X1PART THREECAPITAL REQUIREMENTS

Annotations:
Editorial Information

TITLE IGENERAL REQUIREMENTS, VALUATION AND REPORTING

CHAPTER 1Required level of own funds

Section 1Own funds requirements for institutions

Article 92Own funds requirements

1

Subject to Articles 93 and 94, institutions shall at all times satisfy the following own funds requirements:

a

a Common Equity Tier 1 capital ratio of 4,5 %;

b

a Tier 1 capital ratio of 6 %;

c

a total capital ratio of 8 %.

2

Institutions shall calculate their capital ratios as follows:

a

the Common Equity Tier 1 capital ratio is the Common Equity Tier 1 capital of the institution expressed as a percentage of the total risk exposure amount;

b

the Tier 1 capital ratio is the Tier 1 capital of the institution expressed as a percentage of the total risk exposure amount;

c

the total capital ratio is the own funds of the institution expressed as a percentage of the total risk exposure amount.

3

Total risk exposure amount shall be calculated as the sum of points (a) to (f) of this paragraph after taking into account the provisions laid down in paragraph 4:

a

the risk-weighted exposure amounts for credit risk and dilution risk, calculated in accordance with Title II and Article 379, in respect of all the business activities of an institution, excluding risk-weighted exposure amounts from the trading book business of the institution;

b

the own funds requirements, determined in accordance with Title IV of this Part or Part Four, as applicable, for the trading-book business of an institution, for the following:

  1. (i)

    position risk;

  2. (ii)

    large exposures exceeding the limits specified in Articles 395 to 401, to the extent an institution is permitted to exceed those limits;

c

the own funds requirements determined in accordance with Title IV or Title V with the exception of Article 379, as applicable, for the following:

  1. (i)

    foreign-exchange risk;

  2. (ii)

    settlement risk;

  3. (iii)

    commodities risk;

d

the own funds requirements calculated in accordance with Title VI for credit valuation adjustment risk of OTC derivative instruments other than credit derivatives recognised to reduce risk-weighted exposure amounts for credit risk;

e

the own funds requirements determined in accordance with Title III for operational risk;

f

the risk-weighted exposure amounts determined in accordance with Title II for counterparty risk arising from the trading book business of the institution for the following types of transactions and agreements:

  1. (i)

    contracts listed in Annex II and credit derivatives;

  2. (ii)

    repurchase transactions, securities or commodities lending or borrowing transactions based on securities or commodities;

  3. (iii)

    margin lending transactions based on securities or commodities;

  4. (iv)

    long settlement transactions.

4

The following provisions shall apply in the calculation of the total risk exposure amount referred to in paragraph 3:

a

the own funds requirements referred to in points (c), (d) and (e) of that paragraph shall include those arising from all the business activities of an institution;

b

institutions shall multiply the own funds requirements set out in points (b) to (e) of that paragraph by 12,5.