
R = yield to maturity (see point 25),
Ct = cash payment in time t,
M = total maturity (see point 25).
The institution shall then calculate the unmatched duration-weighted positions for each zone. It shall then follow the procedures laid down for unmatched weighted positions in points 21 to 24.
2 % of the matched duration-weighted position for each zone;
40 % of the matched duration-weighted positions between zones one and two and between zones two and three;
150 % of the matched duration-weighted position between zones one and three; and
100 % of the residual unmatched duration-weighted positions.
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Textual Amendments
F4 Deleted by Directive 2010/76/EU of the European Parliament and of the Council of 24 November 2010 amending Directives 2006/48/EC and 2006/49/EC as regards capital requirements for the trading book and for re-securitisations, and the supervisory review of remuneration policies (Text with EEA relevance).
‘Working day zero’ shall be the working day on which the institution becomes unconditionally committed to accepting a known quantity of securities at an agreed price.
Thirdly, it shall calculate its capital requirements using the reduced underwriting positions.
The competent authorities shall ensure that the institution holds sufficient capital against the risk of loss which exists between the time of the initial commitment and working day 1.
the two legs consist of completely identical instruments; or
a long cash position is hedged by a total rate of return swap (or vice versa) and there is an exact match between the reference obligation and the underlying exposure (i.e., the cash position). The maturity of the swap itself may be different from that of the underlying exposure.
In these situations, a specific risk capital charge should not be applied to either side of the position.
the position falls under point 43(b) but there is an asset mismatch between the reference obligation and the underlying exposure. However, the positions meet the following requirements:
the reference obligation ranks pari passu with or is junior to the underlying obligation; and
the underlying obligation and reference obligation share the same obligor and have legally enforceable cross-default or cross-acceleration clauses;
the position falls under point 43(a) or point 44 but there is a currency or maturity mismatch between the credit protection and the underlying asset (currency mismatches should be included in the normal reporting foreign exchange risk under Annex III); or
the position falls under point 44 but there is an asset mismatch between the cash position and the credit derivative. However, the underlying asset is included in the (deliverable) obligations in the credit derivative documentation.
In each of those situations, rather than adding the specific risk capital requirements for each side of the transaction, only the higher of the two capital requirements shall apply.
the CIU's prospectus or equivalent document shall include:
the categories of assets the CIU is authorised to invest in;
if investment limits apply, the relative limits and the methodologies to calculate them;
if leverage is allowed, the maximum level of leverage; and
if investment in OTC financial derivatives or repo-style transactions are allowed, a policy to limit counterparty risk arising from these transactions;
the business of the CIU shall be reported in half-yearly and annual reports to enable an assessment to be made of the assets and liabilities, income and operations over the reporting period;
the units/shares of the CIU are redeemable in cash, out of the undertaking's assets, on a daily basis at the request of the unit holder;
investments in the CIU shall be segregated from the assets of the CIU manager; and
there shall be adequate risk assessment of the CIU, by the investing institution.
the purpose of the CIU's mandate is to replicate the composition and performance of an externally generated index or fixed basket of equities or debt securities; and
a minimum correlation of 0.9 between daily price movements of the CIU and the index or basket of equities or debt securities it tracks can be clearly established over a minimum period of six months. ‘Correlation’ in this context means the correlation coefficient between daily returns on the CIU and the index or basket of equities or debt securities it tracks.
it will be assumed that the CIU first invests to the maximum extent allowed under its mandate in the asset classes attracting the highest capital requirement for position risk (general and specific), and then continues making investments in descending order until the maximum total investment limit is reached. The position in the CIU will be treated as a direct holding in the assumed position;
institutions shall take account of the maximum indirect exposure that they could achieve by taking leveraged positions through the CIU when calculating their capital requirement for position risk, by proportionally increasing the position in the CIU up to the maximum exposure to the underlying investment items resulting from the mandate; and
should the capital requirement for position risk (general and specific) according to this point exceed that set out in point 48, the capital requirement shall be capped at that level.
it has paid for securities, foreign currencies or commodities before receiving them or it has delivered securities, foreign currencies or commodities before receiving payment for them; and
in the case of cross-border transactions, one day or more has elapsed since it made that payment or delivery.
Capital treatment for free deliveries
Transaction Type | Up to first contractual payment or delivery leg | From first contractual payment or delivery leg up to four days after second contractual payment or delivery leg | From 5 business days post second contractual payment or delivery leg until extinction of the transaction |
---|---|---|---|
Free delivery | No capital charge | Treat as an exposure | Deduct value transferred plus current positive exposure from own funds |
If the amount of positive exposure resulting from free delivery transactions is not material, institutions may apply a risk weight of 100 % to these exposures.
OTC derivative instruments and credit derivatives;
Repurchase agreements, reverse repurchase agreements, securities or commodities lending or borrowing transactions based on securities or commodities included in the trading book;
margin lending transactions based on securities or commodities; and
long settlement transactions.
Annex IV to Directive 2006/48/EC shall be considered to be amended to include point 8 of Section C of Annex I to Directive 2004/39/EC;
Annex III to Directive 2006/48/EC shall be considered to be amended to include, after the footnotes of Table 1, the following text:
‘To obtain a figure for potential future credit exposure in the case of total return swap credit derivatives and credit default swap credit derivatives, the nominal amount of the instrument is multiplied by the following percentages:
where the reference obligation is one that if it gave rise to a direct exposure of the institution it would be a qualifying item for the purposes of Annex I: 5 %; and
where the reference obligation is one that if it gave rise to a direct exposure of the institution it would not be a qualifying item for the purposes of Annex I: 10 %.
[F1However, in the case of a credit default swap, an institution the exposure of which arising from the swap represents a long position in the underlying shall be permitted to use a figure of 0 % for potential future credit exposure, unless the credit default swap is subject to closeout upon insolvency of the entity the exposure of which arising from the swap represents a short position in the underlying, even though the underlying has not defaulted, in which case the figure for potential future credit exposure of the institution shall be limited to the amount of premia which are not yet paid by the entity to the institution.’ .]
Where the credit derivative provides protection in relation to ‘nth to default’ amongst a number of underlying obligations, which of the percentage figures prescribed above is to be applied is determined by the obligation with the nth lowest credit quality determined by whether it is one that if incurred by the institution would be a qualifying item for the purposes of Annex I.
Where institutions are using the Own Estimates of Volatility adjustments approach under Part 3 of Annex VIII to Directive 2006/48/EC in respect of financial instruments or commodities which are not eligible under Annex VIII of that Directive, volatility adjustments must be calculated for each individual item. Where institutions are using the Internal Models Approach defined in Part 3 of Annex VIII to Directive 2006/48/EC, they may also apply this approach in the trading book.
all transactions are marked to market daily; and
any items borrowed, purchased or received under the transactions may be recognised as eligible financial collateral under Title V, Chapter 2, Section 3, Subsection 3 of Directive 2006/48/EC without the application of point 9 of this Annex.
This net open position shall consist of the sum of the following elements (positive or negative):
the net spot position (i.e. all asset items less all liability items, including accrued interest, in the currency in question or, for gold, the net spot position in gold);
the net forward position (i.e. all amounts to be received less all amounts to be paid under forward exchange and gold transactions, including currency and gold futures and the principal on currency swaps not included in the spot position);
irrevocable guarantees (and similar instruments) that are certain to be called and likely to be irrecoverable;
net future income/expenses not yet accrued but already fully hedged (at the discretion of the reporting institution and with the prior consent of the competent authorities, net future income/expenses not yet entered in accounting records but already fully hedged by forward foreign-exchange transactions may be included here). Such discretion must be exercised on a consistent basis;
the net delta (or delta-based) equivalent of the total book of foreign-currency and gold options; and
the market value of other (i.e. non-foreign-currency and non-gold) options.
Any positions which an institution has deliberately taken in order to hedge against the adverse effect of the exchange rate on its capital ratio may be excluded from the calculation of net open currency positions. Such positions should be of a non-trading or structural nature and their exclusion, and any variation of the terms of their exclusion, shall require the consent of the competent authorities. The same treatment subject to the same conditions as above may be applied to positions which an institution has which relate to items that are already deducted in the calculation of own funds.
For the purposes of the calculation referred to in the first paragraph, in respect of CIUs the actual foreign exchange positions of the CIU shall be taken into account. Institutions may rely on third party reporting of the foreign exchange positions in the CIU, where the correctness of this report is adequately ensured. If an institution is not aware of the foreign exchange positions in a CIU, it shall be assumed that the CIU is invested up to the maximum extent allowed under the CIU's mandate in foreign exchange and institutions shall, for trading book positions, take account of the maximum indirect exposure that they could achieve by taking leveraged positions through the CIU when calculating their capital requirement for foreign exchange risk. This shall be done by proportionally increasing the position in the CIU up to the maximum exposure to the underlying investment items resulting from the investment mandate. The assumed position of the CIU in foreign exchange shall be treated as a separate currency according to the treatment of investments in gold, subject to the modification that, if the direction of the CIU's investment is available, the total long position may be added to the total long open foreign exchange position and the total short position may be added to the total short open foreign exchange position. There would be no netting allowed between such positions prior to the calculation.
The competent authorities shall have the discretion to allow institutions to use the net present value when calculating the net open position in each currency and in gold.
By derogation from the first paragraph, the competent authorities may allow the capital requirement on the matched positions in currencies of Member States participating in the second stage of the economic and monetary union to be 1,6 %, multiplied by the value of such matched positions.
The competent authorities shall allow positions in derivative instruments to be treated, as laid down in points 8, 9 and 10, as positions in the underlying commodity.
positions in different sub-categories of commodities in cases where the sub-categories are deliverable against each other; and
positions in similar commodities if they are close substitutes and if a minimum correlation of 0,9 between price movements can be clearly established over a minimum period of one year.
The competent authorities may allow the capital requirement for an exchange-traded future to be equal to the margin required by the exchange if they are fully satisfied that it provides an accurate measure of the risk associated with the future and that it is at least equal to the capital requirement for a future that would result from a calculation made using the method set out in the remainder of this Annex or applying the internal models method described in Annex V.
The competent authorities may also allow the capital requirement for an OTC commodity derivatives contract of the type referred to in this point cleared by a clearing house recognised by them to be equal to the margin required by the clearing house if they are fully satisfied that it provides an accurate measure of the risk associated with the derivatives contract and that it is at least equal to the capital requirement for the contract in question that would result from a calculation made using the method set out in the remainder of this Annex or applying the internal models method described in Annex V.
Commodity swaps where the sides of the transaction are in different commodities are to be reported in the relevant reporting ladder for the maturity ladder approach.
However, the competent authorities may also prescribe that institutions calculate their deltas using a methodology specified by the competent authorities.
Other risks, apart from the delta risk, associated with commodity options shall be safeguarded against.
The competent authorities may allow the requirement for a written exchange-traded commodity option to be equal to the margin required by the exchange if they are fully satisfied that it provides an accurate measure of the risk associated with the option and that it is at least equal to the capital requirement against an option that would result from a calculation made using the method set out in the remainder of this Annex or applying the internal models method described in Annex V.
The competent authorities may also allow the capital requirement for an OTC commodity option cleared by a clearing house recognised by them to be equal to the margin required by the clearing house if they are fully satisfied that it provides an accurate measure of the risk associated with the option and that it is at least equal to the capital requirement for an OTC option that would result from a calculation made using the method set out in the remainder of this Annex or applying the internal models method described in Annex V.
In addition they may allow the requirement on a bought exchange-traded or OTC commodity option to be the same as that for the commodity underlying it, subject to the constraint that the resulting requirement does not exceed the market value of the option. The requirement for a written OTC option shall be set in relation to the commodity underlying it.
Maturity band(1) | Spread rate (in %)(2) |
---|---|
0 ≤ 1 month | 1,5 |
> 1 ≤ 3 months | 1,5 |
> 3 ≤ 6 months | 1,5 |
> 6 ≤ 12 months | 1,5 |
> 1 ≤ 2 years | 1,5 |
> 2 ≤ 3 years | 1,5 |
> 3 years | 1,5 |
positions in contracts maturing on the same date; and
positions in contracts maturing within 10 days of each other if the contracts are traded on markets which have daily delivery dates.
the sum of the matched long and short positions, multiplied by the appropriate spread rate as indicated in the second column of Table 1 to point 13 for each maturity band and by the spot price for the commodity;
the matched position between two maturity bands for each maturity band into which an unmatched position is carried forward, multiplied by 0,6 % (carry rate) and by the spot price for the commodity; and
the residual unmatched positions, multiplied by 15 % (outright rate) and by the spot price for the commodity.
15 % of the net position, long or short, multiplied by the spot price for the commodity; and
3 % of the gross position, long plus short, multiplied by the spot price for the commodity.
undertake significant commodities business;
have a diversified commodities portfolio; and
are not yet in a position to use internal models for the purpose of calculating the capital requirement on commodities risk in accordance with Annex V.
Precious metals (except gold) | Base metals | Agricultural products (softs) | Other, including energy products | |
---|---|---|---|---|
Spread rate ( %) | 1,0 | 1,2 | 1,5 | 1,5 |
Carry rate ( %) | 0,3 | 0,5 | 0,6 | 0,6 |
Outright rate ( %) | 8 | 10 | 12 | 15 |
the internal risk-measurement model is closely integrated into the daily risk-management process of the institution and serves as the basis for reporting risk exposures to senior management of the institution;
the institution has a risk control unit that is independent from business trading units and reports directly to senior management. The unit must be responsible for designing and implementing the institution's risk-management system. It shall produce and analyse daily reports on the output of the risk-measurement model and on the appropriate measures to be taken in terms of trading limits. The unit shall also conduct the initial and on-going validation of the internal model;
the institution's board of directors and senior management are actively involved in the risk-control process and the daily reports produced by the risk-control unit are reviewed by a level of management with sufficient authority to enforce both reductions of positions taken by individual traders as well as in the institution's overall risk exposure;
the institution has sufficient numbers of staff skilled in the use of sophisticated models in the trading, risk-control, audit and back-office areas;
the institution has established procedures for monitoring and ensuring compliance with a documented set of internal policies and controls concerning the overall operation of the risk-measurement system;
the institution's model has a proven track record of reasonable accuracy in measuring risks;
the institution frequently conducts a rigorous programme of stress testing and the results of these tests are reviewed by senior management and reflected in the policies and limits it sets. This process shall particularly address illiquidity of markets in stressed market conditions, concentration risk, one way markets, event and jump-to-default risks, non-linearity of products, deep out-of-the-money positions, positions subject to the gapping of prices and other risks that may not be captured appropriately in the internal models. The shocks applied shall reflect the nature of the portfolios and the time it could take to hedge out or manage risks under severe market conditions; and
the institution must conduct, as part of its regular internal auditing process, an independent review of its risk-measurement system.
The review referred to in point (h) of the first paragraph shall include both the activities of the business trading units and of the independent risk-control unit. At least once a year, the institution must conduct a review of its overall risk-management process.
The review shall consider the following:
the adequacy of the documentation of the risk-management system and process and the organisation of the risk-control unit;
the integration of market risk measures into daily risk management and the integrity of the management information system;
the process the institution employs for approving risk-pricing models and valuation systems that are used by front and back-office personnel;
the scope of market risks captured by the risk-measurement model and the validation of any significant changes in the risk-measurement process;
the accuracy and completeness of position data, the accuracy and appropriateness of volatility and correlation assumptions, and the accuracy of valuation and risk sensitivity calculations;
the verification process the institution employs to evaluate the consistency, timeliness and reliability of data sources used to run internal models, including the independence of such data sources; and
the verification process the institution uses to evaluate back-testing that is conducted to assess the models' accuracy.
tests to demonstrate that any assumptions made within the internal model are appropriate and do not underestimate or overestimate the risk;
in addition to the regulatory back-testing programmes, institutions shall carry out their own internal model validation tests in relation to the risks and structures of their portfolios; and
the use of hypothetical portfolios to ensure that the internal model is able to account for particular structural features that may arise, for example material basis risks and concentration risk.
[F1The competent authorities shall examine the institution’s capability to perform back-testing on both actual and hypothetical changes in the portfolio’s value. Back-testing on hypothetical changes in the portfolio’s value is based on a comparison between the portfolio’s end-of-day value and, assuming unchanged positions, its value at the end of the subsequent day. The competent authorities shall require institutions to take appropriate measures to improve their back-testing programme if deemed deficient. As a minimum, the competent authorities shall require institutions to perform back-testing on hypothetical (using changes in portfolio value that would occur were end-of-day positions to remain unchanged) outcomes.]
it explains the historical price variation in the portfolio;
it captures concentration in terms of magnitude and changes of composition of the portfolio;
it is robust to an adverse environment;
it is validated through back-testing aimed at assessing whether specific risk is being accurately captured. If the competent authorities allow such back-testing to be performed on the basis of relevant sub-portfolios, these must be chosen in a consistent manner;
it captures name-related basis risk, namely institutions shall demonstrate that the internal model is sensitive to material idiosyncratic differences between similar but not identical positions;
it captures event risk.
The institution’s internal model shall conservatively assess the risk arising from less liquid positions and positions with limited price transparency under realistic market scenarios. In addition, the internal model shall meet minimum data standards. Proxies shall be appropriately conservative and may be used only where available data is insufficient or is not reflective of the true volatility of a position or portfolio.
An institution may choose to exclude from the calculation of its specific risk capital requirement using an internal model those positions in securitisations or n-th-to-default credit derivatives for which it meets a capital requirement for position risks in accordance with Annex I with the exception of those positions that are subject to the approach set out in point 5l.
As techniques and best practices evolve, institutions shall avail themselves of those new techniques and practices.
An institution shall not be required to capture default and migration risks for traded debt instruments in its internal model where it is capturing those risks through the requirements set out in points 5a to 5k.]
Correlation assumptions shall be supported by analysis of objective data in a conceptually sound framework. The approach to capture the incremental risks shall appropriately reflect issuer concentrations. Concentrations that can arise within and across product classes under stressed conditions shall also be reflected.The approach shall be based on the assumption of a constant level of risk over the one-year capital horizon, implying that given individual trading book positions or sets of positions that have experienced default or migration over their liquidity horizon are re-balanced at the end of their liquidity horizon to attain the initial level of risk. Alternatively, an institution may choose to consistently use a one-year constant position assumption.
The determination of the appropriate liquidity horizon for a position or set of positions is subject to a floor of 3 months.
The determination of the appropriate liquidity horizon for a position or set of positions shall take into account an institution’s internal policies relating to valuation adjustments and the management of stale positions. When an institution determines liquidity horizons for sets of positions rather than for individual positions, the criteria for defining sets of positions shall be defined in a way that meaningfully reflects differences in liquidity. The liquidity horizons shall be greater for positions that are concentrated, reflecting the longer period needed to liquidate such positions. The liquidity horizon for a securitisation warehouse shall reflect the time to build, sell and securitise the assets, or to hedge the material risk factors, under stressed market conditions.
For trading book positions that are hedged via dynamic hedging strategies, a rebalancing of the hedge within the liquidity horizon of the hedged position may be recognised provided that the institution:
chooses to model rebalancing of the hedge consistently over the relevant set of trading book positions,
demonstrates that the inclusion of rebalancing results in a better risk measurement, and
demonstrates that the markets for the instruments serving as hedges are liquid enough to allow for such rebalancing even during periods of stress. Any residual risks resulting from dynamic hedging strategies must be reflected in the capital charge.
validate that its modelling approach for correlations and price changes is appropriate for its portfolio, including the choice and weights of its systematic risk factors;
perform a variety of stress tests, including sensitivity analysis and scenario analysis, to assess the qualitative and quantitative reasonableness of the approach, particularly with regard to the treatment of concentrations. Such tests shall not be limited to the range of events experienced historically;
apply appropriate quantitative validation including relevant internal modelling benchmarks.
The approach to capture the incremental risks shall be consistent with the institution’s internal risk management methodologies for identifying, measuring, and managing trading risks.
Such an internal approach shall adequately capture all price risks at the 99,9 % confidence interval over a capital horizon of 1 year under the assumption of a constant level of risk, and adjusted where appropriate to reflect the impact of liquidity, concentrations, hedging and optionality. The institution may incorporate any positions in the approach referred to in this point that are jointly managed with positions of the correlation trading portfolio and may then exclude those positions from the approach required under point 5a.
The amount of the capital charge for all price risks shall not be less than 8 % of the capital charge that would be calculated in accordance with point 14a of Annex I for all positions incorporated in the charge for all price risks.
In particular, the following risks shall be adequately captured:
the cumulative risk arising from multiple defaults, including the ordering of defaults, in tranched products;
credit spread risk, including the gamma and cross-gamma effects;
volatility of implied correlations, including the cross effect between spreads and correlations;
basis risk, including both:
the basis between the spread of an index and those of its constituent single names, and
the basis between the implied correlation of an index and that of bespoke portfolios;
recovery rate volatility, as it relates to the propensity for recovery rates to affect tranche prices; and
to the extent the comprehensive risk measure incorporates benefits from dynamic hedging, the risk of hedge slippage and the potential costs of rebalancing such hedges.
For the purpose of this point, an institution shall have sufficient market data to ensure that it fully captures the salient risks of those exposures in its internal approach in accordance with the standards set out in this point, demonstrates through back testing or other appropriate means that its risk measures can appropriately explain the historical price variation of those products, and is able to separate the positions for which it holds approval in order to incorporate them in the capital charge in accordance with this point from those positions for which it does not hold such approval.
With regard to portfolios subject to this point, the institution shall regularly apply a set of specific, predetermined stress scenarios. Such stress scenarios shall examine the effects of stress to default rates, recovery rates, credit spreads, and correlations on the profit and loss of the correlation trading desk. The institution shall apply such stress scenarios at least weekly and report at least quarterly to the competent authorities the results, including comparisons with the institution’s capital charge in accordance with this point. Any instances where the stress tests indicate a material shortfall of this capital charge shall be reported to the competent authorities in a timely manner. Based on those stress testing results, the competent authorities shall consider a supplemental capital charge against the correlation trading portfolio as set out in Article 136(2) of Directive 2006/48/EC.
An institution shall calculate the capital charge to capture all price risks at least on a weekly basis.]
Number of overshootings | Plus-factor |
---|---|
Fewer than 5 | 0,0 |
5 | 0,4 |
6 | 0,5 |
7 | 0,65 |
8 | 0,75 |
9 | 0,85 |
10 or more | 1,0 |
The competent authorities may, in individual cases and owing to an exceptional situation, waive the requirement to increase the multiplication factor by the ‘plus-factor’ in accordance with Table 1, if the institution has demonstrated to the satisfaction of the competent authorities that such an increase is unjustified and that the model is basically sound.
If numerous overshootings indicate that the model is not sufficiently accurate, the competent authorities shall revoke the model's recognition or impose appropriate measures to ensure that the model is improved promptly.
In order to allow competent authorities to monitor the appropriateness of the plus-factor on an ongoing basis, institutions shall notify promptly, and in any case no later than within five working days, the competent authorities of overshootings that result form their back-testing programme and that would according to the above table imply an increase of a plus-factor.
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
at least daily calculation of the value-at-risk measure;
a 99th percentile, one-tailed confidence interval;
[F1a 10-day equivalent holding period (institutions may use value-at-risk numbers calculated according to shorter holding periods scaled up to 10 days by, for example, the square root of time. An institution using that approach shall periodically justify the reasonableness of its approach to the satisfaction of the competent authorities);;]
an effective historical observation period of at least one year except where a shorter observation period is justified by a significant upsurge in price volatility; and
[F1monthly data set updates.]
the higher of:
its previous day’s value-at-risk number calculated in accordance with point 10 (VaR t-1 ); and
an average of the daily value-at-risk measures in accordance with point 10 on each of the preceding sixty business days (VaR avg ), multiplied by the multiplication factor (m c );
the higher of:
its latest available stressed-value-at-risk number in accordance with point 10a (sVaR t-1 ); and
an average of the stressed value-at-risk numbers calculated in the manner and frequency specified in point 10a during the preceding sixty business days (sVaR avg ), multiplied by the multiplication factor (m s );
a capital charge calculated in accordance with Annex I for the position risks of securitisation positions and nth to default credit derivatives in the trading book with the exception of those incorporated in the capital charge in accordance with point 5l;
the higher of the institution’s most recent and the institution’s 12 weeks average measure of incremental default and migration risk in accordance with point 5a and, where applicable, the higher of the institution’s most recent and its 12-week-average measure of all price risks in accordance with point 5l.
The risk-measurement system shall incorporate a set of risk factors corresponding to the interest rates in each currency in which the institution has interest rate sensitive on- or off-balance sheet positions. The institution shall model the yield curves using one of the generally accepted approaches. For material exposures to interest-rate risk in the major currencies and markets, the yield curve shall be divided into a minimum of six maturity segments, to capture the variations of volatility of rates along the yield curve. The risk-measurement system must also capture the risk of less than perfectly correlated movements between different yield curves.
The risk-measurement system shall incorporate risk factors corresponding to gold and to the individual foreign currencies in which the institution's positions are denominated.
For CIUs the actual foreign exchange positions of the CIU shall be taken into account. Institutions may rely on third party reporting of the foreign exchange position of the CIU, where the correctness of this report is adequately ensured. If an institution is not aware of the foreign exchange positions of a CIU, this position should be carved out and treated in accordance with the fourth paragraph of point 2.1 of Annex III.
The risk-measurement system shall use a separate risk factor at least for each of the equity markets in which the institution holds significant positions.
The risk-measurement system shall use a separate risk factor at least for each commodity in which the institution holds significant positions. The risk-measurement system must also capture the risk of less than perfectly correlated movements between similar, but not identical, commodities and the exposure to changes in forward prices arising from maturity mismatches. It shall also take account of market characteristics, notably delivery dates and the scope provided to traders to close out positions.
Excess over the limits(on the basis of a percentage of own funds) | Factors |
---|---|
Up to 40 % | 200 % |
From 40 % to 60 % | 300 % |
From 60 % to 80 % | 400 % |
From 80 % to 100 % | 500 % |
From 100 % to 250 % | 600 % |
Over 250 % | 900 % |
there must be a clearly documented trading strategy for the position/instrument or portfolios, approved by senior management, which shall include expected holding horizon;
there must be clearly defined policies and procedures for the active management of the position, which shall include the following:
positions entered into on a trading desk;
position limits are set and monitored for appropriateness;
dealers have the autonomy to enter into/manage the position within agreed limits and according to the approved strategy;
positions are reported to senior management as an integral part of the institution's risk management process; and
positions are actively monitored with reference to market information sources and an assessment made of the marketability or hedge-ability of the position or its component risks, including the assessment of, the quality and availability of market inputs to the valuation process, level of market turnover, sizes of positions traded in the market; and
there must be clearly defined policy and procedures to monitor the position against the institution's trading strategy including the monitoring of turnover and stale positions in the institution's trading book.
[F1documented policies and procedures for the process of valuation, including clearly defined responsibilities of the various areas involved in the determination of the valuation, sources of market information and review of their appropriateness, guidelines for the use of unobservable inputs reflecting the institution’s assumptions of what market participants would use in pricing the position, frequency of independent valuation, timing of closing prices, procedures for adjusting valuations, month end and ad-hoc verification procedures;]
reporting lines for the department accountable for the valuation process that are clear and independent of the front office.
The reporting line shall ultimately be to a main board executive director.
[F1senior management shall be aware of the elements of the trading book or of other fair-valued positions which are subject to mark to model and shall understand the materiality of the uncertainty thereby created in the reporting of the risk/performance of the business;]
market inputs shall be sourced, where possible, in line with market prices, and the appropriateness of the market inputs of the particular position being valued and the parameters of the model shall be assessed on a frequent basis;
where available, valuation methodologies which are accepted market practice for particular financial instruments or commodities shall be used;
where the model is developed by the institution itself, it shall be based on appropriate assumptions, which have been assessed and challenged by suitably qualified parties independent of the development process;
there shall be formal change control procedures in place and a secure copy of the model shall be held and periodically used to check valuations;
risk management shall be aware of the weaknesses of the models used and how best to reflect those in the valuation output; and
the model shall be subject to periodic review to determine the accuracy of its performance (e.g. assessing the continued appropriateness of assumptions, analysis of profit and loss versus risk factors, comparison of actual close out values to model outputs).
For the purposes of point (d), the model shall be developed or approved independently of the front office and shall be independently tested, including validation of the mathematics, assumptions and software implementation.
internal hedges shall not be primarily intended to avoid or reduce capital requirements;
internal hedges shall be properly documented and subject to particular internal approval and audit procedures;
the internal transaction shall be dealt with at market conditions;
the bulk of the market risk that is generated by the internal hedge shall be dynamically managed in the trading book within the authorised limits; and
internal transactions shall be carefully monitored.
Monitoring must be ensured by adequate procedures.
the activities the institution considers to be trading and as constituting part of the trading book for capital requirement purposes;
the extent to which a position can be marked-to-market daily by reference to an active, liquid two-way market;
for positions that are marked-to-model, the extent to which the institution can:
identify all material risks of the position;
hedge all material risks of the position with instruments for which an active, liquid two-way market exists; and
derive reliable estimates for the key assumptions and parameters used in the model;
the extent to which the institution can, and is required to, generate valuations for the position that can be validated externally in a consistent manner;
the extent to which legal restrictions or other operational requirements would impede the institution's ability to effect a liquidation or hedge of the position in the short term;
the extent to which the institution can, and is required to, actively risk manage the position within its trading operation; and
the extent to which the institution may transfer risk or positions between the non-trading and trading books and the criteria for such transfers.
Council Directive 93/6/EEC of 15 March 1993 on the capital adequacy of investments firms and credit institutions
Directive 98/31/EC of the European Parliament and of the Council of 22 June 1998 amending Council Directive 93/6/EEC on the capital adequacy of investment firms and credit institutions
Directive 98/33/EC of the European Parliament and of the Council of 22 June 1998 amending Article 12 of Council Directive 77/780/EEC on the taking up and pursuit of the business of credit institutions, Articles 2, 5, 6, 7, 8 of and Annexes II and III to Council Directive 89/647/EEC on a solvency ratio for credit institutions and Article 2 of and Annex II to Council Directive 93/6/EEC on the capital adequacy of investment firms and credit institutions
Directive 2002/87/EC of the European Parliament and of the Council of 16 December 2002 on the supplementary supervision of credit institutions, insurance undertakings and investment firms in a financial conglomerate and amending Council Directives 73/239/EEC, 79/267/EEC, 92/49/EEC, 92/96/EEC, 93/6/EEC and 93/22/EEC, and Directives 98/78/EC and 2000/12/EC of the European Parliament and of the Council:
Only Article 26
Directive 2004/39/EC of the European Parliament and of the Council of 21 April 2004 on markets in financial instruments amending Council Directives 85/611/EEC and 93/6/EEC and Directive 2000/12/EC of the European Parliament and of the Council and repealing Council Directive 93/22/EEC:
Only Article 67
Directive | Deadline for transposition |
---|---|
Council Directive 93/6/EEC | 1.7.1995 |
Directive 98/31/EC | 21.7.2000 |
Directive 98/33/EC | 21.7.2000 |
Directive 2002/87/EC | 11.8.2004 |
Directive 2004/39/EC | 30.4.2006/31.1.2007 |
Directive 2005/1/EC | 13.5.2005 |
This Directive | Directive 93/6/EEC | Directive 98/31/EC | Directive 98/33/EC | Directive 2002/87/EC | Directive 2004/39/EC |
---|---|---|---|---|---|
Article 1(1) first sentence | |||||
Article 1(1) second sentence and (2) | Article 1 | ||||
Article 2(1) | |||||
Article 2(2) | Article 7(3) | ||||
Article 3(1)(a) | Article 2(1) | ||||
Article 3(1)(b) | Article 2(2) | Article 67(1) | |||
Article 3(1)(c) to (e) | Article 2(3) to (5) | ||||
Article 3(1)(f) and (g) | |||||
Article 3(1)(h) | Article 2(10) | ||||
Article 3(1)(i) | Article 2(11) | Article 3(1) | |||
Article 3(1)(j) | Article 2(14) | ||||
Article 3(1)(k) and (l) | Article 2(15) and (16) | Article 1(1)(b) | |||
Article 3(1)(m) | Article 2(17) | Article 1(1)(c) | |||
Article 3(1)(n) | Article 2(18) | Article 1(1)(d) | |||
Article 3(1)(o) to (q) | Article 2(19) to (21) | ||||
Article 3(1)(r) | Article 2(23) | ||||
Article 3(1)(s) | Article 2(26) | ||||
Article 3(2) | Article 2(7) and (8) | ||||
Article 3(3)(a) and (b) | Article 7(3) | Article 26 | |||
Article 3(3)(c) | Article 7(3) | ||||
Article 4 | Article 2(24) | ||||
Article 5 | Article 3(1) and (2) | ||||
Article 6 | Article 3(4) | Article 67(2) | |||
Article 7 | Article 3(4a) | Article 67(3) | |||
Article 8 | Article 3(4b) | Article 67(3) | |||
Article 9 | Article 3(3) | ||||
Article 10 | Article 3(5) to (8) | ||||
Article 11 | Article 2(6) | ||||
Article 12 first paragraph | Article 2(25) | ||||
Article 12 second paragraph | |||||
Article 13(1) first sub-paragraph | Annex V(1) first sub-paragraph | ||||
Article 13(1) second sub-paragraph and (2) to (5) | Annex V(1) second sub-paragraph and (2) to (5) | Article 1(7) and Annex 4(a)(b) | |||
Article 14 | Annex V(6) and (7) | Annex 4(c) | |||
Article 15 | Annex V(8) | ||||
Article 16 | Annex V(9) | ||||
Article 17 | |||||
Article 18(1) first sub-paragraph | Article 4(1) first sub-paragraph | ||||
Article 18(1)(a) and (b) | Article 4(1)(i) and (ii) | Article 1(2) | |||
Article 18(2) to (4) | Article 4(6) to (8) | ||||
Article 19(1) | |||||
Article 19(2) | Article 11(2) | ||||
Article 19(3) | |||||
Article 20 | |||||
Article 21 | Annex IV | ||||
Article 22 | |||||
Article 23 first and second paragraph | Article 7(5) and (6) | ||||
Article 23 third paragraph | |||||
Article 24 | |||||
Article 25 | |||||
Article 26(1) | Article 7(10) | Article 1(4) | |||
Article 26(2) to (4) | Article 7(11) to (13) | ||||
Article 27 | Article 7(14) and (15) | ||||
Article 28(1) | Article 5(1) | ||||
Article 28(2) | Article 5(2) | Article 1(3) | |||
Article 28(3) | |||||
Article 29(1)(a) to (c) and next two sub-paragraphs | Annex VI(2) | ||||
Article 29(1) last sub-paragraph | |||||
Article 29(2) | Annex VI(3) | ||||
Article 30(1) and (2) first sub-paragraph | Annex VI(4) and (5) | ||||
Article 30(2) second sub-paragraph | |||||
Article 30(3) and (4) | Annex VI(6) and (7) | ||||
Article 31 | Annex VI(8)(1), (2) first sentence, (3) to (5) | ||||
Article 32 | Annex VI(9) and (10) | ||||
Article 33(1) and (2) | |||||
Article 33(3) | Article 6(2) | ||||
Article 34 | |||||
Article 35(1) to (4) | Article 8(1) to (4) | ||||
Article 35(5) | Article 8(5) first sentence | Article 1(5) | |||
Article 36 | Article 9(1) to (3) | ||||
Article 37 | |||||
Article 38 | Article 9(4) | ||||
Article 39 | |||||
Article 40 | Article 2(9) | ||||
Article 41(1)(a) to (c) | Article 10 first, second and third indents | ||||
Article 41(1)(d) and (e) | |||||
Article 41(1)(f) | Article 10 fourth indent | ||||
Article 41(1)(g) | |||||
Article 42 | |||||
Article 43 | |||||
Article 44 | |||||
Article 45 | |||||
Article 46 | Article 12 | ||||
Article 47 | |||||
Article 48 | |||||
Article 49 | |||||
Article 50 | Article 15 | ||||
Annex I(1) to (4) | Annex I(1) to (4) | ||||
Annex I(4) last paragraph | Article 2(22) | ||||
Annex I(5) to (7) | Annex I(5) to (7) | ||||
Annex I(8) | |||||
Annex I(9) to (11) | Annex I(8) to (10) | ||||
Annex I(12) to (14) | Annex I(12) to (14) | ||||
Annex I(15) and (16) | Article 2(12) | ||||
Annex I(17) to (41) | Annex I(15) to (39) | ||||
Annex I(42) to (56) | |||||
Annex II(1) and (2) | Annex II(1) and (2) | ||||
Annex II(3) to (10) | |||||
Annex III(1) | Annex III(1) first sub-paragraph | Article 1(7) and Annex 3(a) | |||
Annex III(2) | Annex III(2) | ||||
Annex III(2.1) first to third paragraphs | Annex III(3.1) | Article 1(7) and Annex 3(b) | |||
Annex III(2.1) fourth paragraph | |||||
Annex III(2.1) fifth paragraph | Annex III(3.2) | Article 1(7) and Annex 3(b) | |||
Annex III(2.2), (3), (3.1) | Annex III(4) to (6) | Article 1(7) and Annex 3(c) | |||
Annex III(3.2) | Annex III(8) | ||||
Annex III(4) | Annex III(11) | ||||
Annex IV(1) to (20) | Annex VII(1) to (20) | Article 1(7) and Annex 5 | |||
Annex IV(21) | Article 11a | Article 1(6) | |||
Annex V(1) to (12) fourth paragraph | Annex VIII(1) to (13)(ii) | Article 1(7) and Annex 5 | |||
Annex V(12) fifth paragraph | |||||
Annex V(12) sixth paragraph to (13) | Annex VIII(13)(iii) to (14) | Article 1(7) and Annex 5 | |||
Annex VI | Annex VI(8)(2) after the first sentence | ||||
Annex VII | |||||
Annex VIII | |||||
Annex IX |