Capital Requirements Regulation

02013R0575-20201228 → 02013R0575-20210629

Article 2 Supervisory powers 1. For the purpose of ensuring compliance with this Regulation, competent authorities shall have the powers and shall follow the procedures set out in Directive 2013/36/EU and in this Regulation. 2. For the purpose of ensuring compliance with this Regulation, resolution authorities shall have the powers and shall follow the procedures set out in Directive 2014/59/EU of the European Parliament and of the CouncilDirective 2014/59/EU of the European Parliament and of the Council of 15 May 2014 establishing a framework for the recovery and resolution of credit institutions and investment firms and amending Council Directive 82/891/EEC, and Directives 2001/24/EC, 2002/47/EC, 2004/25/EC, 2005/56/EC, 2007/36/EC, 2011/35/EU, 2012/30/EU and 2013/36/EU, and Regulations (EU) No 1093/2010 and (EU) No 648/2012, of the European Parliament and of the Council (OJ L 173, 12.6.2014, p. 190). and in this Regulation. 3. For the purpose of ensuring compliance with the requirements concerning own funds and eligible liabilities, competent authorities and resolution authorities shall cooperate. 4. For the purpose of ensuring compliance within their respective competences, the Single Resolution Board established by Article 42 of Regulation (EU) No 806/2014 of the European Parliament and of the CouncilRegulation (EU) No 806/2014 of the European Parliament and of the Council of 15 July 2014 establishing uniform rules and a uniform procedure for the resolution of credit institutions and certain investment firms in the framework of a Single Resolution Mechanism and a Single Resolution Fund and amending Regulation (EU) No 1093/2010 (OJ L 225, 30.7.2014, p. 1)., and the European Central Bank with regard to matters relating to the tasks conferred on it by Council Regulation (EU) No 1024/2013Council Regulation (EU) No 1024/2013 of 15 October 2013 conferring specific tasks on the European Central Bank concerning policies relating to the prudential supervision of credit institutions (OJ L 287, 29.10.2013, p. 63)., shall ensure the regular and reliable exchange of relevant information.5. When applying the provisions laid down in Article 1(2) and 1(5) of Regulation (EU) 2019/2033 of the European Parliament and of the CouncilRegulation (EU) 2019/2033 of the European Parliament and of the Council of 27 November 2019 on the prudential requirements of investment firms and amending Regulations (EU) No 1093/2010, (EU) No 575/2013, (EU) No 600/2014 and (EU) No 806/2014 (OJ L 314, 5.12.2019, p. 1). with regard to investment firms referred to in those paragraphs, the competent authorities as defined in point (5) of Article 3(1) of Directive (EU) 2019/2034 of the European Parliament and of the CouncilDirective (EU) 2019/2034 of the European Parliament and of the Council of 27 November 2019 on the prudential supervision of investment firms and amending Directives 2002/87/EC, 2009/65/EC, 2011/61/EU, 2013/36/EU, 2014/59/EU and 2014/65/EU (OJ L 314, 5.12.2019, p. 64). shall treat those investment firms as if they were institutions under this Regulation.

02013R0575-20201228 → 02013R0575-20210629

Article 4 Definitions 1. For the purposes of this Regulation, the following definitions shall apply: (1) credit institution means an undertaking the business of which is consists of any of the following: (a) to take deposits or other repayable funds from the public and to grant credits for its own account; (b) to carry out any of the activities referred to in points (3) and (6) of Section A of Annex I to Directive 2014/65/EU of the European Parliament and of the CouncilDirective 2014/65/EU of the European Parliament and of the Council of 15 May 2014 on markets in financial instruments and amending Directive 2002/92/EC and Directive 2011/61/EU (OJ L 173, 12.6.2014, p. 349)., where one of the following applies, but the undertaking is not a commodity and emission allowance dealer, a collective investment undertaking or an insurance undertaking: (i) the total value of the consolidated assets of the undertaking is equal to or exceeds EUR 30 billion; (ii) the total value of the assets of the undertaking is less than EUR 30 billion, and the undertaking is part of a group in which the total value of the consolidated assets of all undertakings in that group that individually have total assets of less than EUR 30 billion and that carry out any of the activities referred to in points (3) and (6) of Section A of Annex I to Directive 2014/65/EU is equal to or exceeds EUR 30 billion; or (iii) the total value of the assets of the undertaking is less than EUR 30 billion, and the undertaking is part of a group in which the total value of the consolidated assets of all undertakings in the group that carry out any of the activities referred to in points (3) and (6) of Section A of Annex I to Directive 2014/65/EU is equal to or exceeds EUR 30 billion, where the consolidating supervisor, in consultation with the supervisory college, so decides in order to address potential risks of circumvention and potential risks for the financial stability of the Union; for the purposes of points (b)(ii) and (b)(iii), where the undertaking is part of a third‐country group, the total assets of each branch of the third‐country group authorised in the Union shall be included in the combined total value of the assets of all undertakings in the group; (2) investment firm means a person an investment firm as defined in point (1) of Article 4(1) of Directive 2004/39/EC, 2014/65/EU which is subject to the requirements imposed by authorised under that Directive, excluding the following: (a) Directive but excludes credit institutions; (b) local firms; (c) firms which are not authorised to provide the ancillary service referred to in point (1) of Section B of Annex I to Directive 2004/39/EC, which provide only one or more of the investment services and activities listed in points 1, 2, 4 and 5 of Section A of Annex I to that Directive, and which are not permitted to hold money or securities belonging to their clients and which for that reason may not at any time place themselves in debt with those clients; (3) institution means a credit institution authorised under Article 8 of Directive 2013/36/EU or an investment firm; undertaking as referred to in Article 8a(3) thereof; (4) local firm means a firm dealing for its own account on markets in financial futures or options or other derivatives and on cash markets for the sole purpose of hedging positions on derivatives markets, or dealing for the accounts … 976 unchanged words … than a pure industrial holding company, the principal activity of which is to acquire holdings or to pursue one or more of the activities listed in points 2 to 12 and point 15 of Annex I to Directive 2013/36/EU, including an investment firm, a financial holding company, a mixed financial holding company, an investment holding company, a payment institution as defined in point (4) of Article 4 within the meaning of Directive (EU) 2015/2366 of the European Parliament and of the CouncilDirective (EU) 2015/2366 of the European Parliament and of the Council of 25 November 2015 on payment services in the internal market, amending Directives 2002/65/EC, 2009/110/EC and 2013/36/EU and Regulation (EU) No 1093/2010, and repealing Directive 2007/64/EC (OJ L 337, 23.12.2015, p. 35)., and an asset management company, but excluding insurance holding companies and mixed-activity mixed‐activity insurance holding companies as defined, respectively, defined in points (f) and (g) of Article 212(1) of Directive 2009/138/EC; (27) financial sector entity means any of the following: (a) an institution; (b) a financial institution; (c) an ancillary services undertaking included in the consolidated financial situation of an institution; (d) an insurance undertaking; (e) a third-country insurance undertaking; (f) a reinsurance undertaking; (g) a third-country reinsurance undertaking; (h) an insurance holding company as defined in point (f) of Article 212(1) of Directive 2009/138/EC; (k) an undertaking excluded from the scope of Directive 2009/138/EC in accordance with Article 4 of that Directive; (l) a third-country undertaking with a main business comparable to any of the entities referred to in points (a) to (k); (28) parent institution in a Member State means an institution in a Member State which has an institution, a financial institution or an ancillary services undertaking as a subsidiary or which holds a participation in an institution, financial institution or ancillary services undertaking, and which is not itself a subsidiary of another institution authorised in the same Member State, or of a financial holding company or mixed financial holding company set up in the same Member State; (29) EU parent institution means a parent institution in a Member State which is not a subsidiary of another institution authorised in any Member State, or of a financial holding company or mixed financial holding company set up in any Member State; (29a) parent investment firm in a Member State means a parent institution undertaking in a Member State that is an investment firm; (29b) EU parent investment firm means an EU parent institution undertaking that is an investment firm; (29c) parent credit institution in a Member State means a parent institution in a Member State that is a credit institution; (29d) EU parent credit institution means an EU parent institution that is a credit institution; (30) parent … 1,051 unchanged words … instrument. The instruments referred to in points (a), (b) and (c) are only financial instruments if their value is derived from the price of an underlying financial instrument or another underlying item, a rate, or an index; (51) initial capital means the amount amounts and types of own funds specified in Article 12 of Directive 2013/36/EU for credit institutions and in Title IV of that Directive for investment firms; 2013/36/EU; (52) operational risk means the risk of loss resulting from inadequate or failed internal processes, people and systems or from external events, and includes legal risk; (53) dilution risk means the risk that an amount receivable is reduced through cash or non-cash credits to the obligor; (54) probability of default or PD means the probability of default of a counterparty over a one-year period; (55) loss given default or LGD means the ratio of the loss on an exposure due to the default of a counterparty to the amount outstanding at default; (56) conversion factor means the ratio of the currently undrawn amount of a commitment that could be drawn and that would therefore be outstanding at default to the currently undrawn amount of the commitment, the extent of the commitment being determined by the advised limit, unless the unadvised limit is higher; (57) credit risk mitigation means a technique used by an institution to reduce the credit risk associated with an exposure or exposures which that institution continues to hold; (58) funded credit protection means a technique of credit risk mitigation where the reduction of the credit risk on the exposure of an institution derives from the right of that institution, in the event of the default of the counterparty or on the occurrence of other specified credit events relating to the counterparty, to liquidate, or to obtain transfer or appropriation of, or to retain certain assets or amounts, or to reduce the amount of the exposure to, or to replace it with, the amount of the difference between the amount of the exposure and the amount of a claim on the institution; (59) unfunded credit protection means a technique of credit risk mitigation where the reduction of the credit risk on the exposure of an institution derives from the obligation of a third party to pay an amount in the event of the default of the borrower or the occurrence of other specified credit events; (60) cash assimilated instrument means a certificate of deposit, a bond, including a covered bond, or any other non-subordinated non‐subordinated instrument, which has been issued by an institution, institution or an investment firm, for which the institution or investment firm has already received full payment and which shall is to be unconditionally reimbursed by the institution or investment firm at its nominal value; (61) securitisation means a securitisation as defined in point (1) of Article 2 of Regulation (EU) 2017/2402; (62) securitisation position means a securitisation position as defined in point (19) of Article 2 of Regulation (EU) 2017/2402; (63) resecuritisation means a resecuritisation as defined in point (4) of Article 2 of Regulation (EU) 2017/2402; (64) re-securitisation position means an exposure to a re-securitisation; (65) credit enhancement means a contractual arrangement whereby the credit quality of a position in a securitisation is improved in relation to what it would have been if the enhancement had not been provided, including the enhancement provided by more junior tranches in the securitisation and other types of credit protection; (66) securitisation special purpose entity or SSPE means a securitisation special purpose entity or SSPE as defined in point (2) of Article 2 of Regulation (EU) 2017/2402; (67) tranche means a tranche as defined in point (6) of Article 2 of Regulation (EU) 2017/2402; (68) marking to market means the valuation of positions at readily available close out prices that are sourced independently, including exchange prices, screen prices or quotes from several independent reputable brokers; (69) marking to model means any valuation which has to be benchmarked, extrapolated or otherwise calculated from one or more market inputs; (70) independent price verification means a process by which market prices or marking to model inputs are regularly verified for accuracy and independence; (71) eligible capital means the following: (a) for the purposes of Title III of Part Two it means the sum of the following: (i) Tier 1 capital as referred to in Article 25, without applying the deduction in Article 36(1)(k)(i); (ii) Tier 2 capital as referred to in Article 71 that is equal to or less than one third of Tier 1 capital as calculated pursuant to point (i) of this point; (b) for the purposes of Article 97 it means the sum of the following: (i) Tier 1 capital as referred to in Article 25; (ii) Tier 2 capital as referred to in Article 71 that is equal to or less than one third of Tier 1 capital; (72) recognised exchange means an exchange which meets all of the following conditions: (a) it is a regulated market or a third-country third‐country market that is considered to be equivalent to a regulated market in accordance with the procedure set out in point (a) of Article 25(4) of Directive 2014/65/EU of the European Parliament and of the CouncilDirective 2014/65/EU of the European Parliament and of the Council of 15 May 2014 on markets in financial instruments and amending Directive 2002/92/EC and Directive 2011/61/EU (OJ L 173, 12.6.2014, p. 349).; 2014/65/EU; (b) it has a clearing mechanism whereby contracts listed in Annex II are subject to daily margin requirements which, in the opinion of the competent authorities, provide appropriate protection; (73) discretionary pension benefits means enhanced pension benefits granted on a discretionary … 3,161 unchanged words … Parliament and of the Council of 15 December 2004 on the harmonisation of transparency requirements in relation to information about issuers whose securities are admitted to trading on a regulated market and amending Directive 2001/34/EC (OJ L 390, 31.12.2004, p. 38).. 38).; (150) commodity and emission allowance dealer means an undertaking the main business of which consists exclusively of the provision of investment services or activities in relation to commodity derivatives or commodity derivative contracts referred to in points (5), (6), (7), (9) and (10), derivatives of emission allowances referred to in point (4), or emission allowances referred to in point (11) of Section C of Annex I to Directive 2014/65/EU. 2. Where reference in this Regulation is made to immovable property, to residential property or commercial immovable property or to a mortgage on such property, it shall include shares in Finnish residential housing companies operating in accordance with the Finnish Housing Company Act of 1991 or subsequent equivalent legislation. Member States or their competent authorities may allow shares constituting an equivalent indirect holding of immovable property to be treated as a direct holding of immovable property provided that such an indirect holding is specifically regulated in the national law of the Member State concerned and that, when pledged as collateral, it provides equivalent protection to creditors. 3. Trade finance as referred to in point (80) of paragraph 1 is generally uncommitted and requires satisfactory supporting transactional documentation for each drawdown request enabling refusal of the finance in the event of any doubt about creditworthiness or the supporting transactional documentation. Repayment of trade finance exposures is usually independent of the borrower, the funds instead coming from cash received from importers or resulting from proceeds of the sales of the underlying goods. 4. EBA shall develop draft regulatory technical standards specifying in which circumstances the conditions set out in point (39) of paragraph 1 are met. EBA shall submit those draft regulatory technical standards to the Commission by 28 June 2020. Power is delegated to the Commission to supplement this Regulation by adopting the regulatory technical standards referred to in the first subparagraph in accordance with Articles 10 to 14 of Regulation (EU) No 1093/2010.

02013R0575-20201228 → 02013R0575-20210629

Article 6 General principles 1. Institutions shall comply with the obligations laid down in Parts Two to Five Two, Three, Four, Seven, Seven A and Eight of this Regulation and in Chapter 2 of Regulation (EU) 2017/2402 on an individual basis. basis, with the exception of point (d) of Article 430(1) of this Regulation. 1a. By way of derogation from paragraph 1 of this Article, only institutions identified as resolution entities that are also G-SIIs or that are part of a G-SII, and that do not have subsidiaries shall comply with the requirement laid down in Article 92a on an individual basis. Material subsidiaries of a non-EU G-SII shall comply with Article 92b on an individual basis, where they meet all the following conditions: (a) they are not resolution entities; (b) they do not have subsidiaries; (c) they are not the subsidiaries of an EU parent institution. 2. No institution which is either a subsidiary in the Member State where it is authorised and supervised, or a parent undertaking, and no institution included in the consolidation pursuant to Article 18, shall be required to comply with the obligations laid down in Articles 89, 90 and 91 on an individual basis. 3. No institution which is either a parent undertaking or a subsidiary, and no institution included in the consolidation pursuant to Article 18, shall be required to comply with the obligations laid down in Part Eight on an individual basis. By way of derogation from the first subparagraph of this paragraph, the institutions referred to in paragraph 1a of this Article shall comply with Article 437a and point (h) of Article 447 on an individual basis. 4. Credit institutions and investment firms that are authorised to provide the investment services and activities listed in points (3) and (6) of Section A of Annex I to Directive 2004/39/EC Institutions shall comply with the obligations laid down in Part Six and in point (d) of Article 430(1) of this Regulation on an individual basis. Pending The following institutions shall not be required to comply with Article 413(1) and the report from the Commission associated liquidity reporting requirements laid down in Part Seven A of this Regulation: (a) institutions which are also authorised in accordance with Article 508(3), competent authorities may exempt investment firms from compliance 14 of Regulation (EU) No 648/2012; (b) institutions which are also authorised in accordance with the obligations laid down in Part Six taking into account the nature, scale Article 16 and complexity point (a) of Article 54(2) of Regulation (EU) No 909/2014 of the investment firms' activities. 5. Institutions, except for investment firms European Parliament and of the CouncilRegulation (EU) No 909/2014 of the European Parliament and of the Council of 23 July 2014 on improving securities settlement in the European Union and on central securities depositories and amending Directives 98/26/EC and 2014/65/EU and Regulation (EU) No 236/2012 (OJ L 257, 28.8.2014, p. 1)., provided that they do not perform any significant maturity transformations; and (c) institutions which are designated in accordance with point (b) of Article 54(2) of Regulation (EU) No 909/2014, provided that: (i) their activities are limited to offering banking‐type services, as referred to in Section C of the Annex to that Regulation, to central securities depositories authorised in accordance with Article 95(1) 16 of that Regulation; and Article 96(1) and institutions (ii) they do not perform any significant maturity transformations. 5. Institutions for which competent authorities have exercised the derogation specified in Article 7(1) or (3), (3) of this Regulation, and institutions which are also authorised in accordance with Article 14 of Regulation (EU) No 648/2012, shall not be required to comply with the obligations laid down in Part Seven and the associated leverage ratio reporting requirements laid down in Part Seven A of this Regulation on an individual basis.

02013R0575-20201228 → 02013R0575-20210629

Article 8 Derogation from the application of liquidity requirements on an individual basis 1. The competent authorities may waive in full or in part the application of Part Six to an institution and to all or some of its subsidiaries in the Union and supervise them as a single liquidity sub-group so long as they fulfil all of the following conditions: (a) the parent institution on a consolidated basis or a subsidiary institution on a sub-consolidated basis complies with the obligations laid down in Part Six; (b) the parent institution on a consolidated basis or the subsidiary institution on a sub-consolidated basis monitors and has oversight at all times over the liquidity positions of all institutions within the group or sub-group, that are subject to the waiver waiver, monitors and has oversight at all times over the funding positions of all institutions within the group or sub-group where the net stable funding ratio (NSFR) requirement set out in Title IV of Part Six is waived, and ensures a sufficient level of liquidity liquidity, and of stable funding where the NSFR requirement set out in Title IV of Part Six is waived, for all of these those institutions; (c) the institutions have entered into contracts that, to the satisfaction of the competent authorities, provide for the free movement of funds between them to enable them to meet their individual and joint obligations as they become due; (d) there is no current or foreseen material practical or legal impediment to the fulfilment of the contracts referred to in (c). By 1 January 2014, the Commission shall report to the European Parliament and the Council on any legal obstacles which are capable of rendering impossible the application of point (c) of the first subparagraph and is invited to make a legislative proposal, if appropriate, by 31 December 2015, on which of those obstacles should be removed. 2. The competent authorities may waive in full or in part the application of Part Six to an institution and to all or some of its subsidiaries where all institutions of the single liquidity sub-group are authorised in the same Member State and provided that the conditions in paragraph 1 are fulfilled. 3. Where institutions of the single liquidity sub-group are authorised in several Member States, paragraph 1 shall only be applied after following the procedure laid down in Article 21 and only to the institutions whose competent authorities agree about the following elements: (a) their assessment of the compliance of the organisation and of the treatment of liquidity risk with the conditions set out in Article 86 of Directive 2013/36/EU across the single liquidity sub-group; (b) the distribution of amounts, location and ownership of the required liquid assets to be held within the single liquidity sub-group; sub-group, where the liquidity coverage ratio (LCR) requirement as laid down in the delegated act referred to in Article 460(1) is waived, and the distribution of amounts and location of available stable funding within the single liquidity sub-group, where the NSFR requirement set out in Title IV of Part Six is waived; (c) the determination of minimum amounts of liquid assets to be held by institutions for which the application of the LCR requirement as laid down in the delegated act referred to in Article 460(1) is waived and the determination of minimum amounts of available stable funding to be held by institutions for which the application of the NSFR requirement set out in Title IV of Part Six will be is waived; (d) the need for stricter parameters than those set out in Part Six; (e) unrestricted sharing of complete information between the competent authorities; (f) a full understanding of the implications of such a waiver. 4. Competent authorities may also apply paragraphs 1, 2 and 3 to institutions which are members of the same institutional protection scheme as referred to in Article 113(7) provided that they meet all the conditions laid down therein, and to other institutions linked by a relationship referred to in Article 113(6) provided that they meet all the conditions laid down therein. Competent authorities shall in that case determine one of the institutions subject to the waiver to meet Part Six on the basis of the consolidated situation of all institutions of the single liquidity sub-group. 5. Where a waiver has been granted under paragraph 1 or paragraph 2, the competent authorities may also apply Article 86 of Directive 2013/36/EU, or parts thereof, at the level of the single liquidity sub-group and waive the application of Article 86 of Directive 2013/36/EU, or parts thereof, on an individual basis.6. Where, in accordance with this Article, a competent authority waives, in part or in full, the application of Part Six for an institution, it may also waive the application of the associated liquidity reporting requirements under point (d) of Article 430(1) for that institution.

02013R0575-20201228 → 02013R0575-20210629

Article 10 Waiver for credit institutions permanently affiliated to a central body 1. Competent authorities may, in accordance with national law, partially or fully waive the application of the requirements set out in Parts Two to Eight of this Regulation and Chapter 2 of Regulation (EU) 2017/2402 to one or more credit institutions situated in the same Member State and which are permanently affiliated to a central body which supervises them and which is established in the same Member State, if the following conditions are met: (a) the commitments of the central body and affiliated institutions are joint and several liabilities or the commitments of its affiliated institutions are entirely guaranteed by the central body; (b) the solvency and liquidity of the central body and of all the affiliated institutions are monitored as a whole on the basis of consolidated accounts of these institutions; (c) the management of the central body is empowered to issue instructions to the management of the affiliated institutions. Member States may maintain and make use of existing national legislation regarding the application of the waiver referred to in the first subparagraph as long as it does not conflict with this Regulation or Directive 2013/36/EU. 2. Where the competent authorities are satisfied that the conditions set out in paragraph 1 are met, and where the liabilities or commitments of the central body are entirely guaranteed by the affiliated institutions, the competent authorities may waive the application of Parts Two to Eight to the central body on an individual basis.

inserted text (02013R0575-20210629)

Article 10a
Application of prudential requirements on a consolidated basis where investment firms are parent undertakings
For the purposes of the application of this Chapter, investment firms shall be considered to be parent financial holding companies in a Member State or Union parent financial holding companies where such investment firms are parent undertakings of an institution or of an investment firm subject to this Regulation that is referred to in Article 1(2) or (5) of Regulation (EU) 2019/2033.

02013R0575-20201228 → 02013R0575-20210629

Article 11 General treatment 1. Parent institutions in a Member State shall comply, to the extent and in the manner set out in Article 18, with the obligations laid down in Parts Two, Three, Four, Seven and Seven A on the basis … 572 unchanged words … their consolidated situation where the group comprises one or more credit institutions or investment firms that are authorised to provide the investment services and activities listed in points (3) and (6) of Section A of Annex I to Directive 2014/65/EU. Pending the report from the Commission referred to in Article 508(2) of this Regulation, and where the group comprises only investment firms, competent authorities may exempt the EU parent institutions from compliance with Part Six and point (d) of Article 430(1) of this Regulation on a consolidated basis, taking into account the nature, scale and complexity of the investment firm's activities. Where a waiver has been granted under Article 8(1) to (5), the institutions and, where applicable, the financial holding companies or mixed financial holding companies that are part of a liquidity sub-group sub‐group shall comply with Part Six and point (d) of Article 430(1) of this Regulation on a consolidated basis or on the sub-consolidated sub‐consolidated basis of the liquidity sub-group. sub‐group. 5. Where Article 10 of this Regulation applies, the central body referred to in that Article shall comply with the requirements of Parts Two to Eight of this Regulation and Chapter 2 of Regulation (EU) 2017/2402 on the basis of the consolidated situation of the whole as constituted by the central body together with its affiliated institutions. 6. In addition to the requirements laid down in paragraphs 1 to 5 of this Article, and without prejudice to other provisions of this Regulation and Directive 2013/36/EU, when it is justified for supervisory purposes by the specificities of the risk or of the capital structure of an institution or where Member States adopt national laws requiring the structural separation of activities within a banking group, competent authorities may require an institution to comply with the obligations laid down in Parts Two to Eight of this Regulation and in Title VII of Directive 2013/36/EU on a sub-consolidated basis. The application of the approach set out in the first subparagraph shall be without prejudice to effective supervision on a consolidated basis and shall neither entail disproportionate adverse effects on the whole or parts of the financial system in other Member States or in the Union as a whole nor form or create an obstacle to the functioning of the internal market.

02013R0575-20201228 → 02013R0575-20210629

Article 15 Derogation from the application of own funds requirements on a consolidated basis for groups of investment firms 1. The consolidating supervisor may waive, on a case-by-case basis, the application of Part Three Three, the associated reporting requirements in Part Seven A of this Regulation, and Chapter 4 of Title VII of Directive 2013/36/EU, with the exception of point (d) of Article 430(1) of this Regulation and Title VII, Chapter 4 of Directive 2013/36/EU on a consolidated basis basis, provided that the following conditions exist: (a) each EU investment firm in the group uses the alternative calculation of total risk exposure amount referred to in Article 95(2) or 96(2); (b) all investment firms in the group fall within the categories in Article 95(1) or 96(1); (c) each EU investment firm in the group meets the requirements imposed in Article 95 or 96 on an individual basis and at the same time deducts from its Common Equity Tier 1 items any contingent liability in favour of investment firms, financial institutions, asset management companies and ancillary services undertakings, which would otherwise be consolidated; (d) any financial holding company which is the parent financial holding company in a Member State of any investment firm in the group holds at least enough capital, defined here as the sum of the items referred to in Articles 26(1), 51(1) and 62(1), to cover the sum of the following: (i) the sum of the full book value of any holdings, subordinated claims and instruments referred to in Article 36(1)(h) and (i), Article 56(1)(c) and (d), and Article 66(1)(c) and (d) in investment firms, financial institutions, asset management companies and ancillary services undertakings which would otherwise be consolidated; and (ii) the total amount of any contingent liability in favour of investment firms, financial institutions, asset management companies and ancillary services undertakings which would otherwise be consolidated; (e) the group does not include credit institutions. Where the criteria in the first subparagraph are met, each EU investment firm shall have in place systems to monitor and control the sources of capital and funding of all financial holding companies, investment firms, financial institutions, asset management companies and ancillary services undertakings within the group. 2. The competent authorities may also apply the waiver if the financial holding companies holds a lower amount of own funds than the amount calculated under paragraph 1(d), but no lower than the sum of the own funds requirements imposed on an individual basis to investment firms, financial institutions, asset management companies and ancillary services undertakings which would otherwise be consolidated and the total amount of any contingent liability in favour of investment firms, financial institutions, asset management companies and ancillary services undertakings which would otherwise be consolidated. For the purposes of this paragraph, the own funds requirement for investment undertakings of third countries, financial institutions, asset management companies and ancillary services undertakings is a notional own funds requirement.

02013R0575-20201228 → 02013R0575-20210629

Article 16 Derogation from the application of the leverage ratio requirements on a consolidated basis for groups of investment firms Where all entities in a group of investment firms, including the parent entity, are investment firms that are exempt from the application of the requirements laid down in Part Seven on an individual basis in accordance with Article 6(5), the parent investment firm may choose not to apply the requirements laid down in Part Seven and the associated leverage ratio reporting requirements in Part Seven A on a consolidated basis.

No text on either side: this unit was named by a signal that carries no text, and only the structural diff carries any.

texts differ too much for an inline diff; shown separately

before (02013R0575-20201228)

Article 22
Sub-consolidation in cases of entities in third countries
Subsidiary institutions shall apply the requirements laid down in Articles 89 to 91 and Parts Three and Four on the basis of their sub-consolidated situation if those institutions, or the parent undertaking where it is a financial holding company or mixed financial holding company, have an institution or a financial institution as a subsidiary in a third country, or hold a participation in such an undertaking.

after (02013R0575-20210629)

Article 22
Sub-consolidation in case of entities in third countries
1. Subsidiary institutions shall apply the requirements laid down in Articles 89, 90 and 91 and Parts Three, Four and Seven and the associated reporting requirements laid down in Part Seven A on the basis of their sub-consolidated situation if those institutions have an institution or a financial institution as a subsidiary in a third country, or hold a participation in such an undertaking.
2. By way of derogation from paragraph 1 of this Article, subsidiary institutions may choose not to apply the requirements laid down in Articles 89, 90 and 91 and Parts Three, Four and Seven and the associated reporting requirements laid down in Part Seven A on the basis of their sub-consolidated situation where the total assets and off-balance-sheet items of their subsidiaries and participations in third countries are less than 10 % of the total amount of the assets and off-balance-sheet items of the subsidiary institution.

02013R0575-20201228 → 02013R0575-20210629

Article 36 Deductions from Common Equity Tier 1 items 1. Institutions shall deduct the following from Common Equity Tier 1 items: (a) losses for the current financial year; (b) intangible assets; assets with the exception of prudently valued software assets the value of which is not negatively affected by resolution, insolvency or liquidation of the institution; (c) deferred tax assets that rely on future profitability; (d) for institutions calculating risk-weighted exposure amounts using the Internal Ratings Based Approach (the IRB Approach), negative amounts resulting from the calculation of expected loss amounts laid down in Articles 158 and … 321 unchanged words … institution suitably adjusts the amount of Common Equity Tier 1 items insofar as such tax charges reduce the amount up to which those items may be used to cover risks or losses; (m) the applicable amount of insufficient coverage for non-performing exposures. exposures; (n) for a minimum value commitment referred to in Article 132c(2), any amount by which the current market value of the units or shares in CIUs underlying the minimum value commitment falls short of the present value of the minimum value commitment and for which the institution has not already recognised a reduction of Common Equity Tier 1 items. 2. EBA shall develop draft regulatory technical standards to specify the application of the deductions referred to in points (a), (c), (e), (f), (h), (i) and (l) of paragraph 1 of this Article and related deductions referred to in points (a), (c), (d) and (f) of Article 56 and points (a), (c) and (d) of Article 66. EBA shall submit those draft regulatory technical standards to the Commission by 28 July 2013. Power is delegated to the Commission to adopt the regulatory technical standards referred to in the first subparagraph in accordance with Articles 10 to 14 of Regulation (EU) No 1093/2010. 3. EBA shall develop draft regulatory technical standards to specify the types of capital instruments of financial institutions and, in consultation with the European Supervisory Authority (European Insurance and Occupational Pensions Authority) (EIOPA) established by Regulation (EU) No 1094/2010 of the European Parliament and of the Council of 24 November 2010OJ L 331, 15.12.2010, p. 48., of third country insurance and reinsurance undertakings, and of undertakings excluded from the scope of Directive 2009/138/EC in accordance with Article 4 of that Directive that shall be deducted from the following elements of own funds: (a) Common Equity Tier 1 items; (b) Additional Tier 1 items; (c) Tier 2 items. EBA shall submit those draft regulatory technical standards to the Commission by 28 July 2013. Power is delegated to the Commission to adopt the regulatory technical standards referred to in the first subparagraph in accordance with Articles 10 to 14 of Regulation (EU) No 1093/2010. 4. EBA shall develop draft regulatory technical standards to specify the application of the deductions referred to in point (b) of paragraph 1, including the materiality of negative effects on the value which do not cause prudential concerns. EBA shall submit those draft regulatory technical standards to the Commission by 28 June 2020. Power is delegated to the Commission to supplement this Regulation by adopting the regulatory technical standards referred to in the first subparagraph in accordance with Articles 10 to 14 of Regulation (EU) No 1093/2010.

02013R0575-20201228 → 02013R0575-20210629

Article 81 Minority interests that qualify for inclusion in consolidated Common Equity Tier 1 capital 1. Minority interests shall comprise the sum of Common Equity Tier 1 items of a subsidiary where the following conditions are met: (a) the subsidiary is one of the following: (i) an institution; (ii) an undertaking that is subject by virtue of applicable national law to the requirements of this Regulation and of Directive 2013/36/EU; (iii) an intermediate financial holding company or intermediate mixed financial holding company that is subject to the requirements of this Regulation on a sub‐consolidated basis, or an intermediate investment holding company that is subject to the requirements of Regulation (EU) 2019/2033 on a consolidated basis; (iv) an investment firm; (v) an intermediate financial holding company in a third country country, provided that that intermediate financial holding company is subject to prudential requirements as stringent as those applied to credit institutions of that third country and where provided that the Commission has decided adopted a decision in accordance with Article 107(4) determining that those prudential requirements are at least equivalent to those of this Regulation; (b) the subsidiary is included fully in the consolidation pursuant to Chapter 2 of Title II of Part One; (c) the Common Equity Tier 1 items, referred to in the introductory part of this paragraph, are owned by persons other than the undertakings included in the consolidation pursuant to Chapter 2 of Title II of Part One. 2. Minority interests that are funded directly or indirectly, through a special purpose entity or otherwise, by the parent undertaking of the institution, or its subsidiaries shall not qualify as consolidated Common Equity Tier 1 capital.

02013R0575-20201228 → 02013R0575-20210629

Article 82 Qualifying Additional Tier 1, Tier 1, Tier 2 capital and qualifying own funds Qualifying Additional Tier 1, Tier 1, Tier 2 capital and qualifying own funds shall comprise the minority interest, Additional Tier 1 or Tier 2 instruments, as applicable, plus the related retained earnings and share premium accounts, of a subsidiary where the following conditions are met: (a) the subsidiary is either one of the following: (i) an institution; (ii) an undertaking that is subject by virtue of the applicable national law to the requirements of this Regulation and of Directive 2013/36/EU; (iii) an intermediate financial holding company or intermediate mixed financial holding company that is subject to the requirements of this Regulation on a sub‐consolidated basis, or an intermediate investment holding company that is subject to the requirements of Regulation (EU) 2019/2033 on a consolidated basis; (iv) an investment firm; (v) an intermediate financial holding company in a third country country, provided that that intermediate financial holding company is subject to prudential requirements as stringent as those applied to credit institutions of that third country and where provided that the Commission has decided adopted a decision in accordance with Article 107(4) determining that those prudential requirements are at least equivalent to those of this Regulation; (b) the subsidiary is included fully in the scope of consolidation pursuant to Chapter 2 of Title II of Part One; (c) those instruments are owned by persons other than the undertakings included in the consolidation pursuant to Chapter 2 of Title II of Part One.

02013R0575-20201228 → 02013R0575-20210629

Article 84 Minority interests included in consolidated Common Equity Tier 1 capital 1. Institutions shall determine the amount of minority interests of a subsidiary that is included in consolidated Common Equity Tier 1 capital by subtracting from the minority interests of that undertaking the result of multiplying the amount referred to in point (a) by the percentage referred to in point (b): (b) as follows: (a) the Common Equity Tier 1 capital of the subsidiary minus the lower of the following: (i) the amount of Common Equity Tier 1 capital of that subsidiary required to meet the following: the sum of the requirement laid down in point (a) of Article 92(1), 92(1) of this Regulation, the requirements referred to in Articles 458 and 459, 459 of this Regulation, the specific own funds requirements referred to in Article 104 of Directive 2013/36/EU 2013/36/EU, the combined buffer requirement defined in point (6) of Article 128 of Directive 2013/36/EU, the requirements referred to in Article 500 that Directive, and any additional local supervisory regulations in third countries insofar as those requirements are to be met by Common Equity Tier 1 capital, where the subsidiary is an investment firm, the sum of the requirement laid down in Article 11 of Regulation (EU) 2019/2033, the specific own funds requirements referred to in point (a) of Article 39(2) of Directive (EU) 2019/2034 and any additional local supervisory regulations in third countries, insofar as those requirements are to be met by Common Equity Tier 1 capital; (ii) the amount of consolidated Common Equity Tier 1 capital that relates to that subsidiary that is required on a consolidated basis to meet the sum of the requirement laid down in point (a) of Article 92(1), 92(1) of this Regulation, the requirements referred to in Articles 458 and 459, 459 of this Regulation, the specific own funds requirements referred to in Article 104 of Directive 2013/36/EU, the combined buffer requirement defined in point (6) of Article 128 of Directive 2013/36/EU, the requirements referred to in Article 500 that Directive, and any additional local supervisory regulations in third countries insofar as those requirements are to be met by Common Equity Tier 1 capital. capital; (b) the minority interests of the subsidiary expressed as a percentage of all Common Equity Tier 1 instruments items of that undertaking plus the related share premium accounts, retained earnings and other reserves. undertaking. 2. The calculation referred to in paragraph 1 shall be undertaken on a sub-consolidated basis for each subsidiary referred to in Article 81(1). An institution may choose not to undertake this calculation for a subsidiary referred to in Article 81(1). Where an institution takes such a decision, the minority interest of that subsidiary may not be included in consolidated Common Equity Tier 1 capital. 3. Where a competent authority derogates from the application of prudential requirements on an individual basis, as laid down in Article 7, 7 of this Regulation or, as applicable, as laid down in Article 6 of Regulation (EU) 2019/2033, minority interest interests within the subsidiaries to which the waiver is applied shall not be recognised in own funds at the sub-consolidated sub‐consolidated or at the consolidated level, as applicable. 4. EBA shall develop draft regulatory technical standards to specify the sub-consolidation calculation required in accordance with paragraph 2 of this Article, Articles 85 and 87. EBA shall submit those draft regulatory technical standards to the Commission by 28 July 2013. Power is delegated to the Commission to adopt the regulatory technical standards referred to in the first subparagraph in accordance with Articles 10 to 14 of Regulation (EU) No 1093/2010. 5. Competent authorities may grant a waiver from the application of this Article to a parent financial holding company that satisfies all the following conditions: (a) its principal activity is to acquire holdings; (b) it is subject to prudential supervision on a consolidated basis; (c) it consolidates a subsidiary institution in which it has only a minority holding by virtue of the control relationship defined in Article 1 of Directive 83/349/EEC; (d) more than 90 % of the consolidated required Common Equity Tier 1 capital arises from the subsidiary institution referred to in point c) calculated on a sub-consolidated basis. Where, after 28 June 2013, a parent financial holding company that meets the conditions laid down in the first subparagraph becomes a parent mixed financial holding company, competent authorities may grant the waiver referred to in the first subparagraph to that parent mixed financial holding company provided that it meets the conditions laid down in that subparagraph. 6. Where credit institutions permanently affiliated in a network to a central body and institutions established within an institutional protection scheme subject to the conditions laid down in Article 113(7) have set up a cross-guarantee scheme that provides that there is no current or foreseen material, practical or legal impediment to the transfer of the amount of own funds above the regulatory requirements from the counterparty to the credit institution, these institutions are exempted from the provisions of this Article regarding deductions and may recognise any minority interest arising within the cross-guarantee scheme in full.

02013R0575-20201228 → 02013R0575-20210629

Article 85 Qualifying Tier 1 instruments included in consolidated Tier 1 capital 1. Institutions shall determine the amount of qualifying Tier 1 capital of a subsidiary that is included in consolidated own funds by subtracting from the qualifying Tier 1 capital of that undertaking the result of multiplying the amount referred to in point (a) by the percentage referred to in point (b): (b) as follows: (a) the Tier 1 capital of the subsidiary minus the lower of the following: (i) the amount of Tier 1 capital of the subsidiary required to meet the following: the sum of the requirement laid down in point (b) of Article 92(1), 92(1) of this Regulation, the requirements referred to in Articles 458 and 459, 459 of this Regulation, the specific own funds requirements referred to in Article 104 of Directive 2013/36/EU, the combined buffer requirement defined in point (6) of Article 128 of Directive 2013/36/EU, the requirements referred to in Article 500 that Directive, and any additional local supervisory regulations in third countries insofar as those requirements are to be met by Tier 1 Capital; Capital, where the subsidiary is an investment firm, the sum of the requirement laid down in Article 11 of Regulation (EU) 2019/2033, the specific own funds requirements referred to in point (a) of Article 39(2) of Directive (EU) 2019/2034, and any additional local supervisory regulations in third countries insofar as those requirements are to be met by Tier 1 capital; (ii) the amount of consolidated Tier 1 capital that relates to the subsidiary that is required on a consolidated basis to meet the sum of the requirement laid down in point (b) of Article 92(1), 92(1) of this Regulation, the requirements referred to in Articles 458 and 459, 459 of this Regulation, the specific own funds requirements referred to in Article 104 of Directive 2013/36/EU, the combined buffer requirement defined in point (6) of Article 128 of Directive 2013/36/EU, the requirements referred to in Article 500 that Directive, and any additional local supervisory regulations in third countries insofar as those requirements are to be met by Tier 1 Capital; (b) the qualifying Tier 1 capital of the subsidiary expressed as a percentage of all Common Equity Tier 1 instruments and Additional Tier 1 items of that undertaking plus the related share premium accounts, retained earnings and other reserves. undertaking. 2. The calculation referred to in paragraph 1 shall be undertaken on a sub-consolidated basis for each subsidiary referred to in Article 81(1). An institution may choose not to undertake this calculation for a subsidiary referred to in Article 81(1). Where an institution takes such a decision, the qualifying Tier 1 capital of that subsidiary may not be included in consolidated Tier 1 capital. 3. Where a competent authority derogates from the application of prudential requirements on an individual basis, as laid down in Article 7, 7 of this Regulation or, where applicable, as laid down in Article 6 of Regulation (EU) 2019/2033, Tier 1 instruments within the subsidiaries to which the waiver is applied shall not be recognised as own funds at the sub-consolidated sub‐consolidated or at the consolidated level, as applicable.

02013R0575-20201228 → 02013R0575-20210629

Article 87 Qualifying own funds included in consolidated own funds 1. Institutions shall determine the amount of qualifying own funds of a subsidiary that is included in consolidated own funds by subtracting from the qualifying own funds of that undertaking the result of multiplying the amount referred to in point (a) by the percentage referred to in point (b): (b) as follows: (a) the own funds of the subsidiary minus the lower of the following: (i) the amount of own funds of the subsidiary required to meet the following: the sum of the requirement laid down in point (c) of Article 92(1), 92(1) of this Regulation, the requirements referred to in Articles 458 and 459, 459 of this Regulation, the specific own funds requirements referred to in Article 104 of Directive 2013/36/EU, the combined buffer requirement defined in point (6) of Article 128 of Directive 2013/36/EU, that Directive, and any additional local supervisory regulations in third countries, where the subsidiary is an investment firm, the sum of the requirement laid down in Article 11 of Regulation (EU) 2019/2033, the specific own funds requirements referred to in point (a) of Article 500 39(2) of Directive (EU) 2019/2034, and any additional local supervisory regulations in third countries; (ii) the amount of own funds that relates to the subsidiary that is required on a consolidated basis to meet the sum of the requirement laid down in point (c) of Article 92(1), 92(1) of this Regulation, the requirements referred to in Articles 458 and 459, 459 of this Regulation, the specific own funds requirements referred to in Article 104 of Directive 2013/36/EU, the combined buffer requirement defined in point (6) of Article 128 of Directive 2013/36/EU, the requirements referred to in Article 500 that Directive, and any additional local supervisory own funds requirement in third countries; (b) the qualifying own funds of the undertaking, expressed as a percentage of the sum of all own funds instruments of the subsidiary that are included in Common Equity Tier 1, 1 items, Additional Tier 1 items and Tier 2 items items, excluding the amounts referred to in points (c) and the related share premium accounts, the retained earnings and other reserves. (d) of Article 62, of that undertaking. 2. The calculation referred to in paragraph 1 shall be undertaken on a sub-consolidated basis for each subsidiary referred to in Article 81(1). An institution may choose not to undertake this calculation for a subsidiary referred to in Article 81(1). Where an institution takes such a decision, the qualifying own funds of that subsidiary may not be included in consolidated own funds. 3. Where a competent authority derogates from the application of prudential requirements on an individual basis, as laid down in Article 7, 7 of this Regulation or, as applicable, as laid down in Article 6 of Regulation (EU) 2019/2033, own funds instruments within the subsidiaries to which the waiver is applied shall not be recognised as own funds at the sub-consolidated sub‐consolidated or at the consolidated level, as applicable.

inserted text (02013R0575-20210629)

Article 88a
Qualifying eligible liabilities instruments
Liabilities issued by a subsidiary established in the Union that belongs to the same resolution group as the resolution entity shall qualify for inclusion in the consolidated eligible liabilities instruments of an institution subject to Article 92a, provided that all the following conditions are met:
(a) they are issued in accordance with point (a) of Article 45f(2) of Directive 2014/59/EU;
(b) they are bought by an existing shareholder that is not part of the same resolution group as long as the exercise of the write-down or conversion powers in accordance with Articles 59 to 62 of Directive 2014/59/EU does not affect the control of the subsidiary by the resolution entity;
(c) they do not exceed the amount determined by subtracting the amount referred to in point (i) from the amount referred to in point (ii):
(i) the sum of the liabilities issued to and bought by the resolution entity either directly or indirectly through other entities in the same resolution group and the amount of own funds instruments issued in accordance with point (b) of Article 45f(2) of Directive 2014/59/EU;
(ii) the amount required in accordance with Article 45f(1) of Directive 2014/59/EU.

02013R0575-20201228 → 02013R0575-20210629

Article 92 Own 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 %; (d) a leverage ratio of 3 %. 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, requirements for the trading-book business of an institution for the following: (i) market risk as determined in accordance with Title IV of this Part or Part Four, as applicable, for Part, excluding the trading-book business approaches set out in Chapters 1a and 1b of an institution, for the following: (i) position risk; that Title; (ii) large exposures exceeding the limits specified in Articles 395 to 401, to the extent that an institution is permitted to exceed those limits; limits, as determined in accordance with Part Four; (c) the own funds requirements for market risk as determined in Title IV of this Part, excluding the approaches set out in Chapters 1a and 1b of that Title, for all business activities that are subject to foreign exchange risk or commodity risk; (ca) the own funds requirements calculated in accordance with Title IV or Title V of this Part, with the exception of Article 379, as applicable, 379 for the following: (i) foreign-exchange risk; (ii) settlement risk; (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: (i) contracts listed in Annex II and credit derivatives; (ii) repurchase transactions, securities or commodities lending or borrowing transactions based on securities or commodities; (iii) margin lending transactions based on securities or commodities; (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.

02013R0575-20201228 → 02013R0575-20210629

Article 93 Initial capital requirement on going concern 1. The own funds of an institution may not fall below the amount of initial capital required at the time of its authorisation. 2. Credit institutions that were already in existence on 1 January 1993, the amount of own funds of which do not attain the amount of initial capital required may continue to carry out their activities. In that event, the amount of own funds of those institutions may not fall below the highest level reached with effect from 22 December 1989. 3. Authorised investment firms and firms that were covered by Article 6 of Directive 2006/49/EC which were in existence before 31 December 1995, the amount of own funds of which do not attain the amount of initial capital required may continue to carry out their activities. The own funds of such firms or investment firms shall not fall below the highest reference level calculated after the date of notification contained in Council Directive 93/6/EEC of 15 March 1993 on the capital adequacy of investments firms and credit institutionsOJ L 141, 11.6.1993, p. 1.. That reference level shall be the average daily level of own funds calculated over a six month period preceding the date of calculation. It shall be calculated every six months in respect of the corresponding preceding period. 4. Where control of an institution falling within the category referred to in paragraph 2 or 3 is taken by a natural or legal person other than the person who controlled the institution previously, the amount of own funds of that institution shall attain the amount of initial capital required. 5. Where there is a merger of two or more institutions falling within the category referred to in paragraph 2 or 3, 2, the amount of own funds of the institution resulting from the merger shall not fall below the total own funds of the merged institutions at the time of the merger, as long as the amount of initial capital required has not been attained. 6. Where competent authorities consider it necessary to ensure the solvency of an institution that the requirement laid down in paragraph 1 is be met, the provisions laid down in paragraphs 2 to 2, 4 and 5 shall not apply.

texts differ too much for an inline diff; shown separately

before (02013R0575-20201228)

Article 94
Derogation for small trading book business
1. Institutions may replace the capital requirement referred to in point (b) of Article 92(3) by a capital requirement calculated in accordance with point (a) of that paragraph in respect of their trading-book business, provided that the size of their on- and off-balance sheet trading-book business meets both the following conditions:
(a) it is normally less than 5 % of the total assets and EUR 15 million;
(b) it never exceeds 6 % of total assets and EUR 20 million.
2. In calculating the size of on- and off-balance sheet business, institutions shall apply the following:
(a) debt instruments shall be valued at their market prices or their nominal values, equities at their market prices and derivatives according to the nominal or market values of the instruments underlying them;
(b) the absolute value of long positions shall be summed with the absolute value of short positions.
3. Where an institution fails to meet the condition in point (b) of paragraph 1 it shall immediately notify the competent authority. If, following assessment by the competent authority, the competent authority determines and notifies the institution that the requirement in point (a) of paragraph 1 is not met, the institution shall cease to make use of paragraph 1 from the next reporting date.

after (02013R0575-20210629)

Article 94
Derogation for small trading book business
1. By way of derogation from point (b) of Article 92(3), institutions may calculate the own funds requirement for their trading-book business in accordance with paragraph 2 of this Article, provided that the size of the institutions' on- and off-balance-sheet trading-book business is equal to or less than both of the following thresholds on the basis of an assessment carried out on a monthly basis using the data as of the last day of the month:
(a) 5 % of the institution's total assets;
(b) EUR 50 million.
2. Where both conditions set out in points (a) and (b) of paragraph 1 are met, institutions may calculate the own funds requirement for their trading-book business as follows:
(a) for the contracts listed in point 1 of Annex II, contracts relating to equities which are referred to in point 3 of that Annex and credit derivatives, institutions may exempt those positions from the own funds requirement referred to in point (b) of Article 92(3);
(b) for trading book positions other than those referred to in point (a) of this paragraph, institutions may replace the own funds requirement referred to in point (b) of Article 92(3) with the requirement calculated in accordance with point (a) of Article 92(3).
3. Institutions shall calculate the size of their on- and off-balance-sheet trading book business on the basis of data as of the last day of each month for the purposes of paragraph 1 in accordance with the following requirements:
(a) all the positions assigned to the trading book in accordance with Article 104 shall be included in the calculation except for the following:
(i) positions concerning foreign exchange and commodities;
(ii) positions in credit derivatives that are recognised as internal hedges against non-trading book credit risk exposures or counterparty risk exposures and the credit derivate transactions that perfectly offset the market risk of those internal hedges as referred to in Article 106(3);
(b) all positions included in the calculation in accordance with point (a) shall be valued at their market value on that given date; where the market value of a position is not available on a given date, institutions shall take a fair value for the position on that date; where the market value and fair value of a position are not available on a given date, institutions shall take the most recent of the market value or fair value for that position;
(c) the absolute value of long positions shall be summed with the absolute value of short positions.
4. Where both conditions set out in points (a) and (b) of paragraph 1 of this Article are met, irrespective of the obligations set out in Articles 74 and 83 of Directive 2013/36/EU, Article 102(3) and (4), Articles 103 and 104b of this Regulation shall not apply.
5. Institutions shall notify the competent authorities when they calculate, or cease to calculate, the own funds requirements of their trading-book business in accordance with paragraph 2.
6. An institution that no longer meets one or more of the conditions set out in paragraph 1 shall immediately notify the competent authority thereof.
7. An institution shall cease to calculate the own funds requirements of its trading-book business in accordance with paragraph 2 within three months of one of the following occurring:
(a) the institution does not meet the conditions set out in point (a) or (b) of paragraph 1 for three consecutive months;
(b) the institution does not meet the conditions set out in point (a) or (b) of paragraph 1 during more than 6 out of the last 12 months.
8. Where an institution has ceased to calculate the own funds requirements of its trading-book business in accordance with this Article, it shall only be permitted to calculate the own funds requirements of its trading-book business in accordance with this Article where it demonstrates to the competent authority that all the conditions set out in paragraph 1 have been met for an uninterrupted full-year period.
9. Institutions shall not enter into, buy or sell a trading-book position for the sole purpose of complying with any of the conditions set out in paragraph 1 during the monthly assessment.

02013R0575-20201228 → 02013R0575-20210629

Article 102 Requirements for the trading book 1. Positions in the trading book shall be either free of restrictions on their tradability or able to be hedged. 2. Trading intent shall be evidenced on the basis of the strategies, policies and procedures set up by the institution to manage the position or portfolio in accordance with Article 103. Articles 103, 104 and 104a. 3. Institutions shall establish and maintain systems and controls to manage their trading book in accordance with Articles 104 and Article 103. 4. For the purposes of the reporting requirements set out in Article 430b(3), trading book positions shall be assigned to trading desks established in accordance with Article 104b. 5. Positions in the trading book shall be subject to the requirements for prudent valuation specified in Article 105. 4. 6. Institutions may include shall treat internal hedges in the calculation of capital requirements for position risk provided that they are held accordance with trading intent and that the requirements of Articles 103 to 106 are met. Article 106.

02013R0575-20201228 → 02013R0575-20210629

Article 103 Management of the trading book 1. Institutions shall have in place clearly defined policies and procedures for the overall management of the trading book. Those policies and procedures shall at least address: (a) the activities which the institution considers to be trading business and as constituting part of the trading book for own funds requirement purposes; (b) the extent to which a position can be marked-to-market daily by reference to an active, liquid two-way market; (c) for positions that are marked-to-model, the extent to which the institution can: (i) identify all material risks of the position; (ii) hedge all material risks of the position with instruments for which an active, liquid two-way market exists; (iii) derive reliable estimates for the key assumptions and parameters used in the model; (d) 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; (e) 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; (f) the extent to which the institution can, and is required to, actively manage the risks of positions within its trading operation; (g) the extent to which the institution may reclassify risk or positions between the non-trading and trading books and the requirements for such reclassifications as referred to in Article 104a. 2. In managing its positions or sets portfolios of positions in the trading book book, the institution shall comply with all of the following requirements: (a) the institution shall have in place a clearly documented trading strategy for the position/instrument position or portfolios, portfolios in the trading book, which shall be approved by senior management, which shall management and include the expected holding period; (b) the institution shall have in place clearly defined policies and procedures for the active management of positions entered into on a or portfolios in the trading desk. Those book; those policies and procedures shall include the following: (i) which positions or portfolios of positions may be entered into by which each trading desk; desk or, as the case may be, by designated dealers; (ii) the setting of position limits are set and monitored monitoring them for appropriateness; (iii) ensuring that dealers have the autonomy to enter into and manage the position within agreed limits and according to the approved strategy; (iv) ensuring that positions are reported to senior management as an integral part of the institution's risk management process; (v) ensuring that positions are actively monitored with reference to market information sources and an assessment is made of the marketability or hedgeability of the position or its component risks, including the assessment, the quality and availability of market inputs to the valuation process, level of market turnover, sizes of positions traded in the market; (vi) active anti-fraud procedures and controls. controls; (c) the institution shall have in place clearly defined policies and procedures to monitor the positions against the institution's trading strategy strategy, including the monitoring of turnover and positions for which the originally intended holding period has been exceeded.

No text on either side: this unit was named by a signal that carries no text, and only the structural diff carries any.

02013R0575-20201228 → 02013R0575-20210629

Article 105 Requirements for prudent valuation 1. All trading book positions and non-trading book positions measured at fair value shall be subject to the standards for prudent valuation specified in this Article. Institutions shall in particular ensure that the prudent valuation of their trading book positions achieves an appropriate degree of certainty having regard to the dynamic nature of trading book positions, positions and non-trading book positions measured at fair value, the demands of prudential soundness and the mode of operation and purpose of capital requirements in respect of trading book positions. positions and non-trading book positions measured at fair value. 2. Institutions shall establish and maintain systems and controls sufficient to provide prudent and reliable valuation estimates. Those systems and controls shall include at least the following elements: (a) documented 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; (b) reporting lines for the department accountable for the valuation process that are clear and independent of the front office, which shall ultimately be to the management body. 3. Institutions shall revalue trading book positions at fair value at least daily. on a daily basis. Changes in the value of those positions shall be reported in the profit and loss account of the institution. 4. Institutions shall mark their trading book positions and non-trading book positions measured at fair value to market whenever possible, including when applying trading book the relevant capital treatment. treatment to those positions. 5. When marking to market, an institution shall use the more prudent side of bid and offer unless the institution can close out at mid market. Where institutions make use of this derogation, they shall every six months inform their competent authorities of the positions concerned and furnish evidence that they can close out at mid-market. 6. Where marking to market is not possible, institutions shall conservatively mark to model their positions and portfolios, including when calculating own funds requirements for positions in the trading book and positions measured at fair value in the non-trading book. 7. Institutions shall comply with the following requirements when marking to model: (a) senior 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; (b) institutions shall source market inputs, where possible, in line with market prices, and shall assess the appropriateness of the market inputs of the particular position being valued and the parameters of the model on a frequent basis; (c) where available, institutions shall use valuation methodologies which are accepted market practice for particular financial instruments or commodities; (d) 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; (e) institutions shall have in place formal change control procedures and shall hold a secure copy of the model and use it periodically to check valuations; (f) risk management shall be aware of the weaknesses of the models used and how best to reflect those in the valuation output; and (g) institutions' models shall be subject to periodic review to determine the accuracy of their performance, which shall include assessing the continued appropriateness of assumptions, analysis of profit and loss versus risk factors, and comparison of actual close out values to model outputs. For the purposes of point (d), (d) of the first subparagraph, the model shall be developed or approved independently of the trading desk desks and shall be independently tested, including validation of the mathematics, assumptions and software implementation. 8. Institutions shall perform independent price verification in addition to daily marking to market or marking to model. Verification of market prices and model inputs shall be performed by a person or unit independent from persons or units that benefit from the trading book, at least monthly, or more frequently depending on the nature of the market or trading activity. Where independent pricing sources are not available or pricing sources are more subjective, prudent measures such as valuation adjustments may be appropriate. 9. Institutions shall establish and maintain procedures for considering valuation adjustments. 10. Institutions shall formally consider the following valuation adjustments: unearned credit spreads, close-out costs, operational risks, market price uncertainty, early termination, investing and funding costs, future administrative costs and, where relevant, model risk. 11. Institutions shall establish and maintain procedures for calculating an adjustment to the current valuation of any less liquid positions, which can in particular arise from market events or institution-related situations such as concentrated positions and/or positions for which the originally intended holding period has been exceeded. Institutions shall, where necessary, make such adjustments in addition to any changes to the value of the position required for financial reporting purposes and shall design such adjustments to reflect the illiquidity of the position. Under those procedures, institutions shall consider several factors when determining whether a valuation adjustment is necessary for less liquid positions. Those factors include the following: (a) the additional amount of time it would take to hedge out the position or the risks within the position; position beyond the liquidity horizons that have been assigned to the risk factors of the position in accordance with Article 325bd; (b) the volatility and average of bid/offer spreads; (c) the availability of market quotes (number and identity of market makers) and the volatility and average of trading volumes including trading volumes during periods of market stress; (d) market concentrations; (e) the ageing of positions; (f) the extent to which valuation relies on marking-to-model; (g) the impact of other model risks. 12. When using third party valuations or marking to model, institutions shall consider whether to apply a valuation adjustment. In addition, institutions shall consider the need to establish adjustments for less liquid positions and on an ongoing basis review their continued suitability. Institutions shall also explicitly assess the need for valuation adjustments relating to the uncertainty of parameter inputs used by models. 13. With regard to complex products, including securitisation exposures and n-th-to-default credit derivatives, institutions shall explicitly assess the need for valuation adjustments to reflect the model risk associated with using a possibly incorrect valuation methodology and the model risk associated with using unobservable (and possibly incorrect) calibration parameters in the valuation model. 14. EBA shall develop draft regulatory technical standards to specify the conditions according to which the requirements of Article 105 shall be applied for the purposes of paragraph 1 of this Article. EBA shall submit those draft regulatory technical standards to the Commission by 28 July 2013. Power is delegated to the Commission to adopt the regulatory technical standards referred to in the first subparagraph in accordance with Articles 10 to 14 of Regulation (EU) No 1093/2010.

02013R0575-20201228 → 02013R0575-20210629

Article 107 Approaches to credit risk 1. Institutions shall apply either the Standardised Approach provided for in Chapter 2 or, if permitted by the competent authorities in accordance with Article 143, the Internal Ratings Based Approach provided for in Chapter 3 to calculate their risk-weighted exposure amounts for the purposes of points (a) and (f) of Article 92(3). 2. For trade exposures and for default fund contributions to a central counterparty, institutions shall apply the treatment set out in Chapter 6, Section 9 to calculate their risk-weighted exposure amounts for the purposes of points (a) and (f) of Article 92(3). For all other types of exposures to a central counterparty, institutions shall treat those exposures as follows: (a) as exposures to an institution for other types of exposures to a qualifying CCP; (b) as exposures to a corporate for other types of exposures to a non-qualifying CCP. 3. For the purposes of this Regulation, exposures to a third-country investment firms firm, a third-country credit institution and exposures to third country credit institutions and exposures to third country clearing houses and exchanges a third-country exchange shall be treated as exposures to an institution only if where the third country applies prudential and supervisory requirements to that entity that are at least equivalent to those applied in the Union. 4. For the purposes of paragraph 3, the Commission may adopt, by way of implementing acts, and subject to the examination procedure referred to in Article 464(2), a decision as to whether a third country applies prudential supervisory and regulatory requirements at least equivalent to those applied in the Union. In the absence of such a decision, until 1 January 2015, institutions may continue to treat exposures to the entities referred to in paragraph 3 as exposures to institutions provided that the relevant competent authorities have approved the third country as eligible for that treatment before 1 January 2014.

02013R0575-20201228 → 02013R0575-20210629

Article 119 Exposures to institutions 1. Exposures to institutions for which a credit assessment by a nominated ECAI is available shall be risk-weighted in accordance with Article 120. Exposures to institutions for which a credit assessment by a nominated ECAI is not available shall be risk-weighted in accordance with Article 121. 2. Exposures to institutions of a residual maturity of three months or less denominated and funded in the national currency of the borrower shall be assigned a risk weight that is one category less favourable than the preferential risk weight, as described in Article 114(4) to (7), assigned to exposures to the central government in which the institution is incorporated. 3. No exposures with a residual maturity of three months or less denominated and funded in the national currency of the borrower shall be assigned a risk weight less than 20 %. 4. Exposure to an institution in the form of minimum reserves required by the ECB or by the central bank of a Member State to be held by an institution may be risk-weighted as exposures to the central bank of the Member State in question provided: (a) the reserves are held in accordance with Regulation (EC) No 1745/2003 of the European Central Bank of 12 September 2003 on the application of minimum reservesOJ L 250, 2.10.2003, p. 10. or in accordance with national requirements in all material respects equivalent to that Regulation; (b) in the event of the bankruptcy or insolvency of the institution where the reserves are held, the reserves are fully repaid to the institution in a timely manner and are not made available to meet other liabilities of the institution. 5. Exposures to financial institutions authorised and supervised by the competent authorities and subject to prudential requirements comparable to those applied to institutions in terms of robustness shall be treated as exposures to institutions.For the purposes of this paragraph, the prudential requirements laid down in Regulation (EU) 2019/2033 shall be considered to be comparable to those applied to institutions in terms of robustness.

No text on either side: this unit was named by a signal that carries no text, and only the structural diff carries any.

02013R0575-20201228 → 02013R0575-20210629

Article 128 Items associated with particular high risk 1. Institutions shall assign a 150 % risk weight to exposures, including exposures in the form of shares or units in a CIU that are associated with particularly high risks, where appropriate. risks. 2. Exposures with particularly high risks For the purposes of this Article, institutions shall include treat any of the following exposures: exposures as exposures associated with particularly high risks: (a) investments in venture capital firms; firms, except where those investments are treated in accordance with Article 132; (b) investments in AIFs as defined in Article 4(1)(a) of Directive 2011/61/EU private equity, except where the mandate of the fund does not allow a leverage higher than that required under those investments are treated in accordance with Article 51(3) of Directive 2009/65/EC; 132; (c) investments in private equity; (d) speculative immovable property financing. 3. When assessing whether an exposure other than exposures referred to in paragraph 2 is associated with particularly high risks, institutions shall take into account the following risk characteristics: (a) there is a high risk of loss as a result of a default of the obligor; (b) it is impossible to assess adequately whether the exposure falls under point (a). EBA shall issue guidelines specifying which types of exposures are associated with particularly high risk and under which circumstances. Those guidelines shall be adopted in accordance with Article 16 of Regulation (EU) No 1093/2010.

texts differ too much for an inline diff; shown separately

before (02013R0575-20201228)

Article 132
Exposures in the form of units or shares in CIUs
1. Exposures in the form of units or shares in CIUs shall be assigned a risk weight of 100 %, unless the institution applies the credit risk assessment method under paragraph 2, or the look-through approach in paragraph 4 or the average risk weight approach under paragraph 5 when the conditions in paragraph 3 are met.
2. Exposures in the form of units or shares in CIUs for which a credit assessment by a nominated ECAI is available shall be assigned a risk weight in accordance with Table 8 which corresponds to the credit assessment of the ECAI in accordance with Article 136.
Table 8
Credit quality step 1 2 3 4 5 6
Risk weight 20 % 50 % 100 % 100 % 150 % 150 %
3. Institutions may determine the risk weight for a CIU in accordance with paragraphs 4 and 5, if the following eligibility criteria are met:
(a) the CIU is managed by a company that is subject to supervision in a Member State or, in the case of third country CIU, where the following conditions are met:
(i) the CIU is managed by a company which is subject to supervision that is considered equivalent to that laid down in Union law;
(ii) cooperation between competent authorities is sufficiently ensured;
(b) the CIU's prospectus or equivalent document includes the following:
(i) the categories of assets in which the CIU is authorised to invest;
(ii) if investment limits apply, the relative limits and the methodologies to calculate them;
(c) the business of the CIU is reported on at least an annual basis to enable an assessment to be made of the assets and liabilities, income and operations over the reporting period.
For the purposes of point (a), the Commission may adopt, by way of implementing acts, and subject to the examination procedure referred to in Article 464(2), a decision as to whether a third country applies supervisory and regulatory arrangements at least equivalent to those applied in the Union. In the absence of such a decision, until 1 January 2015, institutions may continue to apply the treatment set out in this paragraph to exposures in the form of units or shares of CIUs from third countries where the relevant competent authorities had approved the third country as eligible for that treatment before 1 January 2014.
4. Where the institution is aware of the underlying exposures of a CIU, it may look through to those underlying exposures in order to calculate an average risk weight for its exposures in the form of units or shares in the CIUs in accordance with the methods set out in this Chapter. Where an underlying exposure of the CIU is itself an exposure in the form of shares in another CIU which fulfils the criteria of paragraph 3, the institution may look through to the underlying exposures of that other CIU.
5. Where the institution is not aware of the underlying exposures of a CIU, it may calculate an average risk weight for its exposures in the form of a unit or share in the CIU in accordance with the methods set out in this Chapter subject to the assumption that the CIU first invests, to the maximum extent allowed under its mandate, in the exposure classes attracting the highest capital requirement, and then continues making investments in descending order until the maximum total investment limit is reached.
Institutions may rely on the following third parties to calculate and report, in accordance with the methods set out in paragraphs 4 and 5, a risk weight for the CIU:
(a) the depository institution or the depository financial institution of the CIU provided that the CIU exclusively invests in securities and deposits all securities at that depository institution or the financial institution;
(b) for CIUs not covered by point (a), the CIU management company, provided that the CIU management company meets the criteria set out in paragraph 3(a).
The correctness of the calculation referred to in the first subparagraph shall be confirmed by an external auditor.

after (02013R0575-20210629)

Article 132
Own funds requirements for exposures in the form of units or shares in CIUs
1. Institutions shall calculate the risk-weighted exposure amount for their exposures in the form of units or shares in a CIU by multiplying the risk-weighted exposure amount of the CIU's exposures, calculated in accordance with the approaches referred to in the first subparagraph of paragraph 2, with the percentage of units or shares held by those institutions.
2. Where the conditions set out in paragraph 3 of this Article are met, institutions may apply the look-through approach in accordance with Article 132a(1) or the mandate-based approach in accordance with Article 132a(2).
Subject to Article 132b(2), institutions that do not apply the look-through approach or the mandate-based approach shall assign a risk weight of 1250 % (fall-back approach) to their exposures in the form of units or shares in a CIU.
Institutions may calculate the risk-weighted exposure amount for their exposures in the form of units or shares in a CIU by using a combination of the approaches referred to in this paragraph, provided that the conditions for using those approaches are met.
3. Institutions may determine the risk-weighted exposure amount of a CIU's exposures in accordance with the approaches set out in Article 132a where all the following conditions are met:
(a) the CIU is one of the following:
(i) an undertaking for collective investment in transferable securities (UCITS), governed by Directive 2009/65/EC;
(ii) an AIF managed by an EU AIFM registered under Article 3(3) of Directive 2011/61/EU;
(iii) an AIF managed by an EU AIFM authorised under Article 6 of Directive 2011/61/EU;
(iv) an AIF managed by a non-EU AIFM authorised under Article 37 of Directive 2011/61/EU;
(v) a non-EU AIF managed by a non-EU AIFM and marketed in accordance with Article 42 of Directive 2011/61/EU;
(vi) a non-EU AIF not marketed in the Union and managed by a non-EU AIFM established in a third country that is covered by a delegated act referred to in Article 67(6) of Directive 2011/61/EU;
(b) the CIU's prospectus or equivalent document includes the following:
(i) the categories of assets in which the CIU is authorised to invest;
(ii) where investment limits apply, the relative limits and the methodologies to calculate them;
(c) reporting by the CIU or the CIU management company to the institution complies with the following requirements:
(i) the exposures of the CIU are reported at least as frequently as those of the institution;
(ii) the granularity of the financial information is sufficient to allow the institution to calculate the CIU's risk -weighted exposure amount in accordance with the approach chosen by the institution;
(iii) where the institution applies the look-through approach, information about the underlying exposures is verified by an independent third party.
By way of derogation from point (a) of the first subparagraph of this paragraph, multilateral and bilateral development banks and other institutions that co-invest in a CIU with multilateral or bilateral development banks may determine the risk-weighted exposure amount of that CIU's exposures in accordance with the approaches set out in Article 132a, provided that the conditions set out in points (b) and (c) of the first subparagraph of this paragraph are met and that the CIU's investment mandate limits the types of assets that the CIU can invest in to assets that promote sustainable development in developing countries.
Institutions shall notify their competent authority of the CIUs to which they apply the treatment referred to in the second subparagraph.
By way of derogation from point (c)(i) of the first subparagraph, where the institution determines the risk-weighted exposure amount of a CIU's exposures in accordance with the mandate-based approach, the reporting by the CIU or the CIU management company to the institution may be limited to the investment mandate of the CIU and any changes thereof and may be done only when the institution incurs the exposure to the CIU for the first time and when there is a change in the investment mandate of the CIU.
4. Institutions that do not have adequate data or information to calculate the risk-weighted exposure amount of a CIU's exposures in accordance with the approaches set out in Article 132a may rely on the calculations of a third party, provided that all the following conditions are met:
(a) the third party is one of the following:
(i) the depository institution or the depository financial institution of the CIU, provided that the CIU exclusively invests in securities and deposits all securities at that depository institution or depository financial institution;
(ii) for CIUs not covered by point (i) of this point, the CIU management company, provided that the company meets the condition set out in point (a) of paragraph 3;
(b) the third party carries out the calculation in accordance with the approaches set out in Article 132a(1), (2) or (3), as applicable;
(c) an external auditor has confirmed the correctness of the third party's calculation.
Institutions that rely on third-party calculations shall multiply the risk-weighted exposure amount of a CIU's exposures resulting from those calculations by a factor of 1,2.
By way of derogation from the second subparagraph, where the institution has unrestricted access to the detailed calculations carried out by the third party, the factor of 1,2 shall not apply. The institution shall provide those calculations to its competent authority upon request.
5. Where an institution applies the approaches referred to in Article 132a for the purpose of calculating the risk-weighted exposure amount of a CIU's exposures (level 1 CIU), and any of the underlying exposures of the level 1 CIU is an exposure in the form of units or shares in another CIU (level 2 CIU), the risk-weighted exposure amount of the level 2 CIU's exposures may be calculated by using any of the three approaches described in paragraph 2 of this Article. The institution may use the look-through approach to calculate the risk-weighted exposure amounts of CIUs' exposures in level 3 and any subsequent level only where it used that approach for the calculation in the preceding level. In any other scenario it shall use the fall-back approach.
6. The risk-weighted exposure amount of a CIU's exposures calculated in accordance with the look-through approach and the mandate-based approach set out in Article 132a(1) and (2) shall be capped at the risk-weighted amount of that CIU's exposures calculated in accordance with the fall-back approach.
7. By way of derogation from paragraph 1 of this Article, institutions that apply the look-through approach in accordance with Article 132a(1) may calculate the risk-weighted exposure amount for their exposures in the form of units or shares in a CIU by multiplying the exposure values of those exposures, calculated in accordance with Article 111, with the risk weight (RW*i) calculated in accordance with the formula set out in Article 132c, provided that the following conditions are met:
(a) the institutions measure the value of their holdings of units or shares in a CIU at historical cost but measure the value of the underlying assets of the CIU at fair value if they apply the look-through approach;
(b) a change in the market value of the units or shares for which institutions measure the value at historical cost changes neither the amount of own funds of those institutions nor the exposure value associated with those holdings.

texts differ too much for an inline diff; shown separately

before (02013R0575-20201228)

Article 132a
Approaches for calculating risk-weighted exposure amounts of CIUs
4. EBA shall develop draft regulatory technical standards to specify how institutions shall calculate the risk-weighted exposure amount referred to in paragraph 2 where one or more of the inputs required for that calculation are not available.
EBA shall submit those draft regulatory technical standards to the Commission by 28 March 2020.
Power is delegated to the Commission to supplement this Regulation by adopting the regulatory technical standards referred to in the first subparagraph in accordance with Articles 10 to 14 of Regulation (EU) No 1093/2010.

after (02013R0575-20210629)

Article 132a
Approaches for calculating risk-weighted exposure amounts of CIUs
1. Where the conditions set out in Article 132(3) are met, institutions that have sufficient information about the individual underlying exposures of a CIU shall look through to those exposures to calculate the risk-weighted exposure amount of the CIU, risk weighting all underlying exposures of the CIU as if they were directly held by those institutions.
2. Where the conditions set out in Article 132(3) are met, institutions that do not have sufficient information about the individual underlying exposures of a CIU to use the look-through approach may calculate the risk-weighted exposure amount of those exposures in accordance with the limits set in the CIU's mandate and relevant law.
Institutions shall carry out the calculations referred to in the first subparagraph under the assumption that the CIU first incurs exposures to the maximum extent allowed under its mandate or relevant law in the exposures attracting the highest own funds requirement and then continues incurring exposures in descending order until the maximum total exposure limit is reached, and that the CIU applies leverage to the maximum extent allowed under its mandate or relevant law, where applicable.
Institutions shall carry out the calculations referred to in the first subparagraph in accordance with the methods set out in this Chapter, in Chapter 5, and in Section 3, 4 or 5 of Chapter 6 of this Title.
3. By way of derogation from point (d) of Article 92(3), institutions that calculate the risk-weighted exposure amount of a CIU's exposures in accordance with paragraph 1 or 2 of this Article may calculate the own funds requirement for the credit valuation adjustment risk of derivative exposures of that CIU as an amount equal to 50 % of the own funds requirement for those derivative exposures calculated in accordance with Section 3, 4 or 5 of Chapter 6 of this Title, as applicable.
By way of derogation from the first subparagraph, an institution may exclude from the calculation of the own funds requirement for credit valuation adjustment risk derivative exposures which would not be subject to that requirement if they were incurred directly by the institution.
4. EBA shall develop draft regulatory technical standards to specify how institutions shall calculate the risk-weighted exposure amount referred to in paragraph 2 where one or more of the inputs required for that calculation are not available.
EBA shall submit those draft regulatory technical standards to the Commission by 28 March 2020.
Power is delegated to the Commission to supplement this Regulation by adopting the regulatory technical standards referred to in the first subparagraph in accordance with Articles 10 to 14 of Regulation (EU) No 1093/2010.

inserted text (02013R0575-20210629)

Article 132b
Exclusions from the approaches for calculating risk-weighted exposure amounts of CIUs
1. Institutions may exclude from the calculations referred to in Article 132 Common Equity Tier 1, Additional Tier 1, Tier 2 instruments and eligible liabilities instruments held by a CIU which institutions shall deduct in accordance with Article 36(1) and Articles 56, 66 and 72e respectively.
2. Institutions may exclude from the calculations referred to in Article 132 exposures in the form of units or shares in CIUs referred to in points (g) and (h) of Article 150(1) and instead apply the treatment set out in Article 133 to those exposures.

inserted text (02013R0575-20210629)

Article 132c
Treatment of off-balance-sheet exposures to CIUs
1. Institutions shall calculate the risk-weighted exposure amount for their off-balance-sheet items with the potential to be converted into exposures in the form of units or shares in a CIU by multiplying the exposure values of those exposures calculated in accordance with Article 111, with the following risk weight:
(a) for all exposures for which institutions use one of the approaches set out in Article 132a:
RW*iRWAEiE*iAiEQi
where:
RW*i
the risk weight;
i
the index denoting the CIU:
RWAEi
the amount calculated in accordance with Article 132a for a CIUi;
E*i
the exposure value of the exposures of CIUi;
Ai
the accounting value of assets of CIUi; and
EQi
the accounting value of the equity of CIUi.
(b) for all other exposures, RW*i1250 %.
2. Institutions shall calculate the exposure value of a minimum value commitment that meets the conditions set out in paragraph 3 of this Article as the discounted present value of the guaranteed amount using a default risk-free discount factor. Institutions may reduce the exposure value of the minimum value commitment by any losses recognised with respect to the minimum value commitment under the applicable accounting standard.
Institutions shall calculate the risk-weighted exposure amount for off-balance-sheet exposures arising from minimum value commitments that meet all the conditions set out in paragraph 3 of this Article by multiplying the exposure value of those exposures by a conversion factor of 20 % and the risk weight derived under Article 132 or 152.
3. Institutions shall determine the risk-weighted exposure amount for off-balance-sheet exposures arising from minimum value commitments in accordance with paragraph 2 where all the following conditions are met:
(a) the off-balance-sheet exposure of the institution is a minimum value commitment for an investment into units or shares of one or more CIUs under which the institution is only obliged to pay out under the minimum value commitment where the market value of the underlying exposures of the CIU or CIUs is below a predetermined threshold at one or more points in time, as specified in the contract;
(b) the CIU is any of the following:
(i) a UCITS as defined in Directive 2009/65/EC; or
(ii) an AIF as defined in point (a) of Article 4(1) of Directive 2011/61/EU which solely invests in transferable securities or in other liquid financial assets referred to in Article 50(1) of Directive 2009/65/EC, where the mandate of the AIF does not allow a leverage higher than that allowed under Article 51(3) of Directive 2009/65/EC;
(c) the current market value of the underlying exposures of the CIU underlying the minimum value commitment without considering the effect of the off-balance-sheet minimum value commitments covers or exceeds the present value of the threshold specified in the minimum value commitment;
(d) when the excess of the market value of the underlying exposures of the CIU or CIUs over the present value of the minimum value commitment declines, the institution, or another undertaking in so far as it is covered by the supervision on a consolidated basis to which the institution itself is subject in accordance with this Regulation and Directive 2013/36/EU or Directive 2002/87/EC, can influence the composition of the underlying exposures of the CIU or CIUs or limit the potential for a further reduction of the excess in other ways;
(e) the ultimate direct or indirect beneficiary of the minimum value commitment is typically a retail client as defined in point (11) of Article 4(1) of Directive 2014/65/EU.;

02013R0575-20201228 → 02013R0575-20210629

Article 144 Competent authorities' assessment of an application to use an IRB Approach 1. The competent authority shall grant permission pursuant to Article 143 for an institution to use the IRB Approach, including to use own estimates of LGD and conversion factors, only if the competent authority is satisfied that requirements laid down in this Chapter are met, in particular those laid down in Section 6, and that the systems of the institution for the management and rating of credit risk exposures are sound and implemented with integrity and, in particular, that the institution has demonstrated to the satisfaction of the competent authority that the following standards are met: (a) the institution's rating systems provide for a meaningful assessment of obligor and transaction characteristics, a meaningful differentiation of risk and accurate and consistent quantitative estimates of risk; (b) internal ratings and default and loss estimates used in the calculation of own funds requirements and associated systems and processes play an essential role in the risk management and decision-making process, and in the credit approval, internal capital allocation and corporate governance functions of the institution; (c) the institution has a credit risk control unit responsible for its rating systems that is appropriately independent and free from undue influence; (d) the institution collects and stores all relevant data to provide effective support to its credit risk measurement and management process; (e) the institution documents its rating systems and the rationale for their design and validates its rating systems; (f) the institution has validated each rating system and each internal models approach for equity exposures during an appropriate time period prior to the permission to use this rating system or internal models approach to equity exposures, has assessed during this time period whether the rating system or internal models approaches for equity exposures are suited to the range of application of the rating system or internal models approach for equity exposures, and has made necessary changes to these rating systems or internal models approaches for equity exposures following from its assessment; (g) the institution has calculated under the IRB Approach the own funds requirements resulting from its risk parameters estimates and is able to submit the reporting as required by Article 99; 430; (h) the institution has assigned and continues with assigning each exposure in the range of application of a rating system to a rating grade or pool of this rating system; the institution has assigned and continues with assigning each exposure in the range of application of an approach for equity exposures to this internal models approach. The requirements to use an IRB Approach, including own estimates of LGD and conversion factors, apply also where an institution has implemented a rating system, or model used within a rating system, that it has purchased from a third-party vendor. 2. EBA shall develop draft regulatory technical standards to specify the assessment methodology competent authorities shall follow in assessing the compliance of an institution with the requirements to use the IRB Approach. EBA shall submit those draft regulatory technical standards to the Commission by 31 December 2014. Power is delegated to the Commission to adopt the regulatory technical standards referred to in the first subparagraph in accordance with Articles 10 to 14 of Regulation (EU) No 1093/2010.

texts differ too much for an inline diff; shown separately

before (02013R0575-20201228)

Article 152
Treatment of exposures in the form of units or shares in CIUs
1. Where exposures in the form of units or shares in CIUs meet the criteria set out in Article 132(3) and the institution is aware of all or parts of the underlying exposures of the CIU, the institution shall look through to those underlying exposures in order to calculate risk-weighted exposure amounts and expected loss amounts in accordance with the methods set out in this Chapter.
Where an underlying exposure of the CIU is itself another exposure in the form of units or shares in another CIU, the first institution shall also look through to the underlying exposures of the other CIU.
2. Where the institution does not meet the conditions for using the methods set out in this Chapter for all or parts of the underlying exposures of the CIU, risk-weighted exposure amounts and expected loss amounts shall be calculated in accordance with the following approaches:
(a) for exposures belonging to the equity exposure class referred to in Article 147(2)(e), institutions shall apply the simple risk-weight approach set out in Article 155(2);
(b) for all other underlying exposures referred to in paragraph 1, institutions shall apply the Standardised Approach laid down in Chapter 2, subject to the following:
(i) for exposures subject to a specific risk weight for unrated exposures or subject to the credit quality step yielding the highest risk weight for a given exposure class, the risk weight shall be multiplied by a factor of two but shall not be higher than 1250 %;
(ii) for all other exposures, the risk weight shall be multiplied by a factor of 1,1 and shall be subject to a minimum of 5 %.
Where, for the purposes of point (a), the institution is unable to differentiate between private equity, exchange-traded and other equity exposures, it shall treat the exposures concerned as other equity exposures. Where those exposures, taken together with the institution's direct exposures in that exposure class, are not material within the meaning of Article 150(2), Article 150(1) may be applied subject to the permission of the competent authorities.
3. Where exposures in the form of units or shares in a CIU do not meet the criteria set out in Article 132(3), or where the institution is not aware of all of the underlying exposures of the CIU or of the underlying exposures of a unit or share in a CIU which is itself an underlying exposure of the CIU, the institution shall look through to those underlying exposures and calculate risk-weighted exposure amounts and expected loss amounts in accordance with the simple risk-weight approach set out in Article 155(2).
Where the institution is unable to differentiate between private equity, exchange-traded and other equity exposures, it shall treat the exposures concerned as other equity exposures. It shall assign non equity exposures to the other equity class.
4. Alternatively to the method described in paragraph 3, institutions may calculate themselves or may rely on the following third parties to calculate and report the average risk-weighted exposure amounts based on the CIU's underlying exposures in accordance with the approaches referred to in points (a) and (b) of paragraph 2 for the following:
(a) the depository institution or financial institution of the CIU provided that the CIU exclusively invests in securities and deposits all securities at this depository institution or financial institution;
(b) for other CIUs, the CIU management company, provided that the CIU management company meets the criteria set out in Article 132(3)(a).
The correctness of the calculation shall be confirmed by an external auditor.
5. EBA shall develop draft regulatory technical standards to specify the conditions according to which competent authorities may permit institutions to use the Standardised Approach referred to in Article 150(1) under point (b) of paragraph 2 of this Article.
EBA shall submit those draft regulatory technical standards to the Commission by 30 June 2014.
Power is delegated to the Commission to adopt the regulatory technical standards referred to in the first subparagraph in accordance with Articles 10 to 14 of Regulation (EU) No 1093/2010.

after (02013R0575-20210629)

Article 152
Treatment of exposures in the form of units or shares in CIUs
1. Institutions shall calculate the risk-weighted exposure amounts for their exposures in the form of units or shares in a CIU by multiplying the risk-weighted exposure amount of the CIU, calculated in accordance with the approaches set out in paragraphs 2 and 5, with the percentage of units or shares held by those institutions.
2. Where the conditions set out in Article 132(3) are met, institutions that have sufficient information about the individual underlying exposures of a CIU shall look through to those underlying exposures to calculate the risk-weighted exposure amount of the CIU, risk weighting all underlying exposures of the CIU as if they were directly held by the institutions.
3. By way of derogation from point (d) of Article 92(3), institutions that calculate the risk-weighted exposure amount of the CIU in accordance with paragraph 1 or 2 of this Article may calculate the own funds requirement for credit valuation adjustment risk of derivative exposures of that CIU as an amount equal to 50 % of the own funds requirement for those derivative exposures calculated in accordance with Section 3, 4 or 5 of Chapter 6 of this Title, as applicable.
By way of derogation from the first subparagraph, an institution may exclude from the calculation of the own funds requirement for credit valuation adjustment risk derivative exposures which would not be subject to that requirement if they were incurred directly by the institution.
4. Institutions that apply the look-through approach in accordance with paragraphs 2 and 3 of this Article and that meet the conditions for permanent partial use in accordance with Article 150, or that do not meet the conditions for using the methods set out in this Chapter or one or more of the methods set out in Chapter 5 for all or parts of the underlying exposures of the CIU, shall calculate risk-weighted exposure amounts and expected loss amounts in accordance with the following principles:
(a) for exposures assigned to the equity exposure class referred to in point (e) of Article 147(2), institutions shall apply the simple risk-weight approach set out in Article 155(2);
(b) for exposures assigned to the items representing securitisation positions referred to in point (f) of Article 147(2), institutions shall apply the treatment set out in Article 254 as if those exposures were directly held by those institutions;
(c) for all other underlying exposures, institutions shall apply the Standardised Approach laid down in Chapter 2 of this Title.
For the purposes of point (a) of the first subparagraph, where the institution is unable to differentiate between private equity exposures, exchange-traded exposures and other equity exposures, it shall treat the exposures concerned as other equity exposures.
5. Where the conditions set out in Article 132(3) are met, institutions that do not have sufficient information about the individual underlying exposures of a CIU may calculate the risk-weighted exposure amount for those exposures in accordance with the mandate-based approach set out in Article 132a(2). However, for the exposures listed in points (a), (b) and (c) of paragraph 4 of this Article, institutions shall apply the approaches set out therein.
6. Subject to Article 132b(2), institutions that do not apply the look-through approach in accordance with paragraphs 2 and 3 of this Article or the mandate-based approach in accordance with paragraph 5 of this Article shall apply the fall-back approach referred to in Article 132(2).
7. Institutions may calculate the risk-weighted exposure amount for their exposures in the form of units or shares in a CIU by using a combination of the approaches referred to in this Article, provided that the conditions for using those approaches are met.
8. Institutions that do not have adequate data or information to calculate the risk-weighted amount of a CIU in accordance with the approaches set out in paragraphs 2, 3, 4 and 5 may rely on the calculations of a third party, provided that all the following conditions are met:
(a) the third party is one of the following:
(i) the depository institution or the depository financial institution of the CIU, provided that the CIU exclusively invests in securities and deposits all securities at that depository institution or depository financial institution;
(ii) for CIUs not covered by point (i) of this point, the CIU management company, provided that the CIU management company meets the criteria set out in point (a) of Article 132(3);
(b) for exposures other than those listed in points (a), (b) and (c) of paragraph 4 of this Article, the third party carries out the calculation in accordance with the look-through approach set out in Article 132a(1);
(c) for exposures listed in points (a), (b) and (c) of paragraph 4, the third party carries out the calculation in accordance with the approaches set out therein;
(d) an external auditor has confirmed the correctness of the third party's calculation.
Institutions that rely on third-party calculations shall multiply the risk weighted exposure amounts of a CIU's exposures resulting from those calculations by a factor of 1,2.
By way of derogation from the second subparagraph, where the institution has unrestricted access to the detailed calculations carried out by the third party, the 1,2 factor shall not apply. The institution shall provide those calculations to its competent authority upon request.
9. For the purposes of this Article, Article 132(5) and (6) and Article 132b shall apply. For the purposes of this Article, Article 132c shall apply, using the risk weights calculated in accordance with Chapter 3 of this Title.

02013R0575-20201228 → 02013R0575-20210629

Article 158 Treatment by exposure type 1. The calculation of expected loss amounts shall be based on the same input figures of PD, LGD and the exposure value for each exposure as are used for the calculation of risk-weighted exposure amounts in … 340 unchanged words … the following formula: Expected loss (EL) = PD · LGD Expected loss amount = EL · exposure value 9. The expected loss amounts for equity exposures where the risk-weighted exposure amounts are calculated in accordance with the internal models approach shall be zero. 9a. The expected loss amount for a minimum value commitment that meets all the requirements set out in Article 132c(3) shall be zero. 10. The expected loss amounts for dilution risk of purchased receivables shall be calculated in accordance with the following formula: Expected loss (EL) = PD · LGD Expected loss amount = EL · exposure value

02013R0575-20201228 → 02013R0575-20210629

Article 162 Maturity 1. Institutions that have not received permission to use own LGDs and own conversion factors for exposures to corporates, institutions or central governments and central banks shall assign to exposures arising from repurchase transactions or securities or commodities lending … 862 unchanged words … or commodities lending or borrowing transactions. In addition, for qualifying short-term exposures which are not part of the institution's ongoing financing of the obligor, M shall be at least one-day. Qualifying short term exposures shall include the following: (a) exposures to institutions or investment firms arising from the settlement of foreign exchange obligations; (b) self-liquidating short-term trade finance transactions connected to the exchange of goods or services with a residual maturity of up to one year as referred to in point (80) of Article 4(1); (c) exposures arising from settlement of securities purchases and sales within the usual delivery period or two business days; (d) exposures arising from cash settlements by wire transfer and settlements of electronic payment transactions and prepaid cost, including overdrafts arising from failed transactions that do not exceed a short, fixed agreed number of business days. 4. For exposures to corporates situated in the Union and having consolidated sales and consolidated assets of less than EUR 500 million, institutions may choose to consistently set M as set out in paragraph 1 instead of applying paragraph 2. Institutions may replace EUR 500 million total assets with EUR 1000 million total assets for corporates which primarily own and let non-speculative residential property. 5. Maturity mismatches shall be treated as specified in Chapter 4.

02013R0575-20201228 → 02013R0575-20210629

Article 197 Eligibility of collateral under all approaches and methods 1. Institutions may use the following items as eligible collateral under all approaches and methods: (a) cash on deposit with, or cash assimilated instruments held by, the lending institution; (b) debt securities issued by central governments or central banks, which securities have a credit assessment by an ECAI or export credit agency recognised as eligible for the purposes of Chapter 2 which has been determined by EBA to be associated with credit quality step 4 or above under the rules for the risk weighting of exposures to central governments and central banks under Chapter 2; (c) debt securities issued by institutions, institutions or investment firms, which securities have a credit assessment by an ECAI which has been determined by EBA to be associated with credit quality step 3 or above under the rules for the risk weighting of exposures to institutions under Chapter 2; (d) debt securities issued by other entities which securities have a credit assessment by an ECAI which has been determined by EBA to be associated with credit quality step 3 or above under the rules for the risk weighting of exposures to corporates under Chapter 2; (e) debt securities with a short-term credit assessment by an ECAI which has been determined by EBA to be associated with credit quality step 3 or above under the rules for the risk weighting of short term exposures under Chapter 2; (f) equities or convertible bonds that are included in a main index; (g) gold; (h) securitisation positions that are not resecuritisation positions and which are subject to a 100 % risk weight or lower in accordance with Article 261 to Article 264. 2. For the purposes of point (b) of paragraph 1, debt securities issued by central governments or central banks shall include all the following: (a) debt securities issued by regional governments or local authorities, exposures to which are treated as exposures to the central government in whose jurisdiction they are established under Article 115(2); (b) debt securities issued by public sector entities which are treated as exposures to central governments in accordance with Article 116(4); (c) debt securities issued by multilateral development banks to which a 0 % risk weight is assigned under Article 117(2); (d) debt securities issued by international organisations which are assigned a 0 % risk weight under Article 118. 3. For the purposes of point (c) of paragraph 1, debt securities issued by institutions shall include all the following: (a) debt securities issued by regional governments or local authorities other than those debt securities referred to in point (a) of paragraph 2; (b) debt securities issued by public sector entities, exposures to which are treated in accordance with Article 116(1) and (2); (c) debt securities issued by multilateral development banks other than those to which a 0 % risk weight is assigned under Article 117(2). 4. An institution may use debt securities that are issued by other institutions or investment firms and that do not have a credit assessment by an ECAI as eligible collateral where those debt securities fulfil all the following criteria: (a) they are listed on a recognised exchange; (b) they qualify as senior debt; (c) all other rated issues by … 542 unchanged words … submit those draft implementing technical standards to the Commission by 31 December 2014. Power is conferred on the Commission to adopt the implementing technical standards referred to in the first subparagraph in accordance with Article 15 of Regulation (EU) No 1095/2010.

02013R0575-20201228 → 02013R0575-20210629

Article 200 Other funded credit protection Institutions may use the following other funded credit protection as eligible collateral: (a) cash on deposit with, or cash assimilated instruments held by, a third party institution in a non-custodial arrangement and pledged to the lending institution; (b) life insurance policies pledged to the lending institution; (c) instruments issued by third party institutions a third‐party institution or by an investment firm which will are to be repurchased by that institution or by that investment firm on request.

02013R0575-20201228 → 02013R0575-20210629

Article 201 Eligibility of protection providers under all approaches 1. Institutions may use the following parties as eligible providers of unfunded credit protection: (a) central governments and central banks; (b) regional governments or local authorities; (c) multilateral development banks; (d) international organisations exposures to which a 0 % risk weight under Article 117 is assigned; (e) public sector entities, claims on which are treated in accordance with Article 116; (f) institutions, and financial institutions for which exposures to the financial institution are treated as exposures to institutions in accordance with Article 119(5); (g) other corporate entities, including parent undertakings, subsidiaries and affiliated corporate entities of the institution, where either of the following conditions is met: (i) those other corporate entities have a credit assessment by an ECAI; (ii) in the case of institutions calculating risk-weighted exposure amounts and expected loss amounts under the IRB Approach, those other corporate entities do not have a credit assessment by a recognised ECAI and are internally rated by the institution; (h) qualifying central counterparties. 2. Where institutions calculate risk-weighted exposure amounts and expected loss amounts under the IRB Approach, to be eligible as a provider of unfunded credit protection a guarantor shall be internally rated by the institution in accordance with the provisions of Section 6 of Chapter 3. Competent authorities shall publish and maintain the list of those financial institutions that are eligible providers of unfunded credit protection under point (f) of paragraph 1, or the guiding criteria for identifying such eligible providers of unfunded credit protection, together with a description of the applicable prudential requirements, and share their list with other competent authorities in accordance with Article 117 of Directive 2013/36/EU.

02013R0575-20201228 → 02013R0575-20210629

Article 202 Eligibility of protection providers under the IRB Approach which qualify for the treatment set out in Article 153(3) An institution may use institutions, investment firms, insurance and reinsurance undertakings and export credit agencies as eligible providers of unfunded credit protection which qualify for the treatment set out in Article 153(3) where they meet all the following conditions: (a) they have sufficient expertise in providing unfunded credit protection; (b) they are regulated in a manner equivalent to the rules laid down in this Regulation, or had, at the time the credit protection was provided, a credit assessment by a recognised ECAI which had been determined by EBA to be associated with credit quality step 3 or above in accordance with the rules for the risk weighting of exposures to corporates set out in Chapter 2; (c) they had, at the time the credit protection was provided, or for any period of time thereafter, an internal rating with a PD equivalent to or lower than that associated with credit quality step 2 or above in accordance with the rules for the risk weighting of exposures to corporates set out in Chapter 2; (d) they have an internal rating with a PD equivalent to or lower than that associated with credit quality step 3 or above in accordance with the rules for the risk weighting of exposures to corporates set out in Chapter 2. For the purpose of this Article, credit protection provided by export credit agencies shall not benefit from any explicit central government counter-guarantee.

02013R0575-20201228 → 02013R0575-20210629

Article 223 Financial Collateral Comprehensive Method 1. In order to take account of price volatility, institutions shall apply volatility adjustments to the market value of collateral, as set out in Articles 224 to 227, when valuing financial collateral for the purposes of the Financial Collateral Comprehensive Method. Where collateral is denominated in a currency that differs from the currency in which the underlying exposure is denominated, institutions shall add an adjustment reflecting currency volatility to the volatility adjustment appropriate to the collateral as set out in Articles 224 to 227. In the case of OTC derivatives transactions covered by netting agreements recognised by the competent authorities under Chapter 6, institutions shall apply a volatility adjustment reflecting currency volatility when there is a mismatch between the collateral currency and the settlement currency. Even where multiple currencies are involved in the transactions covered by the netting agreement, institutions shall apply a single volatility adjustment. 2. Institutions shall calculate the volatility-adjusted value of the collateral (CVA) they need to take into account as follows:CVA C 1 HC Hfx where: C the value of the collateral; HC the volatility adjustment appropriate to the collateral, as calculated under Articles 224 and 227; Hfx the volatility adjustment appropriate to currency mismatch, as calculated under Articles 224 and 227. Institutions shall use the formula in this paragraph when calculating the volatility-adjusted value of the collateral for all transactions except for those transactions subject to recognised master netting agreements to which the provisions set out in Articles 220 and 221 apply. 3. Institutions shall calculate the volatility-adjusted value of the exposure (EVA) they need to take into account as follows:EVAE 1 HE where: E the exposure value as would be determined under Chapter 2 or Chapter 3, as applicable, where the exposure was not collateralised; HE the volatility adjustment appropriate to the exposure, as calculated under Articles 224 and 227. In the case of OTC derivative transactions transactions, institutions using the method laid down in Section 6 of Chapter 6 shall calculate EVA as follows: EVA = E. 4. For the purpose of calculating E in paragraph 3, the following shall apply: (a) for institutions calculating risk-weighted exposure amounts under the Standardised Approach, the exposure value of an off-balance sheet item listed in Annex I shall be 100 % of that item's value rather than the exposure value indicated in Article 111(1); (b) for institutions calculating risk-weighted exposure amounts under the IRB Approach, they shall calculate the exposure value of the items listed in Article 166(8) to (10) by using a conversion factor of 100 % rather than the conversion factors or percentages indicated in those paragraphs. 5. Institutions shall calculate the fully adjusted value of the exposure (E*), taking into account both volatility and the risk-mitigating effects of collateral as follows:E *max 0, EVA CVAM where: EVA the volatility adjusted value of the exposure as calculated in paragraph 3; CVAM CVA further adjusted for any maturity mismatch in accordance with the provisions of Section 5; In the case of OTC derivative transactions, institutions using the methods laid down in Sections 3, 4 and 5 of Chapter 6 shall take into account the risk-mitigating effects of collateral in accordance with the provisions laid down in Sections 3, 4 and 5 of Chapter 6, as applicable. 6. Institutions may calculate volatility adjustments either by using the Supervisory Volatility Adjustments Approach referred to in Article 224 or the Own Estimates Approach referred to in Article 225. An institution may choose to use the Supervisory Volatility Adjustments Approach or the Own Estimates Approach independently of the choice it has made between the Standardised Approach and the IRB Approach for the calculation of risk-weighted exposure amounts. However, where an institution uses the Own Estimates Approach, it shall do so for the full range of instrument types, excluding immaterial portfolios where it may use the Supervisory Volatility Adjustments Approach. 7. Where the collateral consists of a number of eligible items, institutions shall calculate the volatility adjustment (H) as follows:HiaiHi where: ai the proportion of the value of an eligible item i in the total value of collateral; Hi the volatility adjustment applicable to eligible item i.

02013R0575-20201228 → 02013R0575-20210629

Article 224 Supervisory volatility adjustment under the Financial Collateral Comprehensive Method 1. The volatility adjustments to be applied by institutions under the Supervisory Volatility Adjustments Approach, assuming daily revaluation, shall be those set out in Tables 1 to 4 of this paragraph.VOLATILITY … 653 unchanged words … has invested are not known to the institution, the volatility adjustment is the highest volatility adjustment that would apply to any of the assets in which the fund has the right to invest. 6. For unrated debt securities issued by institutions or investment firms and satisfying the eligibility criteria in Article 197(4) 197(4), the volatility adjustments is the same as for securities issued by institutions or corporates with an external credit assessment associated with credit quality step 2 or 3.

02013R0575-20201228 → 02013R0575-20210629

Article 227 Conditions for applying a 0 % volatility adjustment under the Financial Collateral Comprehensive Method 1. In relation to repurchase transactions and securities lending or borrowing transactions, where an institution uses the Supervisory Volatility Adjustments Approach under Article 224 or the Own Estimates Approach under Article 225 and where the conditions set out in points (a) to (h) of paragraph 2 are satisfied, institutions may, instead of applying the volatility adjustments calculated under Articles 224 to 226, apply a 0 % volatility adjustment. Institutions using the internal models approach set out in Article 221 shall not use the treatment set out in this Article. 2. Institutions may apply a 0 % volatility adjustment where all the following conditions are met: (a) both the exposure and the collateral are cash or debt securities issued by central governments or central banks within the meaning of Article 197(1)(b) and eligible for a 0 % risk weight under Chapter 2; (b) both the exposure and the collateral are denominated in the same currency; (c) either the maturity of the transaction is no more than one day or both the exposure and the collateral are subject to daily marking-to-market or daily re-margining; (d) the time between the last marking-to-market before a failure to re-margin by the counterparty and the liquidation of the collateral is no more than four business days; (e) the transaction is settled in a settlement system proven for that type of transaction; (f) the documentation covering the agreement or transaction is standard market documentation for repurchase transactions or securities lending or borrowing transactions in the securities concerned; (g) the transaction is governed by documentation specifying that where the counterparty fails to satisfy an obligation to deliver cash or securities or to deliver margin or otherwise defaults, then the transaction is immediately terminable; (h) the counterparty is considered a core market participant by the competent authorities. 3. The core market participants referred to in point (h) of paragraph 2 shall include the following entities: (a) the entities mentioned in Article 197(1)(b) exposures to which are assigned a 0 % risk weight under Chapter 2; (b) institutions; (ba) investment firms; (c) other financial undertakings within the meaning of points (25)(b) and (d) of Article 13 of Directive 2009/138/EC exposures to which are assigned a 20 % risk weight under the Standardised Approach or which, in the case of institutions calculating risk-weighted exposure amounts and expected loss amounts under the IRB Approach, do not have a credit assessment by a recognised ECAI and are internally rated by the institution; (d) regulated CIUs that are subject to capital or leverage requirements; (e) regulated pension funds; (f) recognised clearing organisations.

02013R0575-20201228 → 02013R0575-20210629

Article 242 Definitions For the purposes of this Chapter, the following definitions apply: (1) clean-up call option means a contractual option that entitles the originator to call the securitisation positions before all of the securitised exposures have been repaid, either by repurchasing the … 593 unchanged words … or entity and maintain its viability throughout its lifetime, or that at least 90 % of its original capital or funding or the promotional loan it grants is directly or indirectly guaranteed by the Member State’s central, regional or local government. government; (20) synthetic excess spread means a synthetic excess spread as defined in point (29) of Article 2 of Regulation (EU) 2017/2402.

02013R0575-20201228 → 02013R0575-20210629

Article 243 Criteria for STS securitisations qualifying for differentiated capital treatment 1. Positions in an ABCP programme or ABCP transaction that qualify as positions in an STS securitisation shall be eligible for the treatment set out in Articles 260, 262 and 264 where the following requirements are met: (a) the underlying exposures meet, at the time of their inclusion in the ABCP programme, to the best knowledge of the originator or the original lender, the conditions for being assigned, under the Standardised Approach and taking into account any eligible credit risk mitigation, a risk weight equal to or smaller than 75 % on an individual exposure basis where the exposure is a retail exposure or 100 % for any other exposures; and (b) the aggregate exposure value of all exposures to a single obligor at ABCP programme level does not exceed 2 % of the aggregate exposure value of all exposures within the ABCP programme at the time the exposures were added to the ABCP programme. For the purposes of this calculation, loans or leases to a group of connected clients, to the best knowledge of the sponsor, shall be considered as exposures to a single obligor. In the case of trade receivables, point (b) of the first subparagraph shall not apply where the credit risk of those trade receivables is fully covered by eligible credit protection in accordance with Chapter 4, provided that in that case the protection provider is an institution, an investment firm, an insurance undertaking or a reinsurance undertaking. For the purposes of this subparagraph, only the portion of the trade receivables remaining after taking into account the effect of any purchase price discount and overcollateralisation shall be used to determine whether they are fully covered and whether the concentration limit is met. In the case of securitised residual leasing values, point (b) of the first subparagraph shall not apply where those values are not exposed to refinancing or resell risk due to a legally enforceable commitment to repurchase or refinance the exposure … 393 unchanged words … this paragraph applies, no loan in the pool of underlying exposures shall have a loan-to-value ratio higher than 100 %, at the time of inclusion in the securitisation, measured in accordance with point (d)(i) of Article 129(1) and Article 229(1).

02013R0575-20201228 → 02013R0575-20210629

Article 249 Recognition of credit risk mitigation for securitisation positions 1. An institution may recognise funded or unfunded credit protection with respect to a securitisation position where the requirements for credit risk mitigation laid down in this Chapter and in Chapter 4 are met. 2. Eligible funded credit protection shall be limited to financial collateral which is eligible for the calculation of risk-weighted exposure amounts under Chapter 2 as laid down under Chapter 4 and recognition of credit risk mitigation shall be subject to compliance with the relevant requirements as laid down under Chapter 4. Eligible unfunded credit protection and unfunded credit protection providers shall be limited to those which are eligible in accordance with Chapter 4 and recognition of credit risk mitigation shall be subject to compliance with the relevant requirements as laid down under Chapter 4. 3. By way of derogation from paragraph 2, 2 of this Article, the eligible providers of unfunded credit protection listed in points (a) to (h) point (g) of Article 201(1) 201(1), shall have been assigned a credit assessment by a recognised ECAI which is was credit quality step 2 or above at the time the credit protection was first recognised and is currently credit quality step 3 or above thereafter. The requirement set out in this subparagraph shall not apply to qualifying central counterparties. above. Institutions which are allowed to apply the IRB Approach to a direct exposure to the protection provider may assess eligibility in accordance with the first subparagraph based on the equivalence of the PD for the protection provider to the PD … 571 unchanged words … 3; or (ii) the risk weight of the original securitisation position under the SEC-ERBA. 10. The derived position with the lower seniority shall be treated as a non-senior securitisation position even if the original securitisation position prior to protection qualifies as senior.

inserted text (02013R0575-20210629)

Article 269a
Treatment of non-performing exposures (NPE) securitisations
1. For the purposes of this Article:
(a) NPE securitisation means an NPE securitisation as defined in point (25) of Article 2 of Regulation (EU) 2017/2402;
(b) qualifying traditional NPE securitisation means a traditional NPE securitisation where the non-refundable purchase price discount is at least 50 % of the outstanding amount of the underlying exposures at the time they were transferred to the SSPE.
2. The risk weight for a position in an NPE securitisation shall be calculated in accordance with Article 254 or 267. The risk weight shall be subject to a floor of 100 %, except when Article 263 is applied.
3. By way of derogation from paragraph 2 of this Article, institutions shall assign a risk weight of 100 % to the senior securitisation position in a qualifying traditional NPE securitisation, except when Article 263 is applied.
4. Institutions that apply the IRB Approach to any exposures in the pool of underlying exposures in accordance with Chapter 3 and that are not permitted to use own estimates of LGD and conversion factors for such exposures shall not use the SEC-IRBA for the calculation of risk-weighted exposure amounts for a position in an NPE securitisation and shall not apply paragraph 5 or 6.
5. For the purposes of Article 268(1), expected losses associated with exposures underlying a qualifying traditional NPE securitisation shall be included after deduction of the non-refundable purchase price discount and, where applicable, any additional specific credit risk adjustments.
Institutions shall perform the calculation in accordance with the following formula:
where:
CRmax
the maximum capital requirement in the case of a qualifying traditional NPE securitisation;
RWEAIRB
the sum of risk-weighted exposure amounts of the underlying exposures subject to the IRB Approach;
ELIRB
the sum of expected loss amounts of the underlying exposures subject to the IRB Approach;
NRPPD
the non-refundable purchase price discount;
EVIRB
the sum of exposure values of the underlying exposures that are subject to the IRB Approach;
EVPool
the sum of exposure values of all underlying exposures in the pool;
SCRAIRB
for originator institutions, the specific credit risk adjustments made by the institution with respect to those underlying exposures subject to the IRB Approach only if and to the extent these adjustments exceed the NRPPD; for investor institutions the amount is zero;
RWEASA
the sum of risk-weighted exposure amounts of the underlying exposures subject to the Standardised Approach.
6. By way of derogation from paragraph 3 of this Article, where the exposure-weighted average risk weight calculated in accordance with the look-through approach set out in Article 267 is lower than 100 %, institutions may apply the lower risk weight, subject to a 50 % risk-weight floor.
For the purposes of the first subparagraph, originator institutions that apply the SEC-IRBA to a position and that are permitted to use own estimates of LGD and conversion factors for all underlying exposures subject to the IRB Approach in accordance with Chapter 3, shall deduct the non-refundable purchase price discount and, where applicable, any additional specific credit risk adjustments from the expected losses and exposure values of the underlying exposures associated with a senior position in a qualifying traditional NPE securitisation, in accordance with the following formula:
where:
RWmax
the risk weight, before applying the floor, applicable to a senior position in a qualifying traditional NPE securitisation when the look-through approach is used;
RWEAIRB
the sum of risk-weighted exposure amounts of the underlying exposures subject to the IRB Approach;
RWEASA
the sum of risk-weighted exposure amounts of the underlying exposures subject to the Standardised Approach;
ELIRB
the sum of expected loss amounts of the underlying exposures subject to the IRB Approach;
NRPPD
the non-refundable purchase price discount;
EVIRB
the sum of exposure values of the underlying exposures that are subject to the IRB Approach;
EVpool
the sum of exposure values of all underlying exposures in the pool;
EVSA
the sum of exposure values of the underlying exposures that are subject to the Standardised Approach;
SCRAIRB
the specific credit risk adjustments made by the originator institution with respect to the underlying exposures subject to the IRB Approach only if and to the extent these adjustments exceed the NRPPD.
7. For the purposes of this Article, the non-refundable purchase price discount shall be calculated by subtracting the amount referred to in point (b) from the amount referred to in point (a):
(a) the outstanding amount of the underlying exposures of the NPE securitisation at the time those exposures were transferred to the SSPE;
(b) the sum of the following:
(i) the initial sale price of the tranches or, where applicable, parts of the tranches of the NPE securitisation sold to third party investors; and
(ii) the outstanding amount, at the time the underlying exposures were transferred to the SSPE, of the tranches or, where applicable, parts of tranches of that securitisation held by the originator.
For the purposes of paragraphs 5 and 6, throughout the life of the transaction, the calculation of the non-refundable purchase price discount shall be adjusted downwards taking into account the realised losses. Any reduction in the outstanding amount of the underlying exposures resulting from realised losses shall reduce the non-refundable purchase price discount, subject to a floor of zero.
Where a discount is structured in such a way that it can be refunded in whole or in part to the originator, such discount shall not count as a non-refundable purchase price discount for the purposes of this Article.

texts differ too much for an inline diff; shown separately

before (02013R0575-20201228)

Article 270
Senior positions in SME securitisations
An originator institution may calculate the risk-weighted exposure amounts in respect of a securitisation position in accordance with Articles 260, 262 or 264, as applicable, where the following conditions are met:
(a) the securitisation meets the requirements for STS securitisation set out in Chapter 4 of Regulation (EU) 2017/2402 as applicable, other than Article 20(1) to (6) of that Regulation;
(b) the position qualifies as the senior securitisation position;
(c) the securitisation is backed by a pool of exposures to undertakings, provided that at least 70 % of those in terms of portfolio balance qualify as SMEs within the meaning of Article 501 at the time of issuance of the securitisation or in the case of revolving securitisations at the time an exposure is added to the securitisation;
(d) the credit risk associated with the positions not retained by the originator institution is transferred through a guarantee or a counter-guarantee meeting the requirements for unfunded credit protection set out in Chapter 4 for the Standardised Approach to credit risk;
(e) the third party to which the credit risk is transferred is one or more of the following:
(i) the central government or the central bank of a Member State, a multilateral development bank, an international organisation or a promotional entity, provided that the exposures to the guarantor or counter-guarantor qualify for a 0 % risk weight under Chapter 2;
(ii) an institutional investor as defined in point (12) of Article 2 of Regulation (EU) 2017/2402 provided that the guarantee or counter-guarantee is fully collateralised by cash on deposit with the originator institution.

after (02013R0575-20210629)

Article 270
Senior positions in STS on-balance sheet securitisations
1. An originator institution may calculate the risk-weighted exposure amounts of a securitisation position in an STS on-balance sheet securitisation as referred to in Article 26a(1) of Regulation (EU) 2017/2402 in accordance with Article 260, 262 or 264 of this Regulation, as applicable, where that position meets both of the following conditions:
(a) the securitisation meets the requirements set out in Article 243(2);
(b) the position qualifies as the senior securitisation position.
2. EBA shall monitor the application of paragraph 1 in particular with regard to:
(a) the market volume and market share of STS on-balance sheet securitisations in respect of which the originator institution applies paragraph 1, across different asset classes;
(b) the observed allocation of losses to the senior tranche and to other tranches of STS on-balance sheet securitisations, where the originator institution applies paragraph 1 in respect of the senior position held in such securitisations;
(c) the impact of the application of paragraph 1 on the leverage of institutions;
(d) the impact of the use of STS on-balance sheet securitisations in respect of which the originator institution applies paragraph 1 on the issuance of capital instruments by the respective originator institutions.
3. EBA shall submit a report on its findings to the Commission by 10 April 2023.
4. By 10 October 2023, the Commission shall, on the basis of the report referred to in paragraph 3, submit a report to the European Parliament and to the Council, on the application of this Article with particular regard to the risk of excessive leverage resulting from the use of STS on-balance sheet securitisations qualifying for the treatment in accordance with paragraph 1 and to the potential substitution of the issuance of capital instruments by originator institutions through that use. That report shall, where appropriate, be accompanied by a legislative proposal.

02013R0575-20201228 → 02013R0575-20210629

Article 272 Definitions For the purposes of this Chapter and of Title VI of this Part, the following definitions shall apply: General terms (1) counterparty credit risk or CCR means the risk that the counterparty to a transaction could default before the final settlement of the transaction's cash flows; Transaction types (2) long settlement transactions means transactions where a counterparty undertakes to deliver a security, a commodity, or a foreign exchange amount against cash, other financial instruments, or commodities, or vice versa, at a settlement or delivery date specified by contract that is later than the market standard for this particular type of transaction or five business days after the date on which the institution enters into the transaction, whichever is earlier; (3) margin lending transactions means transactions in which an institution extends credit in connection with the purchase, sale, carrying or trading of securities. Margin lending transactions do not include other loans that are secured by collateral in the form of securities; Netting set, hedging sets, and related terms (4) netting set means a group of transactions between an institution and a single counterparty that is subject to a legally enforceable bilateral netting arrangement that is recognised under Section 7 and Chapter 4. Each transaction that is not subject to a legally enforceable bilateral netting arrangement which is recognised under Section 7 shall be treated as its own netting set for the purposes of this Chapter. Under the Internal Model Method set out in Section 6, all netting sets with a single counterparty may be treated as a single netting set if negative simulated market values of the individual netting sets are set to 0 in the estimation of expected exposure (hereinafter referred to as EE); (5) risk position means a risk number that is assigned to a transaction under the Standardised Method set out in Section5 following a predetermined algorithm; (6) hedging set means a group of risk positions arising from the transactions within a single netting set, where only the balance of those risk positions set for which full or partial offsetting is used allowed for determining the potential future exposure value under the Standardised Method methods set out in Section 5; 3 or 4 of this Chapter; (7) margin agreement means an agreement or provisions of an agreement under which one counterparty must supply collateral to a second counterparty when an exposure of that second counterparty to the first counterparty exceeds a specified level; (7a) one way margin agreement means a margin agreement under which an institution is required to post variation margin to a counterparty but is not entitled to receive variation margin from that counterparty or vice-versa; (8) margin threshold means the largest amount of an exposure that remains outstanding before one party has the right to call for collateral; (9) margin period of risk means the time period from the most recent exchange of collateral covering a netting set of transactions with a defaulting counterparty until the transactions are closed out and the resulting market risk is re-hedged; (10) effective maturity under the Internal Model Method for a netting set with maturity greater than one year means the ratio of the sum of expected exposure over the life of the transactions in the netting set discounted at the risk-free rate of return, divided by the sum of expected exposure over one year in the netting set discounted at the risk-free rate. This effective maturity may be adjusted to reflect rollover risk by replacing expected exposure with effective expected exposure for forecasting horizons under one year; (11) cross-product netting means the inclusion of transactions of different product categories within the same netting set pursuant to the cross-product netting rules set out in this Chapter; (12) Current Market Value (hereinafter referred to as CMV) for the purposes of Section 5 refers to current market value or CMV means the net market value of all the portfolio of transactions within a netting set, set gross of any collateral held or posted where both positive and negative market values are used netted in computing the CMV; (12a) net independent collateral amount or NICA means the sum of the volatility-adjusted value of net collateral received or posted, as applicable, to the netting set other than variation margin; Distributions (13) distribution of market values means the forecast of the probability distribution of net market values of transactions within a netting set for a future date (the forecasting horizon), given the realised market value of those transactions at the date … 567 unchanged words … the exchange of a financial instrument for a payment. In the case of transactions that stipulate the exchange of payment against payment, those two payment legs shall consist of the contractually agreed gross payments, including the notional amount of the transaction.

02013R0575-20201228 → 02013R0575-20210629

Article 273 Methods for calculating the exposure value 1. Institutions shall determine calculate the exposure value for the contracts listed in Annex II on the basis of one of the methods set out in Sections 3 to 6 in accordance with this Article. An institution which is does not eligible for meet the treatment conditions set out in Article 94 273a(1) shall not use the method set out in Section 4. To determine An institution which does not meet the exposure value for the contracts listed conditions set out in point 3 of Annex II an institution Article 273a(2) shall not use the method set out in Section 4. 5. Institutions may use in combination the methods set out in Sections 3 to 6 on a permanent basis within a group. A single institution shall not use in combination the methods set out in Sections 3 to 6 on a permanent basis but shall be permitted to use in combination methods set out in Sections 3 and 5 when one of the methods is used for the cases set out in Article 282(6). basis. 2. Where permitted by the competent authorities in accordance with Article 283(1) and (2), an institution may determine the exposure value for the following items using the Internal Model Method set out in Section 6: (a) the contracts listed in Annex II; (b) repurchase transactions; (c) securities or commodities lending or borrowing transactions; (d) margin lending transactions; (e) long settlement transactions. 3. When an institution purchases protection through a credit derivative against a non-trading book exposure or against a counterparty risk exposure, it may calculate its own funds requirement for the hedged exposure in accordance with either of the following: (a) Articles 233 to 236; (b) in accordance with Article 153(3), or Article 183, where permission has been granted in accordance with Article 143. The exposure value for CCR for those credit derivatives shall be zero, unless an institution applies the approach in point (h)(ii) of Article 299(2). 4. Notwithstanding paragraph 3, an institution may choose consistently to include for the purposes of calculating own funds requirements for counterparty credit risk all credit derivatives not included in the trading book and purchased as protection against a non-trading book exposure or against a counterparty credit risk exposure where the credit protection is recognised under this Regulation. 5. Where credit default swaps sold by an institution are treated by an institution as credit protection provided by that institution and are subject to own funds requirement for credit risk of the underlying for the full notional amount, their exposure value for the purposes of CCR in the non-trading book shall be zero. 6. Under all the methods set out in Sections 3 to 6, the exposure value for a given counterparty shall be equal to the sum of the exposure values calculated for each netting set with that counterparty. By way of derogation from the first subparagraph, where one margin agreement applies to multiple netting sets with that counterparty and the institution is using one of the methods set out in Sections 3 to 6 to calculate the exposure value of those netting sets, the exposure value shall be calculated in accordance with the relevant Section. For a given counterparty, the exposure value for a given netting set of OTC derivative instruments listed in Annex II calculated in accordance with this Chapter shall be the greater of zero and the difference between the sum of exposure values across all netting sets with the counterparty and the sum of CVA credit valuation adjustments for that counterparty being recognised by the institution as an incurred write-down. The credit valuation adjustments shall be calculated without taking into account any offsetting debit value adjustment attributed to the own credit risk of the firm that has been already excluded from own funds under in accordance with point (c) of Article 33(1)(c). 33(1). 7. In calculating the exposure value in accordance with the methods set out in Sections 3, 4 and 5, institutions may treat two OTC derivative contracts included in the same netting agreement that are perfectly matching as if they were a single contract with a notional principal equal to zero. For the purposes of the first subparagraph, two OTC derivative contracts are perfectly matching when they meet all the following conditions: (a) their risk positions are opposite; (b) their features, with the exception of the trade date, are identical; (c) their cash flows fully offset each other. 8. Institutions shall determine the exposure value for exposures arising from long settlement transactions by any of the methods set out in Sections 3 to 6, 6 of this Chapter, regardless of which method the institution has chosen for treating OTC derivatives and repurchase transactions, securities or commodities lending or borrowing transactions, and margin lending transactions. In calculating the own funds requirements for long settlement transactions, an institution that uses the approach set out in Chapter 3 may assign the risk weights under the approach set out in Chapter 2 on a permanent basis and irrespective of the materiality of such those positions. 8. For the methods set out in Sections 3 and 4, the institution shall adopt a consistent methodology for determining the notional amount for different product types, and shall ensure that the notional amount to be taken into account provides an appropriate measure of the risk inherent in the contract. Where the contract provides for a multiplication of cash flows, the notional amount shall be adjusted by an institution to take into account the effects of the multiplication on the risk structure of that contract. 9. For the methods set out in Sections 3 to 6, 6 of this Chapter, institutions shall treat transactions where specific wrong way Specific Wrong-Way risk has been identified in accordance with Article 291(2), (4), (5) (5), and (6) as appropriate. (6).

inserted text (02013R0575-20210629)

Article 273a
Conditions for using simplified methods for calculating the exposure value
1. An institution may calculate the exposure value of its derivative positions in accordance with the method set out in Section 4, provided that the size of its on- and off-balance-sheet derivative business is equal to or less than both of the following thresholds on the basis of an assessment carried out on a monthly basis using the data as of the last day of the month:
(a) 10 % of the institution's total assets;
(b) EUR 300 million.
2. An institution may calculate the exposure value of its derivative positions in accordance with the method set out in Section 5, provided that the size of its on- and off-balance-sheet derivative business is equal to or less than both of the following thresholds on the basis of an assessment carried out on a monthly basis using the data as of the last day of the month:
(a) 5 % of the institution's total assets;
(b) EUR 100 million.
3. For the purposes of paragraphs 1 and 2, institutions shall calculate the size of their on- and off-balance-sheet derivative business on the basis of data as of the last day of each month in accordance with the following requirements:
(a) derivative positions shall be valued at their market values on that given date; where the market value of a position is not available on a given date, institutions shall take a fair value for the position on that date; where the market value and fair value of a position are not available on a given date, institutions shall take the most recent of the market value or fair value for that position;
(b) the absolute value of long derivative positions shall be summed with the absolute value of short derivative positions;
(c) all derivative positions shall be included, except credit derivatives that are recognised as internal hedges against non-trading book credit risk exposures.
4. By way of derogation from paragraph 1 or 2, as applicable, where the derivative business on a consolidated basis does not exceed the thresholds set out in paragraph 1 or 2, as applicable, an institution which is included in the consolidation and which would have to apply the method set out in Section 3 or 4 because it exceeds those thresholds on an individual basis, may, subject to the approval of competent authorities, instead choose to apply the method that would apply on a consolidated basis.
5. Institutions shall notify the competent authorities of the methods set out in Section 4 or 5 that they use, or cease to use, as applicable, to calculate the exposure value of their derivative positions.
6. Institutions shall not enter into a derivative transaction or buy or sell a derivative instrument for the sole purpose of complying with any of the conditions set out in paragraphs 1 and 2 during the monthly assessment.

inserted text (02013R0575-20210629)

Article 273b
Non-compliance with the conditions for using simplified methods for calculating the exposure value of derivatives
1. An institution that no longer meets one or more of the conditions set out in Article 273a(1) or (2) shall immediately notify the competent authority thereof.
2. An institution shall cease to calculate the exposure values of its derivative positions in accordance with Section 4 or 5, as applicable, within three months of one of the following occurring:
(a) the institution does not meet the conditions set out in point (a) of Article 273a(1) or (2), as applicable, or the conditions set out in point (b) of Article 273a(1) or (2), as applicable, for three consecutive months;
(b) the institution does not meet the conditions set out in point (a) of Article 273a(1) or (2), as applicable, or the conditions set out in point (b) of Article 273a(1) or (2), as applicable, for more than six of the preceding 12 months.
3. Where an institution has ceased to calculate the exposure values of its derivative positions in accordance with Section 4 or 5, as applicable, it shall only be permitted to resume calculating the exposure value of its derivative positions as set out in Section 4 or 5 where it demonstrates to the competent authority that all the conditions set out in Article 273a(1) or (2) have been met for an uninterrupted period of one year.

texts differ too much for an inline diff; shown separately

before (02013R0575-20201228)

Article 274
Mark-to-Market Method
1. In order to determine the current replacement cost of all contracts with positive values, institutions shall attach the current market values to the contracts.
2. In order to determine the potential future credit exposure, institutions shall multiply the notional amounts or underlying values, as applicable, by the percentages in Table 1 and in accordance with the following principles:
(a) contracts which do not fall within one of the five categories indicated in Table 1 shall be treated as contracts concerning commodities other than precious metals;
(b) for contracts with multiple exchanges of principal, the percentages shall be multiplied by the number of remaining payments still to be made in accordance with the contract;
(c) for contracts that are structured to settle outstanding exposure following specified payment dates and where the terms are reset so that the market value of the contract is zero on those specified dates, the residual maturity shall be equal to the time until the next reset date. In the case of interest-rate contracts that meet those criteria and have a remaining maturity of over one year, the percentage shall be no lower than 0,5 %.
Table 1
Residual maturity Interest-rate contracts Contracts concerning foreign-exchange rates and gold Contracts concerning equities Contracts concerning precious metals except gold Contracts concerning commodities other than precious metals
One year or less 0 % 1 % 6 % 7 % 10 %
Over one year, not exceeding five years 0,5 % 5 % 8 % 7 % 12 %
Over five years 1,5 % 7,5 % 10 % 8 % 15 %
3. For contracts relating to commodities other than gold, which are referred to in point 3 of Annex II, an institution may, as an alternative to applying the percentages in Table 1, apply the percentages in Table 2 provided that that institution follows the extended maturity ladder approach set out in Article 361 for those contracts.
Table 2
Residual maturity Precious metals (except gold) Base metals Agricultural products (softs) Other, including energy products
One year or less 2 % 2,5 % 3 % 4 %
Over one year, not exceeding five years 5 % 4 % 5 % 6 %
Over five years 7,5 % 8 % 9 % 10 %
4. The sum of current replacement cost and potential future credit exposure is the exposure value.

after (02013R0575-20210629)

Article 274
Exposure value
1. An institution may calculate a single exposure value at netting set level for all the transactions covered by a contractual netting agreement where all the following conditions are met:
(a) the netting agreement belongs to one of the types of contractual netting agreements referred to in Article 295;
(b) the netting agreement has been recognised by competent authorities in accordance with Article 296;
(c) the institution has fulfilled the obligations laid down in Article 297 in respect of the netting agreement.
Where any of the conditions set out in the first subparagraph are not met, the institution shall treat each transaction as if it was its own netting set.
2. Institutions shall calculate the exposure value of a netting set under the standardised approach for counterparty credit risk as follows:
Exposure value = α · (RC + PFE)
where:
RC
the replacement cost calculated in accordance with Article 275; and
PFE
the potential future exposure calculated in accordance with Article 278;
α
1,4.
3. The exposure value of a netting set that is subject to a contractual margin agreement shall be capped at the exposure value of the same netting set not subject to any form of margin agreement.
4. Where multiple margin agreements apply to the same netting set, institutions shall allocate each margin agreement to the group of transactions in the netting set to which that margin agreement contractually applies to and calculate an exposure value separately for each of those grouped transactions.
5. Institutions may set to zero the exposure value of a netting set that satisfies all the following conditions:
(a) the netting set is solely composed of sold options;
(b) the current market value of the netting set is at all times negative;
(c) the premium of all the options included in the netting set has been received upfront by the institution to guarantee the performance of the contracts;
(d) the netting set is not subject to any margin agreement.
6. In a netting set, institutions shall replace a transaction which is a finite linear combination of bought or sold call or put options with all the single options that form that linear combination, taken as an individual transaction, for the purpose of calculating the exposure value of the netting set in accordance with this Section. Each such combination of options shall be treated as an individual transaction in the netting set in which the combination is included for the purpose of calculating the exposure value.
7. The exposure value of a credit derivative transaction representing a long position in the underlying may be capped to the amount of outstanding unpaid premium provided it is treated as its own netting set that is not subject to a margin agreement.

texts differ too much for an inline diff; shown separately

before (02013R0575-20201228)

Article 275
Original Exposure Method
1. The exposure value is the notional amount of each instrument multiplied by the percentages set out in Table 3.
Table 3
Original maturity Interest-rate contracts Contracts concerning foreign-exchange rates and gold
One year or less 0,5 % 2 %
Over one year, not exceeding two years 1 % 5 %
Additional allowance for each additional year 1 % 3 %
2. For calculating the exposure value of interest-rate contracts, an institution may choose to use either the original or residual maturity.

after (02013R0575-20210629)

Article 275
Replacement cost
1. Institutions shall calculate the replacement cost RC for netting sets that are not subject to a margin agreement, in accordance with the following formula:
RC = max{CMV – NICA, 0}
2. Institutions shall calculate the replacement cost for single netting sets that are subject to a margin agreement in accordance with the following formula:
RC = max{CMV – VM – NICA, TH + MTA – NICA, 0}
where:
RC
the replacement cost;
VM
the volatility-adjusted value of the net variation margin received or posted, as applicable, to the netting set on a regular basis to mitigate changes in the netting set's CMV;
TH
the margin threshold applicable to the netting set under the margin agreement below which the institution cannot call for collateral; and
MTA
the minimum transfer amount applicable to the netting set under the margin agreement.
3. Institutions shall calculate the replacement cost for multiple netting sets that are subject to the same margin agreement in accordance with the following formula:RCmaximaxCMVi, 0maxVMMANICAMA, 0, 0maximinCMVi, 0minVMMANICAMA, 0, 0
where:
RC
the replacement cost;
i
the index that denotes the netting sets that are subject to the single margin agreement;
CMVi
the CMV of netting set i;
VMMA
the sum of the volatility-adjusted value of collateral received or posted, as applicable, to multiple netting sets on a regular basis to mitigate changes in their CMV; and
NICAMA
the sum of the volatility-adjusted value of collateral received or posted, as applicable, to multiple netting sets other than VMMA.
For the purposes of the first subparagraph, NICAMA may be calculated at trade level, at netting set level or at the level of all the netting sets to which the margin agreement applies depending on the level at which the margin agreement applies.

texts differ too much for an inline diff; shown separately

before (02013R0575-20201228)

Article 276
Standardised Method
1. Institutions may use the Standardised Method (hereinafter referred to as SM) only for calculating the exposure value for OTC derivatives and long settlement transactions.
2. When applying the SM, institutions shall calculate the exposure value separately for each netting set, net of collateral, as follows:Exposure valueβ  max CMV  CMC, jiRPTij  lRPClj  CCRMj
where:
CMV
current market value of the portfolio of transactions within the netting set with a counterparty gross of collateral, where:CMViCMVi
where:
CMVi
the current market value of transaction i;
CMC
the current market value of the collateral assigned to the netting set, where:CMClCMCl
where:
CMCl
the current market value of collateral l;
i
index designating transaction;
l
index designating collateral;
j
index designating hedging set category;
The hedging sets for this purpose correspond to risk factors for which risk positions of opposite sign can be offset to yield a net risk position on which the exposure measure is then based.
RPTij
risk position from transaction i with respect to hedging set j;
RPClj
risk position from collateral l with respect to hedging set j;
CCRMj
CCR Multiplier set out in Table 5 with respect to hedging set j;
β
1,4.
3. For the purposes of the calculation under paragraph 2:
(a) eligible collateral received from a counterparty shall have a positive sign and collateral posted to a counterparty shall have a negative sign;
(b) only collateral that is eligible under Article 197, Article 198 and Article 299(2)(d) shall be used for the SM;
(c) an institution may disregard the interest rate risk from payment legs with a remaining maturity of less than one year;
(d) an institution may treat transactions that consist of two payment legs that are denominated in the same currency as a single aggregate transaction. The treatment for payment legs applies to the aggregate transaction.

after (02013R0575-20210629)

Article 276
Recognition and treatment of collateral
1. For the purposes of this Section, institutions shall calculate the collateral amounts of VM, VMMA, NICA and NICAMA, by applying all the following requirements:
(a) where all the transactions included in a netting set belong to the trading book, only collateral that is eligible under Articles 197 and 299 shall be recognised;
(b) where a netting set contains at least one transaction that belongs to the non-trading book, only collateral that is eligible under Article 197 shall be recognised;
(c) collateral received from a counterparty shall be recognised with a positive sign and collateral posted to a counterparty shall be recognised with a negative sign;
(d) the volatility-adjusted value of any type of collateral received or posted shall be calculated in accordance with Article 223; for the purposes of that calculation, institutions shall not use the method set out in Article 225;
(e) the same collateral item shall not be included in both VM and NICA at the same time;
(f) the same collateral item shall not be included in both VMMA and NICAMA at the same time;
(g) any collateral posted to the counterparty that is segregated from the assets of that counterparty and, as a result of that segregation, is bankruptcy remote in the event of the default or insolvency of that counterparty shall not be recognised in the calculation of NICA and NICAMA.
2. For the calculation of the volatility-adjusted value of collateral posted referred to in point (d) of paragraph 1 of this Article, institutions shall replace the formula set out in Article 223(2) with the following formula:
CVA = C · (1 + HC + Hfx)
where:
CVA = the volatility-adjusted value of collateral posted; and
C = the collateral;
Hc and Hfx are defined in accordance with Article 223(2).
3. For the purposes of point (d) of paragraph 1, institutions shall set the liquidation period relevant for the calculation of the volatility-adjusted value of any collateral received or posted in accordance with one of the following time horizons:
(a) one year for the netting sets referred to in Article 275(1);
(b) the margin period of risk determined in accordance with point (b) of Article 279c(1) for the netting sets referred to in Article 275(2) and (3).

texts differ too much for an inline diff; shown separately

before (02013R0575-20201228)

Article 277
Transactions with a linear risk profile
1. Institutions shall map transactions with a linear risk profile to risk positions in accordance with the following provisions:
(a) transactions with a linear risk profile with equities (including equity indices), gold, other precious metals or other commodities as the underlying shall be mapped to a risk position in the respective equity (or equity index) or commodity and an interest rate risk position for the payment leg;
(b) transactions with a linear risk profile with a debt instrument as the underlying instrument shall be mapped to an interest rate risk position for the debt instrument and another interest rate risk position for the payment leg;
(c) transactions with a linear risk profile that stipulate the exchange of payment against payment, including foreign exchange forwards, shall be mapped to an interest rate risk position for each of the payment legs.
Where, under a transaction mentioned in point (a), (b) or (c), a payment leg or the underlying debt instrument is denominated in foreign currency, that payment leg or underlying instrument shall also be mapped to a risk position in that currency.
2. For the purposes of paragraph 1, the size of a risk position from a transaction with linear risk profile shall be the effective notional value (market price multiplied by quantity) of the underlying financial instruments or commodities converted to the institution's domestic currency by multiplication with the relevant exchange rate, except for debt instruments.
3. For debt instruments and for payment legs, the size of the risk position shall be the effective notional value of the outstanding gross payments (including the notional amount) converted to the currency of the home Member State, multiplied by the modified duration of the debt instrument or payment leg, as the case may be.
4. The size of a risk position from a credit default swap shall be the notional value of the reference debt instrument multiplied by the remaining maturity of the credit default swap.
5. EBA shall develop draft regulatory technical standards to specify:
(a) the method for identifying transactions with only one material risk driver;
(b) the method for identifying transactions with more than one material risk driver and for identifying the most material of those risk drivers for the purposes of paragraph 3.
EBA shall submit those draft regulatory technical standards to the Commission by 28 December 2019.
Power is delegated to the Commission to supplement this Regulation by adopting the regulatory technical standards referred to in the first subparagraph in accordance with Articles 10 to 14 of Regulation (EU) No 1093/2010.

after (02013R0575-20210629)

Article 277
Mapping of transactions to risk categories
1. Institutions shall map each transaction of a netting set to one of the following risk categories to determine the potential future exposure of the netting set referred to in Article 278:
(a) interest rate risk;
(b) foreign exchange risk;
(c) credit risk;
(d) equity risk;
(e) commodity risk;
(f) other risks.
2. Institutions shall conduct the mapping referred to in paragraph 1 on the basis of the primary risk driver of a derivative transaction. The primary risk driver shall be the only material risk driver of a derivative transaction.
3. By way of derogation from paragraph 2, institutions shall map derivative transactions that have more than one material risk driver to more than one risk category. Where all the material risk drivers of one of those transactions belong to the same risk category, institutions shall only be required to map that transaction once to that risk category on the basis of the most material of those risk drivers. Where the material risk drivers of one of those transactions belong to different risk categories, institutions shall map that transaction once to each risk category for which the transaction has at least one material risk driver, on the basis of the most material of the risk drivers in that risk category.
4. Notwithstanding paragraphs 1, 2 and 3, when mapping transactions to the risk categories listed in paragraph 1, institutions shall apply the following requirements:
(a) where the primary risk driver of a transaction, or the most material risk driver in a given risk category for transactions referred to in paragraph 3, is an inflation variable, institutions shall map the transaction to the interest rate risk category;
(b) where the primary risk driver of a transaction, or the most material risk driver in a given risk category for transactions referred to in paragraph 3, is a climatic conditions variable, institutions shall map the transaction to the commodity risk category.
5. EBA shall develop draft regulatory technical standards to specify:
(a) the method for identifying transactions with only one material risk driver;
(b) the method for identifying transactions with more than one material risk driver and for identifying the most material of those risk drivers for the purposes of paragraph 3.
EBA shall submit those draft regulatory technical standards to the Commission by 28 December 2019.
Power is delegated to the Commission to supplement this Regulation by adopting the regulatory technical standards referred to in the first subparagraph in accordance with Articles 10 to 14 of Regulation (EU) No 1093/2010.

inserted text (02013R0575-20210629)

Article 277a
Hedging sets
1. Institutions shall establish the relevant hedging sets for each risk category of a netting set and assign each transaction to those hedging sets as follows:
(a) transactions mapped to the interest rate risk category shall be assigned to the same hedging set only where their primary risk driver, or the most material risk driver in the given risk category for transactions referred to in Article 277(3), is denominated in the same currency;
(b) transactions mapped to the foreign exchange risk category shall be assigned to the same hedging set only where their primary risk driver, or the most material risk driver in the given risk category for transactions referred to in Article 277(3), is based on the same currency pair;
(c) all the transactions mapped to the credit risk category shall be assigned to the same hedging set;
(d) all the transactions mapped to the equity risk category shall be assigned to the same hedging set;
(e) transactions mapped to the commodity risk category shall be assigned to one of the following hedging sets on the basis of the nature of their primary risk driver or the most material risk driver in the given risk category for transactions referred to in Article 277(3):
(i) energy;
(ii) metals;
(iii) agricultural goods;
(iv) other commodities;
(v) climatic conditions;
(f) transactions mapped to the other risks category shall be assigned to the same hedging set only where their primary risk driver, or the most material risk driver in the given risk category for transactions referred to in Article 277(3), is identical.
For the purposes of point (a) of the first subparagraph of this paragraph, transactions mapped to the interest rate risk category that have an inflation variable as the primary risk driver shall be assigned to separate hedging sets, other than the hedging sets established for transactions mapped to the interest rate risk category that do not have an inflation variable as the primary risk driver. Those transactions shall be assigned to the same hedging set only where their primary risk driver, or the most material risk driver in the given risk category for transactions referred to in Article 277(3), is denominated in the same currency.
2. By way of derogation from paragraph 1 of this Article, institutions shall establish separate individual hedging sets in each risk category for the following transactions:
(a) transactions for which the primary risk driver, or the most material risk driver in the given risk category for transactions referred to in Article 277(3), is either the market implied volatility or the realised volatility of a risk driver or the correlation between two risk drivers;
(b) transactions for which the primary risk driver, or the most material risk driver in the given risk category for transactions referred to in Article 277(3), is the difference between two risk drivers mapped to the same risk category or transactions that consist of two payment legs denominated in the same currency and for which a risk driver from the same risk category of the primary risk driver is contained in the other payment leg than the one containing the primary risk driver.
For the purposes of point (a) of the first subparagraph of this paragraph, institutions shall assign transactions to the same hedging set of the relevant risk category only where their primary risk driver, or the most material risk driver in the given risk category for transactions referred to in Article 277(3), is identical.
For the purposes of point (b) of the first subparagraph, institutions shall assign transactions to the same hedging set of the relevant risk category only where the pair of risk drivers in those transactions as referred to therein is identical and the two risk drivers contained in this pair are positively correlated. Otherwise, institutions shall assign transactions referred to in point (b) of the first subparagraph to one of the hedging sets established in accordance with paragraph 1, on the basis of only one of the two risk drivers referred to in point (b) of the first subparagraph.
3. Institutions shall make available upon request by the competent authorities the number of hedging sets established in accordance with paragraph 2 of this Article for each risk category, with the primary risk driver, or the most material risk driver in the given risk category for transactions referred to in Article 277(3), or the pair of risk drivers of each of those hedging sets and with the number of transactions in each of those hedging sets.

texts differ too much for an inline diff; shown separately

before (02013R0575-20201228)

Article 278
Transactions with a non-linear risk profile
1. Institutions shall determine the size of the risk positions for transactions with a non-linear risk profile in accordance with the following paragraphs.
2. The size of a risk position from an OTC derivative with a non-linear risk profile, including options and swaptions, of which the underlying is not a debt instrument or a payment leg shall be equal to the delta equivalent effective notional value of the financial instrument that underlies the transaction in accordance with Article 280(1).
3. The size of a risk position from an OTC derivative with a non-linear risk profile, including options and swaptions, of which the underlying is a debt instrument or a payment leg, shall be equal to the delta equivalent effective notional value of the financial instrument or payment leg multiplied by the modified duration of the debt instrument or payment leg, as the case may be.

after (02013R0575-20210629)

Article 278
Potential future exposure
1. Institutions shall calculate the potential future exposure of a netting set as follows:PFEmultiplieraAddOna
where:
PFE
the potential future exposure;
a
the index that denotes the risk categories included in the calculation of the potential future exposure of the netting set;
AddOn(a)
the add-on for risk category a calculated in accordance with Articles 280a to 280f, as applicable; and
multiplier
the multiplication factor calculated in accordance with the formula referred to in paragraph 3.
For the purpose of this calculation, institutions shall include the add-on of a given risk category in the calculation of the potential future exposure of a netting set where at least one transaction of the netting set has been mapped to that risk category.
2. The potential future exposure of multiple netting sets that are subject to one margin agreement, as referred in Article 275(3), shall be calculated as the sum of the potential future exposures of all the individual netting sets as if they were not subject to any form of a margin agreement.
3. For the purposes of paragraph 1, the multiplier shall be calculated as follows:
multiplier = 1 if z ≥ 0
min1, Floorm1Floormexp zy if z0
where:
Floorm = 5 %;
y = 2 · (1 – Floorm) · ΣaAddOn(a)
z = CMV – NICA for the netting sets referred to in Article 275(1)
CMV – VM – NICA for the netting sets referred to in Article 275(2)
CMVi – NICAi for the netting sets referred to in Article 275(3)
NICAi
the net independent collateral amount calculated only for transactions that are included in netting set i. NICAi shall be calculated at trade level or at netting set level depending on the margin agreement.

texts differ too much for an inline diff; shown separately

before (02013R0575-20201228)

Article 279
Treatment of collateral
For the determination of risk positions, institutions shall treat collateral as follows:
(a) collateral received from a counterparty shall be treated as an obligation to the counterparty under a derivative contract (short position) that is due on the day the determination is made;
(b) collateral posted with the counterparty shall be treated as a claim on the counterparty (long position) that is due on the day the determination is made.

after (02013R0575-20210629)

Article 279
Calculation of the risk position
For the purpose of calculating the risk category add-ons referred to in Articles 280a to 280f, institutions shall calculate the risk position of each transaction of a netting set as follows:
RiskPosition = δ · AdjNot · MF
where:
δ
the supervisory delta of the transaction calculated in accordance with the formula laid down in Article 279a;
AdjNot
the adjusted notional amount of the transaction calculated in accordance with Article 279b; and
MF
the maturity factor of the transaction calculated in accordance with the formula laid down in Article 279c.

texts differ too much for an inline diff; shown separately

before (02013R0575-20201228)

Article 279a
Supervisory delta
3. EBA shall develop draft regulatory technical standards to specify:
(a) in accordance with international regulatory developments, the formula that institutions shall use to calculate the supervisory delta of call and put options mapped to the interest rate risk category compatible with market conditions in which interest rates may be negative as well as the supervisory volatility that is suitable for that formula;
(b) the method for determining whether a transaction is a long or short position in the primary risk driver or in the most material risk driver in the given risk category for transactions referred to in Article 277(3).
EBA shall submit those draft regulatory technical standards to the Commission by 28 December 2019.
Power is delegated to the Commission to supplement this Regulation by adopting the regulatory technical standards referred to in the first subparagraph in accordance with Articles 10 to 14 of Regulation (EU) No 1093/2010.

after (02013R0575-20210629)

Article 279a
Supervisory delta
1. Institutions shall calculate the supervisory delta as follows:
(a) for call and put options that entitle the option buyer to purchase or sell an underlying instrument at a positive price on a single or multiple dates in the future, except where those options are mapped to the interest rate risk category, institutions shall use the following formula:
δsignN typelnPK0,5σ2TσT
where:
δ
the supervisory delta;
sign
– 1 where the transaction is a sold call option or a bought put option;
sign
+ 1 where the transaction is a bought call option or sold put option;
type
– 1 where the transaction is a put option;
type
+ 1 where the transaction is a call option;
N(x)
the cumulative distribution function for a standard normal random variable meaning the probability that a normal random variable with mean zero and variance of one is less than or equal to x;
P
the spot or forward price of the underlying instrument of the option; for options the cash flows of which depend on an average value of the price of the underlying instrument, P shall be equal to the average value at the calculation date;
K
the strike price of the option;
T
the expiry date of the option; for options which can be exercised at one future date only, the expiry date is equal to that date; for options which can be exercised at multiple future dates, the expiry date is equal to the latest of those dates; the expiry date shall be expressed in years using the relevant business day convention; and
σ
the supervisory volatility of the option determined in accordance with Table 1 on the basis of the risk category of the transaction and the nature of the underlying instrument of the option.
Table 1
Risk category Underlying instrument Supervisory volatility
Foreign exchange All 15 %
Credit Single-name instrument 100 %
Multiple-names instrument 80 %
Equity Single-name instrument 120 %
Multiple-names instrument 75 %
Commodity Electricity 150 %
Other commodities (excluding electricity) 70 %
Others All 150 %
Institutions using the forward price of the underlying instrument of an option shall ensure that:
(i) the forward price is consistent with the characteristics of the option;
(ii) the forward price is calculated using a relevant interest rate prevailing at the reporting date;
(iii) the forward price integrates the expected cash flows of the underlying instrument before the expiry of the option;
(b) for tranches of a synthetic securitisation and a nth-to-default credit derivative, institutions shall use the following formula:
δsign15114A114D
where:
sign = + 1 where credit protection has been obtained through the transaction
– 1 where credit protection has been provided through the transaction
A
the attachment point of the tranche; for a nth-to-default credit derivative transaction based on reference entities k, A = (n – 1)/k; and
D
the detachment point of the tranche; for a nth-to-default credit derivative transaction based on reference entities k, D = n/k;
(c) for transactions not referred to in point (a) or (b), institutions shall use the following supervisory delta:
δ = + 1 if the transaction is a long position in the primary risk driver or in the most material risk driver in the given risk category
– 1 if the transaction is a short position in the primary risk driver or in the most material risk driver in the given risk category
2. For the purposes of this Section, a long position in the primary risk driver or in the most material risk driver in the given risk category for transactions referred to in Article 277(3) means that the market value of the transaction increases when the value of that risk driver increases and a short position in the primary risk driver or in the most material risk driver in the given risk category for transactions referred to in Article 277(3) means that the market value of the transaction decreases when the value of that risk driver increases.
3. EBA shall develop draft regulatory technical standards to specify:
(a) in accordance with international regulatory developments, the formula that institutions shall use to calculate the supervisory delta of call and put options mapped to the interest rate risk category compatible with market conditions in which interest rates may be negative as well as the supervisory volatility that is suitable for that formula;
(b) the method for determining whether a transaction is a long or short position in the primary risk driver or in the most material risk driver in the given risk category for transactions referred to in Article 277(3).
EBA shall submit those draft regulatory technical standards to the Commission by 28 December 2019.
Power is delegated to the Commission to supplement this Regulation by adopting the regulatory technical standards referred to in the first subparagraph in accordance with Articles 10 to 14 of Regulation (EU) No 1093/2010.

inserted text (02013R0575-20210629)

Article 279b
Adjusted notional amount
1. Institutions shall calculate the adjusted notional amount as follows:
(a) for transactions mapped to the interest rate risk category or the credit risk category, institutions shall calculate the adjusted notional amount as the product of the notional amount of the derivative contract and the supervisory duration factor, which shall be calculated as follows:
supervisory duration factorexpRSexpRER
where:
R
the supervisory discount rate; R = 5 %;
S
the period between the start date of a transaction and the reporting date, which shall be expressed in years using the relevant business day convention; and
E
the period between the end date of a transaction and the reporting date, which shall be expressed in years using the relevant business day convention.
The start date of a transaction is the earliest date at which at least a contractual payment under the transaction, to or from the institution, is either fixed or exchanged, other than payments related to the exchange of collateral in a margin agreement. Where the transaction has already been fixing or making payments at the reporting date, the start date of a transaction shall be equal to 0.
Where a transaction involves one or more contractual future dates on which the institution or the counterparty may decide to terminate the transaction prior to its contractual maturity, the start date of a transaction shall be equal to the earliest of the following:
(i) the date or the earliest of the multiple future dates at which the institution or the counterparty may decide to terminate the transaction earlier than its contractual maturity;
(ii) the date at which a transaction starts fixing or making payments, other than payments related to the exchange of collateral in a margin agreement.
Where a transaction has a financial instrument as the underlying instrument that may give rise to contractual obligations additional to those of the transaction, the start date of a transaction shall be determined on the basis of the earliest date at which the underlying instrument starts fixing or making payments.
The end date of a transaction is the latest date at which a contractual payment under the transaction, to or from the institution, is or may be exchanged.
Where a transaction has a financial instrument as an underlying instrument that may give rise to contractual obligations additional to those of the transaction, the end date of a transaction shall be determined on the basis of the last contractual payment of the underlying instrument of the transaction.
Where a transaction is structured to settle an outstanding exposure following specified payment dates and where the terms are reset so that the market value of the transaction is zero on those specified dates, the settlement of the outstanding exposure at those specified dates is considered a contractual payment under the same transaction;
(b) for transactions mapped to the foreign exchange risk category, institutions shall calculate the adjusted notional amount as follows:
(i) where the transaction consists of one payment leg, the adjusted notional amount shall be the notional amount of the derivative contract;
(ii) where the transaction consists of two payment legs and the notional amount of one payment leg is denominated in the institution's reporting currency, the adjusted notional amount shall be the notional amount of the other payment leg;
(iii) where the transaction consists of two payment legs and the notional amount of each payment leg is denominated in a currency other than the institution's reporting currency, the adjusted notional amount shall be the largest of the notional amounts of the two payment legs after those amounts have been converted into the institution's reporting currency at the prevailing spot exchange rate;
(c) for transactions mapped to the equity risk category or commodity risk category, institutions shall calculate the adjusted notional amount as the product of the market price of one unit of the underlying instrument of the transaction and the number of units in the underlying instrument referenced by the transaction;
where a transaction mapped to the equity risk category or commodity risk category is contractually expressed as a notional amount, institutions shall use the notional amount of the transaction rather than the number of units in the underlying instrument as the adjusted notional amount;
(d) for transactions mapped to the other risks category, institutions shall calculate the adjusted notional amount on the basis of the most appropriate method among the methods set out in points (a), (b) and (c), depending on the nature and characteristics of the underlying instrument of the transaction.
2. Institutions shall determine the notional amount or number of units of the underlying instrument for the purpose of calculating the adjusted notional amount of a transaction referred to in paragraph 1 as follows:
(a) where the notional amount or the number of units of the underlying instrument of a transaction is not fixed until its contractual maturity:
(i) for deterministic notional amounts and numbers of units of the underlying instrument, the notional amount shall be the weighted average of all the deterministic values of notional amounts or number of units of the underlying instrument, as applicable, until the contractual maturity of the transaction, where the weights are the proportion of the time period during which each value of notional amount applies;
(ii) for stochastic notional amounts and numbers of units of the underlying instrument, the notional amount shall be the amount determined by fixing current market values within the formula for calculating the future market values;
(b) for contracts with multiple exchanges of the notional amount, the notional amount shall be multiplied by the number of remaining payments still to be made in accordance with the contracts;
(c) for contracts that provide for a multiplication of the cash-flow payments or a multiplication of the underlying of the derivative contract, the notional amount shall be adjusted by an institution to take into account the effects of the multiplication on the risk structure of those contracts.
3. Institutions shall convert the adjusted notional amount of a transaction into their reporting currency at the prevailing spot exchange rate where the adjusted notional amount is calculated under this Article from a contractual notional amount or a market price of the number of units of the underlying instrument denominated in another currency.

inserted text (02013R0575-20210629)

Article 279c
Maturity Factor
1. Institutions shall calculate the maturity factor as follows:
(a) for transactions included in the netting sets referred to in Article 275(1), institutions shall use the following formula:
MFminmaxM, 10OneBusinessYear, 1
where:
MF
the maturity factor;
M
the remaining maturity of the transaction which is equal to the period of time needed for the termination of all contractual obligations of the transaction; for that purpose, any optionality of a derivative contract shall be considered to be a contractual obligation; the remaining maturity shall be expressed in years using the relevant business day convention;
where a transaction has another derivative contract as underlying instrument that may give rise to additional contractual obligations beyond the contractual obligations of the transaction, the remaining maturity of the transaction shall be equal to the period of time needed for the termination of all contractual obligations of the underlying instrument;
where a transaction is structured to settle outstanding exposure following specified payment dates and where the terms are reset so that the market value of the transaction is zero on those specified dates, the remaining maturity of the transaction shall be equal to the time until the next reset date; and
OneBusinessYear
one year expressed in business days using the relevant business day convention;
(b) for transactions included in the netting sets referred to in Article 275(2) and (3), the maturity factor is defined as:
MF32MPOROneBusinessYear
where:
MF
the maturity factor;
MPOR
the margin period of risk of the netting set determined in accordance with Article 285(2) to (5); and
OneBusinessYear
one year expressed in business days using the relevant business day convention.
When determining the margin period of risk for transactions between a client and a clearing member, an institution acting either as the client or as the clearing member shall replace the minimum period set out in point (b) of Article 285(2) with five business days.
2. For the purposes of paragraph 1, the remaining maturity shall be equal to the period of time until the next reset date for transactions that are structured to settle outstanding exposure following specified payment dates and where the terms are reset in such a way that the market value of the contract shall be zero on those specified payment dates.

texts differ too much for an inline diff; shown separately

before (02013R0575-20201228)

Article 280
Calculation of risk positions
1. An institution shall determine the size and sign of a risk position as follows:
(a) for all instruments other than debt instruments:
(i) as the effective notional value in the case of a transaction with a linear risk profile;
(ii) as the delta equivalent notional value, pref  ∂V∂p, in the case of a transaction with a non-linear risk profile,
where:
Pref
price of the underlying instrument, expressed in the reference currency;
V
value of the financial instrument (in the case of an option, the value is the option price);
p
price of the underlying instrument, expressed in the same currency as V;
(b) for debt instruments and the payment legs of all transactions:
(i) as the effective notional value multiplied by the modified duration in the case of a transaction with a linear risk profile;
(ii) as the delta equivalent in notional value multiplied by the modified duration, ∂V∂r, in the case of a transaction with a non-linear risk profile,
where:
V
value of the financial instrument (in the case of an option this is the option price);
r
interest rate level.
If V is denominated in a currency other than the reference currency, the derivative shall be converted into the reference currency by multiplication with the relevant exchange rate.
2. Institutions shall group the risk positions into hedging sets. The absolute value amount of the sum of the resulting risk positions shall be calculated for each hedging set. The net risk position shall be the result of that calculation and shall be calculated for the purposes of Article 276(2) as follows:iRPTij  lRPClj

after (02013R0575-20210629)

Article 280
Hedging set supervisory factor coefficient
For the purpose of calculating the add-on of a hedging set as referred to in Articles 280a to 280f, the hedging set supervisory factor coefficient є shall be the following:
є = 1 for the hedging sets established in accordance with Article 277a(1)
5 for the hedging sets established in accordance with point (a) of Article 277a(2)
0,5 for the hedging sets established in accordance with point (b) of Article 277a(2)

inserted text (02013R0575-20210629)

Article 280a
Interest rate risk category add-on
1. For the purposes of Article 278, institutions shall calculate the interest rate risk category add-on for a given netting set as follows:AddOnIRjAddOnIRj
where:
AddOnIR
the interest rate risk category add-on;
j
the index that denotes all the interest rate risk hedging sets established in accordance with point (a) of Article 277a(1) and with Article 277a(2) for the netting set; and
AddOnIRj
the interest rate risk category add-on for hedging set j calculated in accordance with paragraph 2.
2. Institutions shall calculate the interest rate risk category add-on for hedging set j as follows:AddOnIRjєjSFIREffNotIRj
where:
єj
the hedging set supervisory factor coefficient of hedging set j determined in accordance with the applicable value specified in Article 280;
SFIR
the supervisory factor for the interest rate risk category with a value equal to 0,5 %; and
EffNotIRj
the effective notional amount of hedging set j calculated in accordance with paragraph 3.
3. For the purpose of calculating the effective notional amount of hedging set j, institutions shall first map each transaction of the hedging set to the appropriate bucket in Table 2. They shall do so on the basis of the end date of each transaction as determined under point (a) of Article 279b(1):
Table 2
Bucket End date
(in years)
1 > 0 and <= 1
2 > 1 and <= 5
3 > 5
Institutions shall then calculate the effective notional amount of hedging set j in accordance with the following formula:EffNotIRjDj,12Dj,221,4Dj,1Dj,21,4Dj,2Dj,30,6Dj,1Dj,3
where:
EffNotIRj
the effective notional amount of hedging set j; and
Dj,k
the effective notional amount of bucket k of hedging set j calculated as follows:Dj,kl ∈ Bucket kRiskPositionl
where:
l
the index that denotes the risk position.

inserted text (02013R0575-20210629)

Article 280b
Foreign exchange risk category add-on
1. For the purposes of Article 278, institutions shall calculate the foreign exchange risk category add-on for a given netting set as follows:AddOnFXjAddOnFXj
where:
AddOnFX
the foreign exchange risk category add on;
j
the index that denotes the foreign exchange risk hedging sets established in accordance with point (b) of Article 277a(1) and with Article 277a(2) for the netting set; and
AddOnFXj
the foreign exchange risk category add-on for hedging set j calculated in accordance with paragraph 2.
2. Institutions shall calculate the foreign exchange risk category add-on for hedging set j as follows:AddOnFXjєjSFFXEffNotFXj
where:
єj
the hedging set supervisory factor coefficient of hedging set j determined in accordance with Article 280;
SFFX
the supervisory factor for the foreign exchange risk category with a value equal to 4 %;
EffNotFXj
the effective notional amount of hedging set j calculated as follows:EffNotFXjl ∈ Hedging set jRiskPositionl
where:
l
the index that denotes the risk position.

inserted text (02013R0575-20210629)

Article 280c
Credit risk category add-on
1. For the purposes of paragraph 2, institutions shall establish the relevant credit reference entities of the netting set in accordance with the following:
(a) there shall be one credit reference entity for each issuer of a reference debt instrument that underlies a single-name transaction allocated to the credit risk category; single-name transactions shall be assigned to the same credit reference entity only where the underlying reference debt instrument of those transactions is issued by the same issuer;
(b) there shall be one credit reference entity for each group of reference debt instruments or single-name credit derivatives that underlie a multi-name transaction allocated to the credit risk category; multi-names transactions shall be assigned to the same credit reference entity only where the group of underlying reference debt instruments or single-name credit derivatives of those transactions have the same constituents.
2. For the purposes of Article 278, institution shall calculate the credit risk category add-on for a given netting set as follows:AddOnCreditjAddOnCreditj
where:
AddOnCredit
credit risk category add-on;
j
the index that denotes all the credit risk hedging sets established in accordance with point (c) of Article 277a(1) and with Article 277a(2) for the netting set; and
AddOnCreditj
the credit risk category add-on for hedging set j calculated in accordance with paragraph 3.
3. Institutions shall calculate the credit risk category add-on for hedging set j as follows:AddOnCreditjєjk ρCreditkAddOnEntityk2k1ρCreditk2AddOnEntityk2
where:
AddOnCreditj
the credit risk category add-on for hedging set j;
єj
the hedging set supervisory factor coefficient of hedging set j determined in accordance with Article 280;
k
the index that denotes the credit reference entities of the netting set established in accordance with paragraph 1;
ρCreditk
the correlation factor of the credit reference entity k; where the credit reference entity k has been established in accordance with point (a) of paragraph 1,ρCreditk50 %, where the credit reference entity k has been established in accordance with point (b) of paragraph 1,ρCreditk80 %; and
AddOn(Entityk)
the add-on for the credit reference entity k determined in accordance with paragraph 4.
4. Institutions shall calculate the add-on for the credit reference entity k as follows:AddOnEntitykEffNotCreditk
where:
EffNotCreditk
the effective notional amount of the credit reference entity k calculated as follows:EffNotCreditkl ∈ Credit reference entity k SFCreditk,lRiskPositionl
where:
l
the index that denotes the risk position; and
SFCreditk,l
the supervisory factor applicable to the credit reference entity k calculated in accordance with paragraph 5.
5. Institutions shall calculate the supervisory factor applicable to the credit reference entity k as follows:
(a) for the credit reference entity k established in accordance with point (a) of paragraph 1,SFCreditk,l shall be mapped to one of the six supervisory factors set out in Table 3 of this paragraph on the basis of an external credit assessment by a nominated ECAI of the corresponding individual issuer; for an individual issuer for which a credit assessment by a nominated ECAI is not available:
(i) an institution using the approach referred to in Chapter 3 shall map the internal rating of the individual issuer to one of the external credit assessments;
(ii) an institution using the approach referred to in Chapter 2 shall assign SFCreditk,l0,54 % to that credit reference entity; however, where an institution applies Article 128 to risk weight counterparty credit risk exposures to that individual issuer, SFCreditk,l1,6 % shall be assigned to that credit reference entity;
(b) for the credit reference entity k established in accordance with point (b) of paragraph 1:
(i) where a risk position l assigned to the credit reference entity k is a credit index listed on a recognised exchange, SFCreditk,l shall be mapped to one of the two supervisory factors set out in Table 4 of this paragraph on the basis of the credit quality of the majority of its individual constituents;
(ii) where a risk position l assigned to the credit reference entity k is not referred to in point (i) of this point, SFCreditk,l shall be the weighted average of the supervisory factors mapped to each constituent in accordance with the method set out in point (a), where the weights are defined by the proportion of notional of the constituents in that position.
Table 3
Credit quality step Supervisory factor for single-name transactions
1 0,38 %
2 0,42 %
3 0,54 %
4 1,06 %
5 1,6 %
6 6,0 %
Table 4
Dominant credit quality Supervisory factor for quoted indices
Investment grade 0,38 %
Non-investment grade 1,06 %

inserted text (02013R0575-20210629)

Article 280d
Equity risk category add-on
1. For the purposes of paragraph 2, institutions shall establish the relevant equity reference entities of the netting set in accordance with the following:
(a) there shall be one equity reference entity for each issuer of a reference equity instrument that underlies a single-name transaction allocated to the equity risk category; single-name transactions shall be assigned to the same equity reference entity only where the underlying reference equity instrument of those transactions is issued by the same issuer;
(b) there shall be one equity reference entity for each group of reference equity instruments or single-name equity derivatives that underlie a multi-name transaction allocated to the equity risk category; multi-names transactions shall be assigned to the same equity reference entity only where the group of underlying reference equity instruments or single-name equity derivatives of those transactions, as applicable, has the same constituents.
2. For the purposes of Article 278, institutions shall calculate the equity risk category add-on for a given netting set as follows:AddOnEquityjAddOnEquityj
where:
AddOnEquity
the equity risk category add-on;
j
the index that denotes all the equity risk hedging sets established in accordance with point (d) of Article 277a(1) and Article 277a(2) for the netting set; and
AddOnEquityj
the equity risk category add-on for hedging set j calculated in accordance with paragraph 3.
3. Institutions shall calculate the equity risk category add-on for hedging set j as follows:AddOnEquityjєjk ρEquitykAddOnEntityk2k1ρEquityk2AddOnEntityk2
where:
AddOnEquityj
the equity risk category add-on for hedging set j;
єj
the hedging set supervisory factor coefficient of hedging set j determined in accordance with Article 280;
k
the index that denotes the equity reference entities of the netting set established in accordance with paragraph 1;
ρEquityk
the correlation factor of the equity reference entity k; where the equity reference entity k has been established in accordance with point (a) of paragraph 1, ρEquityk50 %; where the equity reference entity k has been established in accordance with point (b) of paragraph 1, ρEquityk80 %; and
AddOn(Entityk)
the add-on for the equity reference entity k determined in accordance with paragraph 4.
4. Institutions shall calculate the add-on for the equity reference entity k as follows:AddOnEntitykSKEquitykEffNotEquityk
where:
AddOn(Entityk)
the add-on for the equity reference entity k;
SFEquityk
the supervisory factor applicable to the equity reference entity k; where the equity reference entity k has been established in accordance with point (a) of paragraph 1, SFEquityk32 %; where the equity reference entity k has been established in accordance with point (b) of paragraph 1, SFEquityk20 %; and
EffNotEquityk
the effective notional amount of the equity reference entity k calculated as follows:EffNotEquitykl ∈ Equity reference entity kRiskPositionl
where:
l
the index that denotes the risk position.

inserted text (02013R0575-20210629)

Article 280e
Commodity risk category add-on
1. For the purposes of Article 278, institutions shall calculate the commodity risk category add-on for a given netting set as follows:AddOnComiAddOnComj
where:
AddOnCom
the commodity risk category add-on;
j
the index that denotes the commodity hedging sets established in accordance with point (e) of Article 277a(1) and with Article 277a(2) for the netting set; and
AddOnComj
the commodity risk category add-on for hedging set j calculated in accordance with paragraph 4.
2. For the purpose of calculating the add-on for a commodity hedging set of a given netting set in accordance with paragraph 4, institutions shall establish the relevant commodity reference types of each hedging set. Commodity derivative transactions shall be assigned to the same commodity reference type only where the underlying commodity instrument of those transactions has the same nature, irrespective of the delivery location and quality of the commodity instrument.
3. By way of derogation from paragraph 2, competent authorities may require an institution which is significantly exposed to the basis risk of different positions sharing the same nature as referred to in paragraph 2 to establish the commodity reference types for those positions using more characteristics than just the nature of the underlying commodity instrument. In such a situation, commodity derivative transactions shall be assigned the same commodity reference type only where they share those characteristics.
4. Institutions shall calculate the commodity risk category add-on for hedging set j as follows:AddOnComjєjρComkAddOnTypejk21ρCom2kAddOnTypejk2
where:
AddOnComj
the commodity risk category add-on for hedging set j;
єj
the hedging set supervisory factor coefficient of hedging set j determined in accordance with Article 280;
ρCom
the correlation factor of the commodity risk category with a value equal to 40 %;
k
the index that denotes the commodity reference types of the netting set established in accordance with paragraph 2; and
AddOnTypejk
the add-on for the commodity reference type k calculated in accordance with paragraph 5.
5. Institutions shall calculate the add-on for the commodity reference type k as follows:AddOnTypejkSFComkEffNotComk
where:
AddOnTypejk
the add-on for the commodity reference type k;
SFComk
the supervisory factor applicable to the commodity reference type k; where the commodity reference type k corresponds to transactions allocated to the hedging set referred to in point (e)(i) of Article 277a(1), excluding transactions concerning electricity, SFComk18 %; for transactions concerning electricity, SFComk40 %; and
EffNotComk
the effective notional amount of the commodity reference type k calculated as follows:EffNotComkl ∈ Commodity reference type kRiskPositionl
where:
l
the index that denotes the risk position.

inserted text (02013R0575-20210629)

Article 280f
Other risks category add-on
1. For the purposes of Article 278, institutions shall calculate the other risks category add-on for a given netting set as follows:AddOnOtherjAddOnOtherj
where:
AddOnOther
the other risks category add-on;
єj
the index that denotes the other risk hedging sets established in accordance with point (f) of Article 277a(1) and Article 277a(2) for the netting set; and
AddOnOtherj
the other risks category add-on for hedging set j calculated in accordance with paragraph 2.
2. Institutions shall calculate the other risks category add-on for hedging set j as follows:AddOnOtherjєjSFOtherEffNotOtherj
where:
AddOnOtherj
the other risks category add-on for hedging set j;
єj
the hedging set supervisory factor coefficient of hedging set j determined in accordance with Article 280; and
SFOther
the supervisory factor for the other risk category with a value equal to 8 %;
EffNotOtherj
the effective notional amount of hedging set j calculated as follows:EffNotOtherjl ∈ Hedging set jRiskPositionl
where:
l
the index that denotes the risk position.

texts differ too much for an inline diff; shown separately

before (02013R0575-20201228)

Article 281
Interest rate risk positions
1. In order to calculate interest rate risk position, institutions shall apply the following provisions.
2. For interest rate risk positions from the following:
(a) money deposits received from the counterparty as collateral;
(b) a payment legs;
(c) underlying debt instruments,
to which in each case a capital charge of 1,60 % or less applies in accordance with Table 1 of Article 336, institutions shall assign those positions to one of the six hedging sets for each currency set out in Table 4.
Table 4
Government referenced interest rates Non-government referenced interest rates
Maturity < 1 year < 1 year
>1 ≤ 5 years > 5 years
>1 ≤ 5 years > 5 years
3. For interest rate risk positions from underlying debt instruments or payment legs for which the interest rate is linked to a reference interest rate that represents a general market interest level, the remaining maturity shall be the length of the time interval up to the next re-adjustment of the interest rate. In all other cases, it shall be the remaining life of the underlying debt instrument or, in the case of a payment leg, the remaining life of the transaction.

after (02013R0575-20210629)

Article 281
Calculation of the exposure value
1. Institutions shall calculate a single exposure value at netting set level in accordance with Section 3, subject to paragraph 2 of this Article.
2. The exposure value of a netting set shall be calculated in accordance with the following requirements:
(a) institutions shall not apply the treatment referred to in Article 274(6);
(b) by way of derogation from Article 275(1), for netting sets that are not referred to in Article 275(2), institutions shall calculate the replacement cost in accordance with the following formula:
RC = max{CMV, 0}
where:
RC
the replacement cost; and
CMV
the current market value.
(c) by way of derogation from Article 275(2) of this Regulation, for netting sets of transactions: that are traded on a recognised exchange; that are centrally cleared by a central counterparty authorised in accordance with Article 14 of Regulation (EU) No 648/2012 or recognised in accordance with Article 25 of that Regulation; or for which collateral is exchanged bilaterally with the counterparty in accordance with Article 11 of Regulation (EU) No 648/2012, institutions shall calculate the replacement cost in accordance with the following formula:
RC = TH + MTA
where:
RC
the replacement cost;
TH
the margin threshold applicable to the netting set under the margin agreement below which the institution cannot call for collateral; and
MTA
the minimum transfer amount applicable to the netting set under the margin agreement;
(d) by way of derogation from Article 275(3), for multiple netting sets that are subject to a margin agreement, institutions shall calculate the replacement cost as the sum of the replacement cost of each individual netting set, calculated in accordance with paragraph 1 as if they were not margined;
(e) all hedging sets shall be established in accordance with Article 277a(1);
(f) institutions shall set to 1 the multiplier in the formula that is used to calculate the potential future exposure in Article 278(1), as follows:
PFEaAddOna
where:
PFE
the potential future exposure; and
AddOn(a)
the add-on for risk category a;
(g) by way of derogation from Article 279a(1), for all transactions, institutions shall calculate the supervisory delta as follows:
δ = + 1 where the transaction is a long position in the primary risk driver
– 1 where the transaction is a short position in the primary risk driver
where:
δ
the supervisory delta;
(h) the formula referred to in point (a) of Article 279b(1) that is used to compute the supervisory duration factor shall read as follows:
supervisory duration factor = E – S
where:
E
the period between the end date of a transaction and the reporting date; and
S
the period between the start date of a transaction and the reporting date;
(i) the maturity factor referred to in Article 279c(1) shall be calculated as follows:
(i) for transactions included in netting sets referred to in Article 275(1), MF = 1;
(ii) for transactions included in netting sets referred to in Article 275(2) and (3), MF = 0,42;
(j) the formula referred to in Article 280a(3) that is used to calculate the effective notional amount of hedging set j shall read as follows:
EffNotIRjDj,1Dj,2Dj,3
where:
EffNotIRj
the effective notional amount of hedging set j; and
Dj,k
the effective notional amount of bucket k of hedging set j;
(k) the formula referred to in Article 280c(3) that is used to calculate the credit risk category add-on for hedging set j shall read as follows:
AddOnCreditjkAddOnEntityk
where:
AddOnCreditj
the credit risk category add-on for hedging set j; and
AddOn(Entityk)
the add-on for the credit reference entity k;
(l) the formula referred to in Article 280d(3) that is used to calculate the equity risk category add-on for hedging set j shall read as follows:
AddOnEquityjkAddOnEntityk
where:
AddOnEquityj
the equity risk category add-on for hedging set j; and
AddOn(Entityk)
the add-on for the credit reference entity k;
(m) the formula referred to in Article 280e(4) that is used to calculate the commodity risk category add-on for hedging set j shall read as follows:
AddOnComjkAddOnTypejk
where:
AddOnComj
the commodity risk category add-on for hedging set j; and
AddOnTypejk
the add-on for the commodity reference type k.

texts differ too much for an inline diff; shown separately

before (02013R0575-20201228)

Article 282
Hedging sets
1. Institutions shall establish hedging sets in accordance with paragraphs 2 to 5.
2. There shall be one hedging set for each issuer of a reference debt instrument that underlies a credit default swap.
N-th to default basket credit default swaps shall be treated as follows:
(a) the size of a risk position in a reference debt instrument in a basket underlying an n-th to default credit default swap shall be the effective notional value of the reference debt instrument, multiplied by the modified duration of the n-th to default derivative with respect to a change in the credit spread of the reference debt instrument;
(b) there shall be one hedging set for each reference debt instrument in a basket underlying a given nth to default credit default swap. Risk positions from different n-th to default credit default swaps shall not be included in the same hedging set;
(c) the CCR multiplier applicable to each hedging set created for one of the reference debt instruments of an n-th to default derivative shall be as follows:
(i) 0,3 % for reference debt instruments that have a credit assessment from a recognised ECAI equivalent to credit quality step 1 to 3;
(ii) 0,6 % for other debt instruments.
3. For interest rate risk positions from:
(a) money deposits that are posted with a counterparty as collateral when that counterparty does not have debt obligations of low specific risk outstanding;
(b) underlying debt instruments, to which according to Table 1 of Article 336 a capital charge of more than 1,60 % applies.
There shall be one hedging set for each issuer.
When a payment leg emulates such a debt instrument, there shall also be one hedging set for each issuer of the reference debt instrument.
An institution may assign risk positions that arise from debt instruments of a particular issuer, or from reference debt instruments of the same issuer that are emulated by payment legs, or that underlie a credit default swap, to the same hedging set.
4. Underlying financial instruments other than debt instruments shall be assigned to the same hedging sets only if they are identical or similar instruments. In all other cases they shall be assigned to separate hedging sets.
For the purposes of this paragraph institutions shall determine whether underlying instruments are similar in accordance with the following principles:
(a) for equities, the underlying is similar if it is issued by the same issuer. An equity index shall be treated as a separate issuer;
(b) for precious metals, the underlying is similar if it is the same metal. A precious metal index shall be treated as a separate precious metal;
(c) for electric power, the underlying is similar if the delivery rights and obligations refer to the same peak or off-peak load time interval within any 24-hour interval;
(d) for commodities, the underlying is similar if it is the same commodity. A commodity index shall be treated as a separate commodity.
5. The CCR multipliers (hereinafter referred to as CCRM) for the different hedging set categories are set out in the following table:
Table 5
Hedging set categories CCRM
1. Interest Rates 0,2 %
2. Interest Rates for risk positions from a reference debt instrument that underlies a credit default swap and to which a capital charge of 1,60 %, or less, applies under Table 1 of Chapter 2 of Title IV. 0,3 %
3. Interest Rates for risk positions from a debt instrument or reference debt instrument to which a capital charge of more than 1,60 % applies under Table 1 of Chapter 2 of Title IV. 0,6 %
4. Exchange Rates 2,5 %
5. Electric Power 4 %
6. Gold 5 %
7. Equity 7 %
8. Precious Metals (other than gold) 8,5 %
9. Other Commodities (excluding precious metals and electricity power) 10 %
10. Underlying instruments of OTC derivatives that are not in any of the above categories 10 %
Underlying instruments of OTC derivatives, as referred to in point 10 of Table 5, shall be assigned to separate individual hedging sets for each category of underlying instrument.
6. For transactions with a non-linear risk profile or for payment legs and transactions with debt instruments as underlying for which the institution cannot determine the delta or the modified duration, as the case may be, with an instrument model that the competent authority has approved for the purposes of determining the own funds requirements for market risk, the competent authority shall either determine the size of the risk positions and the applicable CCRMjs conservatively, or require the institution to use the method set out in Section 3. Netting shall not be recognised (that is, the exposure value shall be determined as if there were a netting set that comprises just an individual transaction).
7. An institution shall have internal procedures to verify that, prior to including a transaction in a hedging set, the transaction is covered by a legally enforceable netting contract that meets the requirements set out in Section 7.
8. An institution that makes use of collateral to mitigate its CCR shall have internal procedures to verify that, prior to recognising the effect of collateral in its calculations, the collateral meets the legal certainty standards set out in Chapter 4.

after (02013R0575-20210629)

Article 282
Calculation of the exposure value
1. Institutions may calculate a single exposure value for all the transactions within a contractual netting agreement where all the conditions set out in Article 274(1) are met. Otherwise, institutions shall calculate an exposure value separately for each transaction, which shall be treated as its own netting set.
2. The exposure value of a netting set or a transaction shall be the product of 1,4 times the sum of the current replacement cost and the potential future exposure.
3. The current replacement cost referred to in paragraph 2 shall be calculated as follows:
(a) for netting sets of transactions: that are traded on a recognised exchange; centrally cleared by a central counterparty authorised in accordance with Article 14 of Regulation (EU) No 648/2012 or recognised in accordance with Article 25 of that Regulation; or for which collateral is exchanged bilaterally with the counterparty in accordance with Article 11 of Regulation (EU) No 648/2012, institutions shall use the following formula:
RC = TH + MTA
where:
RC
the replacement cost;
TH
the margin threshold applicable to the netting set under the margin agreement below which the institution cannot call for collateral; and
MTA
the minimum transfer amount applicable to the netting set under the margin agreement;
(b) for all other netting sets or individual transactions, institutions shall use the following formula:
RC = max{CMV, 0}
where:
RC
the replacement cost; and
CMV
the current market value.
In order to calculate the current replacement cost, institutions shall update current market values at least monthly.
4. Institutions shall calculate the potential future exposure referred to in paragraph 2 as follows:
(a) the potential future exposure of a netting set is the sum of the potential future exposure of all the transactions included in the netting set, calculated in accordance with point (b);
(b) the potential future exposure of a single transaction is its notional amount multiplied by:
(i) the product of 0,5 % and the residual maturity of the transaction expressed in years for interest-rate derivative contracts;
(ii) the product of 6 % and the residual maturity of the transaction expressed in years for credit derivative contracts;
(iii) 4 % for foreign-exchange derivatives;
(iv) 18 % for gold and commodity derivatives other than electricity derivatives;
(v) 40 % for electricity derivatives;
(vi) 32 % for equity derivatives;
(c) the notional amount referred to in point (b) of this paragraph shall be determined in accordance with Article 279b(2) and (3) for all derivatives listed in that point; in addition, the notional amount of the derivatives referred to in points (b)(iii) to (b)(vi) of this paragraph shall be determined in accordance with points (b) and (c) of Article 279b(1);
(d) the potential future exposure of netting sets referred to in point (a) of paragraph 3 shall be multiplied by 0,42.
For calculating the potential exposure of interest-rate derivatives and credit derivatives in accordance with points b(i) and (b)(ii), an institution may choose to use the original maturity instead of the residual maturity of the contracts.

02013R0575-20201228 → 02013R0575-20210629

Article 283 Permission to use the Internal Model Method 1. Provided that the competent authorities are satisfied that the requirement in paragraph 2 have been met by an institution, they shall permit that institution to use the Internal Model Method (IMM) to calculate the exposure value for any of the following transactions: (a) transactions in Article 273(2)(a); (b) transactions in Article 273(2)(b), (c) and (d); (c) transactions in Article 273(2)(a) to (d), Where an institution is permitted to use the IMM to calculate exposure value for any of the transactions mentioned in points (a) to (c) of the first subparagraph, it may also use the IMM for the transactions in Article 273(2)(e). Notwithstanding the third subparagraph of Article 273(1), an institution may choose not to apply this method to exposures that are immaterial in size and risk. In such case, an institution shall apply one of the methods set out in Sections 3 to 5 to these exposures where the relevant requirements for each approach are met. 2. Competent authorities shall permit institutions to use IMM for the calculations referred to in paragraph 1 only if the institution has demonstrated that it complies with the requirements set out in this Section, and the competent authorities verified that the systems for the management of CCR maintained by the institution are sound and properly implemented. 3. The competent authorities may permit institutions for a limited period to implement the IMM sequentially across different transaction types. During this period of sequential implementation institutions may use the methods set out in Section 3 or Section 5 for transaction type for which they do not use the IMM. 4. For all OTC derivative transactions transactions, and for long settlement transactions for which an institution has not received permission under paragraph 1 to use the IMM, the institution shall use the methods set out in Section 3 or Section 5. 3. Those methods may be used in combination on a permanent basis within a group. Within an institution those methods may be used in combination only where one of the methods is used for the cases set out in Article 282(6) 5. An institution which is permitted in accordance with paragraph 1 to use the IMM shall not revert to the use of the methods set out in Section 3 or Section 5 unless it is permitted by the competent authority to do so. Competent authorities shall give such permission if the institution demonstrates good cause. 6. If an institution ceases to comply with the requirements laid down in this Section, it shall notify the competent authority and do one of the following: (a) present to the competent authority a plan for a timely return to compliance; (b) demonstrate to the satisfaction of the competent authority that the effect of non-compliance is immaterial.

texts differ too much for an inline diff; shown separately

before (02013R0575-20201228)

Article 298
Effects of recognition of netting as risk-reducing
1. The following treatment applies to contractual netting agreements:
(a) netting for the purposes of Sections 5 and 6 shall be recognised as set out in those Sections;
(b) in the case of contracts for novation, the single net amounts fixed by such contracts rather than the gross amounts involved, may be weighted.
In the application of Section 3, institutions may take the contract for novation into account when determining:
(i) the current replacement cost referred to in Article 274(1);
(ii) the notional principal amounts or underlying values referred to in Article 274(2).
In the application of Section 4, in determining the notional amount referred to in Article 275(1) institutions may take into account the contract for novation for the purposes of calculating the notional principal amount In such cases, institutions shall apply the percentages of Table 3.
(c) In the case of other netting agreements, institutions shall apply Section 3 as follows:
(i) the current replacement cost referred to in Article 274(1) for the contracts included in a netting agreement shall be obtained by taking account of the actual hypothetical net replacement cost which results from the agreement; in the case where netting leads to a net obligation for the institution calculating the net replacement cost, the current replacement cost is calculated as 0;
(ii) the figure for potential future credit exposure referred to in Article 274(2) for all contracts included in a netting agreement shall be reduced in accordance with the following formula:
PCEred0.4  PCEgross0.6  NGR  PCEgross
where:
PCEred
the reduced figure for potential future credit exposure for all contracts with a given counterparty included in a legally valid bilateral netting agreement;
PCEgross
the sum of the figures for potential future credit exposure for all contracts with a given counterparty which are included in a legally valid bilateral netting agreement and are calculated by multiplying their notional principal amounts by the percentages set out in Table 1;
NGR
the net-to-gross ratio calculated as the quotient of the net replacement cost for all contracts included in a legally valid bilateral netting agreement with a given counterparty (numerator) and the gross replacement cost for all contracts included in a legally valid bilateral netting agreement with that counterparty (denominator).
2. When carrying out the calculation of the potential future credit exposure in accordance with the formula set out in paragraph 1, institutions may treat perfectly matching contracts included in the netting agreement as if they were a single contract with a notional principal equivalent to the net receipts.
In the application of Article 275(1) institutions may treat perfectly matching contracts included in the netting agreement as if they were a single contract with a notional principal equivalent to the net receipts, and the notional principal amounts shall be multiplied by the percentages given in Table 3.
For the purposes of this paragraph, perfectly matching contracts are forward foreign-exchange contracts or similar contracts in which a notional principal is equivalent to cash flows if the cash flows fall due on the same value date and fully in the same currency.
3. For all other contracts included in a netting agreement, the percentages applicable may be reduced as indicated in Table 6:
Table 6
Original maturity Interest-rate contracts Foreign-exchange contracts
One year or less 0,35 % 1,50 %
More than one year but not more than two years 0,75 % 3,75 %
Additional allowance for each additional year 0,75 % 2,25 %
4. In the case of interest-rate contracts, institutions may, subject to the consent of their competent authorities, choose either original or residual maturity.

after (02013R0575-20210629)

Article 298
Effects of recognition of netting as risk-reducing
Netting for the purposes of Sections 3 to 6 shall be recognised as set out in those Sections.

No text on either side: this unit was named by a signal that carries no text, and only the structural diff carries any.

02013R0575-20201228 → 02013R0575-20210629

Article 300 Definitions For the purposes of this Section, Section and of Part Seven, the following definitions shall apply: (1) bankruptcy remote, in relation to client assets, means that effective arrangements exist which ensure that those assets will not be available to the creditors of a CCP or of a clearing member in the event of the insolvency of that CCP or clearing member respectively, or that the assets will not be available to the clearing member to cover losses it incurred following the default of a client or clients other than those that provided those assets; (2) CCP-related transaction means a contract or a transaction listed in Article 301(1) between a client and a clearing member that is directly related to a contract or a transaction listed in that paragraph between that clearing member and a CCP; (3) clearing member means a clearing member as defined in point (14) of Article 2 of Regulation (EU) No 648/2012; (4) client means a client as defined in point (15) of Article 2 of Regulation (EU) No 648/2012 or an undertaking that has established indirect clearing arrangements with a clearing member in accordance with Article 4(3) of that Regulation. Regulation; (5) cash transaction means a transaction in cash, debt instruments or equities, a spot foreign exchange transaction or a spot commodities transaction; however, repurchase transactions, securities or commodities lending transactions, and securities or commodities borrowing transactions, are not cash transactions; (6) indirect clearing arrangement means an arrangement that meets the conditions set out in the second subparagraph of Article 4(3) of Regulation (EU) No 648/2012; (7) higher-level client means an entity providing clearing services to a lower-level client; (8) lower-level client means an entity accessing the services of a CCP through a higher-level client; (9) multi-level client structure means an indirect clearing arrangement under which clearing services are provided to an institution by an entity which is not a clearing member, but is itself a client of a clearing member or of a higher-level client; (10) unfunded contribution to a default fund means a contribution that an institution that acts as a clearing member has contractually committed to provide to a CCP after the CCP has depleted its default fund to cover the losses it incurred following the default of one or more of its clearing members; (11) fully guaranteed deposit lending or borrowing transaction means a fully collateralised money market transaction in which two counterparties exchange deposits and a CCP interposes itself between them to ensure the performance of those counterparties' payment obligations.

texts differ too much for an inline diff; shown separately

before (02013R0575-20201228)

Article 301
Material scope
1. This Section applies to the following contracts and transactions for as long as they are outstanding with a CCP:
(a) the contracts listed in Annex II and credit derivatives;
(b) repurchase transactions;
(c) securities or commodities lending or borrowing transactions;
(d) long settlement transactions;
(e) margin lending transactions.
2. Institutions may choose whether to apply one of the following two treatments to the contracts and transactions outstanding with a QCCP listed in paragraph 1:
(a) the treatment for trade exposures and exposures from default fund contributions set out in Article 306, except for the treatment set out in paragraph 1(b) of that Article, and in Article 307, respectively;
(b) the treatment set out in Article 310.
3. Institutions shall apply the treatment set out in Article 306, except for the treatment set out in paragraph (1)(a) of that Article, and in Article 309, as applicable, to the contracts and transactions outstanding with a non-qualifying CCP listed in paragraph 1 of this Article.

after (02013R0575-20210629)

Article 301
Material scope
1. This Section applies to the following contracts and transactions, for as long as they are outstanding with a CCP:
(a) the derivative contracts listed in Annex II and credit derivatives;
(b) securities financing transactions and fully guaranteed deposit lending or borrowing transactions; and
(c) long settlement transactions.
This Section does not apply to exposures arising from the settlement of cash transactions. Institutions shall apply the treatment laid down in Title V to trade exposures arising from those transactions and a 0 % risk weight to default fund contributions covering only those transactions. Institutions shall apply the treatment set out in Article 307 to default fund contributions that cover any of the contracts listed in the first subparagraph of this paragraph in addition to cash transactions.
2. For the purposes of this Section, the following requirements shall apply:
(a) the initial margin shall not include contributions to a CCP for mutualised loss sharing arrangements;
(b) the initial margin shall include collateral deposited by an institution acting as a clearing member or by a client in excess of the minimum amount required respectively by the CCP or by the institution acting as a clearing member, provided the CCP or the institution acting as a clearing member may, in appropriate cases, prevent the institution acting as a clearing member or the client from withdrawing such excess collateral;
(c) where a CCP uses the initial margin to mutualise losses among its clearing members, institutions that act as clearing members shall treat that initial margin as a default fund contribution.

02013R0575-20201228 → 02013R0575-20210629

Article 302 Monitoring of exposures to CCPs 1. Institutions shall monitor all their exposures to CCPs and shall lay down procedures for the regular reporting of information on those exposures to senior management and appropriate committee or committees of the management body. 2. Institutions shall assess, through appropriate scenario analysis and stress testing, whether the level of own funds held against exposures to a CCP, including potential future or contingent credit exposures, exposures from default fund contributions and, where the institution is acting as a clearing member, exposures resulting from contractual arrangements as laid down in Article 304, adequately relates to the inherent risks of those exposures.

texts differ too much for an inline diff; shown separately

before (02013R0575-20201228)

Article 303
Treatment of clearing members' exposures to CCPs
Where an institution acts as a clearing member, either for its own purposes or as a financial intermediary between a client and a CCP, it shall calculate the own funds requirements for its exposures to a CCP in accordance with Article 301(2) and (3).

after (02013R0575-20210629)

Article 303
Treatment of clearing members' exposures to CCPs
1. An institution that acts as a clearing member, either for its own purposes or as a financial intermediary between a client and a CCP, shall calculate the own funds requirements for its exposures to a CCP as follows:
(a) it shall apply the treatment set out in Article 306 to its trade exposures with the CCP;
(b) it shall apply the treatment set out in Article 307 to its default fund contributions to the CCP.
2. For the purposes of paragraph 1, the sum of an institution's own funds requirements for its exposures to a QCCP due to trade exposures and default fund contributions shall be subject to a cap equal to the sum of own funds requirements that would be applied to those same exposures if the CCP were a non-qualifying CCP.

texts differ too much for an inline diff; shown separately

before (02013R0575-20201228)

Article 304
Treatment of clearing members' exposures to clients
1. Where an institution acts as a clearing member and, in that capacity, acts as a financial intermediary between a client and a CCP, it shall calculate the own funds requirements for its CCP-related transactions with the client in accordance with Sections 1 to 8 of this Chapter and with Title VI of Part Three, as applicable.
2. Where an institution acting as a clearing member enters into a contractual arrangement with a client of another clearing member that facilitates, in accordance with Article 48(5) and (6), of Regulation (EU) No 648/2012, the transfer of positions and collateral referred to in Article 305(2)(b) of this Regulation for that client, and that contractual agreement gives rise to a contingent obligation for that institution, that institution may attribute an exposure value of zero to that contingent obligation.
3. An institution acting as a clearing member may apply a shorter margin period of risk when calculating the own funds requirement for its exposures to a client in accordance with the Internal Model Method. The margin period of risk applied by the institution shall not be less than five days.
4. An institution acting as a clearing member may multiply its EAD by a scalar when calculating the own funds requirement for its exposures to a client in accordance with the Mark-to-Market Method, the Standardised Method or the Original Exposure Method. The scalars that the institutions may apply are the following:
(a) 0,71 for a margin period of risk of five days;
(b) 0,77 for a margin period of risk of six days;
(c) 0,84 for a margin period of risk of seven days;
(d) 0,89 for a margin period of risk of eight days;
(e) 0,95 for a margin period of risk of nine days;
(f) 1 for a margin period of risk of ten days or more.
5. EBA shall develop draft regulatory technical standards to specify the margin periods of risk that institutions may use for the purposes of paragraphs 3 and 4.
When developing those draft regulatory technical standards, EBA shall apply the following principles:
(a) it shall define the margin period of risk for each of the types of contracts and transactions listed in Article 301(1);
(b) the margin periods of risk to be defined in point (a) shall reflect the close-out period of the contracts and transactions referred to in that point.
EBA shall submit those draft regulatory technical standards to the Commission by 30 June 2014.
Power is delegated to the Commission to adopt the regulatory technical standards referred to in the first subparagraph in accordance with Articles 10 to 14 of Regulation (EU) No 1093/2010.

after (02013R0575-20210629)

Article 304
Treatment of clearing members' exposures to clients
1. An institution that acts as a clearing member and, in that capacity, acts as a financial intermediary between a client and a CCP shall calculate the own funds requirements for its CCP-related transactions with that client in accordance with Sections 1 to 8 of this Chapter, with Section 4 of Chapter 4 of this Title and with Title VI, as applicable.
2. Where an institution acting as a clearing member enters into a contractual arrangement with a client of another clearing member that facilitates, in accordance with Article 48(5) and (6), of Regulation (EU) No 648/2012, the transfer of positions and collateral referred to in Article 305(2)(b) of this Regulation for that client, and that contractual agreement gives rise to a contingent obligation for that institution, that institution may attribute an exposure value of zero to that contingent obligation.
3. Where an institution that acts as a clearing member uses the methods set out in Section 3 or 6 of this Chapter to calculate the own funds requirement for its exposures, the following provisions shall apply:
(a) by way of derogation from Article 285(2), the institution may use a margin period of risk of at least five business days for its exposures to a client;
(b) the institution shall apply a margin period of risk of at least 10 business days for its exposures to a CCP;
(c) by way of derogation from Article 285(3), where a netting set included in the calculation meets the condition set out in point (a) of that paragraph, the institution may disregard the limit set out in that point, provided that the netting set does not meet the condition set out in point (b) of that paragraph and does not contain disputed trades or exotic options;
(d) where a CCP retains variation margin against a transaction, and the institution's collateral is not protected against the insolvency of the CCP, the institution shall apply a margin period of risk that is the lower of one year and the remaining maturity of the transaction, with a floor of 10 business days.
4. By way of derogation from point (i) of Article 281(2), where an institution that acts as a clearing member uses the method set out in Section 4 to calculate the own funds requirement for its exposures to a client, the institution may use a maturity factor of 0,21 for its calculation.
5. By way of derogation from point (d) of Article 282(4), where an institution that acts as a clearing member uses the method set out in Section 5 to calculate the own funds requirement for its exposures to a client, that institution may use a maturity factor of 0,21 in that calculation.
6. An institution that acts as a clearing member may use the reduced exposure at default resulting from the calculations set out in paragraphs 3, 4 and 5 for the purposes of calculating its own funds requirements for CVA risk in accordance with Title VI.
7. An institution that acts as a clearing member that collects collateral from a client for a CCP-related transaction and passes the collateral on to the CCP may recognise that collateral to reduce its exposure to the client for that CCP-related transaction.
In the case of a multi-level client structure, the treatment set out in the first subparagraph may be applied at each level of that structure.

02013R0575-20201228 → 02013R0575-20210629

Article 305 Treatment of clients' exposures 1. Where an An institution that is a client, it client shall calculate the own funds requirements for its CCP-related transactions with its clearing member in accordance with Sections 1 to 8 of this Chapter, with Section 4 of Chapter 4 of this Title and with Title VI of Part Three, VI, as applicable. 2. Without prejudice to the approach specified in paragraph 1, where an institution is a client, it may calculate the own funds requirements for its trade exposures for CCP-related transactions with its clearing member in accordance with Article 306 provided that all the following conditions are met: (a) the positions and assets of that institution related to those transactions are distinguished and segregated, at the level of both the clearing member and the CCP, from the positions and assets of both the clearing member and the other clients of that clearing member and as a result of that distinction and segregation those positions and assets are bankruptcy remote in the event of the default or insolvency of the clearing member or one or more of its other clients; (b) laws, regulations, rules and contractual arrangements applicable to or binding that institution or the CCP facilitate the transfer of the client's positions relating to those contracts and transactions and of the corresponding collateral to another clearing member within the applicable margin period of risk in the event of default or insolvency of the original clearing member. In such circumstance, the client's positions and the collateral shall be transferred at market value unless the client requests to close out the position at market value; (c) the institution client has available an independent, written conducted a sufficiently thorough legal review, which it has kept up to date, that substantiates that the arrangements that ensure that the condition set out in point (b) is met are legal, valid, binding and reasoned legal opinion that concludes that, in the event of legal challenge, enforceable under the relevant courts and administrative authorities would find that the client would bear no losses on account of the insolvency of its clearing member or of any of its clearing member's clients under the laws of the relevant jurisdiction of the institution, its clearing member and the CCP, the law governing the transactions and contracts the institution clears through the CCP, the law governing the collateral, and the law governing any contract or agreement necessary to meet the condition in point (b); jurisdictions; (d) the CCP is a QCCP. When assessing its compliance with the condition set out in point (b) of the first subparagraph, an institution may take into account any clear precedents of transfers of client positions and of corresponding collateral at a CCP, and any industry intent to continue with that practice. 3. Without prejudice to the conditions specified in By way of derogation from paragraph 2, 2 of this Article, where an institution that is a client fails to meet the condition set out in point (a) of that paragraph because that institution is not protected from losses in the case that the clearing member and another client of the clearing member jointly default, but provided that all the other conditions set out in points (a) to (d) of that paragraph 2 are met, the client institution may calculate the own funds requirements for its trade exposures for CCP-related transactions with its clearing member in accordance with Article 306, subject to replacing the 2 % risk weight set out in paragraph 1(a) point (a) of that Article 306(1) with a 4 % risk weight. 4. Where In the case of a multi-level client structure, an institution that is a lower-level client accesses accessing the services of a CCP through indirect clearing arrangements, in accordance with Article 4(3) of Regulation (EU) No 648/2012, that institution a higher-level client may apply the treatment set out in paragraph 2 or 3 only where the conditions in each paragraph set out therein are met at every level of the chain of intermediaries. that structure.

02013R0575-20201228 → 02013R0575-20210629

Article 306 Own funds requirements for trade exposures 1. An institution shall apply the following treatment to its trade exposures with CCPs: (a) it shall apply a risk weight of 2 % to the exposure values of all its trade exposures with QCCPs; (b) it shall apply the risk weight used for the Standardised Approach to credit risk as set out in Article 107(2)(b) to all its trade exposures with non-qualifying CCPs; (c) where an institution is acting acts as a financial intermediary between a client and a CCP CCP, and the terms of the CCP-related transaction stipulate that the institution is not obligated required to reimburse the client for any losses suffered due to changes in the value of that transaction in the event that the CCP defaults, that institution may set the exposure value of the transaction trade exposure with the CCP that corresponds to that CCP-related transaction to zero; (d) where an institution acts as a financial intermediary between a client and a CCP, and the terms of the CCP-related transaction stipulate that the institution is equal required to zero. reimburse the client for any losses suffered due to changes in the value of that transaction in the event that the CCP defaults, that institution shall apply the treatment in point (a) or (b), as applicable, to the trade exposure with the CCP that corresponds to that CCP-related transaction. 2. Notwithstanding By way of derogation from paragraph 1, where assets posted as collateral to a CCP or a clearing member are bankruptcy remote in the event that the CCP, the clearing member or one or more of the other clients of the clearing member becomes become insolvent, an institution may attribute an exposure value of zero to the counterparty credit risk exposures for those assets. 3. An institution shall calculate exposure values of its trade exposures with a CCP in accordance with Sections 1 to 8 of this Chapter, Chapter and with Section 4 of Chapter 4, as applicable. 4. An institution shall calculate the risk-weighted exposure amounts for its trade exposures with CCPs for the purposes of Article 92(3) as the sum of the exposure values of its trade exposures with CCPs, calculated in accordance with paragraphs 2 and 3 of this Article, multiplied by the risk weight determined in accordance with paragraph 1 of this Article.

02013R0575-20201228 → 02013R0575-20210629

Article 307 Own funds requirements for pre-funded contributions to the default fund of a CCP An institution acting that acts as a clearing member shall apply the following treatment to its exposures arising from its contributions to the default fund of a CCP: (a) it shall calculate the own funds requirement for its pre-funded contributions to the default fund of a QCCP in accordance with the approach set out in Article 308; (b) it shall calculate the own funds requirement for its pre-funded and unfunded contributions to the default fund of a non-qualifying CCP in accordance with the approach set out in Article 309. 309; (c) it shall calculate the own funds requirement for its unfunded contributions to the default fund of a QCCP in accordance with the treatment set out in Article 310.

02013R0575-20201228 → 02013R0575-20210629

Article 308 Own funds requirements for pre-funded contributions to the default fund of a QCCP 1. The exposure value for an institution's pre-funded contribution to the default fund of a QCCP (DFi) shall be the amount paid in or the market value of the assets delivered by that institution reduced by any amount of that contribution that the QCCP has already used to absorb its losses following the default of one or more of its clearing members. 2. An institution shall calculate the own funds requirement (Ki) to cover the exposure arising from its pre-funded contribution (DFi) as follows:Ki1β NN 2 DFiDFCM KCM follows:KimaxKCCPDFiDFCCPDFCM , 8 %2 %DFi where: β Ki the concentration factor own funds requirement; i the index denoting the clearing member; KCCP the hypothetical capital of the QCCP communicated to the institution by the CCP; N the number of clearing members communicated to the institution by the CCP; DFCM the sum of pre-funded contributions of all clearing members of the CCP iDFicommunicated to the institution by the CCP; KCM the sum of the own funds requirements of all clearing members of the CCP calculated QCCP in accordance with Article 50c of Regulation (EU) No 648/2012; DFi the applicable formula specified in paragraph 3 iKi. 3. An institution shall calculate KCM as follows: (a) where KCCP ≤ DFCCP, the institution shall use the following formula: KCMc1 DFCM*; (b) where DFCCP < KCCP ≤DF*, the institution shall use the following formula: KCMc2 KCCP DFCCPc1 DF* KCCP; (c) where DF* < KCCP, the institution shall use the following formula: KCMc2 μ KCCP DF*c2 DFCM* where: pre-funded contribution; DFCCP the pre-funded financial resources of the CCP communicated to the institution by the CCP; KCCP CCP in accordance with Article 50c of Regulation (EU) No 648/2012; and DFCM the hypothetical capital sum of pre-funded contributions of all clearing members of the CCP QCCP communicated to the institution by the CCP; DF* DFCCP DFCM*; DFCM* DFCM 2 DFi; DFi QCCP in accordance with Article 50c of Regulation (EU) No 648/2012. 3. An institution shall calculate the average risk-weighted exposure amounts for exposures arising from that institution's pre-funded contribution, 1N DFCM, communicated contribution to the institution default fund of a QCCP for the purposes of Article 92(3) as the own funds requirement, calculated in accordance with paragraph 2 of this Article, multiplied by the CCP; c1 a capital factor equal to max 1.6 %DF*KCCP0.3,0.16% c2 a capital factor equal to 100 %; μ 1,2. 12,5. 4. An institution shall calculate the risk-weighted exposure amounts for exposures arising from an institution's pre-funded contribution for the purposes of Article 92(3) as the own funds requirement (Ki) determined in accordance with paragraph 2 multiplied by 12,5. 5. Where KCCP is equal to zero, institutions shall use the value for c1 of 0,16 % for the purpose of the calculation in paragraph 3.

02013R0575-20201228 → 02013R0575-20210629

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 1. An institution shall apply the following formula to calculate the own funds requirement (Ki) for the exposures arising from its pre-funded contributions to the default fund of a non-qualifying CCP (DFi) and from unfunded contributions (UCi) to such CCP:Kic2 μ DFi UCi where c2·and μ are defined as in Article 308(3). 2. For CCP: K = DF + UC where: K the purpose own funds requirement; DF the pre-funded contributions to the default fund of paragraph 1, a non-qualifying CCP; and UC the unfunded contributions means contributions that an institution acting as a clearing member has contractually committed to provide to a CCP after the CCP has depleted its default fund to cover the losses it incurred following the default of one or more of its clearing members. 3. a non-qualifying CCP. 2. An institution shall calculate the risk-weighted exposure amounts for exposures arising from an that institution's pre-funded contribution to the default fund of a non-qualifying CCP for the purposes of Article 92(3) as the own funds requirement (Ki) determined requirement, calculated in accordance with paragraph 1 of this Article, multiplied by 12,5. 12,5.”;

texts differ too much for an inline diff; shown separately

before (02013R0575-20201228)

Article 310
Alternative calculation of own funds requirement for exposures to a QCCP
An institution shall apply the following formula to calculate the own funds requirement (Ki) for the exposures arising from its trade exposures and the trade exposures of its clients (TEi) and pre-funded contributions (DFi) to the default fund of a QCCP:Ki8%  min2%  TEi1250%  DFi;20%  TEi

after (02013R0575-20210629)

Article 310
Own funds requirements for unfunded contributions to the default fund of a QCCP
An institution shall apply a 0 % risk weight to its unfunded contributions to the default fund of a QCCP.

02013R0575-20201228 → 02013R0575-20210629

Article 311 Own funds requirements for exposures to CCPs that cease to meet certain conditions 1. An institution Institutions shall apply the treatment set out in this Article where one or both of the following conditions have been met: (a) the institution has received from a CCP a notification required by point (j)(ii) of Article 50b of Regulation (EU) No 648/2012 that the CCP has stopped calculating KCCP; (b) it has become known to the institution, them, following a public announcement or notification from the competent authority of a CCP used by the institution those institutions or from that CCP itself, that the CCP will no longer comply with the conditions for authorisation or recognition, as applicable. 2. Where only the condition in point (a) of paragraph 1 has been met, the competent authority of the institution shall verify the reasons why the CCP has stopped calculating KCCP. Where the competent authority considers that the reasons referred to in the first subparagraph are valid, it may permit institutions in its Member State to apply the treatment set out in Article 310 to their trade exposures and default fund contributions to that CCP. Where it grants such permission, it shall disclose the reasons for its decision. Where the competent authority considers that the reasons referred to in the first subparagraph are not valid, all institutions in its Member State, irrespective of the treatment they chose in accordance with Article 301(2), shall apply the treatment set out in points (a) to (d) of paragraph 3 of this Article. 3. Where the condition in point (b) of paragraph 1 has been is met, irrespective of whether the condition in point (a) of that paragraph has been met or not, an institution institutions shall, within three months of becoming aware of the circumstance set out in point (b) of that paragraph arising, referred to therein, or at an earlier where time if the competent authority authorities of the institution requires it, those institutions so require, do the following with respect to its their exposures to that CCP: (a) cease to apply the treatment it chose in accordance with Article 301(2); (b) apply the treatment set out in point (b) of Article 306(1) to its their trade exposures to that CCP; (c) (b) apply the treatment set out in Article 309 to its their pre-funded contributions to the default fund of that CCP and to its unfunded contributions to that CCP; (d) (c) treat their exposures to that CCP, other than those the exposures listed in points (a) and (b) and (c) to that CCP of this paragraph, as exposures to a corporate in accordance with the Standardised Approach for credit risk as set out in Chapter 2.

02013R0575-20201228 → 02013R0575-20210629

Article 316 Relevant indicator 1. For institutions applying accounting standards established by Directive 86/635/EEC, based on the accounting categories for the profit and loss account of institutions under Article 27 of that Directive, the relevant indicator is the sum of the elements listed in Table 1 of this paragraph. Institutions shall include each element in the sum with its positive or negative sign. Table 1 1 Interest receivable and similar income 2 Interest payable and similar charges 3 Income from shares and other variable/fixed-yield securities 4 Commissions/fees receivable 5 Commissions/fees payable 6 Net profit or net loss on financial operations 7 Other operating income Institutions shall adjust these elements to reflect the following qualifications: (a) institutions shall calculate the relevant indicator before the deduction of any provisions and operating expenses. Institutions shall include in operating expenses fees paid for outsourcing services rendered by third parties which are not a parent or subsidiary of the institution or a subsidiary of a parent which is also the parent of the institution. Institutions may use expenditure on the outsourcing of services rendered by third parties to reduce the relevant indicator where the expenditure is incurred from an undertaking subject to rules under, or equivalent to, this Regulation; (b) institutions shall not use the following elements in the calculation of the relevant indicator: (i) realised profits/losses from the sale of non-trading book items; (ii) income from extraordinary or irregular items; (iii) income derived from insurance. (c) when revaluation of trading items is part of the profit and loss statement, institutions may include revaluation. When institutions apply Article 36(2) of Directive 86/635/EEC, they shall include revaluation booked in the profit and loss account. By way of derogation from the first subparagraph of this paragraph, institutions may choose not to apply the accounting categories for the profit and loss account under Article 27 of Directive 86/635/EEC to financial and operating leases for the purpose of calculating the relevant indicator, and may instead: (a) include interest income from financial and operating leases and profits from leased assets in the category referred to in point 1 of Table 1; (b) include interest expense from financial and operating leases, losses, depreciation and impairment of operating leased assets in the category referred to in point 2 of Table 1. 2. When institutions apply accounting standards different from those established by Directive 86/635/EEC, they shall calculate the relevant indicator on the basis of data that best reflect the definition set out in this Article. 3. EBA shall develop draft regulatory technical standards to determine the methodology to calculate the relevant indicator referred to in paragraph 2. EBA shall submit those draft regulatory technical standards to the Commission by 31 December 2017. Power is delegated to the Commission to adopt the regulatory technical standards referred to in the first subparagraph in accordance with Articles 10 to 14 of Regulation (EU) No 1093/2010.

02013R0575-20201228 → 02013R0575-20210629

Article 382 Scope 1. An institution shall calculate the own funds requirements for CVA risk in accordance with this Title for all OTC derivative instruments in respect of all of its business activities, other than credit derivatives recognised to reduce risk-weighted exposure amounts for credit risk. 2. An institution shall include securities financing transactions in the calculation of own funds required by paragraph 1 if the competent authority determines that the institution's CVA risk exposures arising from those transactions are material. 3. Transactions with a qualifying central counterparty and a client's transactions with a clearing member, when the clearing member is acting as an intermediary between the client and a qualifying central counterparty and the transactions give rise to a trade exposure of the clearing member to the qualifying central counterparty, are excluded from the own funds requirements for CVA risk. 4. The following transactions shall be excluded from the own funds requirements for CVA risk: (a) transactions with non-financial counterparties as defined in point (9) of Article 2 of Regulation (EU) No 648/2012, or with non-financial counterparties established in a third country, where those transactions do not exceed the clearing threshold as specified in Article 10(3) and (4) of that Regulation; (b) intragroup transactions as provided for in Article 3 of Regulation (EU) No 648/2012 648/2012, unless Member States adopt national laws law requiring the structural separation within a banking group, in which case competent authorities may require those intragroup transactions between the structurally separated institutions entities to be included in the own funds requirements; (c) transactions with counterparties referred to in point (10) of Article 2 of Regulation (EU) No 648/2012 and subject to the transitional provisions set out in Article 89(1) of that Regulation until those transitional provisions cease to apply; (d) transactions with counterparties referred to in Article 1(4) and (5) of Regulation (EU) No 648/2012 and transactions with counterparties for which Article 114(4) and Article 115(2) of this Regulation specifies a risk weight of 0 % for exposures to those counterparties. The exemption from the CVA risk charge for those transactions referred to in point (c) of this paragraph) which are entered into during the transitional period laid down in Article 89(1) of Regulation (EU) No 648/2012 shall apply for the length of the contract of that transaction. In regard to point (a), where an institution ceases to be exempt through crossing the exemption threshold or due to a change in the exemption threshold, outstanding contracts shall remain exempt until the date of their maturity. 5. EBA shall conduct a review by 1 January 2015 and every two years thereafter, in the light of international regulatory developments and including on potential methodologies on the calibration and thresholds for application of CVA risk charges to non-financial counterparties established in a third country. EBA in cooperation with ESMA shall develop draft regulatory technical standards to specify the procedures for excluding transactions with non-financial counterparties established in a third country from the own funds requirement for CVA risk charge. EBA shall submit those draft regulatory technical standards within six months of the date of the review referred to in the first subparagraph, Power is delegated to the Commission to adopt the regulatory technical standards referred to in the second subparagraph in accordance with Articles 10 to 14 of Regulation (EU) No 1093/2010.

02013R0575-20201228 → 02013R0575-20210629

Article 384 Standardised method 1. An institution which does not calculate the own funds requirements for CVA risk for its counterparties in accordance with Article 383 shall calculate a portfolio own funds requirements for CVA risk for each counterparty in accordance with the following formula, taking into account CVA hedges that are eligible in accordance with Article 386:K2.33 h i 0.5 wi Mi EADitotal MihedgeBi ind wind Mind Bind2 i 0.75 wi2 Mi EADitotal MihedgeBi2 where: h the one-year risk horizon (in units of a year); h = 1; wi the weight applicable to counterparty i. Counterparty i shall be mapped to one of the six weights wi based on an external credit assessment by a nominated ECAI, as set out in Table 1. For a counterparty for which a credit assessment by a nominated ECAI is not available: (a) an institution using the approach in Title II, Chapter 3 shall map the internal rating of the counterparty to one of the external credit assessment; (b) an institution using the approach in Title II, Chapter 2 shall assign wi=1,0 % to this counterparty. However, if an institution uses Article 128 to risk weight counterparty credit risk exposures to this counterparty, wi=3,0 % shall be assigned; EADitotal EADtotali the total counterparty credit risk exposure value of counterparty i (summed across its netting sets) including the effect of collateral in accordance with the methods set out in Sections 3 to 6 of Title II, Chapter 6 of Title II as applicable to the calculation of the own funds requirements for counterparty credit risk for that counterparty. An institution using one of the methods set out in Sections 3 and 4 of Title II, Chapter 6, may use as the fully adjusted exposure value in accordance with Article 223(5). For an institution not using the method set out in Section 6 of Title II, Chapter 6, the exposure shall be discounted by applying the following factor:1 e0.05 Mi0.05 Mi Bi the notional of purchased single name credit default swap hedges (summed if more than one position) referencing counterparty i and used to hedge CVA risk. That notional amount shall be discounted by applying the following factor:1 e0.05 Mihedge0.05 Mihedge Bind is the full notional of one or more index credit default swap of purchased protection used to hedge CVA risk. That notional amount shall be discounted by applying the following factor:1 e0.05 Mind0.05 Mind wind is the weight applicable to index hedges. An institution shall determine wind by calculating a weighted average of wi that are applicable to the individual constituents of the index; Mi the effective maturity of the transactions with counterparty i. For an institution using the method set out in Section 6 of Title II, Chapter 6, Mi shall be calculated in accordance with Article 162(2)(g). However, for that purpose, Mi shall not be capped at five years but at the longest contractual remaining maturity in the netting set. For an institution not using the method set out in Section 6 of Title II, Chapter 6, Mi is the average notional weighted maturity as referred to in point (b) of Article 162(2). However, for that purpose, Mi shall not be capped at five years but at the longest contractual remaining maturity in the netting set. Mihedge the maturity of the hedge instrument with notional Bi (the quantities MihedgeBi are to be summed if these are several positions); Mind the maturity of the index hedge. In the case of more than one index hedge position, Mind is the notional-weighted maturity. 2. Where a counterparty is included in an index on which a credit default swap used for hedging counterparty credit risk is based, the institution may subtract the notional amount attributable to that counterparty in accordance with its reference entity weight from the index CDS notional amount and treat it as a single name hedge (Bi) of the individual counterparty with maturity based on the maturity of the index. Table 1 Credit quality step Weight wi 1 0,7 % 2 0,8 % 3 1,0 % 4 2,0 % 5 3,0 % 6 10,0 %

02013R0575-20201228 → 02013R0575-20210629

Article 385 Alternative to using CVA methods to for calculating own funds requirements As an alternative to Article 384, for instruments referred to in Article 382 and subject to the prior consent of the competent authority, institutions using the Original Exposure Method as laid down in Article 275, 282 may apply a multiplication factor of 10 to the resulting risk-weighted exposure amounts for counterparty credit risk for those exposures instead of calculating the own funds requirements for CVA risk.

No text on either side: this unit was named by a signal that carries no text, and only the structural diff carries any.

02013R0575-20201228 → 02013R0575-20210629

Article 390 Calculation of the exposure value 1. Exposures arising from the items referred The total exposures to in Annex II a group of connected clients shall be calculated in accordance with one of the methods set out in Part Three, Title II, Chapter 6. 2. Institutions with a permission to use the Internal Model Method in accordance with Article 283 may use the Internal Model Method for calculating the exposure value for repurchase transactions, securities or commodities lending or borrowing transactions, margin lending transactions and long settlement transactions. 3. The institutions that calculate the own funds requirements for their trading-book business in accordance with Part Three, Title IV, Chapter 2, Article 299 and Part Three, Title V and, as appropriate, with Part Three, Title IV, Chapter 5, shall calculate by adding together the exposures to individual clients which arise on in that group. 2. The overall exposures to individual clients shall be calculated by adding the exposures in the trading book by adding together and the following items: exposures in the non-trading book. 3. For exposures in the trading book, institutions may: (a) the positive excess of an institution's offset their long positions over its and short positions in all the same financial instruments issued by the client in question, a given client, with the net position in each of the different instruments being calculated in accordance with the methods laid down in Chapter 2 of Title IV of Part Three; (b) offset their long positions and short positions in different financial instruments issued by a given client, but only where the financial instrument underlying the short position is junior to the financial instrument underlying the long position or where the underlying instruments are of the same seniority. For the purposes of points (a) and (b), financial instruments may be allocated into buckets on the basis of different degrees of seniority in order to determine the relative seniority of positions. 4. Institutions shall calculate the exposure values of the derivative contracts listed in Annex II and of credit derivative contracts directly entered into with a client in accordance with one of the methods set out in Sections 3, 4 and 5 of Chapter 6 of Title II of Part Three, Title IV, Chapter 2; (b) as applicable. Exposures resulting from the net exposure, in the case of the underwriting of a debt or an equity instrument; (c) the exposures due to the transactions, agreements and contracts transactions referred to in Articles 299 378, 379 and 378 to 380 with the client in question, such exposures being shall be calculated in the manner laid down in those Articles, Articles. When calculating the exposure value for the calculation of exposure values. For contracts referred to in the purposes of point (b), first subparagraph, where those contracts are allocated to the net exposure is calculated by deducting those underwriting positions which are subscribed or sub-underwritten by third parties on trading book, institutions shall also comply with the basis of a formal agreement reduced by the factors principles set out in Article 345. For the purposes 299. By way of point (b), institutions shall set up systems to monitor and control their underwriting exposures between the time of the initial commitment and the next business day in the light of the nature of the risks incurred in the markets in question. For the purposes of point (c), Part Three, Title II, Chapter 3 shall be excluded derogation from the reference first subparagraph, institutions with permission to use the methods referred to in Article 299. 4. The overall exposures Section 4 of Chapter 4 of Title II of Part Three and Section 6 of Chapter 6 of Title II of Part Three may use those methods for calculating the exposure value for securities financing transactions. 5. Institutions shall add to individual clients or groups of connected clients shall be calculated by adding together the total exposure to a client the exposures of arising from derivative contracts listed in Annex II and credit derivative contracts, where the trading book and those of contract was not directly entered into with that client but the non-trading book. 5. The exposures to groups of connected clients shall be calculated underlying debt or equity instrument was issued by adding together the exposures to individual clients in a group. that client. 6. Exposures shall not include any of the following: (a) in the case of foreign exchange transactions, exposures incurred in the ordinary course of settlement during the two working business days following payment; (b) in the case of transactions for the purchase or sale of securities, exposures incurred in the ordinary course of settlement during the five working business days following payment or delivery of the securities, whichever is the earlier; (c) in the case of the provision of money transmission including the execution of payment services, clearing and settlement in any currency and correspondent banking or financial instruments clearing, settlement and custody services to clients, delayed receipts in funding and other exposures arising from client activity which do not last longer than the following business day; (d) in the case of the provision of money transmission including the execution of payment services, clearing and settlement in any currency and correspondent banking, intra-day exposures to institutions providing those services; (e) exposures deducted from own funds Common Equity Tier 1 items or Additional Tier 1 items in accordance with Articles 36, 36 and 56 and 66. or any other deduction from those items that reduces the solvency ratio. 7. In order to To determine the overall exposure to a client or a group of connected clients, in respect of clients to which the institution has exposures through transactions referred to in points (m) and (o) of Article 112 or through other transactions where there is an exposure to underlying assets, an institution shall assess its underlying exposures taking into account the economic substance of the structure of the transaction and the risks inherent in the structure of the transaction itself, in order to determine whether it constitutes an additional exposure. 8. EBA shall develop draft regulatory technical standards to specify the following: specify: (a) the conditions and methodologies to be used to determine the overall exposure to a client or a group of connected clients in respect of for the types of exposures referred to in paragraph 7; (b) the conditions under which the structure of the transaction transactions referred to in paragraph 7 does do not constitute an additional exposure. EBA shall submit those draft regulatory technical standards to the Commission by 1 January 2014. Power is delegated to the Commission to adopt the regulatory technical standards referred to in the first subparagraph in accordance with Articles 10 to 14 of Regulation (EU) No 1093/2010. 9. For the purposes of paragraph 5, EBA shall develop draft regulatory technical standards to specify how to determine the exposures arising from derivative contracts listed in Annex II and credit derivative contracts, where the contract was not directly entered into with a client but the underlying debt or equity instrument was issued by that client for their inclusion into the exposures to the client. EBA shall submit those draft regulatory technical standards to the Commission by 28 March 2020. Power is delegated to the Commission to supplement this Regulation by adopting the regulatory technical standards referred to in the first subparagraph in accordance with Articles 10 to 14 of Regulation (EU) No 1093/2010.

02013R0575-20201228 → 02013R0575-20210629

Article 392 Definition of a large exposure An institution's exposure to a client or a group of connected clients shall be considered a large exposure where its the value of the exposure is equal to or exceeds 10 % of its eligible Tier 1 capital.

02013R0575-20201228 → 02013R0575-20210629

Article 394 Reporting requirements 1. An institution Institutions shall report the following information about every to their competent authorities for each large exposure to the competent authorities, that they hold, including large exposures exempted from the application of Article 395(1): (a) the identification identity of the client or the group of connected clients to which the institution has a large exposure; (b) the exposure value before taking into account the effect of the credit risk mitigation, where applicable; (c) where used, the type of funded or unfunded credit protection; (d) the exposure value, after taking into account the effect of the credit risk mitigation calculated for the purposes of Article 395(1), where applicable. Institutions that are subject to Chapter 3 of Title II of Part Three shall report their 20 largest exposures to their competent authorities on a consolidated basis, excluding the exposures exempted from the application of Article 395(1). Institutions shall also report exposures of a value greater than or equal to EUR 300 million but less than 10 % of the institution's Tier 1 capital to their competent authorities on a consolidated basis. 2. In addition to the information referred to in paragraph 1 of this Article, institutions shall report the following information to their competent authorities in relation to their 10 largest exposures to institutions on a consolidated basis, as well as their 10 largest exposures to shadow banking entities which carry out banking activities outside the regulated framework on a consolidated basis, including large exposures exempted from the application of Article 395(1): (a) the identity of the client or the group of connected clients to which an institution has a large exposure; (b) the exposure value before taking into account the effect of the credit risk mitigation, when where applicable; (c) where used, the type of funded or unfunded credit protection; (d) the exposure value after taking into account the effect of the credit risk mitigation calculated for the purpose purposes of Article 395(1). Where an institution is subject to Part Three, Title II, Chapter 3 its 20 largest exposures on a consolidated basis, excluding those exempted from the application of Article 395(1) shall be made available to the competent authorities. 2. An institution 395(1), where applicable. 3. Institutions shall report the following information to the competent authorities, in addition to reporting the information referred to in paragraph 1, in relation paragraphs 1 and 2 to its 10 largest exposures their competent authorities on a consolidated basis to institutions as well as its 10 largest exposures on a consolidated basis to unregulated financial sector entities, including large exposures exempted from the application of Article 395(1): (a) the identification of the client or the group of connected clients to which an institution has a large exposure; (b) the exposure value before taking into account the effect of the credit risk mitigation, when applicable; (c) where used, the type of funded or unfunded credit protection; (d) the exposure value after taking into account the effect of the credit risk mitigation calculated for the purpose of Article 395(1); (e) the expected run-off of the exposure expressed as the amount maturing within monthly maturity buckets up to one year, quarterly maturity buckets up to three years and annually thereafter. 3. Reporting shall be carried out at least twice a year. semi-annual basis. 4. EBA shall develop draft regulatory technical standards to specify the criteria for the identification of shadow banking entities referred to in paragraph 2. In developing those draft regulatory technical standards, EBA shall take into account international developments and internationally agreed standards on shadow banking and shall consider whether: (a) the relation with an individual entity or a group of entities may carry risks to the institution's solvency or liquidity position; (b) entities that are subject to solvency or liquidity requirements similar to those imposed by this Regulation and Directive 2013/36/EU should be entirely or partially excluded from the obligation to be reported referred to in paragraph 2 on shadow banking entities. EBA shall submit those draft regulatory technical standards to the Commission by 28 June 2020. Power is delegated to the Commission to supplement this Regulation by adopting the regulatory technical standards referred to in the first subparagraph in accordance with Articles 10 to 14 of Regulation (EU) No 1093/2010.

02013R0575-20201228 → 02013R0575-20210629

Article 395 Limits to large exposures 1. An institution shall not incur an exposure, exposure to a client or group of connected clients the value of which exceeds 25 % of its Tier 1 capital, after taking into account the effect of the credit risk mitigation in accordance with Articles 399 to 403, to a client or group of connected clients the value of which exceeds 25 % of its eligible capital. 403. Where that client is an institution or an investment firm, or where a group of connected clients includes one or more institutions, institutions or investment firms, that value shall not exceed 25 % of the institution's eligible institution’s Tier 1 capital or EUR 150 million, whichever the is higher, provided that the sum of exposure values, after taking into account the effect of the credit risk mitigation in accordance with Articles 399 to 403, to all connected clients that are not institutions or investment firms, does not exceed 25 % of the institution's eligible institution’s Tier 1 capital. Where the amount of EUR 150 million is higher than 25 % of the institution's eligible capital the value of the exposure, after taking into account the effect of credit risk mitigation in accordance with Articles 399 to 403 shall not exceed a reasonable limit in terms of the institution's eligible capital. That limit shall be determined by the institution in accordance with the policies and procedures referred to in Article 81 of Directive 2013/36/EU, to address and control concentration risk. This limit shall not exceed 100 % of the institution's eligible capital. Competent authorities may set a lower limit than EUR 150 million and shall inform EBA and the Commission thereof. 2. EBA shall, in accordance with Article 16 of Regulation (EU) No 1093/2010, taking into account the effect of the credit risk mitigation in accordance with Articles 399 to 403 as well as the outcomes of developments in the area of shadow banking and large exposures at the Union and international levels, issue guidelines by 31 December 2014 to set appropriate aggregate limits to such exposures or tighter individual limits on exposures to shadow banking entities which carry out banking activities outside a regulated framework. In developing those guidelines, EBA shall consider whether the introduction of additional limits would have a material detrimental impact on the risk profile of institutions established in the Union, on the provision of credit to the real economy or on the stability and orderly functioning of financial markets. By 31 December 2015 the Commission shall assess the appropriateness and the impact of imposing limits on exposures to shadow banking entities which carry out banking activities outside a regulated framework, taking into account Union and international developments in the area of shadow banking and large exposures as well as credit risk mitigation in accordance with Articles 399 to 403. The Commission shall submit the report to the European Parliament and the Council, together, if appropriate, with a legislative proposal on exposure limits to shadow banking entities which carry out banking activities outside a regulated framework. 3. Subject to Article 396, an institution shall at all times comply with the relevant limit laid down in paragraph 1. 4. Assets constituting claims and other exposures onto recognised third-country investment firms may be subject to the same treatment as set out in paragraph 1. 5. The limits laid down in this Article may be exceeded for the exposures on in the institution's trading book if book, provided that all the following conditions are met: (a) the exposure on in the non-trading book to the client or group of connected clients in question does not exceed the limit laid down in paragraph 1, this limit being calculated with reference to eligible Tier 1 capital, so that the excess arises entirely on in the trading book; (b) the institution meets an additional own funds requirement on the part of the exposure in excess in respect of the limit laid down in paragraph 1 of this Article which is calculated in accordance with Articles 397 and 398; (c) where 10 days or less have elapsed since the excess referred to in point (b) occurred, the trading-book exposure to the client or group of connected clients in question shall does not exceed 500 % of the institution's eligible Tier 1 capital; (d) any excesses that have persisted for more than 10 days do not, in aggregate, exceed 600 % of the institution's eligible Tier 1 capital. In each case in which Each time the limit has been exceeded, the institution shall report to the competent authorities without delay the amount of the excess and the name of the client concerned and, where applicable, the name of the group of connected clients concerned, without delay to the competent authorities. concerned. 6. For the purpose of this paragraph, structural measures mean measures adopted by a Member State and implemented by the relevant competent authorities of that Member State before the entry into force of a legal act explicitly harmonising such measures, … 694 unchanged words … this case, they shall notify the Commission, the Council, the competent authorities concerned and EBA. Approval of the new measures shall be subject to the process set out in this Article. This Article shall be without prejudice to Article 458.

02013R0575-20201228 → 02013R0575-20210629

Article 396 Compliance with large exposures requirements 1. If, in an exceptional case, exposures exceed the limit set out in Article 395(1), the institution shall report the value of the exposure without delay to the competent authorities which may, where the circumstances warrant it, allow the institution a limited period of time in which to comply with the limit. Where the amount of EUR 150 million referred to in Article 395(1) is applicable, the competent authorities may allow on a case-by-case basis the 100 % limit in terms of the institution's eligible Tier 1 capital to be exceeded. exceeded on a case-by-case basis. Where, in the exceptional cases referred to in the first and second subparagraph of this paragraph, a competent authority allows an institution to exceed the limit set out in Article 395(1) for a period longer than three months, the institution shall present a plan for a timely return to compliance with that limit to the satisfaction of the competent authority and shall carry out that plan within the period agreed with the competent authority. The competent authority shall monitor the implementation of the plan and shall require a more rapid return to compliance if appropriate. 2. Where compliance by an institution on an individual or sub-consolidated basis with the obligations imposed in this Part is waived under Article 7(1), or the provisions of Article 9 are applied in the case of parent institutions in a Member State, measures shall be taken to ensure the satisfactory allocation of risks within the group. 3. For the purposes of paragraph 1, EBA shall issue guidelines in accordance with Article 16 of Regulation (EU) No 1093/2010 to specify how the competent authorities may determine: (a) the exceptional cases referred to in paragraph 1 of this Article; (b) the time considered appropriate for returning to compliance; (c) the measures to be taken to ensure the timely return to compliance of the institution.

02013R0575-20201228 → 02013R0575-20210629

Article 397 Calculating additional own funds requirements for large exposures in the trading book 1. The excess referred to in Article 395(5)(b) shall be calculated by selecting those components of the total trading exposure to the client or group of connected clients in question which attract the highest specific-risk requirements in Part Three, Title IV, Chapter 2 and/or requirements in Article 299 and Part Three, Title V, the sum of which equals the amount of the excess referred to in point (a) of Article 395(5). 2. Where the excess has not persisted for more than 10 days, the additional capital requirement shall be 200 % of the requirements referred to in paragraph 1, on these components. 3. As from 10 days after the excess has occurred, the components of the excess, selected in accordance with paragraph 1, shall be allocated to the appropriate line in Column 1 of Table 1 in ascending order of specific-risk requirements in Part Three, Title IV, Chapter 2 and/or requirements in Article 299 and Part Three, Title V. The additional own funds requirement shall be equal to the sum of the specific-risk requirements in Part Three, Title IV, Chapter 2 and/or the Article 299 and Part Three, Title V requirements on these components, multiplied by the corresponding factor in Column 2 of Table 1. Table 1 Column 1: Excess over the limits (on the basis of a percentage of eligible Tier 1 capital) Column 2: 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 %

02013R0575-20201228 → 02013R0575-20210629

Article 399 Eligible credit mitigation techniques 1. An institution shall use a credit risk mitigation technique in the calculation of an exposure where it has used that technique to calculate capital requirements for credit risk in accordance with Title II of Part Three, provided that the credit risk mitigation technique meets the conditions set out in this Article. For the purposes of Articles 400 to 403 403, the term guarantee shall include credit derivatives recognised under Part Three, Title II, Chapter 4 of Title II of Part Three other than credit linked notes. 2. Subject to paragraph 3 of this Article, where, under Articles 400 to 403 the recognition of funded or unfunded credit protection is permitted, this shall be subject to compliance with the eligibility requirements and other requirements set out in Part Three, Title II, Chapter 4. 3. Where an institution relies upon Article 401(2), Credit risk mitigation techniques which are available only to institutions using one of the recognition of funded credit protection shall be subject to the relevant requirements under Part Three, Title II, Chapter 3. For the purposes of this Part, an institution IRB approaches shall not take into account the collateral referred be used to reduce exposure values for large exposure purposes, except for exposures secured by immovable properties in Article 199(5) to (7), unless permitted under accordance with Article 402. 4. Institutions shall analyse, to the extent possible, their exposures to collateral issuers, providers of unfunded credit protection and underlying assets pursuant to Article 390(7) for possible concentrations and where appropriate take action and report any significant findings to their competent authority.

02013R0575-20201228 → 02013R0575-20210629

Article 400 Exemptions 1. The following exposures shall be exempted from the application of Article 395(1): (a) asset items constituting claims on central governments, central banks or public sector entities which, unsecured, would be assigned a 0 % risk weight under Part Three, … 340 unchanged words … an agreement has been concluded with the client or group of connected clients under which the facility may be drawn only if it has been ascertained that it will not cause the limit applicable under Article 395(1) to be exceeded; (j) clearing members' trade exposures to central counterparties and default fund contributions to qualified central counterparties; (k) exposures to deposit guarantee schemes under Directive 94/19/EC arising from the funding of those schemes, if the member institutions of the scheme have a legal or contractual obligation to fund the scheme. scheme; (l) clients' trade exposures referred to in Article 305(2) or (3); (m) holdings by resolution entities, or by their subsidiaries which are not themselves resolution entities, of own funds instruments and eligible liabilities referred to in Article 45f(2) of Directive 2014/59/EU that have been issued by any of the following entities: (i) in respect of resolution entities, other entities belonging to the same resolution group; (ii) in respect of subsidiaries of a resolution entity that are not themselves resolution entities, the relevant subsidiary's subsidiaries belonging to the same resolution group; (n) exposures arising from a minimum value commitment that meets all the conditions set out in Article 132c(3). Cash received under a credit linked note issued by the institution and loans and deposits of a counterparty to or with the institution which are subject to an on-balance sheet netting agreement recognised under Part Three, Title II, Chapter 4 shall be deemed to fall under point (g). 2. Competent authorities may fully or partially exempt the following exposures: (a) covered bonds falling within the terms of Article 129(1), (3) and (6); (b) asset items constituting claims on regional governments or local authorities of Member States where those claims would be assigned a 20 % risk weight under Part Three, Title II, Chapter 2 and other exposures to or guaranteed by those regional governments or local authorities, claims on which would be assigned a 20 % risk weight under Part Three, Title II, Chapter 2; (c) exposures, exposures incurred by an institution, including through participations or other kinds of holdings, incurred by an institution to its parent undertaking, to other subsidiaries of that parent undertaking undertaking, or to its own subsidiaries, subsidiaries and qualifying holdings, in so far as those undertakings are covered by the supervision on a consolidated basis to which the institution itself is subject, in accordance with this Regulation, Directive 2002/87/EC or with equivalent standards in force in a third country; exposures that do not meet these those criteria, whether or not exempted from Article 395(1), 395(1) of this Regulation, shall be treated as exposures to a third party; (d) asset items constituting claims on and other exposures, including participations or other kinds of holdings, to regional or central credit institutions with which the credit institution is associated in a network in accordance with legal or statutory provisions and which are responsible, under those provisions, for cash-clearing operations within the network; (e) asset items constituting claims on and other exposures to credit institutions incurred by credit institutions, one of which operates on a non-competitive basis and provides or guarantees loans under legislative programmes or its statutes, to promote specified sectors of the economy under some form of government oversight and restrictions on the use of the loans, provided that the respective exposures arise from such loans that are passed on to the beneficiaries via credit institutions or from the guarantees of these loans; (f) asset items constituting claims on and other exposures to institutions, provided that those exposures do not constitute such institutions' own funds, do not last longer than the following business day and are not denominated in a major trading currency; (g) asset items constituting claims on central banks in the form of required minimum reserves held at those central banks which are denominated in their national currencies; (h) asset items constituting claims on central governments in the form of statutory liquidity requirements held in government securities which are denominated and funded in their national currencies provided that, at the discretion of the competent authority, the credit assessment of those central governments assigned by a nominated ECAI is investment grade; (i) 50 % of medium/low risk off-balance sheet documentary credits and of medium/low risk off-balance sheet undrawn credit facilities referred to in Annex I and subject to the competent authorities' agreement, 80 % of guarantees other than loan guarantees which have a legal or regulatory basis and are given for their members by mutual guarantee schemes possessing the status of credit institutions; (j) legally required guarantees used when a mortgage loan financed by issuing mortgage bonds is paid to the mortgage borrower before the final registration of the mortgage in the land register, provided that the guarantee is not used as reducing the risk in calculating the risk -weighted exposure amounts; (k) assets items constituting claims on and other exposures in the form of a collateral or a guarantee for residential loans, provided by an eligible protection provider referred to recognised exchanges. in Article 201 qualifying for the credit rating which is at least the lower of the following: (i) credit quality step 2; (ii) the credit quality step corresponding to the central government foreign currency rating of the Member State where the protection provider's headquarters are located; (l) exposures in the form of a guarantee for officially supported export credits, provided by an export credit agency qualifying for the credit rating which is at least the lower of the following: (i) credit quality step 2; (ii) the credit quality step corresponding to the central government foreign currency rating of the Member State where the export credit agency's headquarters are located. 3. Competent authorities may only make use of the exemption provided for in paragraph 2 where the following conditions are met: (a) the specific nature of the exposure, the counterparty or the relationship between the institution and the counterparty eliminate or reduce the risk of the exposure; and (b) any remaining concentration risk can be addressed by other equally effective means such as the arrangements, processes and mechanisms provided for in Article 81 of Directive 2013/36/EU. Competent authorities shall inform EBA of whether or not they intend to use any of the exemptions provided for in paragraph 2 in accordance with points (a) and (b) of this paragraph and provide EBA with the reasons substantiating the use of those exemptions. 4. The simultaneous application of more than one exemption set out in paragraphs 1 and 2 to the same exposure shall consult EBA on this choice. not be permitted.

texts differ too much for an inline diff; shown separately

before (02013R0575-20201228)

Article 401
Calculating the effect of the use of credit risk mitigation techniques
1. For calculating the value of exposures for the purposes of Article 395(1) an institution may use the fully adjusted exposure value as calculated under Part Three, Title II, Chapter 4 taking into account the credit risk mitigation, volatility adjustments, and any maturity mismatch (E*).
2. An institution permitted to use own estimates of LGDs and conversion factors for an exposure class under Part Three, Title II, Chapter 3 may, subject to a permission by the competent authorities recognise the effects of financial collateral in calculating the value of exposures for the purposes of Article 395(1).
Competent authorities shall grant the permission referred to in preceding subparagraph only if the institution can estimate the effects of financial collateral on their exposures separately from other LGD-relevant aspects.
The estimates produced by the institution shall be sufficiently suitable for reducing the exposure value for the purposes of compliance with the provisions of Article 395.
Where an institution is permitted to use its own estimates of the effects of financial collateral, it shall do so on a basis consistent with the approach adopted in the calculation of the own funds requirements in accordance with this Regulation.
Institutions permitted to use own estimates of LGDs and conversion factors for an exposure class under Part Three, Title II, Chapter 3, which do not calculate the value of their exposures using the method referred to in the first subparagraph of this paragraph, may use the Financial Collateral Comprehensive Method or the approach set out in Article 403(1)(b) for calculating the value of exposures.
3. An institution that makes use of the Financial Collateral Comprehensive Method or is permitted to use the method described in paragraph 2 of this Article in calculating the value of exposures for the purposes of Article 395(1) shall conduct periodic stress tests of their credit-risk concentrations, including in relation to the realisable value of any collateral taken.
These periodic stress tests referred to in the first subparagraph shall address risks arising from potential changes in market conditions that could adversely impact the institutions' adequacy of own funds and risks arising from the realisation of collateral in stressed situations.
The stress tests carried out shall be adequate and appropriate for the assessment of such risks.
In the event that the periodic stress test indicates a lower realisable value of collateral taken than would be permitted to be taken into account while making use of the Financial Collateral Comprehensive Method or the method described in paragraph 2 as appropriate, the value of collateral permitted to be recognised in calculating the value of exposures for the purposes of Article 395(1) shall be reduced accordingly.
Institutions referred to in the first subparagraph shall include the following in their strategies to address concentration risk:
(a) policies and procedures to address risks arising from maturity mismatches between exposures and any credit protection on those exposures;
(b) policies and procedures in the event that a stress test indicates a lower realisable value of collateral than taken into account while making use of the Financial Collateral Comprehensive Method or the method described in paragraph 2;
(c) policies and procedures relating to concentration risk arising from the application of credit risk mitigation techniques, and in particular large indirect credit exposures, for example to a single issuer of securities taken as collateral.

after (02013R0575-20210629)

Article 401
Calculating the effect of the use of credit risk mitigation techniques
1. For calculating the value of exposures for the purposes of Article 395(1), an institution may use the fully adjusted exposure value (E*) as calculated under Chapter 4 of Title II of Part Three, taking into account the credit risk mitigation, volatility adjustments and any maturity mismatch referred to in that Chapter.
2. With the exception of institutions using the Financial Collateral Simple Method, for the purposes of the first paragraph, institutions shall use the Financial Collateral Comprehensive Method, regardless of the method used for calculating the own funds requirements for credit risk.
By way of derogation from paragraph 1, institutions with permission to use the methods referred to in Section 4 of Chapter 4 of Title II of Part Three and Section 6 of Chapter 6 of Title II of Part Three, may use those methods for calculating the exposure value of securities financing transactions.
3. In calculating the value of exposures for the purposes of Article 395(1), institutions shall conduct periodic stress tests of their credit-risk concentrations, including in relation to the realisable value of any collateral taken.
The periodic stress tests referred to in the first subparagraph shall address risks arising from potential changes in market conditions that could adversely impact the institutions' adequacy of own funds and risks arising from the realisation of collateral in stressed situations.
The stress tests carried out shall be adequate and appropriate for the assessment of those risks.
Institutions shall include the following in their strategies to address concentration risk:
(a) policies and procedures to address risks arising from maturity mismatches between exposures and any credit protection on those exposures;
(b) policies and procedures relating to concentration risk arising from the application of credit risk mitigation techniques, in particular from large indirect credit exposures, for example, exposures to a single issuer of securities taken as collateral.
4. Where an institution reduces an exposure to a client using an eligible credit risk mitigation technique in accordance with Article 399(1), the institution, in the manner set out in Article 403, shall treat the part of the exposure by which the exposure to the client has been reduced as having been incurred for the protection provider rather than for the client.

02013R0575-20201228 → 02013R0575-20210629

Article 402 Exposures arising from mortgage lending 1. For the calculation of exposure values for the purposes of Article 395, an institution may institutions may, except where prohibited by applicable national law, reduce the value of an exposure or any part of an exposure that is fully secured by immovable residential property in accordance with Article 125(1) by the pledged amount of the market value or mortgage lending value of the immovable property concerned concerned, but by not more than 50 % of the market value or 60 % of the mortgage lending value in those Member States that have laid down rigorous criteria for the assessment of the mortgage lending value in statutory or regulatory provisions, if provided that all of the following conditions are met: (a) the competent authorities of the Member States have not set a higher risk weight higher than 35 % for exposures or parts of exposures secured by residential property in accordance with Article 124(2); (b) the exposure or part of the exposure is fully secured by: by any of the following: (i) one or more mortgages on residential property; or (ii) a residential property in a leasing transaction under which the lessor retains full ownership of the residential property and the lessee has not yet exercised his or her option to purchase; (c) the requirements laid down in Article 208 and Article 229(1) are met. 2. For the calculation of exposure values for the purposes of Article 395, an institution may may, except where prohibited by applicable national law, reduce the value of an exposure or any part of an exposure that is fully secured by commercial immovable property in accordance with Article 126(1) by the pledged amount of the market value or mortgage lending value of the immovable property concerned concerned, but not by more than 50 % of the market value or 60 % of the mortgage lending value in those Member States that have laid down rigorous criteria for the assessment of the mortgage lending value in statutory or regulatory provisions, if provided that all of the following conditions are met: (a) the competent authorities of the Member States have not set a higher risk weight higher than 50 % for exposures or parts of exposures secured by commercial immovable property in accordance with Article 124(2); (b) the exposure is fully secured by: by any of the following: (i) one or more mortgages on offices or other commercial premises; or (ii) one or more offices or other commercial premises and the exposures related to immovable property leasing transactions; (c) the requirements in point (a) of Article 126(2)(a), 126(2) and in Article 208 and Article 229(1) are met; (d) the commercial immovable property is fully constructed. 3. An institution may treat an exposure to a counterparty that results from a reverse repurchase agreement under which the institution has purchased from the counterparty non-accessory independent mortgage liens on immovable property of third parties as a number of individual exposures to each of those third parties, provided that all of the following conditions are met: (a) the counterparty is an institution; institution or an investment firm; (b) the exposure is fully secured by liens on the immovable property of those third parties that have been purchased by the institution and the institution is able to exercise those liens; (c) the institution has ensured that the requirements in Article 208 and Article 229(1) are met; (d) the institution becomes beneficiary of the claims that the counterparty has against the third parties in the event of default, insolvency or liquidation of the counterparty; (e) the institution reports to the competent authorities in accordance with Article 394 the total amount of exposures to each other institution or investment firm that are treated in accordance with this paragraph. For these purposes, the institution shall assume that it has an exposure to each of those third parties for the amount of the claim that the counterparty has on the third party instead of the corresponding amount of the exposure to the counterparty. The remainder of the exposure to the counter party, if any, shall continue to be treated as an exposure to the counter party.

02013R0575-20201228 → 02013R0575-20210629

Article 403 Substitution approach 1. Where an exposure to a client is guaranteed by a third party, party or is secured by collateral issued by a third party, an institution may: shall: (a) treat the portion of the exposure which is guaranteed as having been incurred exposure to the guarantor rather than to the client client, provided that the unsecured exposure to the guarantor would be assigned an a risk weight that is equal to or lower risk weight than a the risk weight of the unsecured exposure to the client under Chapter 2 of Title II of Part Three, Title II, Chapter 2; Three; (b) treat the portion of the exposure collateralised by the market value of recognised collateral as having been incurred exposure to the third party rather than to the client, if provided that the exposure is secured by collateral and provided that the collateralised portion of the exposure would be assigned an a risk weight that is equal to or lower risk weight than a the risk weight of the unsecured exposure to the client under Chapter 2 of Title II of Part Three, Title II, Chapter 2. Three. The approach referred to in point (b) of the first subparagraph shall not be used by an institution where there is a mismatch between the maturity of the exposure and the maturity of the protection. For the purpose purposes of this Part, an institution may use both the Financial Collateral Comprehensive Method and the treatment set out in point (b) of the first subparagraph of this paragraph only where it is permitted to use both the Financial Collateral Comprehensive Method and the Financial Collateral Simple Method for the purposes of Article 92. 2. Where an institution applies point (a) of paragraph 1: 1, the institution: (a) where the guarantee is denominated in a currency different from that in which the exposure is denominated denominated, shall calculate the amount of the exposure that is deemed to be covered shall be calculated in accordance with the provisions on the treatment of currency mismatch for unfunded credit protection set out in Part Three, Title II, Chapter 4; Three; (b) a shall treat any mismatch between the maturity of the exposure and the maturity of the protection shall be treated in accordance with the provisions on the treatment of maturity mismatch set out in Chapter 4 of Title II of Part Three, Title II, Chapter 4; Three; (c) may recognise partial coverage may be recognised in accordance with the treatment set out in Chapter 4 of Title II of Part Three, Title II, Chapter 4. Three. 3. For the purposes of point (b) of paragraph 1, an institution may replace the amount in point (a) of this paragraph with the amount in point (b) of this paragraph, provided that the conditions set out in points (c), (d) and (e) of this paragraph are met: (a) the total amount of the institution's exposure to a collateral issuer due to tri-party repurchase agreements facilitated by a tri-party agent; (b) the full amount of the limits that the institution has instructed the tri-party agent referred to in point (a) to apply to the securities issued by the collateral issuer referred to in that point; (c) the institution has verified that the tri-party agent has in place appropriate safeguards to prevent breaches of the limits referred to in point (b); (d) the competent authority has not expressed to the institution any material concerns; (e) the sum of the amount of the limit referred to in point (b) of this paragraph and any other exposures of the institution to the collateral issuer does not exceed the limit set out in Article 395(1). 4. EBA shall issue guidelines, in accordance with Article 16 of Regulation (EU) No 1093/2010, specifying the conditions for the application of the treatment referred to in paragraph 3 of this Article, including the conditions and frequency for determining, monitoring and revising the limits referred to in point (b) of that paragraph. EBA shall publish those guidelines by 31 December 2019.

texts differ too much for an inline diff; shown separately

before (02013R0575-20201228)

Article 411
Definitions
For the purposes of this Part, the following definitions apply:
(1) financial customer means a customer that performs one or more of the activities listed in Annex I to Directive 2013/36/EU as its main business, or is one of the following:
(a) a credit institution;
(b) an investment firm;
(c) an SSPE;
(d) a CIU;
(e) a non-open ended investment scheme;
(f) an insurance undertaking;
(g) a financial holding company or mixed-financial holding company.
(2) retail deposit means a liability to a natural person or to an SME, where the natural person or the SME would qualify for the retail exposure class under the Standardised or IRB approaches for credit risk, or a liability to a company which is eligible for the treatment set out in Article 153(4) and where the aggregate deposits by all such enterprises on a group basis do not exceed EUR 1 million.

after (02013R0575-20210629)

Article 411
Definitions
For the purposes of this Part, the following definitions apply:
(1) financial customer means a customer, including a financial customer belonging to a non-financial corporate group, which performs one or more of the activities listed in Annex I to Directive 2013/36/EU as its main business, or which is one of the following:
(a) a credit institution;
(b) an investment firm;
(c) a securitisation special purpose entity (SSPE);
(d) a collective investment undertaking (CIU);
(e) a non-open ended investment scheme;
(f) an insurance undertaking;
(g) a reinsurance undertaking;
(h) a financial holding company or mixed-financial holding company;
(i) a financial institution;
(j) a pension scheme arrangement as defined in point (10) of Article 2 of Regulation (EU) No 648/2012;
(2) retail deposit means a liability to a natural person or to a SME, where the SME would qualify for the retail exposure class under the standardised or IRB approaches for credit risk, or a liability to a company which is eligible for the treatment set out in Article 153(4), and where the aggregate deposits by that SME or company on a group basis do not exceed EUR 1 million;
(3) personal investment company or PIC means an undertaking or a trust, the owner or beneficial owner of which is either a natural person or a group of closely related natural persons which does not carry out any other commercial, industrial or professional activity and which was set up with the sole purpose of managing the wealth of the owner or owners, including ancillary activities such as segregating the owners' assets from corporate assets, facilitating the transmission of assets within a family or preventing a split of the assets after the death of a member of the family, provided that those ancillary activities are connected to the main purpose of managing the owners' wealth;
(4) deposit broker means a natural person or an undertaking that places deposits from third parties, including retail deposits and corporate deposits but excluding deposits from financial institutions, with credit institutions in exchange of a fee;
(5) unencumbered assets means assets which are not subject to any legal, contractual, regulatory or other restriction preventing the institution from liquidating, selling, transferring, assigning or, generally, disposing of those assets via an outright sale or a repurchase agreement;
(6) non-mandatory overcollateralisation means any amount of assets which the institution is not obliged to attach to a covered bond issuance by virtue of legal or regulatory requirements, contractual commitments or for reasons of market discipline, including in particular where the assets are provided in excess of the minimum legal, statutory or regulatory overcollateralisation requirement applicable to the covered bonds under the national law of a Member State or a third country;
(7) asset coverage requirement means the ratio of assets to liabilities as determined in accordance with the national law of a Member State or a third country for credit enhancement purposes in relation to covered bonds;
(8) margin loans means collateralised loans extended to customers for the purpose of taking leveraged trading positions;
(9) derivative contracts means the derivative contracts listed in Annex II and credit derivatives;
(10) stress means a sudden or severe deterioration in the solvency or liquidity position of an institution due to changes in market conditions or idiosyncratic factors as a result of which there is a significant risk that the institution becomes unable to meet its commitments as they become due within the next 30 days;
(11) level 1 assets means assets of extremely high liquidity and credit quality as referred to in the second subparagraph of Article 416(1);
(12) level 2 assets means assets of high liquidity and credit quality as referred to in the second subparagraph of Article 416(1) of this Regulation; level 2 assets are further subdivided into level 2A and 2B assets as set out in the delegated act referred to in Article 460(1);
(13) liquidity buffer means the amount of level 1 and level 2 assets that an institution holds in accordance with the delegated act referred to in Article 460(1);
(14) net liquidity outflows means the amount which results from deducting an institution's liquidity inflows from its liquidity outflows;
(15) reporting currency means the currency of the Member State where the head office of the institution is located;
(16) factoring means a contractual agreement between a business (the assignor) and a financial entity (the factor) in which the assignor assigns or sells its receivables to the factor in exchange for the factor providing the assignor with one or more of the following services with regard to the receivables assigned:
(a) an advance of a percentage of the amount of the assigned receivables, generally short term, uncommitted and without automatic roll-over;
(b) receivables management, collection and credit protection, whereby, in general, the factor administers the assignor's sales ledger and collects the receivables in the factor's own name;
for the purposes of Title IV, factoring shall be treated as trade finance;
(17) committed credit or liquidity facility means a credit or liquidity facility that is irrevocable or conditionally revocable.

02013R0575-20201228 → 02013R0575-20210629

Article 412 Liquidity coverage requirement 1. Institutions shall hold liquid assets, the sum of the values of which covers the liquidity outflows less the liquidity inflows under stressed conditions so as to ensure that institutions maintain levels of liquidity buffers which are adequate to face any possible imbalance between liquidity inflows and outflows under gravely stressed conditions over a period of thirty days. During times of stress, institutions may use their liquid assets to cover their net liquidity outflows. 2. Institutions shall not double count double liquidity outflows, liquidity inflows and liquid assets. Unless specified otherwise in the delegated act referred to in Article 460(1), where an item can be counted in more than one outflow category, it shall be counted in the outflow category that produces the greatest contractual outflow for that item. 3. Institutions may use the liquid assets referred to in paragraph 1 to meet their obligations under stressed circumstances as specified under Article 414. 4. The provisions set out in Title II shall apply exclusively for the purposes of specifying reporting obligations set out in Article 415. 4a. The delegated act referred to in Article 460(1) shall apply to institutions. 5. Member States may maintain or introduce national provisions in the area of liquidity requirements before binding minimum standards for liquidity coverage requirements are specified and fully introduced in the Union in accordance with Article 460. Member States or competent authorities may require domestically authorised institutions, or a subset of those institutions, to maintain a higher liquidity coverage requirement up to 100 % until the binding minimum standard is fully introduced at a rate of 100 % in accordance with Article 460.

02013R0575-20201228 → 02013R0575-20210629

Article 413 Stable Funding funding requirement 1. Institutions shall ensure that long term obligations assets and off-balance-sheet items are adequately met with a diversity diverse set of stable funding instruments that are stable under both normal and stressed conditions. 2. The provisions set out in Title III shall apply exclusively for the purposes purpose of specifying reporting obligations set out in Article 415 until reporting obligations set out in that Article for the net stable funding ratio set out in Title IV have been specified and introduced in Union law. 3. The provisions set out in Title IV shall apply for the purpose of specifying the stable funding requirement set out in paragraph 1 of this Article and reporting obligations for institutions set out in Article 415. 3. 4. Member States may maintain or introduce national provisions in the area of stable funding requirements before binding minimum standards for the net stable funding requirements are specified and introduced set out in the Union in accordance with Article 510. paragraph 1 become applicable.

02013R0575-20201228 → 02013R0575-20210629

Article 414 Compliance with liquidity requirements Where an An institution that does not meet, or expects does not expect to meet meet, the requirement requirements set out in Article 412 or the general obligation set out in Article 413(1), including during times of stress, it shall immediately notify the competent authorities thereof and shall submit without undue delay to the competent authorities without undue delay a plan for the timely restoration of compliance with the requirements set out in Article 412 or Article 413(1). 413(1), as appropriate. Until compliance has been restored, the institution shall report the items referred to in Title II III, in Title IV, in the implementing act referred to in Article 415(3) or Title III, (3a) or in the delegated act referred to in Article 460(1), as appropriate, daily by the end of each business day day, unless the competent authority authorises a lower reporting frequency and a longer reporting delay. Competent authorities shall only grant such authorisations based on the basis of the individual situation of an institution and the institution, taking into account the scale and complexity of the institution's activities. They Competent authorities shall monitor the implementation of the such restoration plan and shall require a more speedy rapid restoration if of compliance where appropriate.

02013R0575-20201228 → 02013R0575-20210629

Article 415 Reporting obligation and reporting format 1. Institutions shall report the items referred to in a single the implementing technical standards referred to in paragraph 3 or 3a of this Article, in Title IV and in the delegated act referred to in Article 460(1) to the competent authorities in the reporting currency, regardless of their the actual denomination, denomination of those items. Until such time as the reporting obligation and the reporting format for the net stable funding ratio set out in Title IV have been specified and introduced in Union law, institutions shall report to the competent authorities the items referred to in Titles II and Title III and their components, including in the composition reporting currency, regardless of their liquid assets in accordance with Article 416. Until the liquidity coverage requirement in Part Six is fully specified and implemented as a minimum standard in accordance with Article 460, institutions shall report the items set in Title II and Annex III. Institutions shall report the items in Title III. actual denomination of those items. The reporting frequency shall not be less than at least monthly for items referred to in Title II the delegated act referred to in Article 460(1) and Annex III and not less than at least quarterly for items referred to in Title III. The reporting formats shall include all the necessary information Titles III and shall allow EBA to assess whether secured lending and collateral swap transactions where liquid assets referred to in points (a), (b) and (c) of Article 416(1) have been obtained against collateral that does not qualify under points (a), (b) and (c) of Article 416(1) have been properly unwound. IV. 2. An institution shall report separately to the competent authorities of the home Member State the items referred to in the implementing technical standards referred to in paragraph 1 3 or 3a of this Article, in Title III until such time as the reporting obligation and the reporting format for the net stable funding ratio set out in Title IV have been specified and introduced in Union law, in Title IV and in the currency below when it has: delegated act referred to in Article 460(1), as appropriate, in accordance with the following: (a) aggregate liabilities where items are denominated in a currency different from other than the reporting currency under paragraph 1 amounting and the institution has aggregate liabilities denominated in such a currency which amount to or exceeding exceed 5 % of the institution's or the single liquidity sub-group's total liabilities; or liabilities, excluding own funds and off-balance-sheet items, reporting shall be done in the currency of denomination; (b) where items are denominated in the currency of a host Member State where the institution has a significant branch as referred to in accordance with Article 51 of Directive 2013/36/EU in a and that host Member State using a uses another currency different from than the reporting currency, the reporting shall be done in the currency of the Member State in which the significant branch is located; (c) where items are denominated in the reporting currency, and the aggregate amount of liabilities in other currencies than the reporting currency under paragraph 1 amounts to or exceeds 5 % of this Article. the institution's or the single liquidity subgroup's total liabilities, excluding own funds and off-balance-sheet items, the reporting shall be done in the reporting currency. 3. EBA shall develop draft implementing technical standards to specify the following: (a) uniform formats and IT solutions with associated instructions for frequencies and reference and remittance dates. The dates; the reporting formats and frequencies shall be proportionate to the nature, scale and complexity of the different activities of the institutions and shall comprise the reporting required in accordance with paragraphs 1 and 2; (b) additional liquidity monitoring metrics required, to allow competent authorities to obtain a comprehensive view of the an institution's liquidity risk profile, proportionate to the nature, scale and complexity of an institution's activities. EBA shall submit to the Commission those draft implementing technical standards for the items specified in point (a) by 28 July 2013 and for the items specified in point (b) by 1 January 2014. Until the full introduction of binding liquidity requirements, competent authorities may continue to collect information through monitoring tools for the purpose of monitoring compliance with existing national liquidity standards. Power is conferred on the Commission to adopt the implementing technical standards referred to in the first subparagraph in accordance with Article 15 of Regulation (EU) No 1093/2010. 3a. EBA shall develop draft implementing technical standards to specify which additional liquidity monitoring metrics as referred to in paragraph 3 shall apply to small and non-complex institutions. EBA shall submit those draft implementing technical standards to the Commission by 28 June 2020. Power is conferred on the Commission to adopt the implementing technical standards referred to in the first subparagraph in accordance with Article 15 of Regulation (EU) No 1093/2010. 4. The competent authorities of the home Member State shall upon request provide in a timely manner and by electronic means the competent authorities and the central bank of the host Member States and EBA with the individual reporting in accordance with this Article. 5. Competent authorities that exercise supervision on a consolidated basis in accordance with Article 111 of Directive 2013/36/EU shall upon request provide in a timely manner and by electronic means the following authorities with all reporting submitted by the institution in accordance with the uniform reporting formats referred to in paragraph 3: (a) the competent authorities and the national central bank of the host Member States in which there are significant branches in accordance with Article 51 of Directive 2013/36/EU of the parent institution or institutions controlled by the same parent financial holding company; (b) the competent authorities that have authorised subsidiaries of the parent institution or institutions controlled by the same parent financial holding company and the central bank of the same Member State; (c) EBA; (d) ECB. 6. The competent authorities that have authorised an institution that is a subsidiary of a parent institution or parent financial holding company shall upon request provide in a timely manner and by electronic means the competent authorities that exercise supervision on a consolidated basis in accordance with Article 111 of Directive 2013/36/EU, the central bank of the Member State where the institution is authorised and EBA all reporting submitted by the institution in accordance with the uniform reporting formats referred to in paragraph 3.

02013R0575-20201228 → 02013R0575-20210629

Article 416 Reporting on liquid assets 1. Institutions shall report the following as liquid assets unless excluded by paragraph 2 and only if the liquid assets fulfil the conditions in paragraph 3: (a) cash and exposures to central banks to the extent that … 635 unchanged words … company; (v) any other entity that performs one or more of the activities listed in Annex I to Directive 2013/36/EU as its main business. 3. In accordance with paragraph 1, institutions shall report assets that fulfil the following conditions as liquid assets: (a) they the assets are unencumbered or stand available within collateral pools to be used for the obtaining of additional funding under committed or, where the pool is operated by a central bank, uncommitted but not yet funded credit lines available to the institution; (b) they the assets are not issued by the institution itself or itself, by its parent or subsidiary institutions institutions, or by another subsidiary of its parent institutions institution or parent financial holding company; (c) their the price of the assets is generally agreed upon by markets market participants and can easily be observed in the market, market or their the price can be determined by a formula that is easy to calculate based on the basis of publicly available inputs and that does not depend on strong assumptions assumptions, as is typically the case for structured or exotic products; (d) they are eligible collateral for standard liquidity operations of a central bank in a Member State or if the liquid assets are held to meet liquidity outflows in the currency of a third country, of the central bank of that third country; (e) they are listed on a recognised exchange or they are tradable on active by an outright sale or via a simple repurchase agreement on approved repurchase markets. These markets; those criteria shall be assessed separately for each market. The conditions referred to in points (c), (c) and (d) and (e) of the first subparagraph shall not apply to the assets referred to in points (a), (e) and (f) of paragraph 1. The condition referred to in point (d) of the first subparagraph shall not apply in the case of liquid assets held to meet liquidity outflows in a currency in which there is an extremely narrow definition of central bank eligibility. In the case of liquid assets denominated in currencies of third countries, this exception shall apply and only apply if the competent authorities of the third country apply the same or an equivalent exception. 4. Notwithstanding the provisions of paragraphs 1, 2 and 3, pending the specification of a binding liquidity requirement in accordance with Article 460 and in accordance with the second subparagraph of paragraph 1 of this Article, institutions shall report on: (a) other non-central bank eligible but tradable assets such as equities and gold based on transparent and objective criteria, including some or all of the criteria listed in Article 509(3), (4) and (5); (b) other central bank eligible and tradable assets such as asset backed instruments of the highest credit quality as established by EBA pursuant to the criteria in Article 509(3), (4) and (5); (c) other central bank eligible but non-tradable assets such as credit claims as established by EBA pursuant to the criteria in Article 509(3), (4) and (5). 5. EBA shall develop draft implementing technical standards listing the currencies which meet the conditions referred to in the third subparagraph of paragraph 3. EBA shall submit those draft implementing technical standards to the Commission by 31 March 2014. Power is conferred on the Commission to adopt the implementing technical standards referred to in the first subparagraph in accordance with Article 15 of Regulation (EU) No 1093/2010. Before the entry into force of the technical standards referred to in the third subparagraph, institutions may continue to apply the treatment set out in the second subparagraph of paragraph 3, where the competent authorities have applied that treatment before 1 January 2014. 6. Shares or units in CIUs may be treated as liquid assets assets, up to an absolute amount of EUR 500 million or the equivalent amount in domestic currency, in the portfolio of liquid assets of each institution institution, provided that the requirements laid down in Article 132(3) are met and that the CIU, apart from derivatives to mitigate interest rate or credit or currency risk, CIU only invests in liquid assets as referred to in paragraph 1 of this Article. Article, apart from derivatives to mitigate interest rate or credit or currency risk. The use or potential use by a CIU of derivative instruments to hedge risks of permitted investments shall not prevent that CIU from being eligible. eligible for the treatment referred to in the first subparagraph of this paragraph. Where the value of the shares or units of the CIU is not regularly marked to market by the third parties referred to in points (a) and (b) of Article 418(4) and the competent authority is not satisfied that an institution has developed robust methodologies and processes for such valuation as referred to in the first sentence of Article 418(4), shares or units in that CIU shall not be treated as liquid assets. 6. Where a liquid asset ceases to comply with the requirement for liquid assets as set out in this Article, an institution may nevertheless continue to consider it a liquid asset for an additional period of 30 days. Where a liquid asset in a CIU ceases to be eligible for the treatment set out in paragraph 5, the shares or units in the CIU may nevertheless be considered a liquid asset for an additional period of 30 days, provided that those assets do not exceed 10 % of the CIU's overall assets. 7. Where a liquid asset ceases to be eligible in the stock of liquid assets, an institution may nevertheless continue to consider it a liquid asset for an additional period of 30 calendar days. Where a liquid asset in a CIU ceases to be eligible for the treatment set out in paragraph 6, the shares or units in the CIU may nevertheless be considered a liquid asset for an additional period of 30 days provided that those assets do not exceed 10 % of the CIU's overall assets.

02013R0575-20201228 → 02013R0575-20210629

Article 419 Currencies with constraints on the availability of liquid assets 1. EBA shall assess the availability for institutions of the liquid assets referred to in point (b) of Article 416(1) in the currencies that are relevant for institutions established in the Union. 2. Where the justified needs for liquid assets in light of the requirement in Article 412 are exceeding exceed the availability of those liquid assets in a currency, one or more of the following derogations shall apply: (a) by way of derogation from point (f) of Article 417, the denomination of the liquid assets may be inconsistent with the distribution by currency of liquidity outflows after the deduction of inflows; (b) for currencies of a Member State or third countries, required liquid assets may be substituted by credit lines from the central bank of that Member State or third country, country which are contractually irrevocably committed for the next 30 days and are fairly priced, independent of the amount currently drawn, provided that the competent authorities of that Member State or third country do the same and provided that that Member State or third country has comparable reporting requirements in place. place; (c) where there is a deficit of level 1 assets, additional level 2A assets may be held by the institution, subject to higher haircuts, and any cap applicable to those assets in accordance with the delegated act referred to in Article 460(1) may be amended. 3. The derogations applied in accordance with paragraph 2 shall be inversely proportional to the availability of the relevant assets. The justified needs of institutions shall be assessed taking into account their ability to reduce, by sound liquidity management, the need for those liquid assets and the holdings of those assets by other market participants. 4. EBA shall develop draft implementing technical standards listing the currencies which meet the conditions set out in this Article. EBA shall submit those draft implementing technical standards to the Commission by 31 March 2014. Power is conferred on the Commission to adopt the implementing technical standards referred to in the first subparagraph in accordance with Article 15 of Regulation (EU) No 1093/2010. 5. EBA shall develop draft regulatory technical standards to specify the derogations referred to in paragraph 2, including the conditions of their application. EBA shall submit those draft regulatory technical standards to the Commission by 28 December 2019. Power is delegated to the Commission to supplement this Regulation by adopting the regulatory technical standards referred to in the first subparagraph in accordance with Articles 10 to 14 of Regulation (EU) No 1093/2010.

02013R0575-20201228 → 02013R0575-20210629

Article 422 Outflows on other liabilities 1. Institutions shall multiply liabilities resulting from the institution's own operating expenses by 0 %. 2. Institutions shall multiply liabilities resulting from secured lending and capital market-driven transactions as defined in point (3) of Article 192 by: (a) … 335 unchanged words … deposit guarantee scheme in a third country and by 25 % otherwise. Deposits from credit institutions placed at central credit institutions that are considered as liquid assets in accordance with Article 416(1)(f) shall be multiplied by 100 % outflow rate. 4. Clearing, custody or custody, cash management or other comparable services referred to in points (a) and (d) of paragraph 3 shall only covers such cover those services to the extent that they those services are rendered in the context of an established relationship on which the depositor has substantial dependency. They dependence. Those services shall not merely consist in of correspondent banking or prime brokerage services services, and the institution institutions shall have evidence that the client is unable to withdraw amounts legally due over a 30 day 30-day time horizon without compromising its operational functioning. Pending a uniform definition of an established operational relationship as referred to in point (c) of paragraph 3, institutions shall themselves establish the criteria to identify for identifying an established operational relationship for which they have evidence that the client is unable to withdraw amounts legally due over a 30-day time horizon without compromising their its operational functioning and shall report these those criteria to the competent authorities. Competent authorities may, in In the absence of a uniform definition, competent authorities may provide general guidance that institutions shall are to follow in identifying deposits maintained by the depositor in a context of an established operational relationship. 5. Institutions shall multiply liabilities resulting from deposits by clients that are not financial customers to the extent they do not fall under paragraphs 3 and 4 by 40 % and shall multiply the amount of these liabilities covered by a Deposit Guarantee Scheme in accordance with Directive 94/19/EC or an equivalent Deposit Guarantee Scheme in a third country by 20 %. 6. Institutions shall take outflows and inflows expected over the 30 day horizon from the contracts listed in Annex II into account on a net basis across counterparties and shall multiply them by 100 % in the case of a net outflow. Net basis shall mean also net of collateral to be received that qualifies as liquid assets under Article 416. 7. Institutions shall separately report other liabilities that do not fall under paragraphs 1 to 5. 8. Competent authorities may grant the permission to apply a lower outflow percentage on a case-by-case basis, to the liabilities referred to in paragraph 7, when 7 on a case-by-case basis, provided that all of the following conditions are fulfilled: met: (a) the depositor is: counterparty is any of the following: (i) a parent or subsidiary institution of the institution institution, or a parent or subsidiary investment firm of the institution, or another subsidiary of the same parent institution; institution or parent investment firm; (ii) the counterparty is linked to the institution by a relationship within the meaning of Article 12(1) 22(7) of Directive 83/349/EEC; 2013/34/EU; (iii) an institution falling within the same institutional protection scheme meeting the requirements of Article 113(7); or (iv) the central institution or a member of a network compliant with point (d) of Article 400 (2)(d); 400(2); (b) there are reasons to expect a lower outflow over the next 30 days even under a combined idiosyncratic and market-wide stress scenario; (c) a corresponding symmetric or more conservative inflow is applied by the depositor counterparty by way of derogation from Article 425; (d) the institution and the depositor counterparty are established in the same Member State. 9. Competent authorities may waive the conditions set out in point (d) of paragraph 8 where point (b) of Article 20(1) is applied. In that case additional objective criteria as set out in the delegated act referred to in Article 460 have to be met. Where such lower outflow is permitted to be applied, the competent authorities shall inform EBA about the result of the process referred to in point (b) of Article 20(1). The fulfilment of the conditions for such lower outflows shall be regularly reviewed by the competent authorities. 10. EBA shall develop draft regulatory technical standards to further specify the additional objective criteria referred to in paragraph 9. EBA shall submit those draft regulatory technical standards to the Commission by 1 January 2015. Power is delegated to the Commission to adopt the regulatory technical standards referred to in the first subparagraph in accordance with Articles 10 to 14 of Regulation (EU) No 1093/2010.

02013R0575-20201228 → 02013R0575-20210629

Article 423 Additional outflows 1. Collateral other than assets referred to in Article 416(1)(a), (b) and (c), which is posted by the institution for contracts listed in Annex II and credit derivatives, shall be subject to an additional outflow of 20 %. 2. Institutions An institution shall notify to the competent authorities of all contracts entered into of which the contractual conditions of which lead, within 30 days following a material deterioration of the credit quality of the institution, lead to liquidity outflows or additional collateral needs. If needs, within 30 days after a material deterioration of the institution's credit quality. Where the competent authorities consider such those contracts to be material in relation to the potential liquidity outflows of the institution, they shall require the institution to add an additional outflow for those contracts corresponding contracts, which shall correspond to the additional collateral needs resulting from a material deterioration in the its credit quality of the institution quality, such as a downgrade in its external credit assessment by three notches. The institution shall regularly review the extent of this that material deterioration in light of what is relevant under the contracts it has entered into into, and shall notify the result of its review to the competent authorities. 3. The institution shall add an additional outflow corresponding which shall correspond to the collateral needs that would result from the impact of an adverse market scenario on the institution's its derivatives transactions, financing transactions and other contracts if material. EBA shall develop draft regulatory technical standards to determine specify the conditions of application in relation to under which the notion of materiality may be applied and specifying methods for the measurement of this the additional outflow. EBA shall submit those draft regulatory technical standards to the Commission by 31 March 2014. Power is delegated to the Commission to adopt the regulatory technical standards referred to in the second subparagraph in accordance with Articles 10 to 14 of Regulation (EU) No 1093/2010. 4. The institution shall add an additional outflow corresponding to the market value of securities or other assets sold short and to be delivered within the 30 days horizon unless the institution owns the securities to be delivered or has borrowed them at terms requiring their return only after the 30 day horizon and the securities do not form part of the institutions liquid assets. 5. The institution shall add an additional outflow corresponding to: (a) the excess collateral the institution holds that can be contractually called at any time by the counterparty; (b) collateral that is due to be returned to a counterparty; (c) collateral that corresponds to assets that would qualify as liquid assets for the purposes of Article 416 that can be substituted for assets corresponding to assets that would not qualify as liquid assets for the purposes of Article 416 without the consent of the institution. 6. Deposits received as collateral shall not be considered liabilities for the purposes of Article 422 but will be subject to the provisions of this Article where applicable.

02013R0575-20201228 → 02013R0575-20210629

Article 424 Outflows from credit and liquidity facilities 1. Institutions shall report outflows from committed credit facilities and committed liquidity facilities, which shall be determined as a percentage of the maximum amount that can be drawn within the next 30 days. This maximum amount that can be drawn may be assessed net of any liquidity requirement that would be mandated under Article 420(2) for the trade finance off-balance sheet items and net of the value in accordance with Article 418 of collateral to be provided if the institution can reuse the collateral and if the collateral is held in the form of liquid assets in accordance with Article 416. The collateral to be provided shall not be assets issued by the counterparty of the facility or one of its affiliated entities. If the necessary information is available to the institution, the maximum amount that can be drawn for credit and liquidity facilities shall be determined as the maximum amount that could be drawn given the counterparty's own obligations or given the pre-defined contractual drawdown schedule coming due over the next 30 days. 2. The maximum amount that can be drawn of undrawn committed credit facilities and undrawn committed liquidity facilities within the next 30 days shall be multiplied by 5 % if they qualify for the retail exposure class under the Standardised or IRB approaches for credit risk. 3. The maximum amount that can be drawn of undrawn committed credit facilities and undrawn committed liquidity facilities within the next 30 days shall be multiplied by 10 % where they meet the following conditions: (a) they do not qualify for the retail exposure class under the Standardised or IRB approaches for credit risk; (b) they have been provided to clients that are not financial customers; (c) they have not been provided for the purpose of replacing funding of the client in situations where he is unable to obtain its funding requirements in the financial markets. 4. The committed amount of a liquidity facility that has been provided to an SSPE for the purpose of enabling such an that SSPE to purchase assets assets, other than securities securities, from clients that are not financial customers shall be multiplied by 10 % to %, provided that the extent that it committed amount exceeds the amount of assets currently purchased from clients and where that the maximum amount that can be drawn is contractually limited to the amount of assets currently purchased. 5. The institutions shall report the maximum amount that can be drawn of other undrawn committed credit facilities and undrawn committed liquidity facilities within the next 30 days. This applies in particular to the following: (a) liquidity facilities that the institution has granted to SSPEs other than those referred to in point (b) of paragraph 3; (b) arrangements under which the institution is required to buy or swap assets from an SSPE; (c) facilities extended to credit institutions; (d) facilities extended to financial institutions and investment firms. 6. By way of derogation from paragraph 5, institutions which have been set up and are sponsored by at least one Member State's central or regional government may apply the treatments set out in paragraphs 2 and 3 also to credit and liquidity facilities that are provided to institutions for the sole purpose of directly or indirectly funding promotional loans qualifying for the exposure classes referred to in those paragraphs. By way of derogation from point (g) of Article 425(2), where those promotional loans are extended via another institution as intermediary (pass through loans), a symmetric in and outflow may be applied by institutions. Those promotional loans shall be available only to persons who are not financial customers on a non-competitive, not for profit basis in order to promote public policy objectives of the Union and/or that Member State's central or regional government. It shall only be possible to draw on such facilities following the reasonably expected demand for a promotional loan and up to the amount of such demand linked to a subsequent reporting on the use of the funds disbursed.

02013R0575-20201228 → 02013R0575-20210629

Article 425 Inflows 1. Institutions shall report their liquidity inflows. Capped liquidity inflows shall be the liquidity inflows limited to 75 % of liquidity outflows. Institutions may exempt liquidity inflows from deposits placed with other institutions and qualifying for the treatments set out in Article 113(6) or (7) from this limit. Institutions may exempt liquidity inflows from monies due from borrowers and bond investors related to mortgage lending funded by bonds eligible for the treatment set out in Article 129(4), (5) or (6) or by bonds as referred to in Article 52(4) of Directive 2009/65/EC from this limit. Institutions may exempt inflows from promotional loans that the institutions have passed through. Subject to the prior approval of the competent authority responsible for supervision on an individual basis, the institution may fully or partially exempt inflows where the provider is a parent or a subsidiary institution of the institution or another subsidiary of the same parent institution or linked to the institution by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC. 2. The liquidity inflows shall be measured over the next 30 days. They shall comprise only contractual inflows from exposures that are not past due and for which the institution has no reason to expect non-performance within the 30-day time horizon. Liquidity inflows shall be reported in full with the following inflows reported separately: (a) monies due from customers that are not financial customers for the purposes of principal payment shall be reduced by 50 % of their value or by the contractual commitments to those customers to extend funding, whichever is higher. This does not apply to monies due from secured lending and capital market-driven transactions as defined in point (3) of Article 192 that are collateralised by liquid assets in accordance with Article 416 as referred to in point (d) of this paragraph. By way of derogation from the first subparagraph of this point, institutions that have received a commitment referred to in Article 424(6) in order for them to disburse a promotional loan to a final recipient may take an inflow into account up to the amount of the outflow they apply to the corresponding commitment to extend those promotional loans; (b) monies due from trade financing transactions referred to in point (b) of the second subparagraph of Article 162(3) with a residual maturity of up to 30 days, shall be taken into account in full as inflows; (c) assets loans with an undefined contractual end date shall be taken into account with a 20 % inflow inflow, provided that the contract allows the bank institution to withdraw and request payment within 30 days; (d) monies due from secured lending and capital market-driven transactions as defined in point (3) of Article 192 if they are collateralised by liquid assets as referred to in Article 416(1), shall not … 512 unchanged words … which are to be received in third countries where there are transfer restrictions or which are denominated in non-convertible currencies into account only to the extent that they correspond to outflows respectively in the third country or currency in question.

inserted text (02013R0575-20210629)

Article 428a
Application on a consolidated basis
Where the net stable funding ratio set out in this Title applies on a consolidated basis in accordance with Article 11(4), the following provisions shall apply:
(a) the assets and off-balance-sheet items of a subsidiary having its head office in a third country which are subject to required stable funding factors under the net stable funding requirement set out in the national law of that third country that are higher than those specified in Chapter 4 shall be subject to consolidation in accordance with the higher factors specified in the national law of that third country;
(b) the liabilities and own funds of a subsidiary having its head office in a third country which are subject to available stable funding factors under the net stable funding requirement set out in the national law of that third country that are lower than those specified in Chapter 3 shall be subject to consolidation in accordance with the lower factors specified in the national law of that third country;
(c) third-country assets which meet the requirements laid down in the delegated act referred to in Article 460(1) and which are held by a subsidiary having its head office in a third country shall not be recognised as liquid assets for consolidation purposes where they do not qualify as liquid assets under the national law of that third country which sets out the liquidity coverage requirement.
(d) investment firms that are not subject to this Title pursuant to Article 6(4) within the group shall be subject to Articles 413 and 428b on a consolidated basis; except as specified in this point, such investment firms shall remain subject to the detailed net stable funding requirement for investment firms as laid down in national law.

inserted text (02013R0575-20210629)

Article 428b
The net stable funding ratio
1. The net stable funding requirement laid down in Article 413(1) shall be equal to the ratio of the institution's available stable funding as referred to in Chapter 3 to the institution's required stable funding as referred to in Chapter 4, and shall be expressed as a percentage. Institutions shall calculate their net stable funding ratio in accordance with the following formula:Available stable fundingRequired stable fundingNet stable funding ratio %
2. Institutions shall maintain a net stable funding ratio of at least 100 %, calculated in the reporting currency for all their transactions, irrespective of their actual currency denomination.
3. Where, at any time, the net stable funding ratio of an institution has fallen below 100 %, or can be reasonably expected to fall below 100 %, the requirement laid down in Article 414 shall apply. The institution shall aim to restore its net stable funding ratio to the level referred to in paragraph 2 of this Article. Competent authorities shall assess the reasons for the institution's failure to comply with paragraph 2 of this Article before taking any supervisory measures.
4. Institutions shall calculate and monitor their net stable funding ratio in the reporting currency for all their transactions, irrespective of their actual currency denomination, and separately for their transactions denominated in each of the currencies that is subject to separate reporting in accordance with Article 415(2).
5. Institutions shall ensure that the distribution of their funding profile by currency denomination is generally consistent with the distribution of their assets by currency. Where appropriate, competent authorities may require institutions to restrict currency mismatches by setting limits on the proportion of required stable funding in a particular currency that can be met by available stable funding that is not denominated in that currency. That restriction may only be applied for a currency that is subject to separate reporting in accordance with Article 415(2).
In determining the level of any restriction on currency mismatches that may be applied in accordance with this Article, competent authorities shall at least consider:
(a) whether the institution has the ability to transfer available stable funding from one currency to another and across jurisdictions and legal entities within its group and the ability to swap currencies and raise funds in foreign currency markets over the one-year horizon of the net stable funding ratio;
(b) the impact of adverse exchange rate movements on existing mismatched positions and on the effectiveness of any foreign currency exchange hedges that are in place.
Any restriction on currency mismatches imposed in accordance with this Article shall constitute a specific liquidity requirement as referred to in Article 105 of Directive 2013/36/EU.

inserted text (02013R0575-20210629)

Article 428c
Calculation of the net stable funding ratio
1. Unless otherwise specified in this Title, institutions shall take into account assets, liabilities and off-balance-sheet items on a gross basis.
2. For the purpose of calculating their net stable funding ratio, institutions shall apply the appropriate stable funding factors set out in Chapters 3 and 4 to the accounting value of their assets, liabilities and off-balance-sheet items, unless otherwise specified in this Title.
3. Institutions shall not double count required stable funding and available stable funding.
Unless otherwise specified in this Title, where an item can be allocated to more than one required stable funding category, it shall be allocated to the required stable funding category that produces the greatest contractual required stable funding for that item.

inserted text (02013R0575-20210629)

Article 428d
Derivative contracts
1. Institutions shall apply this Article to calculate the amount of required stable funding for derivative contracts as referred to in Chapters 3 and 4.
2. Without prejudice to Article 428ah(2), institutions shall take into account the fair value of derivative positions on a net basis where those positions are included in the same netting set that fulfils the requirements set out in Article 429c(1). Where that is not the case, institutions shall take into account the fair value of derivative positions on a gross basis and shall treat those derivative positions as belonging to their own netting set for the purposes of Chapter 4.
3. For the purposes of this Title, the fair value of a netting set means the sum of the fair values of all the transactions included in a netting set.
4. Without prejudice to Article 428ah(2), all derivative contracts listed in points 2(a) to (e) of Annex II that involve a full exchange of principal amounts on the same date shall be calculated on a net basis across currencies, including for the purpose of reporting in a currency that is subject to separate reporting in accordance with Article 415(2), even where those transactions are not included in the same netting set that fulfils the requirements set out in Article 429c(1).
5. Cash received as collateral to mitigate the exposure of a derivative position shall be treated as such and shall not be treated as deposits to which Chapter 3 applies.
6. Competent authorities may decide, with the approval of the relevant central bank, to waive the impact of derivative contracts on the calculation of the net stable funding ratio, including through the determination of the required stable funding factors and of provisions and losses, provided that all the following conditions are met:
(a) those contracts have a residual maturity of less than six months;
(b) the counterparty is the ECB or the central bank of a Member State;
(c) the derivative contracts serve the monetary policy of the ECB or the central bank of a Member State.
Where a subsidiary having its head office in a third country benefits from the waiver referred to in the first subparagraph under the national law of that third country which sets out the net stable funding requirement, that waiver as specified in the national law of the third country shall be taken into account for consolidation purposes.

inserted text (02013R0575-20210629)

Article 428e
Netting of secured lending transactions and capital market-driven transactions
Assets and liabilities resulting from securities financing transactions with a single counterparty shall be calculated on a net basis, provided that those assets and liabilities comply with the netting conditions set out in Article 429b(4).

inserted text (02013R0575-20210629)

Article 428f
Interdependent assets and liabilities
1. Subject to prior approval of the competent authorities, an institution may treat an asset and a liability as interdependent, provided that all the following conditions are met:
(a) the institution acts solely as a pass-through unit to channel the funding from the liability into the corresponding interdependent asset;
(b) the individual interdependent assets and liabilities are clearly identifiable and have the same principal amount;
(c) the asset and interdependent liability have substantially matched maturities, with a maximum delay of 20 days between the maturity of the asset and the maturity of the liability;
(d) the interdependent liability has been requested pursuant to a legal, regulatory or contractual commitment and is not used to fund other assets;
(e) the principal payment flows from the asset are not used for other purposes than repaying the interdependent liability;
(f) the counterparties for each pair of interdependent assets and liabilities are not the same.
2. Assets and liabilities shall be considered to meet the conditions set out in paragraph 1 and be considered as interdependent where they are directly linked to the following products or services:
(a) centralised regulated savings, provided that institutions are legally required to transfer regulated deposits to a centralised fund which is set up and controlled by the central government of a Member State and which provides loans to promote public interest objectives, and provided that the transfer of deposits to the centralised fund occurs on at least a monthly basis;
(b) promotional loans and credit and liquidity facilities that fulfil the criteria set out in the delegated act referred to in Article 460(1) for institutions acting as simple intermediaries that do not incur any funding risk;
(c) covered bonds that meet all the following conditions:
(i) they are bonds referred to in Article 52(4) of Directive 2009/65/EC or they meet the eligibility requirements for the treatment set out in Article 129(4) or (5) of this Regulation;
(ii) the underlying loans are fully match funded with the covered bonds that were issued or the covered bonds have non-discretionary extendable maturity triggers of one year or more until the term of the underlying loans in the event of refinancing failure at the maturity date of the covered bond;
(d) derivative client clearing activities, provided that the institution does not provide to its clients guarantees of the performance of the CCP and, as a result, does not incur any funding risk.
3. EBA shall monitor assets and liabilities, as well as products and services that are treated as interdependent assets and liabilities under paragraphs 1 and 2, to determine whether and to what extent the suitability criteria laid down in paragraph 1 are met. EBA shall report to the Commission on the results of that monitoring and shall advise the Commission on whether an amendment to the conditions set out in paragraph 1 or an amendment to the list of products and services in paragraph 2 would be necessary.

inserted text (02013R0575-20210629)

Article 428g
Deposits in institutional protection schemes and cooperative networks
Where an institution belongs to an institutional protection scheme of the type referred to in Article 113(7), to a network that is eligible for the waiver provided for in Article 10, or to a cooperative network in a Member State, the sight deposits that the institution maintains with the central institution and that the depositing institution considers to be liquid assets pursuant to the delegated act referred to in Article 460(1) shall be subject to the following:
(a) the depositing institution shall apply the required stable funding factor under Section 2 of Chapter 4, depending on the treatment of those sight deposits as level 1, level 2A or level 2B assets pursuant to the delegated act referred to in Article 460(1) and depending on the relevant haircut applied to those sight deposits for the calculation of the liquidity coverage ratio;
(b) the central institution receiving the deposit shall apply the corresponding symmetric available stable funding factor.

inserted text (02013R0575-20210629)

Article 428h
Preferential treatment within a group or within an institutional protection scheme
1. By way of derogation from Chapters 3 and 4, where Article 428g does not apply, competent authorities may authorise institutions on a case-by-case basis to apply a higher available stable funding factor or a lower required stable funding factor to assets, liabilities and committed credit or liquidity facilities, provided that all the following conditions are met:
(a) the counterparty is one of the following:
(i) the parent or a subsidiary of the institution;
(ii) another subsidiary of the same parent;
(iii) an undertaking that is related to the institution within the meaning of Article 22(7) of Directive 2013/34/EU;
(iv) a member of the same institutional protection scheme referred to in Article 113(7) of this Regulation as the institution;
(v) the central body or an affiliated credit institution of a network or a cooperative group as referred to in Article 10 of this Regulation;
(b) there are reasons to expect that the liability or committed credit or liquidity facility received by the institution constitutes a more stable source of funding, or that the asset or committed credit or liquidity facility granted by the institution requires less stable funding over the one-year horizon of the net stable funding ratio than the same liability, asset or committed credit or liquidity facility received or granted by other counterparties;
(c) the counterparty applies a required stable funding factor that is equal to or higher than the higher available stable funding factor or applies an available stable funding factor that is equal to or lower than the lower required stable funding factor;
(d) the institution and the counterparty are established in the same Member State.
2. Where the institution and the counterparty are established in different Member States, competent authorities may waive the condition set out in point (d) of paragraph 1, provided that, in addition to the criteria set out in paragraph 1, the following criteria are met:
(a) there are legally binding agreements and commitments between group entities regarding the liability, asset or committed credit or liquidity facility;
(b) the funding provider presents a low funding risk profile;
(c) the funding risk profile of the recipient of the funding has been adequately taken into account in the liquidity risk management of the funding provider.
The competent authorities shall consult each other in accordance with point (b) of Article 20(1) to determine whether the additional criteria set out in this paragraph are met.

inserted text (02013R0575-20210629)

Article 428i
Calculation of the amount of available stable funding
Unless otherwise specified in this Chapter, the amount of available stable funding shall be calculated by multiplying the accounting value of various categories or types of liabilities and own funds by the available stable funding factors to be applied under Section 2. The total amount of available stable funding shall be the sum of the weighted amounts of liabilities and own funds.
Bonds and other debt securities that are issued by the institution, sold exclusively in the retail market, and held in a retail account, may be treated as belonging to the appropriate retail deposit category. Limitations shall be in place, such that those instruments cannot be bought and held by parties other than retail customers.

inserted text (02013R0575-20210629)

Article 428j
Residual maturity of a liability or of own funds
1. Unless otherwise specified in this Chapter, institutions shall take into account the residual contractual maturity of their liabilities and own funds to determine the available stable funding factors to be applied under Section 2.
2. Institutions shall take into account existing options in determining the residual maturity of a liability or of own funds. They shall do so on the assumption that the counterparty will redeem call options at the earliest possible date. For options exercisable at the discretion of the institution, the institution and the competent authorities shall take into account reputational factors that may limit an institution's ability not to exercise the option, in particular market expectations that institutions should redeem certain liabilities before their maturity.
3. Institutions shall treat deposits with fixed notice periods in accordance with their notice period, and shall treat term deposits in accordance with their residual maturity. By way of derogation from paragraph 2 of this Article, institutions shall not take into account options for early withdrawals where the depositor has to pay a material penalty for early withdrawals which occur in less than one year, such penalty being laid down in the delegated act referred to in Article 460(1), to determine the residual maturity of term retail deposits.
4. In order to determine the available stable funding factors to be applied under Section 2, institutions shall treat any portion of liabilities having a residual maturity of one year or more that matures in less than six months and any portion of such liabilities that matures between six months and less than one year as having a residual maturity of less than six months and between six months and less than one year, respectively.

inserted text (02013R0575-20210629)

Article 428k
0 % available stable funding factor
1. Unless otherwise specified in Articles 428l to 428o, all liabilities without a stated maturity, including short positions and open maturity positions, shall be subject to a 0 % available stable funding factor, with the exception of the following:
(a) deferred tax liabilities, which shall be treated in accordance with the nearest possible date on which such liabilities could be realised;
(b) minority interests, which shall be treated in accordance with the term of the instrument.
2. Deferred tax liabilities and minority interests as referred to in paragraph 1 shall be subject to one of the following factors:
(a) 0 %, where the effective residual maturity of the deferred tax liability or minority interest is less than six months;
(b) 50 %, where the effective residual maturity of the deferred tax liability or minority interest is a minimum of six months but less than one year;
(c) 100 %, where the effective residual maturity of the deferred tax liability or minority interest is one year or more.
3. The following liabilities shall be subject to a 0 % available stable funding factor:
(a) trade date payables arising from purchases of financial instruments, of foreign currencies and of commodities, that are expected to settle within the standard settlement cycle or period that is customary for the relevant exchange or type of transactions, or that have failed to settle but are nonetheless expected to settle;
(b) liabilities that are categorised as being interdependent with assets in accordance with Article 428f;
(c) liabilities with a residual maturity of less than six months provided by:
(i) the ECB or the central bank of a Member State;
(ii) the central bank of a third country;
(iii) financial customers;
(d) any other liabilities and capital items or instruments not referred to in Articles 428l to 428o.
4. Institutions shall apply a 0 % available stable funding factor to the absolute value of the difference, if negative, between the sum of fair values across all netting sets with positive fair value and the sum of fair values across all netting sets with negative fair value calculated in accordance with Article 428d.
The following rules shall apply to the calculation referred to in the first subparagraph:
(a) variation margin received by institutions from their counterparties shall be deducted from the fair value of a netting set with positive fair value where the collateral received as variation margin qualifies as a level 1 asset pursuant to the delegated act referred to in Article 460(1), excluding extremely high quality covered bonds specified in that delegated act, and where institutions are legally entitled and operationally able to reuse that collateral;
(b) all variation margin posted by institutions with their counterparties shall be deducted from the fair value of a netting set with negative fair value.

inserted text (02013R0575-20210629)

Article 428l
50 % available stable funding factor
The following liabilities shall be subject to a 50 % available stable funding factor:
(a) deposits received that fulfil the criteria for operational deposits set out in the delegated act referred to in Article 460(1);
(b) liabilities with a residual maturity of less than one year provided by:
(i) the central government of a Member State or of a third country;
(ii) regional governments or local authorities of a Member State or of a third country;
(iii) public sector entities in a Member State or in a third country;
(iv) multilateral development banks referred to in Article 117(2) and international organisations referred to in Article 118;
(v) non-financial corporate customers;
(vi) credit unions authorised by a competent authority, personal investment companies and clients that are deposit brokers to the extent that those liabilities do not fall under point (a) of this paragraph;
(c) liabilities with a residual contractual maturity of a minimum of six months but less than one year that are provided by:
(i) the ECB or the central bank of a Member State;
(ii) the central bank of a third country;
(iii) financial customers;
(d) any other liabilities with a residual maturity of a minimum of six months but less than one year not referred to in Articles 428m, 428n and 428o.

inserted text (02013R0575-20210629)

Article 428m
90 % available stable funding factor
Sight retail deposits, retail deposits with a fixed notice period of less than one year and term retail deposits having a residual maturity of less than one year that fulfil the relevant criteria for other retail deposits set out in the delegated act referred to in Article 460(1) shall be subject to a 90 % available stable funding factor.

inserted text (02013R0575-20210629)

Article 428n
95 % available stable funding factor
Sight retail deposits, retail deposits with a fixed notice period of less than one year and term retail deposits having a residual maturity of less than one year that fulfil the relevant criteria for stable retail deposits set out in the delegated act referred to in Article 460(1) shall be subject to a 95 % available stable funding factor.

inserted text (02013R0575-20210629)

Article 428o
100 % available stable funding factor
The following liabilities and capital items and instruments shall be subject to a 100 % available stable funding factor:
(a) the Common Equity Tier 1 items of the institution before the adjustments required pursuant to Articles 32 to 35, the deductions pursuant to Article 36 and the application of the exemptions and alternatives laid down in Articles 48, 49 and 79;
(b) the Additional Tier 1 items of the institution before the deduction of the items referred to in Article 56 and before Article 79 has been applied thereto, excluding any instruments with explicit or embedded options that, if exercised, would reduce the effective residual maturity to less than one year;
(c) the Tier 2 items of the institution before the deductions referred to in Article 66 and before the application of Article 79, having a residual maturity of one year or more, excluding any instruments with explicit or embedded options that, if exercised, would reduce the effective residual maturity to less than one year;
(d) any other capital instruments of the institution with a residual maturity of one year or more, excluding any instruments with explicit or embedded options that, if exercised, would reduce the effective residual maturity to less than one year;
(e) any other secured and unsecured borrowings and liabilities with a residual maturity of one year or more, including term deposits, unless otherwise specified in Articles 428k to 428n.

inserted text (02013R0575-20210629)

Article 428p
Calculation of the amount of required stable funding
1. Unless otherwise specified in this Chapter, the amount of required stable funding shall be calculated by multiplying the accounting value of various categories or types of assets and off-balance-sheet items by the required stable funding factors to be applied in accordance with Section 2. The total amount of required stable funding shall be the sum of the weighted amounts of assets and off-balance-sheet items.
2. Assets which institutions have borrowed, including in securities financing transactions, shall be excluded from the calculation of the amount of required stable funding where those assets are accounted for on the balance sheet of the institution and the institution does not have beneficial ownership of the asset.
Assets that institutions have borrowed, including in securities financing transactions, shall be subject to the required stable funding factors to be applied under Section 2 where those assets are not accounted for on the balance sheet of the institution but the institution does have beneficial ownership of the assets.
3. Assets that institutions have lent, including in securities financing transactions over which the institution retains beneficial ownership, shall be considered as encumbered assets for the purposes of this Chapter and shall be subject to the required stable funding factors to be applied under Section 2, even where the assets do not remain on the balance sheet of the institution. Otherwise, such assets shall be excluded from the calculation of the amount of required stable funding.
4. Assets that are encumbered for a residual maturity of six months or longer shall be assigned either the required stable funding factor that would be applied under Section 2 to those assets if they were held unencumbered or the required stable funding factor that is otherwise applicable to those encumbered assets, whichever factor is higher. The same shall apply where the residual maturity of the encumbered assets is shorter than the residual maturity of the transaction that is the source of encumbrance.
Assets that have less than six months remaining in the encumbrance period shall be subject to the required stable funding factors to be applied under Section 2 to the same assets if they were held unencumbered.
5. Where an institution reuses or repledges an asset that was borrowed, including in securities financing transactions, and that asset is accounted for off-balance-sheet, the transaction in relation to which that asset has been borrowed shall be treated as encumbered, provided that the transaction cannot mature without the institution returning the asset borrowed.
6. The following assets shall be considered to be unencumbered:
(a) assets included in a pool which are available for immediate use as collateral to obtain additional funding under committed or, where the pool is operated by a central bank, uncommitted but not yet funded, credit lines that are available to the institution; those assets shall include assets placed by a credit institution with a central institution in a cooperative network or institutional protection scheme; institutions shall assume that assets in the pool are encumbered in order of increasing liquidity on the basis of the liquidity classification pursuant to the delegated act referred to in Article 460(1), starting with assets ineligible for the liquidity buffer;
(b) assets that the institution has received as collateral for credit risk mitigation purposes in secured lending, secured funding or collateral exchange transactions and that the institution may dispose of;
(c) assets attached as non-mandatory overcollateralisation to a covered bond issuance.
7. In the case of non-standard, temporary operations conducted by the ECB or the central bank of a Member State or the central bank of a third country in order to fulfil its mandate in a period of market-wide financial stress or in exceptional macroeconomic circumstances, the following assets may receive a reduced required stable funding factor:
(a) by way of derogation from point (f) of Article 428ad and from point (a) of Article 428ah(1), assets encumbered for the purposes of the operations referred to in this subparagraph;
(b) by way of derogation from points (d)(i) and (d)(ii) of Article 428ad, from point (b) of Article 428af and from point (c) of Article 428ag, monies that result from the operations referred to in this subparagraph.
Competent authorities shall determine, in agreement with the central bank that is the counterparty to the transaction the required stable funding factor to be applied to the assets referred to in points (a) and (b) of the first subparagraph. For encumbered assets as referred to in point (a) of the first subparagraph, the required stable funding factor to be applied shall not be lower than the required stable funding factor that would apply under Section 2 to those assets if they were held unencumbered.
When applying a reduced required stable funding factor in accordance with the second subparagraph, competent authorities shall closely monitor the impact of that reduced factor on institutions' stable funding positions and shall take appropriate supervisory measures where necessary.
8. In order to avoid any double counting, institutions shall exclude assets that are associated with collateral that is recognised as variation margin posted in accordance with point (b) of Article 428k(4) and 428ah(2), recognised as initial margin posted, or recognised as a contribution to the default fund of a CCP in accordance with points (a) and (b) of Article 428ag from other parts of calculation of the amount of required stable funding in accordance with this Chapter.
9. Institutions shall include foreign currencies and commodities for which a purchase order has been executed in the calculation of the amount of required stable funding financial instruments. They shall exclude financial instruments, foreign currencies and commodities for which a sale order has been executed from the calculation of the amount of required stable funding, provided that those transactions are not reflected as derivatives or secured funding transactions on the institutions' balance sheet and that those transactions are to be reflected on the institutions' balance sheet when settled.
10. Competent authorities may determine the required stable funding factors to be applied to off-balance-sheet exposures that are not referred to in this Chapter to ensure that institutions hold an appropriate amount of available stable funding for the portion of those exposures that are expected to require funding over the one-year horizon of the net stable funding ratio. To determine those factors, competent authorities shall, in particular, take into account the material reputational damage to the institution that could result from not providing that funding.
Competent authorities shall report the types of off-balance-sheet exposures for which they have determined the required stable funding factors to EBA at least once a year. They shall include an explanation of the methodology applied to determine those factors in that report.

inserted text (02013R0575-20210629)

Article 428q
Residual maturity of an asset
1. Unless otherwise specified in this Chapter, institutions shall take into account the residual contractual maturity of their assets and off-balance-sheet transactions when determining the required stable funding factors to be applied to their assets and off-balance-sheet items under Section 2.
2. Institutions shall treat assets that have been segregated in accordance with Article 11(3) of Regulation (EU) No 648/2012 in accordance with the underlying exposure of those assets. Institutions shall, however, subject those assets to higher required stable funding factors, depending on the term of encumbrance to be determined by the competent authorities, who shall consider whether the institution is able to freely dispose of or exchange such assets and shall consider the term of the liabilities to the institutions' customers to whom that segregation requirement relates.
3. When calculating the residual maturity of an asset, institutions shall take options into account, based on the assumption that the issuer or counterparty will exercise any option to extend the maturity of an asset. For options that are exercisable at the discretion of the institution, the institution and competent authorities shall take into account reputational factors that may limit the institution's ability not to exercise the option, in particular markets' and clients' expectations that the institution should extend the maturity of certain assets at their maturity date.
4. In order to determine the required stable funding factors to be applied in accordance with Section 2, for amortising loans with a residual contractual maturity of one year or more, any portion that matures in less than six months and any portion that matures between six months and less than one year shall be treated as having a residual maturity of less than six months and between six months and less than one year, respectively.

inserted text (02013R0575-20210629)

Article 428r
0 % required stable funding factor
1. The following assets shall be subject to a 0 % required stable funding factor:
(a) unencumbered assets that are eligible as level 1 high quality liquid assets pursuant to the delegated act referred to in Article 460(1), excluding extremely high quality covered bonds specified in that delegated act, regardless of whether they comply with the operational requirements as set out in that delegated act;
(b) unencumbered shares or units in CIUs that are eligible for a 0 % haircut for the calculation of the liquidity coverage ratio pursuant to the delegated act referred to in Article 460(1), regardless of whether they comply with the operational requirements and with the requirements on the composition of the liquidity buffer set out in that delegated act;
(c) all reserves held by the institution in the ECB or in the central bank of a Member State or the central bank of a third country, including required reserves and excess reserves;
(d) all claims on the ECB, the central bank of a Member State or the central bank of a third country that have a residual maturity of less than six months;
(e) trade date receivables arising from sales of financial instruments, foreign currencies or commodities that are expected to settle within the standard settlement cycle or period that is customary for the relevant exchange or type of transaction, or that have failed to settle but are nonetheless expected to settle;
(f) assets that are categorised as being interdependent with liabilities in accordance with Article 428f;
(g) monies due from securities financing transactions with financial customers, where those transactions have a residual maturity of less than six months, where those monies due are collateralised by assets that qualify as level 1 assets pursuant to the delegated act referred to in Article 460(1), excluding extremely high quality covered bonds specified therein, and where the institution would be legally entitled and operationally able to reuse those assets for the duration of the transaction.
Institutions shall take the monies due referred to in point (g) of the first subparagraph of this paragraph into account on a net basis where Article 428e applies.
2. By way of derogation from point (c) of paragraph 1, competent authorities may decide, with the agreement of the relevant central bank, to apply a higher required stable funding factor to required reserves, taking into account, in particular, the extent to which reserve requirements exist over a one-year horizon and therefore require associated stable funding.
For subsidiaries having their head office in a third country, where the required central bank reserves are subject to a higher required stable funding factor under the net stable funding requirement set out in the national law of that third country, that higher required stable funding factor shall be taken into account for consolidation purposes.

inserted text (02013R0575-20210629)

Article 428s
5 % required stable funding factor
1. The following assets and off-balance-sheet items shall be subject to a 5 % required stable funding factor:
(a) unencumbered shares or units in CIUs that are eligible for a 5 % haircut for the calculation of the liquidity coverage ratio in accordance with the delegated act referred to in Article 460(1), regardless of whether they comply with the operational requirements and with the requirements on the composition of the liquidity buffer as set out in that delegated act;
(b) monies due from securities financing transactions with financial customers, where those transactions have a residual maturity of less than six months, other than those referred to in point (g) of Article 428r(1);
(c) the undrawn portion of committed credit and liquidity facilities pursuant to the delegated act referred to in Article 460(1);
(d) trade finance off-balance-sheet related products as referred to in Annex I with a residual maturity of less than six months.
Institutions shall take the monies due referred to in point (b) of the first subparagraph of this paragraph into account on a net basis where Article 428e applies.
2. For all netting sets of derivative contracts, institutions shall apply a 5 % required stable funding factor to the absolute fair value of those netting sets of derivative contracts, gross of any collateral posted, where those netting sets have a negative fair value. For the purposes of this paragraph, institutions shall determine the fair value as gross of any collateral posted or settlement payments and receipts related to market valuation changes of such contracts.

inserted text (02013R0575-20210629)

Article 428t
7 % required stable funding factor
Unencumbered assets that are eligible as level 1 extremely high quality covered bonds pursuant to the delegated act referred to in Article 460(1) shall be subject to a 7 % required stable funding factor, regardless of whether they comply with the operational requirements and with the requirements on the composition of the liquidity buffer as set out in that delegated act.

inserted text (02013R0575-20210629)

Article 428u
7,5 % required stable funding factor
Trade finance off-balance-sheet related products as referred to in Annex I with a residual maturity of at least six months but less than one year shall be subject to a 7,5 % required stable funding factor.

inserted text (02013R0575-20210629)

Article 428v
10 % required stable funding factor
The following assets and off-balance-sheet items shall be subject to a 10 % required stable funding factor:
(a) monies due from transactions with financial customers that have a residual maturity of less than six months other than those referred to in point (g) of Article 428r(1) and in point (b) of Article 428s(1);
(b) trade finance on-balance-sheet related products with a residual maturity of less than six months;
(c) trade finance off-balance-sheet related products as referred to in Annex I with a residual maturity of one year or more.

inserted text (02013R0575-20210629)

Article 428w
12 % required stable funding factor
Unencumbered shares or units in CIUs that are eligible for a 12 % haircut for the calculation of the liquidity coverage ratio in accordance with the delegated act referred to in Article 460(1) shall be subject to a 12 % required stable funding factor, regardless of whether they comply with the operational requirements and with the requirements on the composition of the liquidity buffer as set out in that delegated act.

inserted text (02013R0575-20210629)

Article 428x
15 % required stable funding factor
Unencumbered assets that are eligible as level 2A assets pursuant to the delegated act referred to in Article 460(1) shall be subject to a 15 % required stable funding factor, regardless of whether they comply with the operational requirements and with the requirements on the composition of the liquidity buffer as set out in that delegated act.

inserted text (02013R0575-20210629)

Article 428y
20 % required stable funding factor
Unencumbered shares or units in CIUs that are eligible for a 20 % haircut for the calculation of the liquidity coverage ratio in accordance with the delegated act referred to in Article 460(1) shall be subject to a 20 % required stable funding factor, regardless of whether they comply with the operational requirements and with the requirements on the composition of the liquidity buffer as set out in that delegated act.

inserted text (02013R0575-20210629)

Article 428z
25 % required stable funding factor
Unencumbered level 2B securitisations pursuant to the delegated act referred to in Article 460(1) shall be subject to a 25 % required stable funding factor, regardless of whether they comply with the operational requirements and with the requirements on the composition of the liquidity buffer as set out in that delegated act.

inserted text (02013R0575-20210629)

Article 428aa
30 % required stable funding factor
The following assets shall be subject to a 30 % required stable funding factor:
(a) unencumbered high quality covered bonds pursuant to the delegated act referred to in Article 460(1), regardless of whether they comply with the operational requirements and with the requirements on the composition of the liquidity buffer as set out in that delegated act;
(b) unencumbered shares or units in CIUs that are eligible for a 30 % haircut for the calculation of the liquidity coverage ratio in accordance with the delegated act referred to in Article 460(1), regardless of whether they comply with the operational requirements and with the requirements on the composition of the liquidity buffer as set out in that delegated act.

inserted text (02013R0575-20210629)

Article 428ab
35 % required stable funding factor
The following assets shall be subject to a 35 % required stable funding factor:
(a) unencumbered level 2B securitisations pursuant to the delegated act referred to in Article 460(1), regardless of whether they comply with the operational requirements and with the requirements on the composition of the liquidity buffer as set out in that delegated act;
(b) unencumbered shares or units in CIUs that are eligible for a 35 % haircut for the calculation of the liquidity coverage ratio pursuant to the delegated act referred to in Article 460(1), regardless of whether they comply with the operational requirements and with the requirements on the composition of the liquidity buffer as set out in that delegated act.

inserted text (02013R0575-20210629)

Article 428ac
40 % required stable funding factor
Unencumbered shares or units in CIUs that are eligible for a 40 % haircut for the calculation of the liquidity coverage ratio pursuant to the delegated act referred to in Article 460(1) shall be subject to a 40 % required stable funding factor, regardless of whether they comply with the operational requirements and with the requirements on the composition of the liquidity buffer as set out in that delegated act.

inserted text (02013R0575-20210629)

Article 428ad
50 % required stable funding factor
The following assets shall be subject to a 50 % required stable funding factor:
(a) unencumbered assets that are eligible as level 2B assets pursuant to the delegated act referred to in Article 460(1), excluding level 2B securitisations and high quality covered bonds pursuant to that delegated act, regardless of whether they comply with the operational requirements and with the requirements on the composition of the liquidity buffer as set out in that delegated act;
(b) deposits held by the institution in another financial institution that fulfil the criteria for operational deposits as set out in the delegated act referred to in Article 460(1);
(c) monies due from transactions with a residual maturity of less than one year with:
(i) the central government of a Member State or of a third country;
(ii) regional governments or local authorities in a Member State or in a third country;
(iii) public sector entities of a Member State or of a third country;
(iv) multilateral development banks referred to in Article 117(2) and international organisations referred to in Article 118;
(v) non-financial corporates, retail customers and SMEs;
(vi) credit unions authorised by a competent authority, personal investment companies and clients that are deposit brokers to the extent that those assets do not fall under point (b) of this paragraph;
(d) monies due from transactions with a residual maturity of at least six months but less than one year with:
(i) the European Central Bank or the central bank of a Member State;
(ii) the central bank of a third country;
(iii) financial customers;
(e) trade finance on-balance-sheet related products with a residual maturity of at least six months but less than one year;
(f) assets encumbered for a residual maturity of at least six months but less than one year, except where those assets would be assigned a higher required stable funding factor in accordance with Articles 428ae to 428ah if they were held unencumbered, in which case the higher required stable funding factor that would apply to those assets if they were held unencumbered shall apply;
(g) any other assets with a residual maturity of less than one year, unless otherwise specified in Articles 428r to 428ac.

inserted text (02013R0575-20210629)

Article 428ae
55 % required stable funding factor
Unencumbered shares or units in CIUs that are eligible for a 55 % haircut for the calculation of the liquidity coverage ratio in accordance with the delegated act referred to in Article 460(1) shall be subject to a 55 % required stable funding factor, regardless of whether they comply with the operational requirements and with the requirements on the composition of the liquidity buffer as set out in that delegated act.

inserted text (02013R0575-20210629)

Article 428af
65 % required stable funding factor
The following assets shall be subject to a 65 % required stable funding factor:
(a) unencumbered loans secured by mortgages on residential property or unencumbered residential loans fully guaranteed by an eligible protection provider as referred to in point (e) of Article 129(1) with a residual maturity of one year or more, provided that those loans are assigned a risk weight of 35 % or less in accordance with Chapter 2 of Title II of Part Three;
(b) unencumbered loans with a residual maturity of one year or more, excluding loans to financial customers and loans referred to in Articles 428r to 428ad, provided that those loans are assigned a risk weight of 35 % or less in accordance with Chapter 2 of Title II of Part Three.

inserted text (02013R0575-20210629)

Article 428ag
85 % required stable funding factor
The following assets and off-balance-sheet items shall be subject to a 85 % required stable funding factor:
(a) any assets and off-balance-sheet items, including cash, posted as initial margin for derivative contracts, unless those assets would be assigned a higher required stable funding factor in accordance with Article 428ah if held unencumbered, in which case the higher required stable funding factor that would apply to those assets if they were held unencumbered shall apply;
(b) any assets and off-balance-sheet items, including cash, posted as contribution to the default fund of a CCP, unless those would be assigned a higher required stable funding factor in accordance with Article 428ah if held unencumbered, in which case the higher required stable funding factor to be applied to the unencumbered asset shall apply;
(c) unencumbered loans with a residual maturity of one year or more, excluding loans to financial customers and loans referred to in Articles 428r to 428af, which are not past due for more than 90 days and which are assigned a risk weight of more than 35 % in accordance with Chapter 2 of Title II of Part Three;
(d) trade finance on-balance-sheet related products, with a residual maturity of one year or more;
(e) unencumbered securities with a residual maturity of one year or more that are not in default in accordance with Article 178 and that are not eligible as liquid assets pursuant to the delegated act referred to in Article 460(1);
(f) unencumbered exchange-traded equities that are not eligible as level 2B assets pursuant to the delegated act referred to in Article 460(1);
(g) physically traded commodities, including gold but excluding commodity derivatives;
(h) assets encumbered for a residual maturity of one year or more in a cover pool funded by covered bonds as referred to in Article 52(4) of Directive 2009/65/EC or covered bonds which meet the eligibility requirements for the treatment as set out in Article 129(4) or (5) of this Regulation.

inserted text (02013R0575-20210629)

Article 428ah
100 % required stable funding factor
1. The following assets shall be subject to a 100 % required stable funding factor:
(a) unless otherwise specified in this Chapter, any assets encumbered for a residual maturity of one year or more;
(b) any assets other than those referred to in Articles 428r to 428ag, including loans to financial customers having a residual contractual maturity of one year or more, non-performing exposures, items deducted from own funds, fixed assets, non-exchange-traded equities, retained interest, insurance assets, defaulted securities.
2. Institutions shall apply a 100 % required stable funding factor to the difference, if positive, between the sum of fair values across all netting sets with positive fair value and the sum of fair values across all netting sets with negative fair value calculated in accordance with Article 428d.
The following rules shall apply to the calculation referred to in the first subparagraph:
(a) variation margin received by institutions from their counterparties shall be deducted from the fair value of a netting set with positive fair value where the collateral received as variation margin qualifies as a level 1 asset pursuant to the delegated act referred to in Article 460(1), excluding extremely high quality covered bonds specified in that delegated act, and where institutions are legally entitled and operationally able to reuse that collateral;
(b) all variation margin posted by institutions with their counterparties shall be deducted from the fair value of a netting set with negative fair value.

inserted text (02013R0575-20210629)

Article 428ai
Derogation for small and non-complex institutions
By way of derogation from Chapters 3 and 4, small and non-complex institutions may choose, with the prior permission of their competent authority, to calculate the ratio between an institution's available stable funding as referred to in Chapter 6, and the institution's required stable funding as referred to in Chapter 7, expressed as a percentage.
A competent authority may require a small and non-complex institution to comply with the net stable funding requirement based on an institution's available stable funding as referred to in Chapter 3 and the required stable funding as referred to in Chapter 4 where it considers that the simplified methodology is not adequate to capture the funding risks of that institution.

inserted text (02013R0575-20210629)

Article 428aj
Simplified calculation of the amount of available stable funding
1. Unless otherwise specified in this Chapter, the amount of available stable funding shall be calculated by multiplying the accounting value of various categories or types of liabilities and own funds by the available stable funding factors to be applied under Section 2. The total amount of available stable funding shall be the sum of the weighted amounts of liabilities and own funds.
2. Bonds and other debt securities that are issued by the institution, sold exclusively in the retail market, and held in a retail account, may be treated as belonging to the appropriate retail deposit category. Limitations shall be in place, such that those instruments cannot be bought and held by parties other than retail customers.

inserted text (02013R0575-20210629)

Article 428ak
Residual maturity of a liability or own funds
1. Unless otherwise specified in this Chapter, institutions shall take into account the residual contractual maturity of their liabilities and own funds to determine the available stable funding factors to be applied under Section 2.
2. Institutions shall take into account existing options in determining the residual maturity of a liability or of own funds. They shall do so on the assumption that the counterparty will redeem call options at the earliest possible date. For options exercisable at the discretion of the institution, the institution and the competent authorities shall take into account reputational factors that may limit an institution's ability not to exercise the option, in particular market expectations that institutions should redeem certain liabilities before their maturity.
3. Institutions shall treat deposits with fixed notice periods in accordance with their notice period, and shall treat term deposits in accordance with their residual maturity. By way of derogation from paragraph 2 of this Article, institutions shall not take into account options for early withdrawals where the depositor has to pay a material penalty for early withdrawals which occur in less than one year, such penalty being laid down in the delegated act referred to in Article 460(1), to determine the residual maturity of term retail deposits.
4. In order to determine the available stable funding factors to be applied under Section 2, for liabilities with a residual contractual maturity of one year or more, any portion that matures in less than six months and any portion that matures between six months and less than one year, shall be treated as having a residual maturity of less than six months and between six months and less than one year, respectively.

inserted text (02013R0575-20210629)

Article 428al
0 % available stable funding factor
1. Unless otherwise specified in this Section, all liabilities without a stated maturity, including short positions and open maturity positions, shall be subject to a 0 % available stable funding factor, with the exception of the following:
(a) deferred tax liabilities, which shall be treated in accordance with the nearest possible date on which such liabilities could be realised;
(b) minority interests, which shall be treated in accordance with the term of the instrument concerned.
2. Deferred tax liabilities and minority interests as referred to in paragraph 1 shall be subject to one of the following factors:
(a) 0 %, where the effective residual maturity of the deferred tax liability or minority interest is less than one year;
(b) 100 %, where the effective residual maturity of the deferred tax liability or minority interest is one year or more.
3. The following liabilities shall be subject to a 0 % available stable funding factor:
(a) trade date payables arising from purchases of financial instruments, of foreign currencies and of commodities, that are expected to settle within the standard settlement cycle or period that is customary for the relevant exchange or type of transaction, or that have failed to settle but are nonetheless expected to settle;
(b) liabilities that are categorised as being interdependent with assets in accordance with Article 428f;
(c) liabilities with a residual maturity of less than one year provided by:
(i) the ECB or the central bank of a Member State;
(ii) the central bank of a third country;
(iii) financial customers;
(d) any other liabilities and capital items or instruments not referred to in this Article and Articles 428am to 428ap.
4. Institutions shall apply a 0 % available stable funding factor to the absolute value of the difference, if negative, between the sum of fair values across all netting sets with positive fair value and the sum of fair values across all netting sets with negative fair value calculated in accordance with Article 428d.
The following rules shall apply to the calculation referred to in the first subparagraph:
(a) variation margin received by institutions from their counterparties shall be deducted from the fair value of a netting set with positive fair value where the collateral received as variation margin qualifies as a level 1 asset pursuant to the delegated act referred to in Article 460(1), excluding extremely high quality covered bonds specified in that delegated act, and where institutions are legally entitled and operationally able to reuse that collateral;
(b) all variation margin posted by institutions with their counterparties shall be deducted from the fair value of a netting set with negative fair value.

inserted text (02013R0575-20210629)

Article 428am
50 % available stable funding factor
The following liabilities shall be subject to a 50 % available stable funding factor:
(a) deposits received that fulfil the criteria for operational deposits set out in the delegated act referred to in Article 460(1);
(b) liabilities with a residual maturity of less than one year provided by:
(i) the central government of a Member State or of a third country;
(ii) regional governments or local authorities in a Member State or in a third country;
(iii) public sector entities of a Member State or of a third country;
(iv) multilateral development banks referred to in Article 117(2) and international organisations referred to in Article 118;
(v) non-financial corporate customers;
(vi) credit unions authorised by a competent authority, personal investment companies and clients that are deposit brokers, with the exception of deposits received, that fulfil the criteria for operational deposits as set out in the delegated act referred to in Article 460(1).

inserted text (02013R0575-20210629)

Article 428an
90 % available stable funding factor
Sight retail deposits, retail deposits with a fixed notice period of less than one year and term retail deposits having a residual maturity of less than one year that fulfil the relevant criteria for other retail deposits set out in the delegated act referred to in Article 460(1) shall be subject to a 90 % available stable funding factor.

inserted text (02013R0575-20210629)

Article 428ao
95 % available stable funding factor
Sight retail deposits, retail deposits with a fixed notice period of less than one year and term retail deposits having a residual maturity of less than one year that fulfil the relevant criteria for stable retail deposits set out in the delegated act referred to in Article 460(1) shall be subject to a 95 % available stable funding factor.

inserted text (02013R0575-20210629)

Article 428ap
100 % available stable funding factor
The following liabilities and capital items and instruments shall be subject to a 100 % available stable funding factor:
(a) the Common Equity Tier 1 items of the institution before the adjustments required pursuant to Articles 32 to 35, the deductions pursuant to Article 36 and the application of the exemptions and alternatives laid down in Articles 48, 49 and 79;
(b) the Additional Tier 1 items of the institution before the deduction of the items referred to in Article 56 and before Article 79 has been applied thereto, excluding any instruments with explicit or embedded options that, if exercised, would reduce the effective residual maturity to less than one year;
(c) the Tier 2 items of the institution before the deductions referred to in Article 66 and before the application of Article 79, having a residual maturity of one year or more, excluding any instruments with explicit or embedded options that, if exercised, would reduce the effective residual maturity to less than one year;
(d) any other capital instruments of the institution with a residual maturity of one year or more, excluding any instruments with explicit or embedded options that, if exercised, would reduce the effective residual maturity to less than one year;
(e) any other secured and unsecured borrowings and liabilities with a residual maturity of one year or more, including term deposits, unless otherwise specified in Articles 428al to 428ao.

inserted text (02013R0575-20210629)

Article 428aq
Simplified calculation of the amount of required stable funding
1. Unless otherwise specified in this Chapter, for small and non-complex institutions the amount of required stable funding shall be calculated by multiplying the accounting value of various categories or types of assets and off-balance-sheet items by the required stable funding factors to be applied in accordance with Section 2. The total amount of required stable funding shall be the sum of the weighted amounts of assets and off-balance-sheet items.
2. Assets that institutions have borrowed, including in securities financing transactions, that are accounted for in their balance sheet and on which they do not have beneficial ownership shall be excluded from the calculation of the amount of required stable funding.
Assets that institutions have borrowed, including in securities financing transactions, that are not accounted for in their balance sheet but on which they have beneficial ownership shall be subject to the required stable funding factors to be applied under Section 2.
3. Assets that institutions have lent, including in securities financing transactions, over which they retain beneficial ownership, even where they do not remain on their balance sheet, shall be considered as encumbered assets for the purposes of this Chapter and shall be subject to required stable funding factors to be applied under Section 2. Otherwise, such assets shall be excluded from the calculation of the amount of required stable funding.
4. Assets that are encumbered for a residual maturity of six months or longer shall be assigned either the required stable funding factor that would be applied under Section 2 to those assets if they were held unencumbered or the required stable funding factor that is otherwise applicable to those encumbered assets, whichever factor is higher. The same shall apply where the residual maturity of the encumbered assets is shorter than the residual maturity of the transaction that is the source of encumbrance.
Assets that have less than six months remaining in the encumbrance period shall be subject to the required stable funding factors to be applied under Section 2 to the same assets if they were held unencumbered.
5. Where an institution reuses or repledges an asset that was borrowed, including in securities financing transactions, and that is accounted for off-balance-sheet, the transaction through which that asset has been borrowed shall be treated as encumbered to the extent that the transaction cannot mature without the institution returning the asset borrowed.
6. The following assets shall be considered to be unencumbered:
(a) assets included in a pool which are available for immediate use as collateral to obtain additional funding under committed or, where the pool is operated by a central bank, uncommitted but not yet funded credit lines available to the institution, including assets placed by a credit institution with the central institution in a cooperative network or institutional protection scheme;
(b) assets that the institution has received as collateral for credit risk mitigation purposes in secured lending, secured funding or collateral exchange transactions and that the institution may dispose of;
(c) assets attached as non-mandatory over-collateralisation to a covered bond issuance.
For the purposes of point (a) of the first subparagraph of this paragraph, institutions shall assume that assets in the pool are encumbered in order of increasing liquidity on the basis of the liquidity classification set out in the delegated act referred to in Article 460(1), starting with assets ineligible for the liquidity buffer.
7. In the case of non-standard, temporary operations conducted by the ECB or the central bank of a Member State or the central bank of a third country in order to fulfil its mandate in a period of market-wide financial stress or exceptional macroeconomic circumstances, the following assets may receive a reduced required stable funding factor:
(a) by way of derogation from Article 428aw and from point (a) of Article 428az(1), assets encumbered for the operations referred to in this subparagraph;
(b) by way of derogation from Article 428aw and from point (b) of Article 428ay, monies resulting from the operations referred to in this subparagraph.
Competent authorities shall determine, in agreement with the central bank that is the counterparty to the transaction the required stable funding factor to be applied to the assets referred to in points (a) and (b) of the first subparagraph. For encumbered assets referred to in point (a) of the first subparagraph, the required stable funding factor to be applied shall not be lower than the required stable funding factor that would apply under Section 2 to those assets if they were held unencumbered.
When applying a reduced required stable funding factor in accordance with the second subparagraph, competent authorities shall closely monitor the impact of that reduced factor on institutions' stable funding positions and take appropriate supervisory measures where necessary.
8. Institutions shall exclude assets associated with collateral recognised as variation margin posted in accordance with point (b) of Article 428k(4) and Article 428ah(2) or as initial margin posted or as contribution to the default fund of a CCP in accordance with points (a) and (b) of Article 428ag from other parts of calculation of the amount of required stable funding in accordance with this Chapter in order to avoid any double counting.
9. Institutions shall include in the calculation of the amount of required stable funding financial instruments, foreign currencies and commodities for which a purchase order has been executed. They shall exclude from the calculation of the amount of required stable funding financial instruments, foreign currencies and commodities for which a sale order has been executed, provided that those transactions are not reflected as derivatives or secured funding transactions on the institutions' balance sheet and that those transactions are to be reflected on the institutions' balance sheet when settled.
10. Competent authorities may determine the required stable funding factors to be applied to off-balance-sheet exposures that are not referred to in this Chapter to ensure that institutions hold an appropriate amount of available stable funding for the portion of those exposures that are expected to require funding over the one-year horizon of the net stable funding ratio. To determine those factors, competent authorities shall, in particular, take into account the material reputational damage to the institution that could result from not providing that funding.
Competent authorities shall report to EBA the types of off-balance-sheet exposures for which they have determined the required stable funding factors at least once a year. They shall include in that report an explanation of the methodology applied to determine those factors.

inserted text (02013R0575-20210629)

Article 428ar
Residual maturity of an asset
1. Unless otherwise specified in this Chapter, institutions shall take into account the residual contractual maturity of their assets and off-balance-sheet transactions when determining the required stable funding factors to be applied to their assets and off-balance-sheet items under Section 2.
2. Institutions shall treat assets that have been segregated in accordance with Article 11(3) of Regulation (EU) No 648/2012 in accordance with the underlying exposure of those assets. Institutions shall, however, subject those assets to higher required stable funding factors, depending on the term of encumbrance to be determined by the competent authorities, who shall consider whether the institution is able to freely dispose of or exchange such assets and shall consider the term of the liabilities to the institutions' customers to whom that segregation requirement relates.
3. When calculating the residual maturity of an asset, institutions shall take options into account, based on the assumption that the issuer or counterparty will exercise any option to extend the maturity of an asset. For options that are exercisable at the discretion of the institution, the institution and competent authorities shall take into account reputational factors that may limit the institution's ability not to exercise the option, in particular markets' and clients' expectations that the institution should extend the maturity of certain assets at their maturity date.
4. In order to determine the required stable funding factors to be applied in accordance with Section 2, for amortising loans with a residual contractual maturity of one year or more, the portions that mature in less than six months and between six months and less than one year shall be treated as having a residual maturity of less than six months and between six months and less than one year respectively.

inserted text (02013R0575-20210629)

Article 428as
0 % required stable funding factor
1. The following assets shall be subject to a 0 % required stable funding factor:
(a) unencumbered assets that are eligible as level 1 high quality liquid assets pursuant to the delegated act referred to in Article 460(1), excluding extremely high quality covered bonds specified in that delegated act, regardless of whether they comply with the operational requirements as set out in that delegated act;
(b) all reserves held by the institution in the ECB or in the central bank of a Member State or the central bank of a third country, including required reserves and excess reserves;
(c) all claims on the ECB, the central bank of a Member State or the central bank of a third country that have a residual maturity of less than six months;
(d) assets that are categorised as being interdependent with liabilities in accordance with Article 428f.
2. By way of derogation from point (b) of paragraph 1, competent authorities may decide, with the agreement of the relevant central bank, to apply a higher required stable funding factor to required reserves, taking into account, in particular, the extent to which reserve requirements exist over a one-year horizon and therefore require associated stable funding.
For subsidiaries having their head office in a third country, where the required central bank reserves are subject to a higher required stable funding factor under the net stable funding requirement set out in the national law of that third country, that higher required stable funding factor shall be taken into account for consolidation purposes.

inserted text (02013R0575-20210629)

Article 428at
5 % required stable funding factor
1. The undrawn portion of committed credit and liquidity facilities specified in the delegated act referred to in Article 460(1) shall be subject to a 5 % required stable funding factor.
2. For all netting sets of derivative contracts, institutions shall apply a 5 % required stable funding factor to the absolute fair value of those netting sets of derivative contracts, gross of any collateral posted, where those netting sets have a negative fair value. For the purposes of this paragraph, institutions shall determine the fair value as gross of any collateral posted or settlement payments and receipts related to market valuation changes of such contracts.

inserted text (02013R0575-20210629)

Article 428au
10 % required stable funding factor
The following assets and off-balance-sheet items shall be subject to a 10 % required stable funding factor:
(a) unencumbered assets that are eligible as level 1 extremely high quality covered bonds pursuant to the delegated act referred to in Article 460(1), regardless of whether they comply with the operational requirements and with the requirements on the composition of the liquidity buffer as set out in that delegated act;
(b) trade finance off-balance-sheet related products as referred to in Annex I.

inserted text (02013R0575-20210629)

Article 428av
20 % required stable funding factor
Unencumbered assets that are eligible as level 2A assets pursuant to the delegated act referred to in Article 460(1), and unencumbered shares or units in CIUs pursuant to that delegated act shall be subject to a 20 % required stable funding factor, regardless of whether they comply with the operational requirements and with the requirements on the composition of the liquidity buffer as set out in that delegated act.

inserted text (02013R0575-20210629)

Article 428aw
50 % required stable funding factor
The following assets shall be subject to a 50 % required stable funding factor:
(a) secured and unsecured loans with a residual maturity of less than one year and provided that they are encumbered less than one year;
(b) any other assets with a residual maturity of less than one year, unless otherwise specified in Articles 428as to 428av;
(c) assets encumbered for a residual maturity of at least six months but less than one year, except where those assets would be assigned a higher required stable funding factor in accordance with Articles 428ax, 428ay and 428az if they were held unencumbered, in which case the higher required stable funding factor that would apply to those assets if they were held unencumbered shall apply.

inserted text (02013R0575-20210629)

Article 428ax
55 % required stable funding factor
Assets that are eligible as level 2B assets pursuant to the delegated act referred to in Article 460(1), and shares or units in CIUs pursuant to that delegated act shall be subject to a 55 % required stable funding factor, regardless of whether they comply with the operational requirements and with the requirements on the composition of the liquidity buffer as set out in that delegated act, provided that they are encumbered less than one year.

inserted text (02013R0575-20210629)

Article 428ay
85 % required stable funding factor
The following assets and off-balance-sheet items shall be subject to a 85 % required stable funding factor:
(a) any assets and off-balance-sheet items, including cash, posted as initial margin for derivative contracts or posted as contribution to the default fund of a CCP, unless those assets would be assigned a higher required stable funding factor in accordance with Article 428az if held unencumbered, in which case the higher required stable funding factor that would apply to those assets if they were held unencumbered shall apply;
(b) unencumbered loans with a residual maturity of one year or more, excluding loans to financial customers, which are not past due for more than 90 days;
(c) trade finance on-balance-sheet related products, with a residual maturity of one year or more;
(d) unencumbered securities with a residual maturity of one year or more that are not in default in accordance with Article 178 and that are not eligible as liquid assets pursuant to the delegated act referred to in Article 460(1);
(e) unencumbered exchange-traded equities that are not eligible as level 2B assets pursuant to the delegated act referred to in Article 460(1);
(f) physically traded commodities, including gold but excluding commodity derivatives.

inserted text (02013R0575-20210629)

Article 428az
100 % required stable funding factor
1. The following assets shall be subject to a 100 % required stable funding factor:
(a) any assets encumbered for a residual maturity of one year or more;
(b) any assets other than those referred to in Articles 428as to 428ay, including loans to financial customers having a residual contractual maturity of one year or more, non-performing exposures, items deducted from own funds, fixed assets, non-exchange traded equities, retained interest, insurance assets, defaulted securities.
2. Institutions shall apply a 100 % required stable funding factor to the difference, if positive, between the sum of fair values across all netting sets with positive fair value and the sum of fair values across all netting sets with negative fair value calculated in accordance with Article 428d.
The following rules shall apply to the calculation referred to in the first subparagraph:
(a) variation margin received by institutions from their counterparties shall be deducted from the fair value of a netting set with positive fair value where the collateral received as variation margin qualifies as a level 1 asset pursuant to the delegated act referred to in Article 460(1), excluding extremely high quality covered bonds specified in that delegated act, and where institutions are legally entitled and operationally able to reuse that collateral;
(b) all variation margin posted by institutions with their counterparties shall be deducted from the fair value of a netting set with negative fair value.

texts differ too much for an inline diff; shown separately

before (02013R0575-20201228)

Article 429
Calculation of the leverage ratio
1. Institutions shall calculate their leverage ratio in accordance with the methodology set out in paragraphs 2 to 13.
2. The leverage ratio shall be calculated as an institution's capital measure divided by that institution's total exposure measure and shall be expressed as a percentage.
Institutions shall calculate the leverage ratio at the reporting reference date.
3. For the purposes of paragraph 2, the capital measure shall be the Tier 1 capital.
4. The total exposure measure shall be the sum of the exposure values of:
(a) assets referred to in paragraph 5 unless they are deducted when determining the capital measure referred to in paragraph 3;
(b) derivatives referred to in paragraph 9;
(c) add-ons for counterparty credit risk of repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions including those that are off-balance sheet referred to in Article 429b;
(d) off-balance sheet items referred to in paragraph 10.
5. Institutions shall determine the exposure value of assets, excluding contracts listed in Annex II and credit derivatives, in accordance with the following principles:
(a) the exposure values of assets means exposure values in accordance with the first sentence of Article 111(1);
(b) physical or financial collateral, guarantees or credit risk mitigation purchased shall not be used to reduce exposure values of assets;
(c) loans shall not be netted with deposits;
(d) repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions shall not be netted.
6. Institutions may deduct from the exposure measure set out in paragraph 4 of this Article the amounts deducted from Common equity Tier 1 capital in accordance with Article 36(1)(d).
7. Competent authorities may permit an institution not to include in the exposure measure exposures that can benefit from the treatment laid down in Article 113(6). Competent authorities may grant that permission only where all the conditions set out in points (a) to (e) of Article 113(6) are met and where they have given the approval laid down in Article 113(6).
8. By way of derogation from point (d) of paragraph 5, institutions may determine the exposure value of cash receivables and cash payables of repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions with the same counterparty on a net basis only if all the following conditions are met:
(a) the transactions have the same explicit final settlement date;
(b) the right to set off the amount owed to the counterparty with the amount owed by the counterparty is legally enforceable in all the following situations:
(i) in the normal course of business;
(ii) in the event of default, insolvency and bankruptcy;
(c) the counterparties intend to settle net, settle simultaneously, or the transactions are subject to a settlement mechanism that results in the functional equivalent of net settlement.
For the purposes of point (c) of the first subparagraph, a settlement mechanism results in the functional equivalent of net settlement if, on the settlement date, the net result of the cash flows of the transactions under that mechanism is equal to the single net amount under net settlement.
9. Institutions shall determine the exposure value of contracts listed in Annex II and of credit derivatives including those that are off-balance sheet, in accordance with Article 429a.
10. Institutions shall determine the exposure value of off-balance-sheet items, excluding contracts listed in Annex II, credit derivatives, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions, in accordance with Article 111(1). However, institutions shall not reduce the nominal value of those items by specific credit risk adjustments.
In accordance with Article 166(9), where a commitment refers to the extension of another commitment, the lower of the two conversion factors associated with the individual commitment shall be used. The exposure value of low risk off- balance sheet items referred to in Article 111(1)(d) shall be subject to a floor equal to 10 % of their nominal value.
11. An institution that is a clearing member of a QCCP may exclude from the calculation of the exposure measure trade exposures of the following items, provided that those trade exposures are cleared with that QCCP and meet, at the same time, the conditions laid down in Article 306(1)(c):
(a) contracts listed in Annex II;
(b) credit derivatives;
(c) repurchase transactions;
(d) securities or commodities lending or borrowing transactions;
(e) long settlement transactions;
(f) margin lending transactions.
12. Where an institution that is a clearing member of a QCCP guarantees to the QCCP the performance of a client that enters directly into derivative transactions with the QCCP, it shall include in the exposure measure the exposure resulting from the guarantee as a derivative exposure to the client in accordance with Article 429a.
13. Where national generally accepted accounting principles recognise fiduciary assets on balance sheet, in accordance with Article 10 of Directive 86/635/EEC, those assets may be excluded from the leverage ratio total exposure measure provided that they meet the criteria for non-recognition set out in International Accounting Standard (IAS) 39, as applicable under Regulation (EC) No 1606/2002, and, where applicable, the criteria for non-consolidation set out in International Financial Reporting Standard (IFRS) 10, as applicable under Regulation (EC) No 1606/2002.
14. Competent authorities may permit an institution to exclude from the exposure measure exposures that meet all of the following conditions:
(a) they are exposures to a public sector entity;
(b) they are treated in accordance with Article 116(4);
(c) they arise from deposits that the institution is legally obliged to transfer to the public sector entity referred to in point (a) for the purposes of funding general interest investments.

after (02013R0575-20210629)

Article 429
Calculation of the leverage ratio
1. Institutions shall calculate their leverage ratio in accordance with the methodology set out in paragraphs 2, 3 and 4.
2. The leverage ratio shall be calculated as an institution's capital measure divided by that institution's total exposure measure and shall be expressed as a percentage.
Institutions shall calculate the leverage ratio at the reporting reference date.
3. For the purposes of paragraph 2, the capital measure shall be the Tier 1 capital.
4. For the purposes of paragraph 2, the total exposure measure shall be the sum of the exposure values of:
(a) assets, excluding derivative contracts listed in Annex II, credit derivatives and the positions referred to in Article 429e, calculated in accordance with Article 429b(1);
(b) derivative contracts listed in Annex II and credit derivatives, including those contracts and credit derivatives that are off-balance-sheet, calculated in accordance with Articles 429c and 429d;
(c) add-ons for counterparty credit risk of securities financing transactions, including those that are off-balance-sheet, calculated in accordance with Article 429e;
(d) off-balance-sheet items, excluding derivative contracts listed in Annex II, credit derivatives, securities financing transactions and positions referred to in Articles 429d and 429g, calculated in accordance with Article 429f;
(e) regular-way purchases or sales awaiting settlement, calculated in accordance with Article 429g.
Institutions shall treat long settlement transactions in accordance with points (a) to (d) of the first subparagraph, as applicable.
Institutions may reduce the exposure values referred to in points (a) and (d) of the first subparagraph by the corresponding amount of general credit risk adjustments to on- and off-balance-sheet items, respectively, subject to a floor of 0 where the credit risk adjustments have reduced the Tier 1 capital.
5. By way of derogation from point (d) of paragraph 4, the following provisions shall apply:
(a) a derivative instrument that is considered an off-balance-sheet item in accordance with point (d) of paragraph 4 but is treated as a derivative in accordance with the applicable accounting framework, shall be subject to the treatment set out in that point;
(b) where a client of an institution acting as a clearing member enters directly into a derivative transaction with a CCP and the institution guarantees the performance of its client's trade exposures to the CCP arising from that transaction, the institution shall calculate its exposure resulting from the guarantee in accordance with point (b) of paragraph 4, as if that institution had entered directly into the transaction with the client, including with regard to the receipt or provision of cash variation margin.
The treatment set out in point (b) of the first subparagraph shall also apply to an institution acting as a higher-level client that guarantees the performance of its client's trade exposures.
For the purposes of point (b) of the first subparagraph and of the second subparagraph of this paragraph, institutions may consider an affiliated entity as a client only where that entity is outside the regulatory scope of consolidation at the level at which the requirement set out in point (d) of Article 92(3) is applied.
6. For the purposes of point (e) of paragraph 4 of this Article and Article 429g, regular-way purchase or sale means a purchase or a sale of a security under contracts for which the terms require delivery of the security within the period established generally by law or convention in the marketplace concerned.
7. Unless otherwise expressly provided for in this Part, institutions shall calculate the total exposure measure in accordance with the following principles:
(a) physical or financial collateral, guarantees or credit risk mitigation purchased shall not be used to reduce the total exposure measure;
(b) assets shall not be netted with liabilities.
8. By way of derogation from point (b) of paragraph 7, institutions may reduce the exposure value of a pre-financing loan or an intermediate loan by the positive balance on the savings account of the debtor to which the loan was granted and only include the resulting amount in the total exposure measure, provided that all the following conditions are met:
(a) the granting of the loan is conditional upon the opening of the savings account at the institution granting the loan and both the loan and the savings account are regulated by the same sectoral law;
(b) the balance on the savings account cannot be withdrawn, in part or in full, by the debtor for the entire duration of the loan;
(c) the institution can unconditionally and irrevocably use the balance on the savings account to settle any claim originating under the loan agreement in cases regulated by the sectoral law referred to in point (a), including the case of non-payment by or the insolvency of the debtor.
Pre-financing loan or intermediate loan means a loan that is granted to the borrower for a limited period of time in order to bridge the borrower's financing gaps until the final loan is granted in accordance with the criteria laid down in the sectoral law regulating such transactions.

texts differ too much for an inline diff; shown separately

before (02013R0575-20201228)

Article 429a
Exposure value of derivatives
1. Institutions shall determine the exposure value of contracts listed in Annex II and of credit derivatives, including those that are off-balance sheet, in accordance with the method set out in Article 274. Institutions shall apply Article 299(2)(a) for the determination of the potential future credit exposure for credit derivatives.
When determining the potential future credit exposure of credit derivatives, institutions shall apply the principles laid down in Article 299(2)(a) to all their credit derivatives, not only those assigned to the trading book.
In determining the exposure value, institutions may take into account the effects of contracts for novation and other netting agreements in accordance with Article 295. Cross-product netting shall not apply. However, institutions may net within the product category referred to in point (25)(c) of Article 272 and credit derivatives when they are subject to a contractual cross-product netting agreement referred to in Article 295(c).
2. Where the provision of collateral related to derivatives contracts reduces the amount of assets under the applicable accounting framework, institutions shall reverse that reduction.
3. For the purposes of paragraph 1, institutions may deduct variation margin received in cash from the counterparty from the current replacement cost portion of the exposure value in so far as under the applicable accounting framework the variation margin has not already been recognised as a reduction of the exposure value and when all the following conditions are met:
(a) for trades not cleared through a QCCP, the cash received by the recipient counterparty is not segregated;
(b) the variation margin is calculated and exchanged on a daily basis based on mark-to-market valuation of derivatives positions;
(c) the variation margin received in cash is in the same currency as the currency of settlement of the derivative contract;
(d) the variation margin exchanged is the full amount that would be necessary to fully extinguish the mark-to-market exposure of the derivative subject to the threshold and minimum transfer amounts applicable to the counterparty;
(e) the derivative contract and the variation margin between the institution and the counterparty to that contract are covered by a single netting agreement that the institution may treat as risk-reducing in accordance with Article 295.
For the purposes of point (c) of the first subparagraph, where the derivative contract is subject to a qualifying master netting agreement, the currency of settlement means any currency of settlement specified in the derivative contract, the governing qualifying master netting agreement or the credit support annex to the qualifying master netting agreement.
Where under the applicable accounting framework an institution recognises the variation margin paid in cash to the counterparty as a receivable asset, it may exclude that asset from the exposure measure provided that the conditions in points (a) to (e) are met.
4. For the purposes of paragraph 3 the following shall apply:
(a) the deduction of variation margin received shall be limited to the positive current replacement cost portion of the exposure value;
(b) an institution shall not use variation margin received in cash to reduce the potential future credit exposure amount, including for the purposes of Article 298(1)(c)(ii);
5. In addition to the treatment laid down in paragraph 1, for written credit derivatives institutions shall include in the exposure value the effective notional amounts referenced by the written credit derivatives reduced by any negative fair value changes that have been incorporated in Tier 1 capital with respect to the written credit derivative. The resulting exposure value may be further reduced by the effective notional amount of a purchased credit derivative on the same reference name provided that all the following conditions are met:
(a) for single name credit derivatives, the credit derivatives purchased must be on a reference name which ranks pari passu with or is junior to the underlying reference obligation of the written credit derivative and a credit event on the senior reference asset would result in a credit event on the subordinated asset;
(b) where an institution purchases protection on a pool of reference names, the purchased protection may offset sold protection on a pool of reference names only if the pool of reference entities and the level of subordination in both transactions are identical;
(c) the remaining maturity of the credit derivative purchased is equal to or greater than the remaining maturity of the written credit derivative;
(d) in determining the additional exposure value for written credit derivatives, the notional amount of the purchased credit derivative is reduced by any positive fair value change that has been incorporated in Tier 1 capital with respect to the credit derivative purchased;
(e) for tranched products, the credit derivative purchased as protection is on a reference obligation which ranks equal to the underlying reference obligation of the written credit derivative.
Where the notional amount of a written credit derivative is not reduced by the notional amount of a purchased credit derivative, institutions may deduct the individual potential future exposure of that written credit derivative from the total potential future exposure determined according to paragraph 1 of this Article in conjunction with Article 274(2) or Article 299(2)(a) as applicable. In case that the potential future credit exposure shall be determined in conjunction with Article 298(1)(c)(ii), PCEgross may be reduced by the individual potential future exposure of written credit derivatives with no adjustment made to the NGR.
6. Institutions shall not reduce the written credit derivative effective notional amount where they buy credit protection through a total return swap and record the net payments received as net income, but do not record any offsetting deterioration in the value of the written credit derivative reflected in Tier 1 capital.
7. In case of purchased credit derivatives on a pool of reference entities, institutions may recognise a reduction according to paragraph 5 on written credit derivatives on individual reference names only if the protection purchased is economically equivalent to buying protection separately on each of the individual names in the pool. If an institution purchases a credit derivative on a pool of reference names, it may only recognise a reduction on a pool of written credit derivatives when the pool of reference entities and the level of subordination in both transactions are identical.
8. By way of derogation from paragraph 1 of this Article, institutions may use the method set out in Article 275 to determine the exposure value of contracts listed in points 1 and 2 of Annex II only where they also use that method for determining the exposure value of those contracts for the purposes of meeting the own funds requirements set out in Article 92.
When institutions apply the method set out in Article 275, they shall not reduce the exposure measure by the amount of variation margin received in cash.

after (02013R0575-20210629)

Article 429a
Exposures excluded from the total exposure measure
1. By way of derogation from Article 429(4), an institution may exclude any of the following exposures from its total exposure measure:
(a) the amounts deducted from Common Equity Tier 1 items in accordance with point (d) of Article 36(1);
(b) the assets deducted in the calculation of the capital measure referred to in Article 429(3);
(c) exposures that are assigned a risk weight of 0 % in accordance with Article 113(6) or (7);
(d) where the institution is a public development credit institution, the exposures arising from assets that constitute claims on central governments, regional governments, local authorities or public sector entities in relation to public sector investments and promotional loans;
(e) where the institution is not a public development credit institution, the parts of exposures arising from passing-through promotional loans to other credit institutions;
(f) the guaranteed parts of exposures arising from export credits that meet both of the following conditions:
(i) the guarantee is provided by an eligible provider of unfunded credit protection in accordance with Articles 201 and 202, including by export credit agencies or by central governments;
(ii) a 0 % risk weight applies to the guaranteed part of the exposure in accordance with Article 114(2) or (4) or Article 116(4);
(g) where the institution is a clearing member of a QCCP, the trade exposures of that institution, provided that they are cleared with that QCCP and meet the conditions set out in point (c) of Article 306(1);
(h) where the institution is a higher-level client within a multi-level client structure, the trade exposures to the clearing member or to an entity that serves as a higher-level client to that institution, provided that the conditions set out in Article 305(2) are met and provided that the institution is not obligated to reimburse its client for any losses suffered in the event of default of either the clearing member or the QCCP;
(i) fiduciary assets which meet all the following conditions:
(i) they are recognised on the institution's balance sheet by national generally accepted accounting principles, in accordance with Article 10 of Directive 86/635/EEC;
(ii) they meet the criteria for non-recognition set out in International Financial Reporting Standard (IFRS) 9, as applied in accordance with Regulation (EC) No 1606/2002;
(iii) they meet the criteria for non-consolidation set out in IFRS 10, as applied in accordance with Regulation (EC) No 1606/2002, where applicable;
(j) exposures that meet all the following conditions:
(i) they are exposures to a public sector entity;
(ii) they are treated in accordance with Article 116(4);
(iii) they arise from deposits that the institution is legally obliged to transfer to the public sector entity referred to in point (i) for the purpose of funding general interest investments;
(k) the excess collateral deposited at tri-party agents that has not been lent out;
(l) where under the applicable accounting framework an institution recognises the variation margin paid in cash to its counterparty as a receivable asset, the receivable asset, provided that the conditions set out in points (a) to (e) of Article 429c(3) are met;
(m) the securitised exposures from traditional securitisations that meet the conditions for significant risk transfer set out in Article 244(2);
(n) the following exposures to the institution’s central bank, subject to the conditions set out in paragraphs 5 and 6:
(i) coins and banknotes constituting legal currency in the jurisdiction of the central bank;
(ii) assets representing claims on the central bank, including reserves held at the central bank;
(o) where the institution is authorised in accordance with Article 16 and point (a) of Article 54(2) of Regulation (EU) No 909/2014, the institution's exposures due to banking-type ancillary services listed in point (a) of Section C of the Annex to that Regulation which are directly related to the core or ancillary services listed in Sections A and B of that Annex;
(p) where the institution is designated in accordance with point (b) of Article 54(2) of Regulation (EU) No 909/2014, the institution's exposures due to banking-type ancillary services listed in point (a) of Section C of the Annex to that Regulation which are directly related to the core or ancillary services of a central securities depository, authorised in accordance with Article 16 of that Regulation, listed in Sections A and B of that Annex.
For the purposes of point (m) of the first subparagraph, institutions shall include any retained exposure in the total exposure measure.
2. For the purposes of points (d) and (e) of paragraph 1, public development credit institution means a credit institution that meets all the following conditions:
(a) it has been established by a Member State's central government, regional government or local authority;
(b) its activity is limited to advancing specified objectives of financial, social or economic public policy in accordance with the laws and provisions governing that institution, including articles of association, on a non-competitive basis;
(c) its goal is not to maximise profit or market share;
(d) subject to Union State aid rules, the central government, regional government or local authority has an obligation to protect the credit institution's viability or directly or indirectly guarantees at least 90 % of the credit institution's own funds requirements, funding requirements or promotional loans granted;
(e) it does not take covered deposits as defined in point (5) of Article 2(1) of Directive 2014/49/EU or in national law implementing that Directive that may be classified as fixed term or savings deposits from consumers as defined in point (a) of Article 3 of Directive 2008/48/EC of the European Parliament and of the CouncilDirective 2008/48/EC of the European Parliament and of the Council of 23 April 2008 on credit agreements for consumers and repealing Council Directive 87/102/EEC (OJ L 133, 22.5.2008, p. 66)..
For the purposes of point (b) of the first subparagraph, public policy objectives may include the provision of financing for promotional or development purposes to specified economic sectors or geographical areas of the relevant Member State.
For the purposes of points (d) and (e) of the first subparagraph, and without prejudice to the Union State aid rules and the obligations of the Member States thereunder, competent authorities may, upon request of an institution, treat an organisationally, structurally and financially independent and autonomous unit of that institution as a public development credit institution, provided that the unit fulfils all the conditions listed in the first subparagraph and that such treatment does not affect the effectiveness of the supervision of that institution. Competent authorities shall without delay notify the Commission and EBA of any decision to treat, for the purposes of this subparagraph, a unit of an institution as a public development credit institution. The competent authority shall annually review such decision.
3. For the purposes of points (d) and (e) of paragraph 1 and point (d) of paragraph 2, promotional loan means a loan granted by a public development credit institution or an entity set up by the central government, regional government or local authority of a Member State, directly or through an intermediate credit institution on a non-competitive, not-for-profit basis, in order to promote the public policy objectives of the central government, regional government or local authority in a Member State.
4. Institutions shall not exclude the trade exposures referred to in points (g) and (h) of paragraph 1 of this Article, where the condition set out in the third subparagraph of Article 429(5) is not met.
5. Institutions may exclude the exposures listed in point (n) of paragraph 1 where all of the following conditions are met:
(a) the institution's competent authority has determined, after consultation with the relevant central bank, and publicly declared that exceptional circumstances exist that warrant the exclusion in order to facilitate the implementation of monetary policies;
(b) the exemption is granted for a limited period of time not exceeding one year;
(c) the institution’s competent authority has determined, after consultation with the relevant central bank, the date when the exceptional circumstances are deemed to have started and publicly announced that date; that date shall be set at the end of a quarter.
6. The exposures to be excluded under point (n) of paragraph 1 shall meet both of the following conditions:
(a) they are denominated in the same currency as the deposits taken by the institution;
(b) their average maturity does not significantly exceed the average maturity of the deposits taken by the institution.
7. By way of derogation from point (d) of Article 92(1), where an institution excludes the exposures referred to in point (n) of paragraph 1 of this Article, it shall at all times satisfy the following adjusted leverage ratio requirement for the duration of the exclusion:aLR3 %EMLREMLRCB
where:
aLR
the adjusted leverage ratio;
EMLR
the institution’s total exposure measure as calculated in accordance with Article 429(4), including the exposures excluded in accordance with point (n) of paragraph 1 of this Article, on the date referred to in point (c) of paragraph 5 of this Article; and
CB
the daily average total value of the institution’s exposures to its central bank, calculated over the full reserve maintenance period of the central bank immediately preceding the date referred to in point (c) of paragraph 5, that are eligible to be excluded in accordance with point (n) of paragraph 1.

texts differ too much for an inline diff; shown separately

before (02013R0575-20201228)

Article 429b
Counterparty credit risk add-on for repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions
1. In addition to the exposure value of repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions including those that are off-balance sheet in accordance with Article 429(5), institutions shall include in the exposure measure an add-on for counterparty credit risk determined in accordance to paragraph 2 or 3 of this Article, as applicable.
2. For the purposes of paragraph 1, for transactions with a counterparty which are not subject to a master netting agreement that meets the conditions laid down in Article 206 the add-on (Ei*)shall be determined on a transaction-by-transaction basis in accordance with the following formula:E*imax0, EiCi
where:
Ei is the fair value of securities or cash lent to the counterparty under transaction i;
Ci is the fair value of cash or securities received from the counterparty under transaction i.
3. For the purposes of paragraph 1, for transactions with a counterparty that are subject to a master netting agreement that meets the conditions laid down in Article 206, the add-on for those transactions (Ei*) shall be determined on an agreement-by-agreement basis in accordance with the following formula:E*imax0, iEiiCi
where:
Ei is the fair value of securities or cash lent to the counterparty for the transactions subject to master netting agreement i;
Ci is the fair value of cash or securities received from the counterparty subject to master netting agreement i.
4. By way of derogation from paragraph 1 of this Article, institutions may use the method set out in Article 222, subject to a 20 % floor for the applicable risk weight, to determine the add on for repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions including those that are off-balance sheet. Institutions may use this method only where they also use it for determining the exposure value of those transactions for the purpose of meeting the own funds requirements as set out in Article 92.
5. Where sale accounting is achieved for a repurchase transaction under its applicable accounting framework, the institution shall reverse all sales-related accounting entries.
6. Where an institution acts as an agent between two parties in repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions including those that are off-balance sheet, the following apply:
(a) where the institution provides an indemnity or guarantee to a customer or counterparty limited to any difference between the value of the security or cash the customer has lent and the value of collateral the borrower has provided it shall only include in the exposure measure the add-on determined in accordance with paragraph 2 or 3, as applicable;
(b) where the institution does not provide an indemnity or guarantee to any of the involved parties, the transaction shall not be included in the exposure measure;
(c) where the institution is economically exposed to the underlying security or cash in the transaction beyond the exposure covered by the add-on, it shall include also in the exposure measure an exposure equal to the full amount of the security or cash.

after (02013R0575-20210629)

Article 429b
Calculation of the exposure value of assets
1. Institutions shall calculate the exposure value of assets, excluding derivative contracts listed in Annex II, credit derivatives and the positions referred to in Article 429e in accordance with the following principles:
(a) the exposure values of assets means an exposure value as referred to in the first sentence of Article 111(1);
(b) securities financing transactions shall not be netted.
2. A cash pooling arrangement offered by an institution does not violate the condition set out in point (b) of Article 429(7) only where the arrangement meets both of the following conditions:
(a) the institution offering the cash pooling arrangement transfers the credit and debit balances of several individual accounts of entities of a group included in the arrangement (original accounts) into a separate, single account and thereby sets the balances of the original accounts to zero;
(b) the institution carries out the actions referred to in point (a) of this subparagraph on a daily basis.
For the purposes of this paragraph and paragraph 3, cash pooling arrangement means an arrangement whereby the credit or debit balances of several individual accounts are combined for the purposes of cash or liquidity management.
3. By way of derogation from paragraph 2 of this Article, a cash pooling arrangement that does not meet the condition set out in point (b) of that paragraph, but meets the condition set out in point (a) of that paragraph, does not violate the condition set out in point (b) of Article 429(7), provided that the arrangement meets all the following conditions:
(a) the institution has a legally enforceable right to set off the balances of the original accounts through the transfer into a single account at any point in time;
(b) there are no maturity mismatches between the balances of the original accounts;
(c) the institution charges or pays interest based on the combined balance of the original accounts;
(d) the competent authority of the institution considers that the frequency by which the balances of all original accounts are transferred is adequate for the purpose of including only the combined balance of the cash pooling arrangement in the total exposure measure.
4. By way of derogation from point (b) of paragraph 1, institutions may calculate the exposure value of cash receivable and cash payable under securities financing transactions with the same counterparty on a net basis only where all the following conditions are met:
(a) the transactions have the same explicit final settlement date;
(b) the right to set off the amount owed to the counterparty with the amount owed by the counterparty is legally enforceable in the normal course of business and in the event of default, insolvency and bankruptcy;
(c) the counterparties intend to settle on a net basis or to settle simultaneously, or the transactions are subject to a settlement mechanism that results in the functional equivalent of net settlement.
5. For the purposes of point (c) of paragraph 4, institutions may consider that a settlement mechanism results in the functional equivalent of net settlement only where, on the settlement date, the net result of the cash flows of the transactions under that mechanism is equal to the single net amount under net settlement and all the following conditions are met:
(a) the transactions are settled through the same settlement system or settlement systems using a common settlement infrastructure;
(b) the settlement arrangements are supported by cash or intraday credit facilities intended to ensure that the settlement of the transactions will occur by the end of the business day;
(c) any issues arising from the securities legs of the securities financing transactions do not interfere with the completion of the net settlement of the cash receivables and payables.
The condition set out in point (c) of the first subparagraph is met only where the failure of any securities financing transaction in the settlement mechanism may delay settlement of only the matching cash leg or may create an obligation to the settlement mechanism, supported by an associated credit facility.
Where there is a failure of the securities leg of a securities financing transaction in the settlement mechanism at the end of the window for settlement in the settlement mechanism, institutions shall split out this transaction and its matching cash leg from the netting set and treat them on a gross basis.

inserted text (02013R0575-20210629)

Article 429c
Calculation of the exposure value of derivatives
1. Institutions shall calculate the exposure value of derivative contracts listed in Annex II and of credit derivatives, including those that are off-balance-sheet, in accordance with the method set out in Section 3 of Chapter 6 of Title II of Part Three.
When calculating the exposure value, institutions may take into account the effects of contracts for novation and other netting agreements in accordance with Article 295. Institutions shall not take into account cross-product netting, but may net within the product category as referred to in point (25)(c) of Article 272 and credit derivatives where they are subject to a contractual cross-product netting agreement as referred to in point (c) of Article 295.
Institutions shall include in the total exposure measure sold options even where their exposure value can be set to zero in accordance with the treatment laid down in Article 274(5).
2. Where the provision of collateral related to derivative contracts reduces the amount of assets under the applicable accounting framework, institutions shall reverse that reduction.
3. For the purposes of paragraph 1 of this Article, institutions calculating the replacement cost of derivative contracts in accordance with Article 275 may recognise only collateral received in cash from their counterparties as the variation margin referred to in Article 275, where the applicable accounting framework has not already recognised the variation margin as a reduction of the exposure value and where all the following conditions are met:
(a) for trades not cleared through a QCCP, the cash received by the recipient counterparty is not segregated;
(b) the variation margin is calculated and exchanged at least daily based on a mark-to-market valuation of derivatives positions;
(c) the variation margin received is in a currency specified in the derivative contract, governing master netting agreement, credit support annex to the qualifying master netting agreement or as defined by any netting agreement with a QCCP;
(d) the variation margin received is the full amount that would be necessary to extinguish the mark-to-market exposure of the derivative contract subject to the threshold and minimum transfer amounts that are applicable to the counterparty;
(e) the derivative contract and the variation margin between the institution and the counterparty to that contract are covered by a single netting agreement that the institution may treat as risk-reducing in accordance with Article 295.
Where an institution provides cash collateral to a counterparty and that collateral meets the conditions set out in points (a) to (e) of the first subparagraph, the institution shall consider that collateral as the variation margin posted with the counterparty and shall include it in the calculation of the replacement cost.
For the purposes of point (b) of the first subparagraph, an institution shall be considered to have met the condition set out therein where the variation margin is exchanged on the morning of the trading day following the trading day on which the derivative contract was stipulated, provided that the exchange is based on the value of the contract at the end of the trading day on which the contract was stipulated.
For the purposes of point (d) of the first subparagraph, where a margin dispute arises, institutions may recognise the amount of non-disputed collateral that has been exchanged.
4. For the purposes of paragraph 1 of this Article, institutions shall not include collateral received in the calculation of NICA as defined in point (12a) of Article 272, except in the case of derivative contracts with clients where those contracts are cleared by a QCCP.
5. For the purposes of paragraph 1 of this Article, institutions shall set the value of the multiplier used in the calculation of the potential future exposure in accordance with Article 278(1) to one, except in the case of derivative contracts with clients where those contracts are cleared by a QCCP.
6. By way of derogation from paragraph 1 of this Article, institutions may use the method set out in Section 4 or 5 of Chapter 6 of Title II of Part Three to determine the exposure value of derivative contracts listed in points 1 and 2 of Annex II, but only where they also use that method for determining the exposure value of those contracts for the purpose of meeting the own funds requirements set out in Article 92.
Where institutions apply one of the methods referred to in the first subparagraph, they shall not reduce the total exposure measure by the amount of margin they have received.

inserted text (02013R0575-20210629)

Article 429d
Additional provisions on the calculation of the exposure value of written credit derivatives
1. For the purposes of this Article, written credit derivative means any financial instrument through which an institution effectively provides credit protection including credit default swaps, total return swaps and options where the institution has the obligation to provide credit protection under conditions specified in the options contract.
2. In addition to the calculation laid down in Article 429c, institutions shall include in the calculation of the exposure value of written credit derivatives the effective notional amounts referenced in the written credit derivatives reduced by any negative fair value changes that have been incorporated in Tier 1 capital with respect to those written credit derivatives.
Institutions shall calculate the effective notional amount of written credit derivatives by adjusting the notional amount of those derivatives to reflect the true exposure of the contracts that are leveraged or otherwise enhanced by the structure of the transaction.
3. Institutions may fully or partly reduce the exposure value calculated in accordance with paragraph 2 by the effective notional amount of purchased credit derivatives, provided that all the following conditions are met:
(a) the remaining maturity of the purchased credit derivative is equal to or greater than the remaining maturity of the written credit derivative;
(b) the purchased credit derivative is otherwise subject to the same or more conservative material terms as those in the corresponding written credit derivative;
(c) the purchased credit derivative is not purchased from a counterparty that would expose the institution to Specific Wrong-Way risk, as defined in point (b) of Article 291(1);
(d) where the effective notional amount of the written credit derivative is reduced by any negative change in fair value incorporated in the institution's Tier 1 capital, the effective notional amount of the purchased credit derivative is reduced by any positive fair value change that has been incorporated in Tier 1 capital;
(e) the purchased credit derivative is not included in a transaction that has been cleared by the institution on behalf of a client or that has been cleared by the institution in its role as a higher-level client in a multi-level client structure and for which the effective notional amount referenced by the corresponding written credit derivative is excluded from the total exposure measure in accordance with point (g) or (h) of the first subparagraph of Article 429a(1), as applicable.
For the purpose of calculating the potential future exposure in accordance with Article 429c(1), institutions may exclude from the netting set the portion of a written credit derivative which is not offset in accordance with the first subparagraph of this paragraph and for which the effective notional amount is included in the total exposure measure.
4. For the purposes of point (b) of paragraph 3, material term means any characteristic of the credit derivative that is relevant to the valuation thereof, including the level of subordination, the optionality, the credit events, the underlying reference entity or pool of entities, and the underlying reference obligation or pool of obligations, with the exception of the notional amount and the residual maturity of the credit derivative. Two reference names shall be the same only where they refer to the same legal entity.
5. By way of derogation from point (b) of paragraph 3, institutions may use purchased credit derivatives on a pool of reference names to offset written credit derivatives on individual reference names within that pool where the pool of reference entities and the level of subordination in both transactions are the same.
6. Institutions shall not reduce the effective notional amount of written credit derivatives where they buy credit protection through a total return swap and record the net payments received as net income, but do not record any offsetting deterioration in the value of the written credit derivative in Tier 1 capital.
7. In the case of purchased credit derivatives on a pool of reference obligations, institutions may reduce the effective notional amount of written credit derivatives on individual reference obligations by the effective notional amount of purchased credit derivatives in accordance with paragraph 3 only where the protection purchased is economically equivalent to buying protection separately on each of the individual obligations in the pool.

inserted text (02013R0575-20210629)

Article 429e
Counterparty credit risk add-on for securities financing transactions
1. In addition to the calculation of the exposure value of securities financing transactions, including those that are off-balance-sheet in accordance with Article 429b(1), institutions shall include in the total exposure measure an add-on for counterparty credit risk calculated in accordance with paragraph 2 or 3 of this Article, as applicable.
2. Institutions shall calculate the add-on for transactions with a counterparty that are not subject to a master netting agreement that meets the conditions set out in Article 206 on a transaction-by-transaction basis in accordance with the following formula:E*imax0, EiCi
where:
E*i
the add-on;
i
the index that denotes the transaction;
Ei
the fair value of securities or cash lent to the counterparty under transaction i; and
Ci
the fair value of securities or cash received from the counterparty under transaction i.
Institutions may set E*i equal to zero where Ei is the cash lent to a counterparty and the associated cash receivable is not eligible for the netting treatment set out in Article 429b(4).
3. Institutions shall calculate the add-on for transactions with a counterparty that are subject to a master netting agreement that meets the conditions set out in Article 206 on an agreement-by-agreement basis in accordance with the following formula:E*imax0, i Eii Ci
where:
E*i
the add-on;
i
the index that denotes the netting agreement;
Ei
the fair value of securities or cash lent to the counterparty for the transactions that are subject to master netting agreement i; and
Ci
the fair value of securities or cash received from the counterparty that is subject to master netting agreement i.
4. For the purposes of paragraphs 2 and 3, the term counterparty includes also tri-party agents that receive collateral in deposit and manage the collateral in the case of tri-party transactions.
5. By way of derogation from paragraph 1 of this Article, institutions may use the method set out in Article 222, subject to a 20 % floor for the applicable risk weight, to determine the add-on for securities financing transactions including those that are off-balance-sheet. Institutions may use that method only where they also use it for calculating the exposure value of those transactions for the purpose of meeting the own funds requirements as set out in points (a), (b) and (c) of Article 92(1).
6. Where sale accounting is achieved for a repurchase transaction under the applicable accounting framework, the institution shall reverse all sales-related accounting entries.
7. Where an institution acts as an agent between two parties in a securities financing transaction, including an off-balance-sheet transaction, the following provisions shall apply to the calculation of the institution's total exposure measure:
(a) where the institution provides an indemnity or guarantee to one of the parties in the securities financing transaction and the indemnity or guarantee is limited to any difference between the value of the security or cash the party has lent and the value of collateral the borrower has provided, the institution shall only include the add-on calculated in accordance with paragraph 2 or 3, as applicable, in the total exposure measure;
(b) where the institution does not provide an indemnity or guarantee to any of the involved parties, the transaction shall not be included in the total exposure measure;
(c) where the institution is economically exposed to the underlying security or the cash in the transaction to an amount greater than the exposure covered by the add-on, it shall include in the total exposure measure also the full amount of the security or the cash to which it is exposed;
(d) where the institution acting as agent provides an indemnity or guarantee to both parties involved in a securities financing transaction, the institution shall calculate its total exposure measure in accordance with points (a), (b) and (c) separately for each party involved in the transaction.

inserted text (02013R0575-20210629)

Article 429f
Calculation of the exposure value of off-balance-sheet items
1. Institutions shall calculate, in accordance with Article 111(1), the exposure value of off-balance-sheet items, excluding derivative contracts listed in Annex II, credit derivatives, securities financing transactions and positions referred to in Article 429d.
Where a commitment refers to the extension of another commitment, Article 166(9) shall apply.
2. By way of derogation from paragraph 1, institutions may reduce the credit exposure equivalent amount of an off-balance-sheet item by the corresponding amount of specific credit risk adjustments. The calculation shall be subject to a floor of zero.
3. By way of derogation from paragraph 1 of this Article, institutions shall apply a conversion factor of 10 % to low-risk off-balance-sheet items referred to in point (d) of Article 111(1).

inserted text (02013R0575-20210629)

Article 429g
Calculation of the exposure value of regular-way purchases and sales awaiting settlement
1. Institutions shall treat cash related to regular-way sales and securities related to regular-way purchases which remain on the balance sheet until the settlement date as assets in accordance with point (a) of Article 429(4).
2. Institutions that, in accordance with the applicable accounting framework, apply trade date accounting to regular-way purchases and sales which are awaiting settlement shall reverse out any offsetting between cash receivables for regular-way sales awaiting settlement and cash payables for regular-way purchase awaiting settlement allowed under that framework. After institutions have reversed out the accounting offsetting, they may offset between those cash receivables and cash payables where both the related regular-way sales and purchases are settled on a delivery-versus-payment basis.
3. Institutions that, in accordance with the applicable accounting framework, apply settlement date accounting to regular-way purchases and sales which are awaiting settlement shall include in the total exposure measure the full nominal value of commitments to pay related to regular-way purchases.
Institutions may offset the full nominal value of the commitments to pay related to regular-way purchases by the full nominal value of cash receivables related to regular-way sales awaiting settlement only where both of the following conditions are met:
(a) both the regular-way purchases and sales are settled on a delivery-versus-payment basis;
(b) the financial assets bought and sold that are associated with cash payables and receivables are fair valued through profit and loss and included in the institution's trading book.

02013R0575-20201228 → 02013R0575-20210629

Article 430 Reporting on prudential requirements and financial information 1. Institutions shall submit report to their competent authorities on: (a) own funds requirements, including the leverage ratio, as set out in Article 92 and Part Seven; (b) the requirements laid down in Articles 92a and 92b, for institutions that are subject to those requirements; (c) large exposures as set out in Article 394; (d) liquidity requirements as set out in Article 415; (e) the aggregate data for each national immovable property market as set out in Article 430a(1); (f) the requirements and guidance set out in Directive 2013/36/EU qualified for standardised reporting, except for any additional reporting requirement under point (j) of Article 104(1) of that Directive; (g) the level of asset encumbrance, including a breakdown by the type of asset encumbrance, such as repurchase agreements, securities lending, securitised exposures or loans. Institutions exempted in accordance with Article 6(5) shall not be subject to the competent authorities all necessary information reporting requirement on the leverage ratio set out in point (a) of the first subparagraph of this paragraph on an individual basis. 1a. For the purposes of point (a) of paragraph 1 of this Article, when institutions report on own funds requirements on securitisations, the information they report shall include information on NPE securitisations benefitting from the treatment set out in Article 269a, on STS on-balance sheet securitisations that they originate, and on the breakdown of the assets underlying those STS on-balance sheet securitisations by asset class. 2. In addition to the reporting on the leverage ratio referred to in point (a) of the first subparagraph of paragraph 1 and in order to enable the competent authorities to monitor leverage ratio volatility, in particular around reporting reference dates, large institutions shall report specific components of the leverage ratio to their competent authorities based on averages over the reporting period and the data used to calculate those averages. 3. In addition to the reporting on prudential requirements referred to in paragraph 1 of this Article, institutions shall report financial information to their competent authorities where they are one of the following: (a) an institution that is subject to Article 4 of Regulation (EC) No 1606/2002; (b) a credit institution that prepares its components consolidated accounts in accordance with the international accounting standards pursuant to point (b) of Article 429. 5 of Regulation (EC) No 1606/2002. 4. Competent authorities shall take into account may require credit institutions that determine their own funds on a consolidated basis in accordance with international accounting standards pursuant to Article 24(2) to report financial information in accordance with this Article. 5. The reporting on financial information when undertaking the supervisory review referred to in Article 97 paragraphs 3 and 4 shall only comprise information that is needed to provide a comprehensive view of Directive 2013/36/EU. Institutions shall also submit the institution's risk profile and the systemic risks posed by the institution to the competent authorities financial sector or the information required for the purposes of the preparation of the reports referred to real economy as set out in Article 511. Competent authorities shall submit the information received from institutions to EBA upon its request to facilitate the review referred to in Article 511. 2. EBA shall develop draft implementing technical standards to determine the uniform reporting template, the instructions on how to use such template, the frequencies and dates of reporting and the IT solutions, for the purposes of the reporting requirement laid down in paragraph 1. EBA shall submit those draft implementing technical standards to the Commission by 28 July 2013. Power is conferred on the Commission to adopt the implementing technical standards referred to in the first subparagraph in accordance with Article 15 of Regulation (EU) No 1093/2010. 6. The reporting requirements laid down in this Article shall be applied to institutions in a proportionate manner taking into account the report referred to in paragraph 8, having regard to their size, complexity and the nature and level of risk of their activities. 7. EBA shall develop draft implementing technical standards to specify the uniform reporting formats and templates, the instructions and methodology on how to use those templates, the frequency and dates of reporting, the definitions and the IT solutions for the … 549 unchanged words … a certain threshold; (ii) the reporting frequency required in accordance with points (a), (c), and (g) of paragraph 1 could be reduced for small and non-complex institutions. EBA shall accompany that report by draft implementing technical standards referred to in paragraph 7.9. Competent authorities shall consult EBA on whether institutions, other than those referred to in paragraphs 3 and 4, should report on financial information on a consolidated basis in accordance with paragraph 3, provided that all the following conditions are met: (a) the relevant institutions are not already reporting on a consolidated basis; (b) the relevant institutions are subject to an accounting framework in accordance with Directive 86/635/EEC; (c) financial reporting is considered necessary to provide a comprehensive view of the risk profile of those institutions' activities and of the systemic risks they pose to the financial sector or the real economy as set out in Regulation (EU) No 1093/2010. EBA shall develop draft implementing technical standards to specify the formats and templates that institutions referred to in the first subparagraph shall use for the purposes set out therein. Power is conferred on the Commission to adopt the implementing technical standards referred to in the second subparagraph in accordance with Article 15 of Regulation (EU) No 1093/2010. 10. Where a competent authority considers information not covered by the implementing technical standards referred to in paragraph 7 as necessary for the purposes set out in paragraph 5, it shall notify EBA and the ESRB of the additional information it considers necessary to include in the implementing technical standards referred to in that paragraph. 11. Competent authorities may waive the requirement to submit any of the data points set out in the reporting templates specified in the implementing technical standards referred to in this Article where those data points are duplicative. For those purposes, duplicative data points shall refer to any data points which are already available to the competent authorities by means other than by collecting those reporting templates, including where those data points can be obtained from data that is already available to the competent authorities in different formats or levels of granularity; the competent authority may only grant the waivers referred to in this paragraph if data received, collated or aggregated through such alternative methods are identical to those data points which would otherwise have to be reported in accordance with the respective implementing technical standards. Competent authorities, resolution authorities and designated authorities shall make use of data exchange wherever possible to reduce reporting requirements. The provisions on the exchange of information and professional secrecy as laid down in Section II of Chapter I of Title VII of Directive 2013/36/EU shall apply.

inserted text (02013R0575-20210629)

Article 430a
Specific reporting obligations
1. Institutions shall report to their competent authorities on an annual basis the following aggregate data for each national immovable property market to which they are exposed:
(a) losses stemming from exposures for which an institution has recognised residential property as collateral, up to the lower of the pledged amount and 80 % of the market value or 80 % of the mortgage lending value, unless otherwise decided under Article 124(2);
(b) overall losses stemming from exposures for which an institution has recognised residential property as collateral, up to the part of the exposure treated as fully secured by residential property in accordance with Article 124(1);
(c) the exposure value of all outstanding exposures for which an institution has recognised residential property as collateral limited to the part treated as fully secured by residential property in accordance with Article 124(1);
(d) losses stemming from exposures for which an institution has recognised immovable commercial property as collateral, up to the lower of the pledged amount and 50 % of the market value or 60 % of the mortgage lending value, unless otherwise decided under Article 124(2);
(e) overall losses stemming from exposures for which an institution has recognised immovable commercial property as collateral, up to the part of the exposure treated as fully secured by immovable commercial property in accordance with Article 124(1);
(f) the exposure value of all outstanding exposures for which an institution has recognised immovable commercial property as collateral limited to the part treated as fully secured by immovable commercial property in accordance with Article 124(1).
2. The data referred to in paragraph 1 shall be reported to the competent authority of the home Member State of the relevant institution. Where an institution has a branch in another Member State, the data relating to that branch shall also be reported to the competent authorities of the host Member State. The data shall be reported separately for each immovable property market within the Union to which the relevant institution is exposed.
3. The competent authorities shall publish annually on an aggregated basis the data specified in points (a) to (f) of paragraph 1, together with historical data, where available. A competent authority shall, upon the request of another competent authority in a Member State or EBA provide to that competent authority or EBA more detailed information on the condition of the residential property or commercial immovable property markets in that Member State.

02013R0575-20201228 → 02013R0575-20210629

Article 431 Scope of disclosure Disclosure requirements and policies 1. Institutions shall publicly disclose the information laid down referred to in Title II, subject to Titles II and III in accordance with the provisions laid down in this Title, subject to the exceptions referred to in Article 432. 2. Permission Institutions that have been granted permission by the competent authorities under Part Three for the instruments and methodologies referred to in Title III of this Part shall be subject to the public disclosure by institutions of publicly disclose the information laid down therein. 3. Institutions The management body or senior management shall adopt a formal policy policies to comply with the disclosure requirements laid down in this Part, Part and have put in place and maintain internal processes, systems and controls to verify that the institutions' disclosures are appropriate and in compliance with the requirements laid down in this Part. At least one member of the management body or senior management shall attest in writing that the relevant institution has made the disclosures required under this Part in accordance with the formal policies for assessing and internal processes, systems and controls. The written attestation and the appropriateness key elements of their disclosures, including their the institution's formal policies to comply with the disclosure requirements shall be included in institutions' disclosures. Information to be disclosed in accordance with this Part shall be subject to the same level of internal verification and frequency. as that applicable to the management report included in the institution's financial report. Institutions shall also have policies for assessing whether in place to verify that their disclosures convey their risk profile comprehensively to market participants. Where those institutions find that the disclosures required under this Part do not convey the risk profile comprehensively to market participants, institutions they shall publicly disclose the information necessary in addition to that the information required in accordance with paragraph 1. However, they to be disclosed under this Part. Nonetheless, institutions shall only be required to disclose information which that is material and not proprietary or confidential as referred to in accordance with Article 432. 4. All quantitative disclosures shall be accompanied by a qualitative narrative and any other supplementary information that may be necessary in order for the users of that information to understand the quantitative disclosures, noting in particular any significant change in any given disclosure compared to the information contained in the previous disclosures. 5. Institutions shall, if requested, explain their rating decisions to SMEs and other corporate applicants for loans, providing an explanation in writing when asked. The administrative costs of the that explanation shall be proportionate to the size of the loan.

02013R0575-20201228 → 02013R0575-20210629

Article 432 Non-material, proprietary or confidential information 1. With the exception of the disclosures laid down in point (c) of Article 435(2) and in Articles 437 and 450, institutions may omit one or more of the disclosures listed in Titles II and III where the information provided by those disclosures is not regarded as material. Information in disclosures shall be regarded as material where its omission or misstatement could change or influence the assessment or decision of a user of that information relying on it for the purpose of making economic decisions. EBA shall issue guidelines, in accordance with Article 16 of Regulation (EU) No 1093/2010, on how institutions have to apply materiality in relation to the disclosure requirements of Titles II and III. 2. Institutions may also omit one or more items of information referred to in Titles II and III where those items include information that is regarded as proprietary or confidential in accordance with this paragraph, except for the disclosures laid down in Articles 437 and 450. Information shall be regarded as proprietary to institutions where disclosing it publicly would undermine their competitive position. Proprietary information may include information on products or systems that would render the investments of institutions therein less valuable, if shared with competitors. Information shall be regarded as confidential where the institutions are obliged by customers or other counterparty relationships to keep that information confidential. EBA shall issue guidelines, in accordance with Article 16 of Regulation (EU) No 1093/2010, on how institutions have to apply proprietary and confidentiality in relation to the disclosure requirements of Titles II and III. 3. In the exceptional cases referred to in paragraph 2, the institution concerned shall state in its disclosures the fact that the specific items of information are not disclosed, being disclosed and the reason for non-disclosure, not disclosing those items, and publish more general information about the subject matter of the disclosure requirement, except where these are to be classified as that subject matter is, in itself, proprietary or confidential. 4. Paragraphs 1, 2 and 3 are without prejudice to the scope of liability for failure to disclose material information.

texts differ too much for an inline diff; shown separately

before (02013R0575-20201228)

Article 433
Frequency of disclosure
Institutions shall publish the disclosures required by this Part at least on an annual basis.
Annual disclosures shall be published in conjunction with the date of publication of the financial statements.
Institutions shall assess the need to publish some or all disclosures more frequently than annually in the light of the relevant characteristics of their business such as scale of operations, range of activities, presence in different countries, involvement in different financial sectors, and participation in international financial markets and payment, settlement and clearing systems. That assessment shall pay particular attention to the possible need for more frequent disclosure of items of information laid down in Article 437, and points (c) to (f) of Article 438, and information on risk exposure and other items prone to rapid change.
EBA shall, in accordance with Article 16 of Regulation (EU) No 1093/2010, issue guidelines by 31 December 2014 on institutions assessing more frequent disclosures of Titles II and III.

after (02013R0575-20210629)

Article 433
Frequency and scope of disclosures
Institutions shall publish the disclosures required under Titles II and III in the manner set out in Articles 433a, 433b and 433c.
Annual disclosures shall be published on the same date as the date on which institutions publish their financial statements or as soon as possible thereafter.
Semi-annual and quarterly disclosures shall be published on the same date as the date on which the institutions publish their financial reports for the corresponding period where applicable or as soon as possible thereafter.
Any delay between the date of publication of the disclosures required under this Part and the relevant financial statements shall be reasonable and, in any event, shall not exceed the timeframe set by competent authorities pursuant to Article 106 of Directive 2013/36/EU.

inserted text (02013R0575-20210629)

Article 433a
Disclosures by large institutions
1. Large institutions shall disclose the information outlined below with the following frequency:
(a) all the information required under this Part on an annual basis;
(b) on a semi-annual basis the information referred to in:
(i) point (a) of Article 437;
(ii) point (e) of Article 438;
(iii) points (e) to (l) of Article 439;
(iv) Article 440;
(v) points (c), (e), (f) and (g) of Article 442;
(vi) point (e) of Article 444;
(vii) Article 445;
(viii) point (a) and (b) of Article 448(1);
(ix) point (j) to (l) of Article 449;
(x) points (a) and (b) of Article 451(1);
(xi) Article 451a(3);
(xii) point (g) of Article 452;
(xiii) points (f) to (j) of Article 453;
(xiv) points (d), (e) and (g) of Article 455;
(c) on a quarterly basis the information referred to in:
(i) points (d) and (h) of Article 438;
(ii) the key metrics referred to in Article 447;
(iii) Article 451a(2).
2. By way of derogation from paragraph 1, large institutions other than G-SIIs that are non-listed institutions shall disclose the information outlined below with the following frequency:
(a) all the information required under this Part on an annual basis;
(b) the key metrics referred to in Article 447 on a semi-annual basis.
3. Large institutions that are subject to Article 92a or 92b shall disclose the information required under Article 437a on a semi-annual basis, except for the key metrics referred to in point (h) of Article 447, which are to be disclosed on a quarterly basis.

inserted text (02013R0575-20210629)

Article 433b
Disclosures by small and non-complex institutions
1. Small and non-complex institutions shall disclose the information outlined below with the following frequency:
(a) on an annual basis the information referred to in:
(i) points (a), (e) and (f) of Article 435(1);
(ii) point (d) of Article 438;
(iii) points (a) to (d), (h), (i), (j) of Article 450(1);
(b) on a semi-annual basis the key metrics referred to in Article 447.
2. By way of derogation from paragraph 1 of this Article, small and non-complex institutions that are non-listed institutions shall disclose the key metrics referred to in Article 447 on an annual basis.

inserted text (02013R0575-20210629)

Article 433c
Disclosures by other institutions
1. Institutions that are not subject to Article 433a or 433b shall disclose the information outlined below with the following frequency:
(a) all the information required under this Part on an annual basis;
(b) the key metrics referred to in Article 447 on a semi-annual basis.
2. By way of derogation from paragraph 1 of this Article, other institutions that are non-listed institutions shall disclose the following information on an annual basis:
(a) points (a), (e) and (f) of Article 435(1);
(b) points (a, (b) and (c) of Article 435(2);
(c) point (a) of Article 437;
(d) points (c) and (d) of Article 438;
(e) the key metrics referred to in Article 447;
(f) points (a) to (d), (h) to (k) of Article 450(1).

texts differ too much for an inline diff; shown separately

before (02013R0575-20201228)

Article 434
Means of disclosures
1. Institutions may determine the appropriate medium, location and means of verification to comply effectively with the disclosure requirements laid down in this Part. To the degree feasible, all disclosures shall be provided in one medium or location. If a similar piece of information is disclosed in two or more media, a reference to the synonymous information in the other media shall be included within each medium.
2. Equivalent disclosures made by institutions under accounting, listing or other requirements may be deemed to constitute compliance with this Part. If disclosures are not included in the financial statements, institutions shall unambiguously indicate in the financial statements where they can be found.

after (02013R0575-20210629)

Article 434
Means of disclosures
1. Institutions shall disclose all the information required under Titles II and III in electronic format and in a single medium or location. The single medium or location shall be a standalone document that provides a readily accessible source of prudential information for users of that information or a distinctive section included in or appended to the institutions' financial statements or financial reports containing the required disclosures and being easily identifiable to those users.
2. Institutions shall make available on their website or, in the absence of a website, in any other appropriate location an archive of the information required to be disclosed in accordance with this Part. That archive shall be kept accessible for a period of time that shall be no less than the storage period set by national law for information included in the institutions' financial reports.

02013R0575-20201228 → 02013R0575-20210629

Article 435 Risk Disclosure of risk management objectives and policies 1. Institutions shall disclose their risk management objectives and policies for each separate category of risk, including the risks referred to under in this Title. These Those disclosures shall include: (a) the strategies and processes to manage those categories of risks; (b) the structure and organisation of the relevant risk management function including information on the basis of its authority authority, its powers and statute, or other appropriate arrangements; accountability in accordance with the institution's incorporation and governing documents; (c) the scope and nature of risk reporting and measurement systems; (d) the policies for hedging and mitigating risk, and the strategies and processes for monitoring the continuing effectiveness of hedges and mitigants; (e) a declaration approved by the management body on the adequacy of the risk management arrangements of the relevant institution providing assurance that the risk management systems put in place are adequate with regard to the institution's profile and strategy; (f) a concise risk statement approved by the management body succinctly describing the relevant institution's overall risk profile associated with the business strategy. This strategy; that statement shall include include: (i) key ratios and figures providing external stakeholders with a comprehensive view of the institution's management of risk, including how the risk profile of the institution interacts with the risk tolerance set by the management body. body; (ii) information on intragroup transactions and transactions with related parties that may have a material impact of the risk profile of the consolidated group. 2. Institutions shall disclose the following information, including regular, at least annual updates, information regarding governance arrangements: (a) the number of directorships held by members of the management body; (b) the recruitment policy for the selection of members of the management body and their actual knowledge, skills and expertise; (c) the policy on diversity with regard to selection of members of the management body, its objectives and any relevant targets set out in that policy, and the extent to which these those objectives and targets have been achieved; (d) whether or not the institution has set up a separate risk committee and the number of times the risk committee has met; (e) the description of the information flow on risk to the management body.

texts differ too much for an inline diff; shown separately

before (02013R0575-20201228)

Article 436
Scope of application
Institutions shall disclose the following information regarding the scope of application of the requirements of this Regulation in accordance with Directive 2013/36/EU:
(a) the name of the institution to which the requirements of this Regulation apply;
(b) an outline of the differences in the basis of consolidation for accounting and prudential purposes, with a brief description of the entities therein, explaining whether they are:
(i) fully consolidated;
(ii) proportionally consolidated;
(iii) deducted from own funds;
(iv) neither consolidated nor deducted;
(c) any current or foreseen material practical or legal impediment to the prompt transfer of own funds or repayment of liabilities among the parent undertaking and its subsidiaries;
(d) the aggregate amount by which the actual own funds are less than required in all subsidiaries not included in the consolidation, and the name or names of such subsidiaries;
(e) if applicable, the circumstance of making use of the provisions laid down in Articles 7 and 9.

after (02013R0575-20210629)

Article 436
Disclosure of the scope of application
Institutions shall disclose the following information regarding the scope of application of this Regulation as follows:
(a) the name of the institution to which this Regulation applies;
(b) a reconciliation between the consolidated financial statements prepared in accordance with the applicable accounting framework and the consolidated financial statements prepared in accordance with the requirements on regulatory consolidation pursuant to Sections 2 and 3 of Title II of Part One; that reconciliation shall outline the differences between the accounting and regulatory scopes of consolidation and the legal entities included within the regulatory scope of consolidation where it differs from the accounting scope of consolidation; the outline of the legal entities included within the regulatory scope of consolidation shall describe the method of regulatory consolidation where it is different from the accounting consolidation method, whether those entities are fully or proportionally consolidated and whether the holdings in those legal entities are deducted from own funds;
(c) a breakdown of assets and liabilities of the consolidated financial statements prepared in accordance with the requirements on regulatory consolidation pursuant to Sections 2 and 3 of Title II of Part One, broken down by type of risks as referred to under this Part;
(d) a reconciliation identifying the main sources of differences between the carrying value amounts in the financial statements under the regulatory scope of consolidation as defined in Sections 2 and 3 of Title II of Part One, and the exposure amount used for regulatory purposes; that reconciliation shall be supplemented by qualitative information on those main sources of differences;
(e) for exposures from the trading book and the non-trading book that are adjusted in accordance with Article 34 and Article 105, a breakdown of the amounts of the constituent elements of an institution's prudent valuation adjustment, by type of risks, and the total of constituent elements separately for the trading book and non-trading book positions;
(f) any current or expected material practical or legal impediment to the prompt transfer of own funds or to the repayment of liabilities between the parent undertaking and its subsidiaries;
(g) the aggregate amount by which the actual own funds are less than required in all subsidiaries that are not included in the consolidation, and the name or names of those subsidiaries;
(h) where applicable, the circumstances under which use is made of the derogation referred to in Article 7 or the individual consolidation method laid down in Article 9.

02013R0575-20201228 → 02013R0575-20210629

Article 437 Own Disclosure of own funds 1. Institutions shall disclose the following information regarding their own funds: (a) a full reconciliation of Common Equity Tier 1 items, Additional Tier 1 items, Tier 2 items and the filters and deductions applied pursuant to Articles 32 to 35, 36, 56, 66 and 79 to own funds of the institution pursuant to Articles 32 to 36, 56, 66 and 79 with the balance sheet in the audited financial statements of the institution; (b) a description of the main features of the Common Equity Tier 1 and Additional Tier 1 instruments and Tier 2 instruments issued by the institution; (c) the full terms and conditions of all Common Equity Tier 1, Additional Tier 1 and Tier 2 instruments; (d) a separate disclosure of the nature and amounts of the following: (i) each prudential filter applied pursuant to Articles 32 to 35; (ii) each deduction made items deducted pursuant to Articles 36, 56 and 66; (iii) items not deducted in accordance with pursuant to Articles 47, 48, 56, 66 and 79; (e) a description of all restrictions applied to the calculation of own funds in accordance with this Regulation and the instruments, prudential filters and deductions to which those restrictions apply; (f) where institutions disclose a comprehensive explanation of the basis on which capital ratios are calculated where those capital ratios are calculated by using elements of own funds determined on a basis other than that the basis laid down in this Regulation, a comprehensive explanation of the basis on which those capital ratios are calculated. 2. EBA shall develop draft implementing technical standards to specify uniform templates for disclosure under points (a), (b), (d) and (e) of paragraph 1. EBA shall submit those draft implementing technical standards to the Commission by 28 July 2013. Power is conferred on the Commission to adopt the implementing technical standards referred to in the first subparagraph in accordance with Article 15 of Regulation (EU) No 1093/2010. Regulation.

inserted text (02013R0575-20210629)

Article 437a
Disclosure of own funds and eligible liabilities
Institutions that are subject to Article 92a or 92b shall disclose the following information regarding their own funds and eligible liabilities:
(a) the composition of their own funds and eligible liabilities, their maturity and their main features;
(b) the ranking of eligible liabilities in the creditor hierarchy;
(c) the total amount of each issuance of eligible liabilities instruments referred to in Article 72b and the amount of those issuances that is included in eligible liabilities items within the limits specified in Article 72b(3) and (4);
(d) the total amount of excluded liabilities referred to in Article 72a(2).

texts differ too much for an inline diff; shown separately

before (02013R0575-20201228)

Article 438
Capital requirements
Institutions shall disclose the following information regarding the compliance by the institution with the requirements laid down in Article 92 of this Regulation and in Article 73 of Directive 2013/36/EU:
(a) a summary of the institution's approach to assessing the adequacy of its internal capital to support current and future activities;
(b) upon demand from the relevant competent authority, the result of the institution's internal capital adequacy assessment process including the composition of the additional own funds requirements based on the supervisory review process as referred to in point (a) of Article 104(1) of Directive 2013/36/EU;
(c) for institutions calculating the risk-weighted exposure amounts in accordance with Chapter 2 of Part Three, Title II, 8 % of the risk-weighted exposure amounts for each of the exposure classes specified in Article 112;
(d) for institutions calculating risk-weighted exposure amounts in accordance with Chapter 3 of Part Three, Title II, 8 % of the risk-weighted exposure amounts for each of the exposure classes specified in Article 147. For the retail exposure class, this requirement applies to each of the categories of exposures to which the different correlations in Article 154(1) to (4) correspond. For the equity exposure class, this requirement applies to:
(i) each of the approaches provided in Article 155;
(ii) exchange traded exposures, private equity exposures in sufficiently diversified portfolios, and other exposures;
(iii) exposures subject to supervisory transition regarding own funds requirements;
(iv) exposures subject to grandfathering provisions regarding own funds requirements;
(e) own funds requirements calculated in accordance with points (b) and (c) of Article 92(3);
(f) own funds requirements calculated in accordance with Part Three, Title III, Chapters 2, 3 and 4 and disclosed separately.
The institutions calculating the risk-weighted exposure amounts in accordance with Article 153(5) or Article 155(2) shall disclose the exposures assigned to each category in Table 1 of Article 153(5), or to each risk weight mentioned in Article 155(2).

after (02013R0575-20210629)

Article 438
Disclosure of own funds requirements and risk-weighted exposure amounts
Institutions shall disclose the following information regarding their compliance with Article 92 of this Regulation and with the requirements laid down in Article 73 and in point (a) of Article 104(1) of Directive 2013/36/EU:
(a) a summary of their approach to assessing the adequacy of their internal capital to support current and future activities;
(b) the amount of the additional own funds requirements based on the supervisory review process as referred to in point (a) of Article 104(1) of Directive 2013/36/EU and its composition in terms of Common Equity Tier 1, additional Tier 1 and Tier 2 instruments;
(c) upon demand from the relevant competent authority, the result of the institution's internal capital adequacy assessment process;
(d) the total risk-weighted exposure amount and the corresponding total own funds requirement determined in accordance with Article 92, to be broken down by the different risk categories set out in Part Three and, where applicable, an explanation of the effect on the calculation of own funds and risk-weighted exposure amounts that results from applying capital floors and not deducting items from own funds;
(e) the on- and off-balance-sheet exposures, the risk-weighted exposure amounts and associated expected losses for each category of specialised lending referred to in Table 1 of Article 153(5) and the on- and off-balance-sheet exposures and risk-weighted exposure amounts for the categories of equity exposures set out in Article 155(2);
(f) the exposure value and the risk-weighted exposure amount of own funds instruments held in any insurance undertaking, reinsurance undertaking or insurance holding company that the institutions do not deduct from their own funds in accordance with Article 49 when calculating their capital requirements on an individual, sub-consolidated and consolidated basis;
(g) the supplementary own funds requirement and the capital adequacy ratio of the financial conglomerate calculated in accordance with Article 6 of Directive 2002/87/EC and Annex I to that Directive where method 1 or 2 set out in that Annex is applied;
(h) the variations in the risk-weighted exposure amounts of the current disclosure period compared to the immediately preceding disclosure period that result from the use of internal models, including an outline of the key drivers explaining those variations.

texts differ too much for an inline diff; shown separately

before (02013R0575-20201228)

Article 439
Exposure to counterparty credit risk
Institutions shall disclose the following information regarding the institution's exposure to counterparty credit risk as referred to in Part Three, Title II, Chapter 6:
(a) a discussion of the methodology used to assign internal capital and credit limits for counterparty credit exposures;
(b) a discussion of policies for securing collateral and establishing credit reserves;
(c) a discussion of policies with respect to Wrong-Way risk exposures;
(d) a discussion of the impact of the amount of collateral the institution would have to provide given a downgrade in its credit rating;
(e) gross positive fair value of contracts, netting benefits, netted current credit exposure, collateral held and net derivatives credit exposure. Net derivatives credit exposure is the credit exposure on derivatives transactions after considering both the benefits from legally enforceable netting agreements and collateral arrangements;
(f) measures for exposure value under the methods set out in Part Three, Title II, Chapter 6, Sections 3 to 6 whichever method is applicable;
(g) the notional value of credit derivative hedges, and the distribution of current credit exposure by types of credit exposure;
(h) the notional amounts of credit derivative transactions, segregated between use for the institution's own credit portfolio, as well as in its intermediation activities, including the distribution of the credit derivatives products used, broken down further by protection bought and sold within each product group;
(i) the estimate of α if the institution has received the permission of the competent authorities to estimate α.

after (02013R0575-20210629)

Article 439
Disclosure of exposures to counterparty credit risk
Institutions shall disclose the following information regarding their exposure to counterparty credit risk as referred to in Chapter 6 of Title II of Part Three:
(a) a description of the methodology used to assign internal capital and credit limits for counterparty credit exposures, including the methods to assign those limits to exposures to central counterparties;
(b) a description of policies related to guarantees and other credit risk mitigants, such as the policies for securing collateral and establishing credit reserves;
(c) a description of policies with respect to General Wrong-Way risk and Specific Wrong-Way risk as defined in Article 291;
(d) the amount of collateral the institution would have to provide if its credit rating was downgraded;
(e) the amount of segregated and unsegregated collateral received and posted per type of collateral, further broken down between collateral used for derivatives and securities financing transactions;
(f) for derivative transactions, the exposure values before and after the effect of the credit risk mitigation as determined under the methods set out in Sections 3 to 6 of Chapter 6 of Title II of Part Three, whichever method is applicable, and the associated risk exposure amounts broken down by applicable method;
(g) for securities financing transactions, the exposure values before and after the effect of the credit risk mitigation as determined under the methods set out in Chapters 4 and 6 of Title II of Part Three, whichever method is used, and the associated risk exposure amounts broken down by applicable method;
(h) the exposure values after credit risk mitigation effects and the associated risk exposures for credit valuation adjustment capital charge, separately for each method as set out in Title VI of Part Three;
(i) the exposure value to central counterparties and the associated risk exposures within the scope of Section 9 of Chapter 6 of Title II of Part Three, separately for qualifying and non-qualifying central counterparties, and broken down by types of exposures;
(j) the notional amounts and fair value of credit derivative transactions; credit derivative transactions shall be broken down by product type; within each product type, credit derivative transactions shall be broken down further by credit protection bought and credit protection sold;
(k) the estimate of alpha where the institution has received the permission of the competent authorities to use its own estimate of alpha in accordance with Article 284(9);
(l) separately, the disclosures included in point (e) of Article 444 and point (g) of Article 452;
(m) for institutions using the methods set out in Sections 4 to 5 of Chapter 6 of Title II Part Three, the size of their on- and off-balance-sheet derivative business as calculated in accordance with Article 273a(1) or (2), as applicable.
Where the central bank of a Member State provides liquidity assistance in the form of collateral swap transactions, the competent authority may exempt institutions from the requirements in points (d) and (e) of the first subparagraph where that competent authority considers that the disclosure of the information referred to therein could reveal that emergency liquidity assistance has been provided. For those purposes, the competent authority shall set out appropriate thresholds and objective criteria.

02013R0575-20201228 → 02013R0575-20210629

Article 440 Capital Disclosure of countercyclical capital buffers 1. An institution Institutions shall disclose the following information in relation to its their compliance with the requirement for a countercyclical capital buffer as referred to in Title VII, Chapter 4 of Title VII of Directive 2013/36/EU: (a) the geographical distribution of the exposure amounts and risk-weighted exposure amounts of its credit exposures relevant used as a basis for the calculation of its their countercyclical capital buffer; (b) the amount of its institution specific their institution-specific countercyclical capital buffer. 2. EBA shall develop draft regulatory technical standards specifying the disclosure requirements set out in paragraph 1. EBA shall submit those draft regulatory technical standards to the Commission by 31 December 2014. Power is delegated to the Commission to adopt the regulatory technical standards referred to in the first subparagraph in accordance with Articles 10 to 14 of Regulation (EU) No 1093/2010.

texts differ too much for an inline diff; shown separately

before (02013R0575-20201228)

Article 441
Indicators of global systemic importance
1. Institutions identified as G-SIIs in accordance with Article 131 of Directive 2013/36/EU shall disclose, on an annual basis, the values of the indicators used for determining the score of the institutions in accordance with the identification methodology referred to in that Article.
2. EBA shall develop draft implementing technical standards to specify the uniform formats and date for the purposes of the disclosure referred to in paragraph 1. In developing those technical standards, EBA shall take into account international standards.
EBA shall submit those draft implementing technical standards to the Commission by 1 July 2014.
Power is conferred on the Commission to adopt the implementing technical standards referred to in the first subparagraph in accordance with Article 15 of Regulation (EU) No 1093/2010.

after (02013R0575-20210629)

Article 441
Disclosure of indicators of global systemic importance
G-SIIs shall disclose, on an annual basis, the values of the indicators used for determining their score in accordance with the identification methodology referred to in Article 131 of Directive 2013/36/EU.

texts differ too much for an inline diff; shown separately

before (02013R0575-20201228)

Article 442
Credit risk adjustments
Institutions shall disclose the following information regarding the institution's exposure to credit risk and dilution risk:
(a) the definitions for accounting purposes of past due and impaired;
(b) a description of the approaches and methods adopted for determining specific and general credit risk adjustments;
(c) the total amount of exposures after accounting offsets and without taking into account the effects of credit risk mitigation, and the average amount of the exposures over the period broken down by different types of exposure classes;
(d) the geographic distribution of the exposures, broken down in significant areas by material exposure classes, and further detailed if appropriate;
(e) the distribution of the exposures by industry or counterparty type, broken down by exposure classes, including specifying exposure to SMEs, and further detailed if appropriate;
(f) the residual maturity breakdown of all the exposures, broken down by exposure classes, and further detailed if appropriate;
(g) by significant industry or counterparty type, the amount of:
(i) impaired exposures and past due exposures, provided separately;
(ii) specific and general credit risk adjustments;
(iii) charges for specific and general credit risk adjustments during the reporting period;
(h) the amount of the impaired exposures and past due exposures, provided separately, broken down by significant geographical areas including, if practical, the amounts of specific and general credit risk adjustments related to each geographical area;
(i) the reconciliation of changes in the specific and general credit risk adjustments for impaired exposures, shown separately. The information shall comprise:
(i) a description of the type of specific and general credit risk adjustments;
(ii) the opening balances;
(iii) the amounts taken against the credit risk adjustments during the reporting period;
(iv) the amounts set aside or reversed for estimated probable losses on exposures during the reporting period, any other adjustments including those determined by exchange rate differences, business combinations, acquisitions and disposals of subsidiaries, and transfers between credit risk adjustments;
(v) the closing balances.
Specific credit risk adjustments and recoveries recorded directly to the income statement shall be disclosed separately.

after (02013R0575-20210629)

Article 442
Disclosure of exposures to credit risk and dilution risk
Institutions shall disclose the following information regarding their exposures to credit risk and dilution risk:
(a) the scope and definitions that they use for accounting purposes of past due and impaired and the differences, if any, between the definitions of past due and default for accounting and regulatory purposes;
(b) a description of the approaches and methods adopted for determining specific and general credit risk adjustments;
(c) information on the amount and quality of performing, non-performing and forborne exposures for loans, debt securities and off-balance-sheet exposures, including their related accumulated impairment, provisions and negative fair value changes due to credit risk and amounts of collateral and financial guarantees received;
(d) an ageing analysis of accounting past due exposures;
(e) the gross carrying amounts of both defaulted and non-defaulted exposures, the accumulated specific and general credit risk adjustments, the accumulated write-offs taken against those exposures and the net carrying amounts and their distribution by geographical area and industry type and for loans, debt securities and off-balance-sheet exposures;
(f) any changes in the gross amount of defaulted on- and off-balance-sheet exposures, including, as a minimum, information on the opening and closing balances of those exposures, the gross amount of any of those exposures reverted to non-defaulted status or subject to a write-off;
(g) the breakdown of loans and debt securities by residual maturity.

texts differ too much for an inline diff; shown separately

before (02013R0575-20201228)

Article 443
Unencumbered assets
EBA shall issue guidelines specifying the disclosure of unencumbered assets, taking into account Recommendation ESRB/2012/2 of the European Systemic Risk Board of 20 December 2012 on funding of credit institutionsOJ C 119, 25.4.2013, p. 1. and in particular Recommendation D — Market transparency on asset encumbrance, by 30 June 2014. Those guidelines shall be adopted in accordance with Article 16 of Regulation (EU) No 1093/2010.
EBA shall develop draft regulatory technical standards to specify disclosure of the balance sheet value per exposure class broken down by asset quality and the total amount of the balance sheet value that is unencumbered, taking into account Recommendation ESRB/2012/2 and conditional on EBA considering in its report that such additional disclosure offers reliable and meaningful information.
EBA shall submit those draft regulatory technical standards to the Commission by 1 January 2016.
Power is delegated to the Commission to adopt the regulatory technical standards referred to in the first subparagraph in accordance with Articles 10 to 14 of Regulation (EU) No 1093/2010.

after (02013R0575-20210629)

Article 443
Disclosure of encumbered and unencumbered assets
Institutions shall disclose information concerning their encumbered and unencumbered assets. For those purposes, institutions shall use the carrying amount per exposure class broken down by asset quality and the total amount of the carrying amount that is encumbered and unencumbered. Disclosure of information on encumbered and unencumbered assets shall not reveal emergency liquidity assistance provided by central banks.

02013R0575-20201228 → 02013R0575-20210629

Article 444 Use Disclosure of ECAIs For institutions the use of the Standardised Approach Institutions calculating the their risk-weighted exposure amounts in accordance with Chapter 2 of Title II of Part Three, Title II, Chapter 2, Three shall disclose the following information shall be disclosed for each of the exposure classes specified set out in Article 112: (a) the names of the nominated ECAIs and ECAs and the reasons for any changes; changes in those nominations over the disclosure period; (b) the exposure classes for which each ECAI or ECA is used; (c) a description of the process used to transfer the issuer and issue credit assessments ratings onto items not included in the trading book; (d) the association of the external rating of each nominated ECAI or ECA with the risk weights that correspond to the credit quality steps prescribed as set out in Chapter 2 of Title II of Part Three, Title II, Chapter 2, taking into account that this it is not necessary to disclose that information needs not be disclosed if where the institution complies institutions comply with the standard association published by EBA; (e) the exposure values and the exposure values after credit risk mitigation associated with each credit quality step prescribed as set out in Chapter 2 of Title II of Part Three, Title II, Chapter 2 by exposure class, as well as those the exposure values deducted from own funds.

02013R0575-20201228 → 02013R0575-20210629

Article 445 Exposure Disclosure of exposure to market risk The institutions Institutions calculating their own funds requirements in accordance with points (b) and (c) of Article 92(3) shall disclose those requirements separately for each risk referred to in those provisions. points. In addition, the own funds requirement requirements for the specific interest rate risk of securitisation positions shall be disclosed separately.

02013R0575-20201228 → 02013R0575-20210629

Article 446 Operational Disclosure of operational risk management Institutions shall disclose the following information about their operational risk management: (a) the approaches for the assessment of own funds requirements for operational operation risk that the institution qualifies for; (b) where the institution makes use of it, a description of the methodology set out in Article 312(2), if used by the institution, including which shall include a discussion of the relevant internal and external factors being considered in the institution's advanced measurement approach, and approach; (c) in the case of partial use, the scope and coverage of the different methodologies used.

texts differ too much for an inline diff; shown separately

before (02013R0575-20201228)

Article 447
Exposures in equities not included in the trading book
Institutions shall disclose the following information regarding the exposures in equities not included in the trading book:
(a) the differentiation between exposures based on their objectives, including for capital gains relationship and strategic reasons, and an overview of the accounting techniques and valuation methodologies used, including key assumptions and practices affecting valuation and any significant changes in these practices;
(b) the balance sheet value, the fair value and, for those exchange-traded, a comparison to the market price where it is materially different from the fair value;
(c) the types, nature and amounts of exchange-traded exposures, private equity exposures in sufficiently diversified portfolios, and other exposures;
(d) the cumulative realised gains or losses arising from sales and liquidations in the period; and
(e) the total unrealised gains or losses, the total latent revaluation gains or losses, and any of these amounts included in Common Equity Tier 1 capital.

after (02013R0575-20210629)

Article 447
Disclosure of key metrics
Institutions shall disclose the following key metrics in a tabular format:
(a) the composition of their own funds and their own funds requirements as calculated in accordance with Article 92;
(b) the total risk exposure amount as calculated in accordance with Article 92(3);
(c) where applicable, the amount and composition of additional own funds which the institutions are required to hold in accordance with point (a) of Article 104(1) of Directive 2013/36/EU;
(d) their combined buffer requirement which the institutions are required to hold in accordance with Chapter 4 of Title VII of Directive 2013/36/EU;
(e) their leverage ratio and the total exposure measure as calculated in accordance with Article 429;
(f) the following information in relation to their liquidity coverage ratio as calculated in accordance with the delegated act referred to in Article 460(1):
(i) the average or averages, as applicable, of their liquidity coverage ratio based on end-of-the-month observations over the preceding 12 months for each quarter of the relevant disclosure period;
(ii) the average or averages, as applicable, of total liquid assets, after applying the relevant haircuts, included in the liquidity buffer pursuant to the delegated act referred to in Article 460(1), based on end-of-the-month observations over the preceding 12 months for each quarter of the relevant disclosure period;
(iii) the averages of their liquidity outflows, inflows and net liquidity outflows as calculated pursuant to the delegated act referred to in Article 460(1), based on end-of-the-month observations over the preceding 12 months for each quarter of the relevant disclosure period;
(g) the following information in relation to their net stable funding requirement as calculated in accordance with Title IV of Part Six:
(i) the net stable funding ratio at the end of each quarter of the relevant disclosure period;
(ii) the available stable funding at the end of each quarter of the relevant disclosure period;
(iii) the required stable funding at the end of each quarter of the relevant disclosure period;
(h) their own funds and eligible liabilities ratios and their components, numerator and denominator, as calculated in accordance with Articles 92a and 92b and broken down at the level of each resolution group, where applicable.

texts differ too much for an inline diff; shown separately

before (02013R0575-20201228)

Article 448
Exposure to interest rate risk on positions not included in the trading book
Institutions shall disclose the following information on their exposure to interest rate risk on positions not included in the trading book:
(a) the nature of the interest rate risk and the key assumptions (including assumptions regarding loan prepayments and behaviour of non-maturity deposits), and frequency of measurement of the interest rate risk;
(b) the variation in earnings, economic value or other relevant measure used by the management for upward and downward rate shocks according to management's method for measuring the interest rate risk, broken down by currency.

after (02013R0575-20210629)

Article 448
Disclosure of exposures to interest rate risk on positions not held in the trading book
1. As from 28 June 2021, institutions shall disclose the following quantitative and qualitative information on the risks arising from potential changes in interest rates that affect both the economic value of equity and the net interest income of their non-trading book activities referred to in Article 84 and Article 98(5) of Directive 2013/36/EU:
(a) the changes in the economic value of equity calculated under the six supervisory shock scenarios referred to in Article 98(5) of Directive 2013/36/EU for the current and previous disclosure periods;
(b) the changes in the net interest income calculated under the two supervisory shock scenarios referred to in Article 98(5) of Directive 2013/36/EU for the current and previous disclosure periods;
(c) a description of key modelling and parametric assumptions, other than those referred to in points (b) and (c) of Article 98(5a) of Directive 2013/36/EU used to calculate changes in the economic value of equity and in the net interest income required under points (a) and (b) of this paragraph;
(d) an explanation of the significance of the risk measures disclosed under points (a) and (b) of this paragraph and of any significant variations of those risk measures since the previous disclosure reference date;
(e) the description of how institutions define, measure, mitigate and control the interest rate risk of their non-trading book activities for the purposes of the competent authorities' review in accordance with Article 84 of Directive 2013/36/EU, including:
(i) a description of the specific risk measures that the institutions use to evaluate changes in their economic value of equity and in their net interest income;
(ii) a description of the key modelling and parametric assumptions used in the institutions' internal measurement systems that would differ from the common modelling and parametric assumptions referred to in Article 98(5a) of Directive 2013/36/EU for the purpose of calculating changes to the economic value of equity and to the net interest income, including the rationale for those differences;
(iii) a description of the interest rate shock scenarios that institutions use to estimate the interest rate risk;
(iv) the recognition of the effect of hedges against those interest rate risks, including internal hedges that meet the requirements laid down in Article 106(3);
(v) an outline of how often the evaluation of the interest rate risk occurs;
(f) the description of the overall risk management and mitigation strategies for those risks;
(g) average and longest repricing maturity assigned to non-maturity deposits.
2. By way of derogation from paragraph 1 of this Article, the requirements set out in points (c) and (e)(i) to (e)(iv) of paragraph 1 of this Article shall not apply to institutions that use the standardised methodology or the simplified standardised methodology referred to in Article 84(1) of Directive 2013/36/EU.

texts differ too much for an inline diff; shown separately

before (02013R0575-20201228)

Article 449
Exposure to securitisation positions
Institutions calculating risk-weighted exposure amounts in accordance with Part Three, Title II, Chapter 5 or own funds requirements in accordance with Article 337 or 338 shall disclose the following information, where relevant, separately for their trading and non-trading book:
(a) a description of the institution's objectives in relation to securitisation activity;
(b) the nature of other risks including liquidity risk inherent in securitised assets;
(c) the type of risks in terms of seniority of underlying securitisation positions and in terms of assets underlying those latter securitisation positions assumed and retained with re-securitisation activity;
(d) the different roles played by the institution in the securitisation process;
(e) an indication of the extent of the institution's involvement in each of the roles referred to in point (d);
(f) a description of the processes in place to monitor changes in the credit and market risk of securitisation exposures including, how the behaviour of the underlying assets impacts securitisation exposures and a description of how those processes differ for re-securitisation exposures;
(g) a description of the institution's policy governing the use of hedging and unfunded protection to mitigate the risks of retained securitisation and re-securitisation exposures, including identification of material hedge counterparties by relevant type of risk exposure;
(h) the approaches to calculating risk-weighted exposure amounts that the institution follows for its securitisation activities including the types of securitisation exposures to which each approach applies;
(i) the types of SSPE that the institution, as sponsor, uses to securitise third-party exposures including whether and in what form and to what extent the institution has exposures to those SSPEs, separately for on- and off-balance sheet exposures, as well as a list of the entities that the institution manages or advises and that invest in either the securitisation positions that the institution has securitised or in SSPEs that the institution sponsors;
(j) a summary of the institution's accounting policies for securitisation activities, including:
(i) whether the transactions are treated as sales or financings;
(ii) the recognition of gains on sales;
(iii) the methods, key assumptions, inputs and changes from the previous period for valuing securitisation positions;
(iv) the treatment of synthetic securitisations if not covered by other accounting policies;
(v) how assets awaiting securitisation are valued and whether they are recorded in the institution's non-trading book or the trading book;
(vi) policies for recognising liabilities on the balance sheet for arrangements that could require the institution to provide financial support for securitised assets;
(k) the names of the ECAIs used for securitisations and the types of exposure for which each agency is used;
(l) where applicable, a description of the Internal Assessment Approach as set out in Part Three, Title II, Chapter 5, Section 3, including the structure of the internal assessment process and relation between internal assessment and external ratings, the use of internal assessment other than for Internal Assessment Approach capital purposes, the control mechanisms for the internal assessment process including discussion of independence, accountability, and internal assessment process review, the exposure types to which the internal assessment process is applied and the stress factors used for determining credit enhancement levels, by exposure type;
(m) an explanation of significant changes to any of the quantitative disclosures in points (n) to (q) since the last reporting period;
(n) separately for the trading and the non-trading book, the following information broken down by exposure type:
(i) the total amount of outstanding exposures securitised by the institution, separately for traditional and synthetic securitisations and securitisations for which the institution acts only as sponsor;
(ii) the aggregate amount of on-balance sheet securitisation positions retained or purchased and off-balance sheet securitisation exposures;
(iii) the aggregate amount of assets awaiting securitisation;
(iv) for securitised facilities subject to the early amortisation treatment, the aggregate drawn exposures attributed to the originator's and investors' interests respectively, the aggregate capital requirements incurred by the institution against the originator's interest and the aggregate capital requirements incurred by the institution against the investor's shares of drawn balances and undrawn lines;
(v) the amount of securitisation positions that are deducted from own funds or risk-weighted at 1250 %;
(vi) a summary of the securitisation activity of the current period, including the amount of exposures securitised and recognised gain or loss on sale;
(o) separately for the trading and the non-trading book, the following information:
(i) the aggregate amount of securitisation positions retained or purchased and the associated capital requirements, broken down between securitisation and re-securitisation exposures and further broken down into a meaningful number of risk-weight or capital requirement bands, for each capital requirements approach used;
(ii) the aggregate amount of re-securitisation exposures retained or purchased broken down according to the exposure before and after hedging/insurance and the exposure to financial guarantors, broken down according to guarantor credit worthiness categories or guarantor name;
(p) for the non-trading book and regarding exposures securitised by the institution, the amount of impaired/past due assets securitised and the losses recognised by the institution during the current period, both broken down by exposure type;
(q) for the trading book, the total outstanding exposures securitised by the institution and subject to a capital requirement for market risk, broken down into traditional/synthetic and by exposure type;
(r) where applicable, whether the institution has provided support within the terms of Article 248(1) and the impact on own funds.

after (02013R0575-20210629)

Article 449
Disclosure of exposures to securitisation positions
Institutions calculating risk-weighted exposure amounts in accordance with Chapter 5 of Title II of Part Three or own funds requirements in accordance with Article 337 or 338 shall disclose the following information separately for their trading book and non-trading book activities:
(a) a description of their securitisation and re-securitisation activities, including their risk management and investment objectives in connection with those activities, their role in securitisation and re-securitisation transactions, whether they use the simple, transparent and standardised securitisation (STS) as defined in point (10) of Article 242, and the extent to which they use securitisation transactions to transfer the credit risk of the securitised exposures to third parties with, where applicable, a separate description of their synthetic securitisation risk transfer policy;
(b) the type of risks they are exposed to in their securitisation and re-securitisation activities by level of seniority of the relevant securitisation positions providing a distinction between STS and non-STS positions and:
(i) the risk retained in own-originated transactions;
(ii) the risk incurred in relation to transactions originated by third parties;
(c) their approaches for calculating the risk-weighted exposure amounts that they apply to their securitisation activities, including the types of securitisation positions to which each approach applies and with a distinction between STS and non-STS positions;
(d) a list of SSPEs falling into any of the following categories, with a description of their types of exposures to those SSPEs, including derivative contracts:
(i) SSPEs which acquire exposures originated by the institutions;
(ii) SSPEs sponsored by the institutions;
(iii) SSPEs and other legal entities for which the institutions provide securitisation-related services, such as advisory, asset servicing or management services;
(iv) SSPEs included in the institutions' regulatory scope of consolidation;
(e) a list of any legal entities in relation to which the institutions have disclosed that they have provided support in accordance with Chapter 5 of Title II of Part Three;
(f) a list of legal entities affiliated with the institutions and that invest in securitisations originated by the institutions or in securitisation positions issued by SSPEs sponsored by the institutions;
(g) a summary of their accounting policies for securitisation activity, including where relevant a distinction between securitisation and re-securitisation positions;
(h) the names of the ECAIs used for securitisations and the types of exposure for which each agency is used;
(i) where applicable, a description of the Internal Assessment Approach as set out in Chapter 5 of Title II of Part Three, including the structure of the internal assessment process and the relation between internal assessment and external ratings of the relevant ECAI disclosed in accordance with point (h), the control mechanisms for the internal assessment process including discussion of independence, accountability, and internal assessment process review, the exposure types to which the internal assessment process is applied and the stress factors used for determining credit enhancement levels;
(j) separately for the trading book and the non-trading book, the carrying amount of securitisation exposures, including information on whether institutions have transferred significant credit risk in accordance with Articles 244 and 245, for which institutions act as originator, sponsor or investor, separately for traditional and synthetic securitisations, and for STS and non-STS transactions and broken down by type of securitisation exposures;
(k) for the non-trading book activities, the following information:
(i) the aggregate amount of securitisation positions where institutions act as originator or sponsor and the associated risk-weighted assets and capital requirements by regulatory approaches, including exposures deducted from own funds or risk weighted at 1250 %, broken down between traditional and synthetic securitisations and between securitisation and re-securitisation exposures, separately for STS and non-STS positions, and further broken down into a meaningful number of risk-weight or capital requirement bands and by approach used to calculate the capital requirements;
(ii) the aggregate amount of securitisation positions where institutions act as investor and the associated risk-weighted assets and capital requirements by regulatory approaches, including exposures deducted from own funds or risk weighted at 1250 %, broken down between traditional and synthetic securitisations, securitisation and re-securitisation positions, and STS and non-STS positions, and further broken down into a meaningful number of risk weight or capital requirement bands and by approach used to calculate the capital requirements;
(l) for exposures securitised by the institution, the amount of exposures in default and the amount of the specific credit risk adjustments made by the institution during the current period, both broken down by exposure type.

inserted text (02013R0575-20210629)

Article 449a
Disclosure of environmental, social and governance risks (ESG risks)
From 28 June 2022, large institutions which have issued securities that are admitted to trading on a regulated market of any Member State, as defined in point (21) of Article 4(1) of Directive 2014/65/EU, shall disclose information on ESG risks, including physical risks and transition risks, as defined in the report referred to in Article 98(8) of Directive 2013/36/EU.
The information referred to in the first paragraph shall be disclosed on an annual basis for the first year and biannually thereafter.

02013R0575-20201228 → 02013R0575-20210629

Article 450 Remuneration Disclosure of remuneration policy 1. Institutions shall disclose at least the following information, information regarding the their remuneration policy and practices of the institution for those categories of staff whose professional activities have a material impact on its the risk profile: profile of the institutions: (a) information concerning the decision-making process used for determining the remuneration policy, as well as the number of meetings held by the main body overseeing remuneration during the financial year, including, if where applicable, information about the composition and the mandate of a remuneration committee, the external consultant whose services have been used for the determination of the remuneration policy and the role of the relevant stakeholders; (b) information on about the link between pay of the staff and their performance; (c) the most important design characteristics of the remuneration system, including information on the criteria used for performance measurement and risk adjustment, deferral policy and vesting criteria; (d) the ratios between fixed and variable remuneration set in accordance with point (g) of Article 94(1)(g) 94(1) of Directive 2013/36/EU; (e) information on the performance criteria on which the entitlement to shares, options or variable components of remuneration is based; (f) the main parameters and rationale for any variable component scheme and any other non-cash benefits; (g) aggregate quantitative information on remuneration, broken down by business area; (h) aggregate quantitative information on remuneration, broken down by senior management and members of staff whose actions professional activities have a material impact on the risk profile of the institution, institutions, indicating the following: (i) the amounts of remuneration awarded for the financial year, split into fixed remuneration including a description of the fixed components, and variable remuneration, and the number of beneficiaries; (ii) the amounts and forms of awarded variable remuneration, split into cash, shares, share-linked instruments and other types; types separately for the part paid upfront and the deferred part; (iii) the amounts of outstanding deferred remuneration, split into vested and unvested portions; (iv) the amounts of deferred remuneration awarded for previous performance periods, split into the amount due to vest in the financial year and the amount due to vest in subsequent years; (iv) the amount of deferred remuneration due to vest in the financial year that is paid out during the financial year, paid out and that is reduced through performance adjustments; (v) new sign-on and severance payments made the guaranteed variable remuneration awards during the financial year, and the number of beneficiaries of such payments; those awards; (vi) the severance payments awarded in previous periods, that have been paid out during the financial year; (vii) the amounts of severance payments awarded during the financial year, split into paid upfront and deferred, the number of beneficiaries of those payments and highest such award payment that has been awarded to a single person; (i) the number of individuals being that have been remunerated EUR 1 million or more per financial year, for with the remuneration between EUR 1 million and EUR 5 million broken down into pay bands of EUR 500000 and for with the remuneration of EUR 5 million and above broken down into pay bands of EUR 1 million; (j) upon demand from the relevant Member State or competent authority, the total remuneration for each member of the management body or senior management. management; (k) information on whether the institution benefits from a derogation laid down in Article 94(3) of Directive 2013/36/EU. For the purposes of point (k) of the first subparagraph of this paragraph, institutions that benefit from such a derogation shall indicate whether they benefit from that derogation on the basis of point (a) or (b) of Article 94(3) of Directive 2013/36/EU. They shall also indicate for which of the remuneration principles they apply the derogation(s), the number of staff members that benefit from the derogation(s) and their total remuneration, split into fixed and variable remuneration. 2. For institutions that are significant in terms of their size, internal organisation and the nature, scope and the complexity of their activities, large institutions, the quantitative information on the remuneration of institutions' collective management body referred to in this Article shall also be made available to the public at the level of members of the management body of the institution. public, differentiating between executive and non-executive members. Institutions shall comply with the requirements set out in this Article in a manner that is appropriate to their size, internal organisation and the nature, scope and complexity of their activities and without prejudice to Regulation (EU) 2016/679 of the European Parliament and of the CouncilRegulation (EU) 2016/679 of the European Parliament and of the Council of 27 April 2016 on the protection of natural persons with regard to the processing of personal data and on the free movement of such data, and repealing Directive 95/46/EC. 95/46/EC (General Data Protection Regulation) (OJ L 119, 4.5.2016, p. 1)..

02013R0575-20201228 → 02013R0575-20210629

Article 451 Leverage Disclosure of the leverage ratio 1. Institutions that are subject to Part Seven shall disclose the following information regarding their leverage ratio as calculated in accordance with Article 429 and their management of the risk of excessive leverage: (a) the leverage ratio and how the institution applies institutions apply Article 499(2) and (3); 499(2); (b) a breakdown of the total exposure measure referred to in Article 429(4), as well as a reconciliation of the total exposure measure with the relevant information disclosed in published financial statements; (c) where applicable, the amount of derecognised fiduciary items exposures calculated in accordance with Articles 429(8) and 429a(1) and the adjusted leverage ratio calculated in accordance with Article 429(11); 429a(7); (d) a description of the processes used to manage the risk of excessive leverage; (e) a description of the factors that had an impact on the leverage ratio during the period to which the disclosed leverage ratio refers. 2. EBA Public development credit institutions as defined in Article 429a(2) shall develop draft implementing technical standards disclose the leverage ratio without the adjustment to determine the uniform disclosure template for total exposure measure determined in accordance with point (d) of the disclosure first subparagraph of Article 429a(1). 3. In addition to points (a) and (b) of paragraph 1 of this Article, large institutions shall disclose the leverage ratio and the breakdown of the total exposure measure referred to in paragraph 1 and the instructions Article 429(4) based on how to use such template. EBA shall submit those draft implementing technical standards to the Commission by 30 June 2014. Power is conferred on the Commission to adopt averages calculated in accordance with the implementing technical standards act referred to in the first subparagraph in accordance with Article 15 of Regulation (EU) No 1093/2010. 430(7).

inserted text (02013R0575-20210629)

Article 451a
Disclosure of liquidity requirements
1. Institutions that are subject to Part Six shall disclose information on their liquidity coverage ratio, net stable funding ratio and liquidity risk management in accordance with this Article.
2. Institutions shall disclose the following information in relation to their liquidity coverage ratio as calculated in accordance with the delegated act referred to in Article 460(1):
(a) the average or averages, as applicable, of their liquidity coverage ratio based on end-of-the-month observations over the preceding 12 months for each quarter of the relevant disclosure period;
(b) the average or averages, as applicable, of total liquid assets, after applying the relevant haircuts, included in the liquidity buffer pursuant to the delegated act referred to in Article 460(1), based on end-of-the-month observations over the preceding 12 months for each quarter of the relevant disclosure period, and a description of the composition of that liquidity buffer;
(c) the averages of their liquidity outflows, inflows and net liquidity outflows as calculated in accordance with the delegated act referred to in Article 460(1), based on end-of-the-month observations over the preceding 12 months for each quarter of the relevant disclosure period and the description of their composition.
3. Institutions shall disclose the following information in relation to their net stable funding ratio as calculated in accordance with Title IV of Part Six:
(a) quarter-end figures of their net stable funding ratio calculated in accordance with Chapter 2 of Title IV of Part Six for each quarter of the relevant disclosure period;
(b) an overview of the amount of available stable funding calculated in accordance with Chapter 3 of Title IV of Part Six;
(c) an overview of the amount of required stable funding calculated in accordance with Chapter 4 of Title IV of Part Six.
4. Institutions shall disclose the arrangements, systems, processes and strategies put in place to identify, measure, manage and monitor their liquidity risk in accordance with Article 86 of Directive 2013/36/EU.

texts differ too much for an inline diff; shown separately

before (02013R0575-20201228)

Article 452
Use of the IRB Approach to credit risk
Institutions calculating the risk-weighted exposure amounts under the IRB Approach shall disclose the following information:
(a) the competent authority's permission of the approach or approved transition;
(b) an explanation and review of:
(i) the structure of internal rating systems and relation between internal and external ratings;
(ii) the use of internal estimates other than for calculating risk-weighted exposure amounts in accordance with Part Three, Title II, Chapter 3;
(iii) the process for managing and recognising credit risk mitigation;
(iv) the control mechanisms for rating systems including a description of independence, accountability, and rating systems review;
(c) a description of the internal ratings process, provided separately for the following exposure classes:
(i) central governments and central banks;
(ii) institutions;
(iii) corporate, including SMEs, specialised lending and purchased corporate receivables;
(iv) retail, for each of the categories of exposures to which the different correlations in Article 154(1) to (4) correspond;
(v) equities;
(d) the exposure values for each of the exposure classes specified in Article 147. Exposures to central governments and central banks, institutions and corporates where institutions use own estimates of LGDs or conversion factors for the calculation of risk-weighted exposure amounts, shall be disclosed separately from exposures for which the institutions do not use such estimates;
(e) for each of the exposure classes central governments and central banks, institutions, corporates and equity, and across a sufficient number of obligor grades (including default) to allow for a meaningful differentiation of credit risk, institutions shall disclose:
(i) the total exposures, including for the exposure classes central governments and central banks, institutions and corporates, the sum of outstanding loans and exposure values for undrawn commitments; and for equities the outstanding amount;
(ii) the exposure-weighted average risk weight;
(iii) for the institutions using own estimates of conversion factors for the calculation of risk-weighted exposure amounts, the amount of undrawn commitments and exposure-weighted average exposure values for each exposure class;
(f) For the retail exposure class and for each of the categories set out in point (c)(iv), either the disclosures outlined in point (e) (if applicable, on a pooled basis), or an analysis of exposures (outstanding loans and exposure values for undrawn commitments) against a sufficient number of EL grades to allow for a meaningful differentiation of credit risk (if applicable, on a pooled basis);
(g) the actual specific credit risk adjustments in the preceding period for each exposure class (for retail, for each of the categories as set out in point (c)(iv)) and how they differ from past experience;
(h) a description of the factors that impacted on the loss experience in the preceding period (for example, has the institution experienced higher than average default rates, or higher than average LGDs and conversion factors);
(i) the institution's estimates against actual outcomes over a longer period. At a minimum, this shall include information on estimates of losses against actual losses in each exposure class (for retail, for each of the categories as set out in point (c)(iv) over a period sufficient to allow for a meaningful assessment of the performance of the internal rating processes for each exposure class (for retail for each of the categories as set out in point (c)(iv). Where appropriate, the institutions shall further decompose this to provide analysis of PD and, for the institutions using own estimates of LGDs and/or conversion factors, LGD and conversion factor outcomes against estimates provided in the quantitative risk assessment disclosures set out in this Article;
(j) for all exposure classes specified in Article 147 and for each category of exposure to which the different correlations in Article 154 (1) to (4) correspond:
(i) for the institutions using own LGD estimates for the calculation of risk-weighted exposure amounts, the exposure-weighted average LGD and PD in percentage for each relevant geographical location of credit exposures;
(ii) for the institutions that do not use own LGD estimates, the exposure-weighted average PD in percentage for each relevant geographical location of credit exposures.
For the purposes of point (c), the description shall include the types of exposure included in the exposure class, the definitions, methods and data for estimation and validation of PD and, if applicable, LGD and conversion factors, including assumptions employed in the derivation of these variables, and the descriptions of material deviations from the definition of default as set out in Article 178, including the broad segments affected by such deviations.
For the purposes of point (j), the relevant geographical location of credit exposures means exposures in the Member States in which the institution has been authorised and Member States or third countries in which institutions carry out activities through a branch or a subsidiary.

after (02013R0575-20210629)

Article 452
Disclosure of the use of the IRB Approach to credit risk
Institutions calculating the risk-weighted exposure amounts under the IRB Approach to credit risk shall disclose the following information:
(a) the competent authority's permission of the approach or approved transition;
(b) for each exposure class referred to in Article 147, the percentage of the total exposure value of each exposure class subject to the Standardised Approach laid down in Chapter 2 of Title II of Part Three or to the IRB Approach laid down in Chapter 3 of Title II of Part Three, as well as the part of each exposure class subject to a roll-out plan; where institutions have received permission to use own LGDs and conversion factors for the calculation of risk-weighted exposure amounts, they shall disclose separately the percentage of the total exposure value of each exposure class subject to that permission;
(c) the control mechanisms for rating systems at the different stages of model development, controls and changes, which shall include information on:
(i) the relationship between the risk management function and the internal audit function;
(ii) the rating system review;
(iii) the procedure to ensure the independence of the function in charge of reviewing the models from the functions responsible for the development of the models;
(iv) the procedure to ensure the accountability of the functions in charge of developing and reviewing the models;
(d) the role of the functions involved in the development, approval and subsequent changes of the credit risk models;
(e) the scope and main content of the reporting related to credit risk models;
(f) a description of the internal ratings process by exposure class, including the number of key models used with respect to each portfolio and a brief discussion of the main differences between the models within the same portfolio, covering:
(i) the definitions, methods and data for estimation and validation of PD, which shall include information on how PDs are estimated for low default portfolios, whether there are regulatory floors and the drivers for differences observed between PD and actual default rates at least for the last three periods;
(ii) where applicable, the definitions, methods and data for estimation and validation of LGD, such as methods to calculate downturn LGD, how LGDs are estimated for low default portfolio and the time lapse between the default event and the closure of the exposure;
(iii) where applicable, the definitions, methods and data for estimation and validation of conversion factors, including assumptions employed in the derivation of those variables;
(g) as applicable, the following information in relation to each exposure class referred to in Article 147:
(i) their gross on-balance-sheet exposure;
(ii) their off-balance-sheet exposure values prior to the relevant conversion factor;
(iii) their exposure after applying the relevant conversion factor and credit risk mitigation;
(iv) any model, parameter or input relevant for the understanding of the risk weighting and the resulting risk exposure amounts disclosed across a sufficient number of obligor grades (including default) to allow for a meaningful differentiation of credit risk;
(v) separately for those exposure classes in relation to which institutions have received permission to use own LGDs and conversion factors for the calculation of risk-weighted exposure amounts, and for exposures for which the institutions do not use such estimates, the values referred to in points (i) to (iv) subject to that permission;
(h) institutions' estimates of PDs against the actual default rate for each exposure class over a longer period, with separate disclosure of the PD range, the external rating equivalent, the weighted average and arithmetic average PD, the number of obligors at the end of the previous year and of the year under review, the number of defaulted obligors, including the new defaulted obligors, and the annual average historical default rate.
For the purposes of point (b) of this Article, institutions shall use the exposure value as defined in Article 166.

texts differ too much for an inline diff; shown separately

before (02013R0575-20201228)

Article 453
Use of credit risk mitigation techniques
The institutions applying credit risk mitigation techniques shall disclose the following information:
(a) the policies and processes for, and an indication of the extent to which the entity makes use of, on- and off-balance sheet netting;
(b) the policies and processes for collateral valuation and management;
(c) a description of the main types of collateral taken by the institution;
(d) the main types of guarantor and credit derivative counterparty and their creditworthiness;
(e) information about market or credit risk concentrations within the credit mitigation taken;
(f) for institutions calculating risk-weighted exposure amounts under the Standardised Approach or the IRB Approach, but not providing own estimates of LGDs or conversion factors in respect of the exposure class, separately for each exposure class, the total exposure value (after, where applicable, on- or off-balance sheet netting) that is covered — after the application of volatility adjustments — by eligible financial collateral, and other eligible collateral;
(g) for institutions calculating risk-weighted exposure amounts under the Standardised Approach or the IRB Approach, separately for each exposure class, the total exposure (after, where applicable, on- or off-balance sheet netting) that is covered by guarantees or credit derivatives. For the equity exposure class, this requirement applies to each of the approaches provided in Article 155.

after (02013R0575-20210629)

Article 453
Disclosure of the use of credit risk mitigation techniques
Institutions using credit risk mitigation techniques shall disclose the following information:
(a) the core features of the policies and processes for on- and off-balance-sheet netting and an indication of the extent to which institutions make use of balance sheet netting;
(b) the core features of the policies and processes for eligible collateral evaluation and management;
(c) a description of the main types of collateral taken by the institution to mitigate credit risk;
(d) for guarantees and credit derivatives used as credit protection, the main types of guarantor and credit derivative counterparty and their creditworthiness used for the purpose of reducing capital requirements, excluding those used as part of synthetic securitisation structures;
(e) information about market or credit risk concentrations within the credit risk mitigation taken;
(f) for institutions calculating risk-weighted exposure amounts under the Standardised Approach or the IRB Approach, the total exposure value not covered by any eligible credit protection and the total exposure value covered by eligible credit protection after applying volatility adjustments; the disclosure set out in this point shall be made separately for loans and debt securities and including a breakdown of defaulted exposures;
(g) the corresponding conversion factor and the credit risk mitigation associated with the exposure and the incidence of credit risk mitigation techniques with and without substitution effect;
(h) for institutions calculating risk-weighted exposure amounts under the Standardised Approach, the on- and off-balance-sheet exposure value by exposure class before and after the application of conversion factors and any associated credit risk mitigation;
(i) for institutions calculating risk-weighted exposure amounts under the Standardised Approach, the risk-weighted exposure amount and the ratio between that risk-weighted exposure amount and the exposure value after applying the corresponding conversion factor and the credit risk mitigation associated with the exposure; the disclosure set out in this point shall be made separately for each exposure class;
(j) for institutions calculating risk-weighted exposure amounts under the IRB Approach, the risk-weighted exposure amount before and after recognition of the credit risk mitigation impact of credit derivatives; where institutions have received permission to use own LGDs and conversion factors for the calculation of risk-weighted exposure amounts, they shall make the disclosure set out in this point separately for the exposure classes subject to that permission.

02013R0575-20201228 → 02013R0575-20210629

Article 454 Use Disclosure of the use of the Advanced Measurement Approaches to operational risk The institutions using the Advanced Measurement Approaches set out in Articles 321 to 324 for the calculation of their own funds requirements for operational risk shall disclose a description of the their use of insurances insurance and other risk transfer risk-transfer mechanisms for the purpose of mitigation of this mitigating that risk.

02013R0575-20201228 → 02013R0575-20210629

Article 455 Use of Internal Market Risk Models internal market risk models Institutions calculating their capital requirements in accordance with Article 363 shall disclose the following information: (a) for each sub-portfolio covered: (i) the characteristics of the models used; (ii) where applicable, for the internal models for incremental default and migration risk and for correlation trading, the methodologies used and the risks measured through the use of an internal model including a description of the approach used by the institution to determine liquidity horizons, the methodologies used to achieve a capital assessment that is consistent with the required soundness standard and the approaches used in the validation of the model; (iii) a description of stress testing applied to the sub-portfolio; (iv) a description of the approaches used for back-testing and validating the accuracy and consistency of the internal models and modelling processes; (b) the scope of permission by the competent authority; (c) a description of the extent and methodologies for compliance with the requirements set out in Articles 104 and 105; (d) the highest, the lowest and the mean of the following: (i) the daily value-at-risk measures over the reporting period and as per at the period end; end of the reporting period; (ii) the stressed value-at-risk measures over the reporting period and as per at the period end; end of the reporting period; (iii) the risk numbers for incremental default and migration risk and for the specific risk of the correlation trading portfolio over the reporting period and as per at the period-end; end of the reporting period; (e) the elements of the own funds requirement as specified in Article 364; (f) the weighted average liquidity horizon for each sub-portfolio covered by the internal models for incremental default and migration risk and for correlation trading; (g) a comparison of the daily end-of-day value-at-risk measures to the one-day changes of the portfolio's value by the end of the subsequent business day together with an analysis of any important overshooting during the reporting period.

02013R0575-20201228 → 02013R0575-20210629

Article 456 Delegated acts 1. The Commission shall be empowered to adopt delegated acts in accordance with Article 462, concerning the following matters: (a) clarification of the definitions set out in Articles 4, 5, 142, 153, 192, 242, 272, 300, 381 and 411 to ensure uniform application of this Regulation; (b) clarification of the definitions set out in Articles 4, 5, 142, 153, 192, 242, 272, 300, 381 and 411 in order to take account, in the application of this Regulation, of developments on financial markets; (c) amendment of the list of exposure classes in Articles 112 and 147 in order to take account of developments on financial markets; (d) the amount specified in point (c) of Article 123, Article 147(5)(a), Article 153(4) and Article 162(4), to take into account the effects of inflation; (e) the list and classification of the off-balance sheet items in Annexes I and II, in order to take account of developments on financial markets; (f) adjustment of the categories of investment firms in Article 95(1) and Article 96(1) to take account of developments on financial markets; (g) clarification of the requirement laid down in Article 97 to ensure uniform application of this Regulation. Regulation; (h) amendment of the own funds requirements as set out in Articles 301 to 311 of this Regulation and Articles 50a to 50d of Regulation (EU) No 648/2012 to take account of developments or amendments of the international standards for exposures to a central counterparty; (i) clarification of the terms referred to in the exemptions provided for in Article 400; (j) amendment of the capital measure and the total exposure measure of the leverage ratio referred to in Article 429(2) in order to correct any shortcomings discovered on the basis of the reporting referred to in Article 430(1) before the leverage ratio has to be published by institutions as set out in Article 451(1)(a). 451(1)(a); (k) amendments to the disclosure requirements laid down in Titles II and III of Part Eight to take account of developments or amendments of the international standards on disclosure. 2. EBA shall monitor the own funds requirements for credit valuation adjustment risk and by 1 January 2015 submit a report to the Commission. In particular, the report shall assess: (a) the treatment of CVA risk as a stand-alone charge versus an integrated component of the market risk framework; (b) the scope of the CVA risk charge including the exemption in Article 482; (c) eligible hedges; (d) calculation of capital requirements of CVA risk. On the basis of that report and where the findings are that such action is necessary the Commission shall also be empowered to adopt a delegated act in accordance with Article 462 to amend Article 381, Article 382(1) to (3) and Articles 383 to 386 concerning those items.

02013R0575-20201228 → 02013R0575-20210629

Article 457 Technical adjustments and corrections The Commission shall be empowered to adopt delegated acts in accordance with Article 462, to make technical adjustment and corrections of non-essential elements in the following provisions in order to take account of developments in new financial products or activities, to make adjustments taking into account developments after the adoption of this Regulation in other legislative acts of the Union on financial services and accounting including accounting standards based on Regulation (EC) No 1606/2002: (a) the own funds requirements for credit risk laid down in Articles 111 to 134, and in Articles 143 to 191; (b) the effects of credit risk mitigation in accordance with Articles 193 to 241; (c) the own funds requirements for securitisation laid down in Articles 242 to 270a; (d) the own funds requirements for counterparty credit risks in accordance with Articles 272 to 311; (e) the own funds requirements for operational risk laid down in Articles 315 to 324; (f) the own funds requirements for market risk laid down in Articles 325 to 377; (g) the own funds requirements for settlement risk laid down in Articles 378 and 379; (h) the own funds requirements for credit valuation adjustment risk laid down in Articles 383, 384 and 386; (i) Part Two and Article 99 430 only as a result of developments in accounting standards or requirements which take account of Union legislation. legislative acts.

02013R0575-20201228 → 02013R0575-20210629

Article 493 Transitional provisions for large exposures 1. Until 26 June 2021, the provisions on large exposures as laid down in Articles 387 to 403 of this Regulation shall not apply to investment firms, the main business of which consists exclusively of … 362 unchanged words … assigned a 20 % risk weight under Part Three, Title II, Chapter 2; (c) exposures, including participations or other kinds of holdings, incurred by an institution to its parent undertaking, to other subsidiaries of that parent undertaking or to its own subsidiaries, subsidiaries and qualifying holdings, in so far as those undertakings are covered by the supervision on a consolidated basis to which the institution itself is subject, in accordance with this Regulation, Directive 2002/87/EC or with equivalent standards in force in a third country. Exposures country; exposures that do not meet those criteria, whether or not exempted from Article 395(1) of this Regulation, shall be treated as exposures to a third party; (d) asset items constituting claims on and other exposures, including participations or other kinds of holdings, … 778 unchanged words … to in paragraph 5 of this Article incurred before 12 December 2017 to which a risk weight of 0 % was assigned on 31 December 2017 in accordance with Article 495(2) shall be exempted from the application of Article 395(1).

inserted text (02013R0575-20210629)

Article 494c
Grandfathering of senior securitisation positions
By way of derogation from Article 270, an originator institution may calculate the risk-weighted exposure amounts of a senior securitisation position in accordance with Article 260, 262 or 264 where both the following conditions are met:
(a) the securitisation was issued before 9 April 2021;
(b) the securitisation met, on 8 April 2021, the conditions laid down in Article 270 as applicable at that date.

No text on either side: this unit was named by a signal that carries no text, and only the structural diff carries any.

No text on either side: this unit was named by a signal that carries no text, and only the structural diff carries any.

No text on either side: this unit was named by a signal that carries no text, and only the structural diff carries any.

No text on either side: this unit was named by a signal that carries no text, and only the structural diff carries any.

02013R0575-20201228 → 02013R0575-20210629

Article 501c Prudential treatment of exposures related to environmental and/or social objectives EBA, after consulting the ESRB, shall assess, shall, on the basis of available data and the findings of the Commission High-Level Expert Group on Sustainable Finance, assess whether a dedicated prudential treatment of exposures related to assets assets, including securitisations, or activities associated substantially with environmental and/or social objectives would be justified. In particular, EBA shall assess: (a) methodologies for the assessment of the effective riskiness of exposures related to assets and activities associated substantially with environmental and/or social objectives compared to the riskiness of other exposure; (b) the development of appropriate criteria for the assessment of physical risks and transition risks, including the risks related to the depreciation of assets due to regulatory changes; (c) the potential effects of a dedicated prudential treatment of exposures related to assets and activities which are associated substantially with environmental and/or social objectives on financial stability and bank lending in the Union. EBA shall submit a report on its findings to the European Parliament, to the Council and to the Commission by 28 June 2025. On the basis of that report, the Commission shall, if appropriate, submit to the European Parliament and to the Council a legislative proposal.

inserted text (02013R0575-20210629)

Article 506a
CIUs with an underlying portfolio of euro area sovereign bonds
In close cooperation with the ESRB and EBA, the Commission shall publish a report by 31 December 2021 in which it shall assess whether changes to the regulatory framework are needed to promote the market for, and bank purchases of, exposures in the form of units or shares in CIUs with an underlying portfolio consisting exclusively of sovereign bonds of Member States whose currency is the euro, where the relative weight of each Member States’ sovereign bonds in the total portfolio of the CIU is equal to the relative weight of each Member States’ capital contribution to the ECB.

inserted text (02013R0575-20210629)

Article 506b
NPE securitisations
1. EBA shall monitor the application of Article 269a and shall evaluate the regulatory capital treatment of NPE securitisations having regard to the state of the market for NPEs in general and the state of NPE securitisation market in particular, and submit a report on its findings to the Commission by 10 October 2022.
2. By 10 April 2023, the Commission shall, on the basis of the report referred to in paragraph 1 of this Article, submit a report to the European Parliament and to the Council on the application of Article 269a. The Commission’s report shall, where appropriate, be accompanied by a legislative proposal.

No text on either side: this unit was named by a signal that carries no text, and only the structural diff carries any.

02013R0575-20201228 → 02013R0575-20210629

Article 514 Method for the calculation of the exposure value of derivative transactions 1. EBA shall, by 28 June 2023, report to the Commission on the impact and the relative calibration of the approaches set out in Sections 3, 4 and 5 of Chapter 6 of Title II of Part Three to calculate the exposure values of derivative transactions.2. On the basis of the report by EBA, the Commission shall, where appropriate, submit a legislative proposal to amend the approaches set out in Sections 3, 4 and 5 of Chapter 6 of Title II of Part Three.

02013R0575-20201228 → 02013R0575-20210629

Article 519a Reporting and review By 1 January 2022, the Commission shall report to the European Parliament and the Council on the application of the provisions in Chapter 5 of Title II of Part Three in the light of developments in securitisation markets, including from a macroprudential and economic perspective. That report shall, if appropriate, be accompanied by a legislative proposal and shall, in particular, assess the following points: (a) the impact of the hierarchy of methods set out in Article 254 and of the calculation of the risk-weighted exposure amounts of securitisation positions set out in Articles 258 to 266 on issuance and investment activity by institutions in securitisation markets in the Union; (b) the effects on the financial stability of the Union and Member States, with a particular focus on potential immovable property market speculation and increased interconnection between financial institutions; (c) what measures would be warranted to reduce and counter any negative effects of securitisation on financial stability while preserving its positive effect on financing, including the possible introduction of a maximum limit on exposure to securitisations; and (d) the effects on the ability of financial institutions to provide a sustainable and stable funding channel to the real economy, with particular attention to SMEs. SMEs; and (e) how environmental sustainability criteria could be integrated into the securitisation framework, including for exposures to NPE securitisations. The report shall also take into account regulatory developments in international fora, in particular those relating to international standards on securitisation.

No text on either side: this unit was named by a signal that carries no text, and only the structural diff carries any.

No text on either side: this unit was named by a signal that carries no text, and only the structural diff carries any.

No text on either side: this unit was named by a signal that carries no text, and only the structural diff carries any.

No text on either side: this unit was named by a signal that carries no text, and only the structural diff carries any.

No text on either side: this unit was named by a signal that carries no text, and only the structural diff carries any.

No text on either side: this unit was named by a signal that carries no text, and only the structural diff carries any.

02013R0575-20201228 → 02013R0575-20210629

ANNEX I Classification of off-balance sheet items 1. Full risk: (a) guarantees having the character of credit substitutes, (e.g. guarantees for the good payment of credit facilities); (b) credit derivatives; (c) acceptances; (d) endorsements on bills not bearing the name of another institution; institution or investment firm; (e) transactions with recourse (e.g. factoring, invoice discount facilities); (f) irrevocable standby letters of credit having the character of credit substitutes; (g) assets purchased under outright forward purchase agreements; (h) forward deposits; (i) the unpaid portion of partly-paid shares and securities; (j) asset sale and repurchase agreements as referred to in Article 12(3) and (5) of Directive 86/635/EEC; (k) other items also carrying full risk. 2. Medium risk: (a) trade finance off-balance sheet items, namely documentary credits issued or confirmed (see also Medium/low risk); (b) other off-balance sheet items: (i) shipping guarantees, customs and tax bonds; (ii) undrawn credit facilities (agreements to lend, purchase securities, provide guarantees or acceptance facilities) with an original maturity of more than one year; (iii) note issuance facilities (NIFs) and revolving underwriting facilities (RUFs); (iv) other items also carrying medium risk and as communicated to EBA. 3. Medium/low risk: (a) trade finance off-balance sheet items: (i) documentary credits in which underlying shipment acts as collateral and other self-liquidating transactions; (ii) warranties (including tender and performance bonds and associated advance payment and retention guarantees) and guarantees not having the character of credit substitutes; (iii) irrevocable standby letters of credit not having the character of credit substitutes; (b) other off-balance sheet items: (i) undrawn credit facilities which comprise agreements to lend, purchase securities, provide guarantees or acceptance facilities with an original maturity of up to and including one year which may not be cancelled unconditionally at any time without notice or that do not effectively provide for automatic cancellation due to deterioration in a borrower's creditworthiness; (ii) other items also carrying medium/low risk and as communicated to EBA. 4. Low risk: (a) undrawn credit facilities comprising agreements to lend, purchase securities, provide guarantees or acceptance facilities which may be cancelled unconditionally at any time without notice, or that do effectively provide for automatic cancellation due to deterioration in a borrower's creditworthiness. Retail credit lines may be considered as unconditionally cancellable if the terms permit the institution to cancel them to the full extent allowable under consumer protection and related legislation; (b) undrawn credit facilities for tender and performance guarantees which may be cancelled unconditionally at any time without notice, or that do effectively provide for automatic cancellation due to deterioration in a borrower's creditworthiness; and (c) other items also carrying low risk and as communicated to EBA.

02013R0575-20201228 → 02013R0575-20210629

ANNEX II Types of derivatives 1. Interest-rate contracts: (a) single-currency interest rate swaps; (b) basis-swaps; (c) forward rate agreements; (d) interest-rate futures; (e) interest-rate options purchased; options; (f) other contracts of similar nature. 2. Foreign-exchange contracts and contracts concerning gold: (a) cross-currency interest-rate swaps; (b) forward foreign-exchange contracts; (c) currency futures; (d) currency options purchased; options; (e) other contracts of a similar nature; (f) contracts of a nature similar to (a) to (e) concerning gold. 3. Contracts of a nature similar to those in points 1(a) to (e) and 2(a) to (d) of this Annex concerning other reference items or indices. This includes as a minimum all instruments specified in points 4 (4) to 7, 9 (7), (9), (10) and 10 (11) of Section C of Annex I to Directive 2004/39/EC 2014/65/EU not otherwise included in point 1 or 2 of this Annex.

02013R0575-20201228 → 02013R0575-20210629

ANNEX III Items subject to supplementary reporting of liquid assets 1. Cash. 2. Central bank exposures, to the extent that these exposures can be drawn down in times of stress. 3. Transferable securities representing claims on or claims guaranteed by sovereigns, central banks, non-central government public sector entities, regions with fiscal autonomy to raise and collect taxes and local authorities, the Bank for International Settlements, the International Monetary Fund, the European Union, the European Financial Stability Facility, the European Stability Mechanism or multilateral development banks and satisfying all of the following conditions: (a) they are assigned a 0 % risk-weight under Chapter 2, Title II of Part Three; (b) they are not an obligation of an institution or investment firm or any of its affiliated entities. 4. Transferable securities other than those referred to in point 3 representing claims on or claims guaranteed by sovereigns or central banks issued in domestic currencies by the sovereign or central bank in the currency and country in which the liquidity risk is being taken or issued in foreign currencies, to the extent that holding of such debt matches the liquidity needs of the bank's operations in that third country. 5. Transferable securities representing claims on or claims guaranteed by sovereigns, central banks, non-central government public sector entities, regions with fiscal autonomy to raise and collect taxes and local authorities, or multilateral development banks and satisfying all of the following conditions: (a) they are assigned a 20 % risk-weight under Chapter 2, Title II of Part Three; (b) they are not an obligation of an institution or investment firm or any of its affiliated entities. 6. Transferable securities other than those referred to in points 3, 4 and 5 that qualify for a 20 % or better risk weight under Chapter 2, Title II of Part Three or are internally rated as having an equivalent credit quality, and fulfil any of the following conditions: (a) they do not represent a claim on an SSPE, an institution or investment firm or any of its affiliated entities; (b) they are bonds eligible for the treatment set out in Article 129(4) or (5); (c) they are bonds as referred to in Article 52(4) of Directive 2009/65/EC other than those referred to in point (b) of this point. 7. Transferable securities other than those referred to in points 3 to 6 that qualify for a 50 % or better risk weight under Chapter 2, 2 of Title II of Part Three or are internally rated as having an equivalent credit quality, and do not represent a claim on an SSPE, an institution or investment firm or any of its affiliated entities. 8. Transferable securities other than those referred to in points 3 to 7 that are collateralised by assets that qualify for a 35 % or better risk weight under Chapter 2, Title II of Part Three or are internally rated as having an equivalent credit quality, and are fully and completely secured by mortgages on residential property in accordance with Article 125. 9. Standby credit facilities granted by central banks within the scope of monetary policy to the extent that these facilities are not collateralised by liquid assets and excluding emergency liquidity assistance. 10. Legal or statutory minimum deposits with the central credit institution and other statutory or contractually available liquid funding from the central credit institution or institutions that are members of the network referred to in Article 113(7), or eligible for the waiver provided in Article 10, to the extent that this funding is not collateralised by liquid assets, if the credit institution belongs to a network in accordance with legal or statutory provisions. 11. Exchange traded, centrally cleared common equity shares, shares that are a constituent of a major stock index, denominated in the domestic currency of the Member State and not issued by an institution or investment firm or any of its affiliates. 12. Gold listed on a recognised exchange, held on an allocated basis. All items with the exception of those referred to in points 1, 2 and 9 must satisfy all of the following conditions: (a) they are traded in simple repurchase agreements or cash markets characterised by a low level of concentration; (b) they have a proven record as a reliable source of liquidity by either repurchase agreement or sale even during stressed market conditions; (c) they are unencumbered.