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Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (Text with EEA relevance)
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TITLE II LEVEL OF APPLICATION OF REQUIREMENTS
CHAPTER 1 Application of requirements on an individual basis
CHAPTER 2 Prudential consolidation
Section 1 Application of requirements on a consolidated basis
Article 12. Financial holding company or mixed financial holding company with both a subsidiary credit institution and a subsidiary investment firm
Article 12a. Consolidated calculation for G-SIIs with multiple resolution entities
Article 13. Application of disclosure requirements on a consolidated basis
Article 14. Application of requirements of Article 5 of Regulation (EU) 2017/2402 on a consolidated basis
Article 15. Derogation from the application of own funds requirements on a consolidated basis for groups of investment firms
Article 16. Derogation from the application of the leverage ratio requirements on a consolidated basis for groups of investment firms
Article 17. Supervision of investment firms waived from the application of own funds requirements on a consolidated basis
PART TWO OWN FUNDS AND ELIGIBLE LIABILITIES
CHAPTER 2 Common Equity Tier 1 capital
Section 1 Common Equity Tier 1 items and instruments
Article 27. Capital instruments of mutuals, cooperative societies, savings institutions or similar institutions in Common Equity Tier 1 items
Article 29. Capital instruments issued by mutuals, cooperative societies, savings institutions and similar institutions
Article 30. Consequences of the conditions for Common Equity Tier 1 instruments ceasing to be met
Article 31. Capital instruments subscribed by public authorities in emergency situations
Section 3 Deductions from Common Equity Tier 1 items, exemptions and alternatives
Sub-Section 1 Deductions from Common Equity Tier 1 items
Article 38. Deduction of deferred tax assets that rely on future profitability
Article 39. Tax overpayments, tax loss carry backs and deferred tax assets that do not rely on future profitability
Article 40. Deduction of negative amounts resulting from the calculation of expected loss amounts
Article 41. Deduction of defined benefit pension fund assets
Article 42. Deduction of holdings of own Common Equity Tier 1 instruments
Article 43. Significant investment in a financial sector entity
Article 44. Deduction of holdings of Common Equity Tier 1 instruments of financial sector entities and where an institution has a reciprocal cross holding designed artificially to inflate own funds
Article 45. Deduction of holdings of Common Equity Tier 1 instruments of financial sector entities
Article 46. Deduction of holdings of Common Equity Tier 1 instruments where an institution does not have a significant investment in a financial sector entity
Article 47. Deduction of holdings of Common Equity Tier 1 instruments where an institution has a significant investment in a financial sector entity
Sub-Section 2 Exemptions from and alternatives to deduction from Common Equity Tier 1 items
CHAPTER 3 Additional Tier 1 capital
Section 1 Additional Tier 1 items and instruments
Article 53. Restrictions on the cancellation of distributions on Additional Tier 1 instruments and features that could hinder the recapitalisation of the institution
Article 54. Write down or conversion of Additional Tier 1 instruments
Article 55. Consequences of the conditions for Additional Tier 1 instruments ceasing to be met
Section 2 Deductions from Additional Tier 1 items
Article 57. Deductions of holdings of own Additional Tier 1 instruments
Article 58. Deduction of holdings of Additional Tier 1 instruments of financial sector entities and where an institution has a reciprocal cross holding designed artificially to inflate own funds
Article 59. Deduction of holdings of Additional Tier 1 instruments of financial sector entities
Article 60. Deduction of holdings of Additional Tier 1 instruments where an institution does not have a significant investment in a financial sector entity
Section 2 Deductions from Tier 2 items
Article 67. Deductions of holdings of own Tier 2 instruments
Article 68. Deduction of holdings of Tier 2 instruments of financial sector entities and where an institution has a reciprocal cross holding designed artificially to inflate own funds
Article 69. Deduction of holdings of Tier 2 instruments of financial sector entities
Article 70. Deduction of Tier 2 instruments where an institution does not have a significant investment in a relevant entity
CHAPTER 5a Eligible liabilities
Section 2 Deductions from eligible liabilities items
Article 72f. Deduction of holdings of own eligible liabilities instruments
Article 72h. Deduction of holdings of eligible liabilities of other G-SII entities
Article 72i. Deduction of eligible liabilities where the institution does not have a significant investment in G-SII entities
Article 72j. Trading book exception from deductions from eligible liabilities items
CHAPTER 6 General requirements for own funds and eligible liabilities
Article 74. Holdings of capital instruments issued by regulated financial sector entities that do not qualify as regulatory capital
Article 75. Deduction and maturity requirements for short positions
Article 77. Conditions for reducing own funds and eligible liabilities
Article 78a. Permission to reduce eligible liabilities instruments
Article 79. Temporary waiver from deduction from own funds and eligible liabilities
Article 79a. Assessment of compliance with the conditions for own funds and eligible liabilities instruments
Article 80. Continuing review of the quality of own funds and eligible liabilities instruments
TITLE II MINORITY INTEREST AND ADDITIONAL TIER 1 AND TIER 2 INSTRUMENTS ISSUED BY SUBSIDIARIES
Article 81. Minority interests that qualify for inclusion in consolidated Common Equity Tier 1 capital
Article 82. Qualifying Additional Tier 1, Tier 1, Tier 2 capital and qualifying own funds
Article 83. Qualifying Additional Tier 1 and Tier 2 capital issued by a special purpose entity
Article 84. Minority interests included in consolidated Common Equity Tier 1 capital
Article 85. Qualifying Tier 1 instruments included in consolidated Tier 1 capital
Article 86. Qualifying Tier 1 capital included in consolidated Additional Tier 1 capital
Article 87. Qualifying own funds included in consolidated own funds
Article 88. Qualifying own funds instruments included in consolidated Tier 2 capital
PART THREE CAPITAL REQUIREMENTS
TITLE I GENERAL REQUIREMENTS, VALUATION AND REPORTING
CHAPTER 1 Required level of own funds
Article 95. Own funds requirements for investment firms with limited authorisation to provide investment services
Article 96. Own funds requirements for investment firms which hold initial capital as laid down in Article 28(2) of Directive 2013/36/EU
Article 98. Own funds for investment firms on a consolidated basis
TITLE II CAPITAL REQUIREMENTS FOR CREDIT RISK
CHAPTER 2 Standardised approach
Article 114. Exposures to central governments or central banks
Article 115. Exposures to regional governments or local authorities
Article 124. Exposures secured by mortgages on immovable property
Article 125. Exposures fully and completely secured by mortgages on residential property
Article 126. Exposures fully and completely secured by mortgages on commercial immovable property
Article 131. Exposures to institutions and corporates with a short-term credit assessment
Article 132. Exposures in the form of units or shares in CIUs
Article 132a. Approaches for calculating risk-weighted exposure amounts of CIUs
Section 4 Use of the ECAI credit assessments for the determination of risk weights
CHAPTER 3 Internal Ratings Based Approach
Section 1 Permission by competent authorities to use the IRB approach
Article 144. Competent authorities' assessment of an application to use an IRB Approach
Article 146. Measures to be taken where the requirements of this Chapter cease to be met
Article 147. Methodology to assign exposures to exposure classes
Article 148. Conditions for implementing the IRB Approach across different classes of exposure and business units
Article 149. Conditions to revert to the use of less sophisticated approaches
Section 2 Calculation of risk-weighted exposure amounts
Sub-Section 2 Calculation of risk-weighted exposure amounts for credit risk
Article 153. Risk-weighted exposure amounts for exposures to corporates, institutions and central governments and central banks
Article 154. Risk-weighted exposure amounts for retail exposures
Article 155. Risk-weighted exposure amounts for equity exposures
Article 156. Risk-weighted exposure amounts for other non credit-obligation assets
Section 6 Requirements for the IRB approach
Sub-Section 2 Risk quantification
Article 182. Requirements specific to own-conversion factor estimates
Article 183. Requirements for assessing the effect of guarantees and credit derivatives for exposures to corporates, institutions and central governments and central banks where own estimates of LGD are used and for retail exposures
Sub-Section 4 Requirements for equity exposures under the internal models approach
CHAPTER 4 Credit risk mitigation
Section 2 Eligible forms of credit risk mitigation
Sub-Section 1 Funded credit protection
Article 196. Master netting agreements covering repurchase transactions or securities or commodities lending or borrowing transactions or other capital market-driven transactions
Article 197. Eligibility of collateral under all approaches and methods
Article 198. Additional eligibility of collateral under the Financial Collateral Comprehensive Method
Article 199. Additional eligibility for collateral under the IRB Approach
Sub-Section 1 Funded credit protection
Article 205. Requirements for on-balance sheet netting agreements other than master netting agreements referred to in Article 206
Article 206. Requirements for master netting agreements covering repurchase transactions or securities or commodities lending or borrowing transactions or other capital market driven transactions
Article 211. Requirements for treating lease exposures as collateralised
Article 212. Requirements for other funded credit protection
Sub-Section 2 Unfunded credit protection and credit linked notes
Section 4 Calculating the effects of credit risk mitigation
Sub-Section 1 Funded credit protection
Article 220. Using the Supervisory Volatility Adjustments Approach or the Own Estimates Volatility Adjustments Approach for master netting agreements
Article 221. Using the internal models approach for master netting agreements
Article 224. Supervisory volatility adjustment under the Financial Collateral Comprehensive Method
Article 225. Own estimates of volatility adjustments under the Financial Collateral Comprehensive Method
Article 226. Scaling up of volatility adjustment under the Financial Collateral Comprehensive Method
Article 227. Conditions for applying a 0 % volatility adjustment under the Financial Collateral Comprehensive Method
Article 228. Calculating risk-weighted exposure amounts and expected loss amounts under the Financial Collateral Comprehensive method
Article 229. Valuation principles for other eligible collateral under the IRB Approach
Article 230. Calculating risk-weighted exposure amounts and expected loss amounts for other eligible collateral under the IRB Approach
Article 231. Calculating risk-weighted exposure amounts and expected loss amounts in the case of mixed pools of collateral
Sub-Section 2 Unfunded credit protection
Article 234. Calculating risk-weighted exposure amounts and expected loss amounts in the event of partial protection and tranching
Article 235. Calculating risk-weighted exposure amounts under the Standardised Approach
Article 236. Calculating risk-weighted exposure amounts and expected loss amounts under the IRB Approach
Section 1 Definitions and criteria for simple, transparent and standardised securitisations
Section 3 Calculation of risk-weighted exposure amounts
Subsection 3 Methods to calculate risk-weighted exposure amounts
Article 258. Conditions for the use of the Internal Ratings Based Approach (SEC-IRBA)
Article 259. Calculation of risk-weighted exposure amounts under the SEC-IRBA
Article 260. Treatment of STS securitisations under the SEC-IRBA
Article 261. Calculation of risk-weighted exposure amounts under the Standardised Approach (SEC-SA)
Article 262. Treatment of STS securitisations under the SEC-SA
Article 263. Calculation of risk-weighted exposure amounts under the External Ratings Based Approach (SEC-ERBA)
Article 264. Treatment of STS securitisations under the SEC-ERBA
Article 265. Scope and operational requirements for the Internal Assessment Approach
Article 266. Calculation of risk-weighted exposure amounts under the Internal Assessment Approach
CHAPTER 6 Counterparty credit risk
Section 9 Own funds requirements for exposures to a central counterparty
Article 303. Treatment of clearing members' exposures to CCPs
Article 304. Treatment of clearing members' exposures to clients
Article 307. Own funds requirements for pre-funded contributions to the default fund of a CCP
Article 308. Own funds requirements for pre-funded contributions to the default fund of a QCCP
Article 309. Own funds requirements for pre-funded contributions to the default fund of a non-qualifying CCP and for unfunded contributions to a non-qualifying CCP
Article 310. Alternative calculation of own funds requirement for exposures to a QCCP
Article 311. Own funds requirements for exposures to CCPs that cease to meet certain conditions
TITLE IV OWN FUNDS REQUIREMENTS FOR MARKET RISK
CHAPTER 1a Alternative standardised approach
Section 2 Sensitivities-based method for calculating the own funds requirement
Article 325f. Own funds requirements for delta and vega risks
Article 325h. Aggregation of risk-class specific own funds requirements for delta, vega and curvature risks
Article 325i. Treatment of index instruments and multi-underlying options
Article 325j. Treatment of collective investment undertakings
Section 3 Risk factor and sensitivity definitions
Section 6 Risk weights and correlations
Subsection 1 Delta risk weights and correlations
Article 325af. Intra bucket correlations for general interest rate risk
Article 325ag. Correlations across buckets for general interest rate risk
Article 325ah. Risk weights for credit spread risk for non-securitisations
Article 325ai. Intra-bucket correlations for credit spread risk for non-securitisations
Article 325aj. Correlations across buckets for credit spread risk for non-securitisations
Article 325ak. Risk weights for credit spread risk for securitisations included in the ACTP
Article 325al. Correlations for credit spread risk for securitisations included in the ACTP
Article 325am. Risk weights for credit spread risk for securitisations not included in the ACTP
Article 325an. Intra-bucket correlations for credit spread risk for securitisations not included in the ACTP
Article 325ao. Correlations across buckets for credit spread risk for securitisations not included in the ACTP
Article 325au. Correlations across buckets for commodity risk
Subsection 2 Vega and curvature risk weights and correlations
CHAPTER 1b Alternative internal model approach
Section 3 Internal default risk model
Article 325bm. Permission to use an internal default risk model
Article 325bn. Own funds requirements for default risk using an internal default risk model
Article 325bo. Recognition of hedges in an internal default risk model
Article 325bp. Particular requirements for an internal default risk model
CHAPTER 5 Use of internal models to calculate own funds requirements
TITLE VI OWN FUNDS REQUIREMENTS FOR CREDIT VALUATION ADJUSTMENT RISK
Article 391. Definition of an institution for large exposures purposes
Article 393. Capacity to identify and manage large exposures
Article 397. Calculating additional own funds requirements for large exposures in the trading book
Article 398. Procedures to prevent institutions from avoiding the additional own funds requirement
Article 401. Calculating the effect of the use of credit risk mitigation techniques
PART EIGHT DISCLOSURE BY INSTITUTIONS
TITLE III QUALIFYING REQUIREMENTS FOR THE USE OF PARTICULAR INSTRUMENTS OR METHODOLOGIES
PART TEN TRANSITIONAL PROVISIONS, REPORTS, REVIEWS AND AMENDMENTS
TITLE I TRANSITIONAL PROVISIONS
CHAPTER 1 Own funds requirements, unrealised gains and losses measured at fair value and deductions
Section 2 Unrealised gains and losses measured at fair value
Section 4 minority interest and additional Tier 1 and Tier 2 instruments issued by subsidiaries
CHAPTER 2 Grandfathering of capital instruments
Section 2 Instruments not constituting State aid
Sub-Section 1 Grandfathering eligibility and limits
Article 484. Eligibility for grandfathering of items that qualified as own funds under national transposition measures for Directive 2006/48/EC
Article 485. Eligibility for inclusion in the Common Equity Tier 1 of share premium accounts related to items that qualified as own funds under national transposition measures for Directive 2006/48/EC
Article 486. Limits for grandfathering of items within Common Equity Tier 1, Additional Tier 1 and Tier 2 items
Article 487. Items excluded from grandfathering in Common Equity Tier 1 or Additional Tier 1 items in other elements of own funds
Article 488. Amortisation of items grandfathered as Tier 2 items
CHAPTER 3 Transitional provisions for disclosure of own funds
CHAPTER 4 Large exposures, own funds requirements, leverage and the Basel I Floor
Article 494. Transitional provisions concerning the requirement for own funds and eligible liabilities
Article 494a. Grandfathering of issuances through special purpose entities
Article 494b. Grandfathering of own funds instruments and eligible liabilities instruments
Article 495. Treatment of equity exposures under the IRB Approach
Article 500a. Temporary treatment of public debt issued in the currency of another Member State
Article 500b. Temporary exclusion of certain exposures to central banks from the total exposure measure in view of the COVID-19 pandemic
Article 500c. Exclusion of overshootings from the calculation of the back-testing addend in view of the COVID-19 pandemic
Article 500d. Temporary calculation of the exposure value of regular-way purchases and sales awaiting settlement in view of the COVID-19 pandemic
Article 501. Adjustment of risk-weighted non-defaulted SME exposures
Article 501a. Adjustment to own funds requirements for credit risk for exposures to entities that operate or finance physical structures or facilities, systems and networks that provide or support essential public services
Article 501c. Prudential treatment of exposures related to environmental and/or social objectives
Article 503. Own funds requirements for exposures in the form of covered bonds
Article 504. Capital instruments subscribed by public authorities in emergency situations
Article 514. Method for the calculation of the exposure value of derivative transactions
Article 518. Review of capital instruments which may be written down or converted at the point of non-viability
Article 518b. Report on overshootings and supervisory powers to limit distributions
Article 519. Deduction of defined benefit pension fund assets from Common Equity Tier 1 items
Items subject to supplementary reporting of liquid assets
2. Central bank exposures, to the extent that these exposures can...
3. Transferable securities representing claims on or claims guaranteed by sovereigns,...
4. Transferable securities other than those referred to in point 3...
5. Transferable securities representing claims on or claims guaranteed by sovereigns,...
6. Transferable securities other than those referred to in points 3,...
7. Transferable securities other than those referred to in points 3...
8. Transferable securities other than those referred to in points 3...
9. Standby credit facilities granted by central banks within the scope...
10. Legal or statutory minimum deposits with the central credit institution...
11. Exchange traded, centrally cleared common equity shares, that are a...
12. Gold listed on a recognised exchange, held on an allocated...
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