Search Legislation

Advanced Search

Directive 2006/49/EC of the European Parliament and of the Council (repealed)Show full title

Directive 2006/49/EC of the European Parliament and of the Council of 14 June 2006 on the capital adequacy of investment firms and credit institutions (recast) (repealed)

Help about what version

What Version

Help about UK-EU Regulation

Legislation originating from the EU

When the UK left the EU, legislation.gov.uk published EU legislation that had been published by the EU up to IP completion day (31 December 2020 11.00 p.m.). On legislation.gov.uk, these items of legislation are kept up-to-date with any amendments made by the UK since then.

Close

This item of legislation originated from the EU

Legislation.gov.uk publishes the UK version. EUR-Lex publishes the EU version. The EU Exit Web Archive holds a snapshot of EUR-Lex’s version from IP completion day (31 December 2020 11.00 p.m.).

Status:

EU Directives are published on this site to aid cross referencing from UK legislation. Since IP completion day (31 December 2020 11.00 p.m.) no amendments have been applied to this version.

  1. Introductory Text

  2. CHAPTER I Subject matter, scope and definitions

    1. Section 1 Subject matter and scope

      1. Article 1.. . . . . . . . . ....

      2. Article 2.. . . . . . . . . ....

    2. Section 2 Definitions

      1. Article 3.. . . . . . . . . ....

  3. CHAPTER II Initial capital

    1. Article 4.. . . . . . . . . ....

    2. Article 5.. . . . . . . . . ....

    3. Article 6.. . . . . . . . . ....

    4. Article 7.. . . . . . . . . ....

    5. Article 8.. . . . . . . . . ....

    6. Article 9.. . . . . . . . . ....

    7. Article 10.. . . . . . . . . ....

  4. CHAPTER III Trading book

    1. Article 11.. . . . . . . . . ....

  5. CHAPTER IV Own funds

    1. Article 12.. . . . . . . . . ....

    2. Article 13.. . . . . . . . . ....

    3. Article 14.. . . . . . . . . ....

    4. Article 15.. . . . . . . . . ....

    5. Article 16.. . . . . . . . . ....

    6. Article 17.. . . . . . . . . ....

  6. CHAPTER V

    1. Section 1 Provisions against risks

      1. Article 18.. . . . . . . . . ....

      2. Article 19.. . . . . . . . . ....

      3. Article 20.. . . . . . . . . ....

      4. Article 21.. . . . . . . . . ....

    2. Section 2 Application of requirements on a consolidated basis

      1. Article 22.. . . . . . . . . ....

      2. Article 23.. . . . . . . . . ....

      3. Article 24.. . . . . . . . . ....

      4. Article 25.. . . . . . . . . ....

    3. Section 3 Calculation of consolidated requirements

      1. Article 26.. . . . . . . . . ....

      2. Article 27.. . . . . . . . . ....

    4. Section 4 Monitoring and control of large exposures

      1. Article 28.. . . . . . . . . ....

      2. Article 29.. . . . . . . . . ....

      3. Article 30.. . . . . . . . . ....

      4. Article 31.. . . . . . . . . ....

      5. Article 32.. . . . . . . . . ....

    5. Section 5 Valuation of positions for reporting purposes

      1. Article 33.. . . . . . . . . ....

    6. Section 6 Risk management and capital assessment

      1. Article 34.. . . . . . . . . ....

    7. Section 7 Reporting requirements

      1. Article 35.. . . . . . . . . ....

  7. CHAPTER VI

    1. Section 1 Competent authorities

      1. Article 36.. . . . . . . . . ....

    2. Section 2 Supervision

      1. Article 37.. . . . . . . . . ....

      2. Article 38.. . . . . . . . . ....

  8. CHAPTER VII Disclosure

    1. Article 39.. . . . . . . . . ....

  9. CHAPTER VIII

    1. Section 1

      1. Article 40.. . . . . . . . . ....

    2. Section 2 Delegated acts and powers of execution

      1. Article 41.. . . . . . . . . ....

      2. Article 42.. . . . . . . . . ....

      3. Article 42a.Exercise of the delegation

      4. Article 42b.Revocation of the delegation

      5. Article 42c.Objections to delegated acts

    3. Section 3 Transitional provisions

      1. Article 43.. . . . . . . . . ....

      2. Article 44.. . . . . . . . . ....

      3. Article 45.. . . . . . . . . ....

      4. Article 46.. . . . . . . . . ....

      5. Article 47.. . . . . . . . . ....

      6. Article 48.. . . . . . . . . ....

    4. Section 4 Final provisions

      1. Article 49.. . . . . . . . . ....

      2. Article 50.. . . . . . . . . ....

      3. Article 51.. . . . . . . . . ....

      4. Article 52.. . . . . . . . . ....

      5. Article 53.. . . . . . . . . ....

      6. Article 54.. . . . . . . . . ....

    1. ANNEX I

      CALCULATING CAPITAL REQUIREMENTS FOR POSITION RISK

      1. GENERAL PROVISIONS

        1. Netting

          1. 1. . . . . . . . . . ....

          2. 2. . . . . . . . . . ....

          3. 3. . . . . . . . . . ....

        2. Particular instruments 4. Interest-rate futures, forward-rate agreements (FRAs) and forward commitments to...

          1. 4. Interest-rate futures, forward-rate agreements (FRAs) and forward commitments to buy...

          2. 5. Options on interest rates, debt instruments, equities, equity indices, financial...

          3. 6. . . . . . . . . . ....

          4. 7. . . . . . . . . . ....

      2. A. TREATMENT OF THE PROTECTION SELLER

        1. 8. When calculating the capital requirement for market risk of the...

      3. B. TREATMENT OF THE PROTECTION BUYER

        1. First-to-default credit derivatives

        2. Nth-to-default credit derivatives

        3. 9. . . . . . . . . . ....

        4. 10. . . . . . . . . . ....

        5. 11. . . . . . . . . . ....

        6. Specific and general risks

          1. 12. . . . . . . . . . ....

      4. TRADED DEBT INSTRUMENTS

        1. 13. . . . . . . . . . ....

        2. Specific risk

          1. 14. The institution shall assign its net positions in the trading...

          2. 14a. By way of derogation from point 14, an institution may...

          3. 14b. The correlation trading portfolio shall consist of securitisation positions and...

          4. 14c. Positions which reference either of the following shall not be...

          5. 15. For the purposes of point 14 qualifying items shall include:

          6. 16. . . . . . . . . . ....

          7. 16a. For instruments in the trading book that are securitisation positions,...

        3. General risk

          1. (a) Maturity-based

            1. 17. . . . . . . . . . ....

            2. 18. . . . . . . . . . ....

            3. 19. . . . . . . . . . ....

            4. 20. . . . . . . . . . ....

            5. 21. . . . . . . . . . ....

            6. 22. . . . . . . . . . ....

            7. 23. . . . . . . . . . ....

            8. 24. . . . . . . . . . ....

            9. 25. . . . . . . . . . ....

          2. (b) Duration-based

            1. 26. . . . . . . . . . ....

            2. 27. . . . . . . . . . ....

            3. 28. The institution shall then calculate the modified duration of each...

            4. 29. . . . . . . . . . ....

            5. 30. . . . . . . . . . ....

            6. 31. The institution shall calculate its duration-weighted long and its duration-weighted...

            7. 32. . . . . . . . . . ....

      5. EQUITIES

        1. 33. . . . . . . . . . ....

        2. Specific risk

          1. 34. . . . . . . . . . ....

          2. 35. By derogation from point 34, the competent authorities may allow the...

        3. General risk

          1. 36. . . . . . . . . . ....

        4. Stock-index futures

          1. 37. . . . . . . . . . ....

          2. 38. . . . . . . . . . ....

          3. 39. . . . . . . . . . ....

          4. 40. . . . . . . . . . ....

      6. UNDERWRITING

        1. 41. . . . . . . . . . ....

      7. SPECIFIC RISK CAPITAL CHARGES FOR TRADING BOOK POSITIONS HEDGED BY...

        1. 42. . . . . . . . . . ....

        2. 43. Full allowance shall be given when the value of two...

        3. 44. . . . . . . . . . ....

        4. 45. Partial allowance shall be given when the value of two...

        5. 46. . . . . . . . . . ....

        6. Capital charges for CIUs in the trading book

          1. 47. . . . . . . . . . ....

          2. 48. . . . . . . . . . ....

          3. 49. . . . . . . . . . ....

          4. 50. . . . . . . . . . ....

      8. GENERAL CRITERIA

        1. 51. . . . . . . . . . ....

        2. 52. . . . . . . . . . ....

      9. SPECIFIC METHODS

        1. 53. . . . . . . . . . ....

        2. 54. . . . . . . . . . ....

        3. 55. . . . . . . . . . ....

        4. 56. . . . . . . . . . ....

    2. ANNEX II

      CALCULATING CAPITAL REQUIREMETNS FOR SETTLEMENT AND COUNTERPARTY CREDIT RISK

      1. SETTLEMENT/DELIVERY RISK

        1. 1. . . . . . . . . . ....

      2. FREE DELIVERIES

        1. 2. . . . . . . . . . ....

        2. 3. In applying a risk weight to free delivery exposures treated...

        3. 4. . . . . . . . . . ....

      3. COUNTERPARTY CREDIT RISK (CCR)

        1. 5. . . . . . . . . . ....

        2. 6. . . . . . . . . . ....

        3. 7. For the purposes of point 6:

        4. 8. . . . . . . . . . ....

        5. 9. For the purposes of point 6 , in the case...

        6. 10. . . . . . . . . . ....

        7. 11. . . . . . . . . . ....

        8. 12. . . . . . . . . . ....

    3. ANNEX III

      CALCULATING CAPITAL REQUIREMENTS FOR FOREIGN-EXCHANGE RISK

      1. 1. . . . . . . . . . ....

      2. 2. . . . . . . . . . ....

      3. 2.1. Firstly, the institution's net open position in each currency (including...

      4. 2.2. . . . . . . . . . ....

      5. 3. . . . . . . . . . ....

      6. 3.1. . . . . . . . . . ....

      7. 3.2. The competent authorities may allow institutions to remove positions in...

      8. 4. . . . . . . . . . ....

    4. ANNEX IV

      CALCULATING CAPITAL REQUIREMENTS FOR COMMODITIES RISK

      1. 1. . . . . . . . . . ....

      2. 2. . . . . . . . . . ....

      3. 3. . . . . . . . . . ....

      4. 4. . . . . . . . . . ....

      5. 5. . . . . . . . . . ....

      6. 6. For the purpose of point 19, the excess of an institution's...

      7. 7. The competent authorities may regard the following positions as positions...

      8. Particular instruments

        1. 8. Commodity futures and forward commitments to buy or sell individual...

        2. 9. Commodity swaps where one side of the transaction is a...

        3. 10. Options on commodities or on commodity derivatives shall be treated...

        4. 11. . . . . . . . . . ....

        5. 12. . . . . . . . . . ....

        6. (a) Maturity ladder approach

          1. 13. The institution shall use a separate maturity ladder in line...

          2. 14. Competent authorities may allow positions which are, or are regarded...

          3. 15. . . . . . . . . . ....

          4. 16. . . . . . . . . . ....

          5. 17. The institution's capital requirement for each commodity shall be calculated...

          6. 18. . . . . . . . . . ....

        7. (b) Simplified approach

          1. 19. The institution's capital requirement for each commodity shall be calculated...

          2. 20. . . . . . . . . . ....

        8. (c) Extended Maturity ladder approach

          1. 21. Competent authorities may authorise institutions to use the minimum spread,...

    5. ANNEX V

      USE OF INTERNAL MODELS TO CALCULATE CAPITAL REQUIREMENTS

      1. 1. . . . . . . . . . ....

      2. 2. Recognition shall only be given if the competent authority is...

      3. 3. Institutions shall have processes in place to ensure that their...

      4. 4. The institution shall monitor the accuracy and performance of its...

      5. 5. For the purpose of calculating capital requirements for specific risk...

      6. 5a. . . . . . . . . . ....

      7. Scope

        1. 5b. . . . . . . . . . ....

      8. Parameters

        1. 5c. The approach to capture the incremental risks shall measure losses...

        2. 5d. The liquidity horizons shall be set according to the time...

        3. 5e. Hedges may be incorporated into an institution’s approach to capture...

        4. 5f. . . . . . . . . . ....

        5. 5g. . . . . . . . . . ....

      9. Validation

        1. 5h. As part of the independent review of their risk measurement...

      10. Documentation

        1. 5i. . . . . . . . . . ....

      11. Internal approaches based on different parameters

        1. 5j. . . . . . . . . . ....

      12. Frequency of calculation

        1. 5k. . . . . . . . . . ....

        2. 5l. The competent authorities shall recognise the use of an internal...

      13. 6. . . . . . . . . . ....

      14. 7. . . . . . . . . . ....

      15. 8. For the purposes of points 10b(a) and (b), the multiplication...

      16. 9. Each institution must meet a capital requirement expressed as the...

      17. 10. The calculation of the value-at-risk measure shall be subject to...

      18. 10a. . . . . . . . . . ....

      19. 10b. Each institution shall meet, on a daily basis, a capital...

      20. 10c. . . . . . . . . . ....

      21. 11. . . . . . . . . . ....

      22. 12. . . . . . . . . . ....

      23. Interest rate risk

      24. Foreign-exchange risk

      25. Equity risk

      26. Commodity risk

      27. 13. . . . . . . . . . ....

    6. ANNEX VI

      CALCULATING CAPITAL REQUIREMENTS FOR LARGE EXPOSURES

      1. 1. . . . . . . . . . ....

      2. 2. . . . . . . . . . ....

      3. 3. As from 10 days after the excess has occurred, the...

    7. ANNEX VII

      TRADING

      1. PART A Trading Intent

        1. 1. Positions/portfolios held with trading intent shall comply with the following...

      2. PART B Systems and Controls

        1. 1. . . . . . . . . . ....

        2. 2. Systems and controls shall include at least the following elements:...

        3. Prudent Valuation Methods

          1. 3. . . . . . . . . . ....

          2. 4. . . . . . . . . . ....

          3. 5. . . . . . . . . . ....

          4. 6. The following requirements must be complied with when marking to...

          5. 7. . . . . . . . . . ....

        4. Valuation adjustments

          1. 8. . . . . . . . . . ....

        5. General standards

          1. 9. . . . . . . . . . ....

        6. Standards for less liquid positions

          1. 10. . . . . . . . . . ....

          2. 11. . . . . . . . . . ....

          3. 12. . . . . . . . . . ....

          4. 13. . . . . . . . . . ....

      3. PART C Internal Hedges

        1. 1. An internal hedge is a position that materially or completely...

        2. 2. . . . . . . . . . ....

        3. 3. . . . . . . . . . ....

      4. PART D Inclusion In The Trading Book

        1. 1. . . . . . . . . . ....

        2. 2. Institutions shall have clearly defined policies and procedures for overall...

        3. 3. . . . . . . . . . ....

        4. 4. . . . . . . . . . ....

    8. ANNEX VIII

      REPEALED DIRECTIVES

      1. PART A

        1. Repealed directives together with their successive amendments (referred to in Article 52)

      2. PART B

        1. Deadlines for transposition (referred to in Article 52)

    9. ANNEX IX

      CORRELATION TABLE

      1. . . . . . . . . . ....

Back to top

Options/Help

Print Options

You have chosen to open the Whole Directive

The Whole Directive you have selected contains over 200 provisions and might take some time to download. You may also experience some issues with your browser, such as an alert box that a script is taking a long time to run.

Would you like to continue?

You have chosen to open Schedules only

The Schedules you have selected contains over 200 provisions and might take some time to download. You may also experience some issues with your browser, such as an alert box that a script is taking a long time to run.

Would you like to continue?

Close

Legislation is available in different versions:

Latest Available (revised):The latest available updated version of the legislation incorporating changes made by subsequent legislation and applied by our editorial team. Changes we have not yet applied to the text, can be found in the ‘Changes to Legislation’ area.

Original (As adopted by EU): The original version of the legislation as it stood when it was first adopted in the EU. No changes have been applied to the text.

Point in Time: This becomes available after navigating to view revised legislation as it stood at a certain point in time via Advanced Features > Show Timeline of Changes or via a point in time advanced search.

Close

Opening Options

Different options to open legislation in order to view more content on screen at once

Close

More Resources

Access essential accompanying documents and information for this legislation item from this tab. Dependent on the legislation item being viewed this may include:

  • the original print PDF of the as adopted version that was used for the EU Official Journal
  • lists of changes made by and/or affecting this legislation item
  • all formats of all associated documents
  • correction slips
  • links to related legislation and further information resources
Close

Timeline of Changes

This timeline shows the different versions taken from EUR-Lex before exit day and during the implementation period as well as any subsequent versions created after the implementation period as a result of changes made by UK legislation.

The dates for the EU versions are taken from the document dates on EUR-Lex and may not always coincide with when the changes came into force for the document.

For any versions created after the implementation period as a result of changes made by UK legislation the date will coincide with the earliest date on which the change (e.g an insertion, a repeal or a substitution) that was applied came into force. For further information see our guide to revised legislation on Understanding Legislation.

Close

More Resources

Use this menu to access essential accompanying documents and information for this legislation item. Dependent on the legislation item being viewed this may include:

  • the original print PDF of the as adopted version that was used for the print copy
  • correction slips

Click 'View More' or select 'More Resources' tab for additional information including:

  • lists of changes made by and/or affecting this legislation item
  • confers power and blanket amendment details
  • all formats of all associated documents
  • links to related legislation and further information resources

The data on this page is available in the alternative data formats listed: