Capital Requirements Regulation

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Article 6 General principles 1. Institutions shall comply with the obligations laid down in Parts Two, Three, Four, Seven, Seven A and Eight of this Regulation and in Chapter 2 of Regulation (EU) 2017/2402 on an individual 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, G-SII entities and that do not have subsidiaries shall comply with the requirement requirements 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) … 376 unchanged words … 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.

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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 … 394 unchanged words … down in Part Six on a consolidated basis, taking into account the nature, scale and complexity of the investment firm's activities. 3a. By way of derogation from paragraph 1 of this Article, only parent institutions identified as resolution entities that are G-SIIs, part of a G-SII or part of a non-EU G-SII entities shall comply with Article 92a of this Regulation on a consolidated basis, to the extent and in the manner set out in Article 18 of this Regulation. Only EU parent undertakings that are a material subsidiary of a non-EU G-SII and … 359 unchanged words … 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.

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Article 12a Consolidated calculation for G-SIIs with multiple resolution entities Where at least two G-SII entities belonging to the same G-SII are resolution entities, the EU parent institution of that G-SII shall calculate the amount of own funds and eligible liabilities referred to in point (a) of Article 92a(1) of this Regulation. That calculation shall be undertaken on the basis of the consolidated situation of the EU parent institution as if it were the only resolution entity of the G-SII. Where the amount calculated in accordance with the first paragraph of this Article is lower than the sum of the amounts of own funds and eligible liabilities referred to in point (a) of Article 92a(1) of this Regulation of all resolution entities belonging to that G-SII, the resolution authorities shall act in accordance with Articles 45d(3) 45d(4) and 45h(2) of Directive 2014/59/EU. Where the amount calculated in accordance with the first paragraph of this Article is higher than the sum of the amounts of own funds and eligible liabilities referred to in point (a) of Article 92a(1) of this Regulation of all resolution entities belonging to that G-SII, the resolution authorities may act in accordance with Articles 45d(3) 45d(4) and 45h(2) of Directive 2014/59/EU.

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Article 13 Application of disclosure requirements on a consolidated basis 1. EU parent institutions shall comply with Part Eight on the basis of their consolidated situation. Large subsidiaries of EU parent institutions shall disclose the information specified in Articles 437, 438, 440, 442, 450, 451, 451a and 453 on an individual basis or, where applicable in accordance with this Regulation and Directive 2013/36/EU, on a sub-consolidated basis. 2. Institutions identified as resolution entities that are G-SIIs or that are part of a G-SII entities shall comply with Article 437a and point (h) of Article 447 on the basis of the consolidated situation of their resolution group. 3. The first subparagraph of paragraph 1 shall not apply to EU parent institutions, EU parent financial holding companies, EU parent mixed financial holding companies or resolution entities where they are included in equivalent disclosures on a consolidated basis provided by a parent undertaking established in a third country. The second subparagraph of paragraph 1 shall apply to subsidiaries of parent undertakings established in a third country where those subsidiaries qualify as large subsidiaries. 4. Where Article 10 applies, the central body referred to in that Article shall comply with Part Eight on the basis of the consolidated situation of the central body. Article 18(1) shall apply to the central body and the affiliated institutions shall be treated as subsidiaries of the central body.

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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 institutions, or their parent undertaking where the parent undertaking 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. 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 the 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.

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Article 72e Deductions from eligible liabilities items 1. Institutions that are subject to Article 92a shall deduct the following from eligible liabilities items: (a) direct, indirect and synthetic holdings by the institution of own eligible liabilities instruments, including own liabilities that that institution … 390 unchanged words … follows: mi = max{0; OPi + LPi – max{0; β · [Oi + Li – ri · aRWAi]}} where: i the index denoting the subsidiary; OPi the amount of own funds instruments issued by subsidiary i and held by the parent institution; LPi the amount of eligible liabilities items instruments issued by subsidiary i and held by the parent institution; β percentage of own funds instruments and eligible liabilities items instruments issued by subsidiary i and held by the parent undertaking; undertaking, calculated as: ; Oi the amount of own funds of subsidiary i, not taking into account the deduction calculated in accordance with this paragraph; Li the amount of eligible liabilities of subsidiary i, not taking into account the deduction calculated in accordance with this paragraph; ri the ratio applicable to subsidiary i at the level of its resolution group in accordance with point (a) of Article 92a(1) of this Regulation and point (a) of the first subparagraph of Article 45d 45c(3) of Directive 2014/59/EU; and aRWAi the total risk exposure amount of the G-SII entity i calculated in accordance with Article 92(3) and (4), taking into account the adjustments set out in Article 12a. Where the parent institution is allowed to deduct the adjusted amount in accordance with the first subparagraph, the difference between the amount of holdings of own funds instruments and eligible liabilities instruments referred to in the first subparagraph and that adjusted amount shall be deducted by the subsidiary.

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Article 76 Index holdings of capital instruments and of liabilities 1. For the purposes of point (a) of Article 42, point (a) of Article 45, point (a) of Article 57, point (a) of Article 59, point (a) of Article 67, point (a) of Article 69 69, point (a) of Article 72f and point (a) of Article 72h, institutions may reduce the amount of a long position in a capital instrument or in a liability by the portion of an index that is made up of the same underlying exposure that is being hedged, provided that all the following conditions are met: (a) either both the long position being hedged and the short position in an index used to hedge that long position are held in the trading book or both are held in the non-trading book; (b) the positions referred to in point (a) are held at fair value on the balance sheet of the institution; (c) the short position referred to in point (a) qualifies as an effective hedge under the internal control processes of the institution; (d) the competent authorities assess the adequacy of the internal control processes referred to in point (c) on at least an annual basis and are satisfied with their continuing appropriateness. 2. Where the competent authority has granted its prior permission, an institution may use a conservative estimate of the underlying exposure of the institution to capital instruments or to liabilities included in indices as an alternative to an institution calculating its exposure to the items referred to in one or more of the following points: (a) own Common Equity Tier 1, Additional Tier 1, Tier 2 and eligible liabilities instruments included in indices; (b) Common Equity Tier 1, Additional Tier 1 and Tier 2 instruments of financial sector entities, included in indices; (c) eligible liabilities instruments of institutions, included in indices. 3. Competent authorities shall grant the prior permission referred to in paragraph 2 only where the institution has demonstrated to their satisfaction that it would be operationally burdensome for the institution to monitor its underlying exposure to the items referred to in one or more of the points of paragraph 2, as applicable. 4. EBA shall develop draft regulatory technical standards to specify: (a) when an estimate used as an alternative to the calculation of underlying exposure referred to in paragraph 2 is sufficiently conservative; (b) the meaning of operationally burdensome for the purposes of paragraph 3. 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.

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Article 78 Supervisory permission to reduce own funds 1. The competent authority shall grant permission for an institution to reduce, call, redeem, repay or repurchase Common Equity Tier 1, Additional Tier 1 or Tier 2 instruments, or to reduce, distribute or reclassify related share premium accounts, where either of the following conditions is met: (a) before or at the same time as any of the actions referred to in Article 77(1), the institution replaces the instruments or the related share premium accounts referred to in Article 77(1) with own funds instruments of equal or higher quality at terms that are sustainable for the income capacity of the institution; (b) the institution has demonstrated to the satisfaction of the competent authority that the own funds and eligible liabilities of the institution would, following the action referred to in Article 77(1) of this Regulation, exceed the requirements laid down in this Regulation and in Directives 2013/36/EU and 2014/59/EU by a margin that the competent authority considers necessary. Where an institution provides sufficient safeguards as to its capacity to operate with own funds above the amounts required in this Regulation and in Directive 2013/36/EU, the competent authority may grant that institution a general prior permission to take any of the actions set out in Article 77(1) of this Regulation, subject to criteria that ensure that any such future action will be in accordance with the conditions set out in points (a) and (b) of this paragraph. That general prior permission shall be granted only for a specified period, which shall not exceed one year, after which it may be renewed. The general prior permission shall be granted for a certain predetermined amount, which shall be set by the competent authority. In the case of Common Equity Tier 1 instruments, that predetermined amount shall not exceed 3 % of the relevant issue and shall not exceed 10 % of the amount by which Common Equity Tier 1 capital exceeds the sum of the Common Equity Tier 1 capital requirements laid down in this Regulation, in Directives 2013/36/EU and 2014/59/EU by and a margin that the competent authority considers necessary. In the case of Additional Tier 1 or Tier 2 instruments, that predetermined amount shall not exceed 10 % of the relevant issue and shall not exceed 3 % of the total … 533 unchanged words … 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.

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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 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, 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 provided that the Commission has 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 the Common Equity Tier 1 items, Additional Tier 1 items and Tier 2 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.

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Article 92a Requirements for own funds and eligible liabilities for G-SIIs 1. Subject to Articles 93 and 94 and to the exceptions set out in paragraph 2 of this Article, institutions identified as resolution entities and that are a G-SII or part of a G-SII entities shall at all times satisfy the following requirements for own funds and eligible liabilities: (a) a risk-based ratio of 18 %, representing the own funds and eligible liabilities of the institution expressed as a percentage of the total risk exposure amount calculated in accordance with Article 92(3) and (4); (b) a non-risk-based ratio of 6,75 %, representing the own funds and eligible liabilities of the institution expressed as a percentage of the total exposure measure referred to in Article 429(4). 2. The requirements laid down in paragraph 1 shall not apply in the following cases: (a) within the three years following the date on which the institution or the group of which the institution is part has been identified as a G-SII; (b) within the two years following the date on which the resolution authority has applied the bail-in tool in accordance with Directive 2014/59/EU; (c) within the two years following the date on which the resolution entity has put in place an alternative private sector measure referred to in point (b) of Article 32(1) of Directive 2014/59/EU by which capital instruments and other liabilities have been written down or converted into Common Equity Tier 1 items in order to recapitalise the resolution entity without the application of resolution tools. 3. Where the aggregate resulting from the application of the requirement laid down in point (a) of paragraph 1 of this Article to each resolution entity of the same G SII G-SII exceeds the requirement for own funds and eligible liabilities calculated in accordance with Article 12a of this Regulation, the resolution authority of the EU parent institution may, after having consulted the other relevant resolution authorities, act in accordance with Article 45d(4) or 45h(1) 45h(2) of Directive 2014/59/EU.

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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 period between the expiry date of the option; option (Texp) and the reporting date; for options which can be exercised at one future date only, the expiry date Texp is equal to that date; for options which can be exercised at multiple future dates, the expiry date Texp is equal to the latest of those dates; the expiry date T 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 … 445 unchanged words … 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.

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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; and OneBusinessYear = one year expressed in business days 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 … 819 unchanged words … 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.

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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 formula: 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.

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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 follows: 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 … 391 unchanged words … 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 %

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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 follows: 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 follows: 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.

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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 follows: 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 follows: 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) (e) 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.

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Article 325a Exemptions from specific reporting requirements for market risk 1. An institution shall be exempted from the reporting requirement set out in Article 430b, provided that the size of the institution's on- and off-balance-sheet business that is subject to market risk is equal to or less than each of the following thresholds, on the basis of an assessment carried out on a monthly basis using data as of the last day of the month: (a) 10 % of the institution's total assets; (b) EUR 500 million. 2. Institutions shall calculate the size of their on- and off-balance-sheet business that is subject to market risk using data as of the last day of each month in accordance with the following requirements: (a) all the positions assigned to the trading book shall be included, except credit derivatives that are recognised as internal hedges against non-trading book credit risk exposures and the credit derivative transactions that perfectly offset the market risk of the internal hedges as referred to in Article 106(3); (b) all non-trading book positions that are subject to foreign exchange risk or commodity risk shall be included; (c) all positions shall be valued at their market values on that date, except for positions referred to in point (b); where the market value of a trading book position is not available on a given date, institutions shall take a fair value for the trading book position on that date; where the fair value and market value of a trading book position are not available on a given date, institutions shall take the most recent market value or fair value for that position; (d) all non-trading book positions that are subject to foreign exchange risk shall be considered as an overall net foreign exchange position and valued in accordance with Article 352; (e) all the non-trading book positions that are subject to commodity risk shall be valued in accordance with Articles 357 and 358; (f) the absolute value of long positions shall be added to the absolute value of short positions. 3. Institutions shall notify the competent authorities when they calculate, or cease to calculate, their own funds requirements for market risk in accordance with this Article. 4. An institution that no longer meets one or more of the conditions set out in paragraph 1 shall immediately notify the competent authority thereof. 5. The exemption from the reporting requirements laid down in Article 430b shall cease to apply within three months of either of the following cases: (a) the institution does not meet the condition set out in point (a) or (b) of paragraph 1 for three consecutive months; or (b) the institution does not meet the condition set out in point (a) or (b) of paragraph 1 during more than 6 out of the last 12 months. 6. Where an institution has become subject to the reporting requirements laid down in Article 430b in accordance with paragraph 5 of this Article, the institution shall only be exempted from those reporting requirements where it demonstrates to the competent authority that all the conditions set out in paragraph 1 of this Article have been met for an uninterrupted full-year period. 7. Institutions shall not enter into, buy or sell a position only for the purpose of complying with any of the conditions set out in paragraph 1 during the monthly assessment. 8. An institution that is eligible for the treatment set out in Article 94 shall be exempted from the reporting requirement set out in Article 430b.

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Article 325e Components of the sensitivities-based method 1. Institutions shall calculate the own funds requirement for market risk under the sensitivities-based method by aggregating the following three own funds requirements in accordance with Article 325h: (a) own funds requirements for delta risk which capture the risk of changes in the value of an instrument due to movements in its non-volatility related risk factors; (b) own funds requirements for vega risk which capture the risk of changes in the value of an instrument due to movements in its volatility-related risk factors; (c) own funds requirements for curvature risk which capture the risk of changes in the value of an instrument due to movements in the main non-volatility related risk factors not captured by the own funds requirements for delta risk. 2. For the purpose of the calculation referred to in paragraph 1, (a) all the positions of instruments with optionality shall be subject to the own funds requirements referred to in points (a), (b) and (c) of paragraph 1; 1 for the risks other than exotic underlyings of the instruments as referred to in point (a) of Article 325u(2); (b) all the positions of instruments without optionality shall only be subject to the own funds requirements referred to in point (a) of paragraph 1. 1 for the risks other than exotic underlyings of the instruments as referred to in point (a) of Article 325u(2). For the purposes of this Chapter, instruments with optionality include, among others: calls, puts, caps, floors, swap options, barrier options and exotic options. Embedded options, such as prepayment or behavioural options, shall be considered to be stand-alone positions in options for the purpose of calculating the own funds requirements for market risk. For the purposes of this Chapter, instruments whose cash flows can be written as a linear function of the underlying's notional amount shall be considered to be instruments without optionality.3. By way of derogation from point (b) of paragraph 2, an institution may choose to subject all the positions of instruments without optionality to the own funds requirements referred to in points (a) and (c) of paragraph 1. An institution that chooses to use the approach set out in the first subparagraph shall notify its competent authority thereof at least three months before the first use. After those three months have elapsed and provided that the competent authority has not objected, the institution may use that approach until the competent authority informs the institution that it is no longer permitted to do so. An institution that wishes to stop using the approach set out in the first subparagraph shall notify its competent authority thereof at least three months before stopping that use. The institution may stop applying that approach, unless the competent authority has objected within that three-month period.

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Article 325f Own funds requirements for delta and vega risks 1. Institutions shall apply the delta and vega risk factors described in Subsection 1 of Section 3 to calculate the own funds requirements for delta and vega risks. 2. Institutions shall apply the … 331 unchanged words … requirement for delta or vega riskb K2bbcb γbcSbSc where: Sb Σk WSk for all risk factors in bucket b and Sc = Σk WSk in bucket c; where those values for Sb and Sc produce a negative number for the overall sum of bK2bbcb γbcSbSc, , the institution shall calculate the risk-class specific own funds requirements for delta or vega risk using an alternative specification whereby Sb max [min (Σk WSk, Kb), – Kb] for all risk factors in bucket b and Sc max [min (Σk WSk, Kc), – Kc] for all risk factors in bucket c. The risk-class specific own funds requirements for delta or vega risk shall be calculated for each risk class in accordance with paragraphs 1 to 8.

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before (02013R0575-20210629)

Article 325g
Own funds requirements for curvature risk
Institutions shall calculate the own funds requirements for curvature risk in accordance with the delegated act referred to in Article 461a.

after (02013R0575-20210930)

Article 325g
Own funds requirements for curvature risk
1. Institutions shall perform the calculations laid down in paragraph 2 for each risk factor of the instruments subject to the own funds requirement for curvature risk, except for the risk factors referred to in paragraph 3.
For a given risk factor, institutions shall perform those calculations on a net basis across all the positions of the instruments subject to the own funds requirement for curvature risk that contain that risk factor.
2. For a given risk factor k included in one or more instruments referred to in paragraph 1, institutions shall calculate the upward net curvature risk position of that risk factor (
) and the downward net curvature risk position of that risk factor (
) as follows:
where:
i
the index that denotes all the positions of instruments referred to in paragraph 1 and including risk factor k;
xk
the current value of risk factor k;
Vi (xk)
the value of instrument i as estimated by the pricing model of the institution based on the current value of risk factor k;
the value of instrument i as estimated by the pricing model of the institution based on an upward shift of the value of risk factor k;
the value of instrument i as estimated by the pricing model of the institution based on a downward shift of the value of risk factor k;
the risk weight applicable to risk factor k determined in accordance with Section 6;
sik
the delta sensitivity of instrument i with respect to risk factor k, calculated in accordance with Article 325r.
3. By way of derogation from paragraph 2, for curves of risk factors that belong to the general interest rate risk (GIRR), credit spread risk (CSR) and commodity risk classes, institutions shall perform the calculations laid down in paragraph 6 at the level of the entire curve instead of at the level of each risk factor that belongs to the curve.
For the purposes of the calculation referred to in paragraph 2, where xk is a curve of risk factors allocated to the GIRR, CSR and commodity risk classes, sik shall be the sum of the delta sensitivities to the risk factor of the curve across all tenors of the curve.
4. In order to determine a bucket-level own funds requirement for curvature risk, institutions shall aggregate, in accordance with the following formula the upward and downward net curvature risk positions, calculated in accordance with paragraph 2, of all the risk factors assigned to that bucket in accordance with Subsection 1 of Section 3:
where:
b
the index that denotes a bucket of a given risk class;
Kb
own funds requirements for curvature risk for bucket b;
;
;
;
pkl
the intra-bucket correlations between risk factors k and l as prescribed in Section 6;
k, l
the indices that denote all the risk factors of instruments referred to in paragraph 1 that are assigned to bucket b;
(
)
the upward net curvature risk position;
(
)
the downward net curvature risk position.
5. By way of derogation from paragraph 4, for the bucket-level own funds requirements for curvature risk of bucket 18 of Article 325ah, of bucket 18 of Article 325ak, of bucket 25 of Article 325am and of bucket 11 of Article 325ap the following formula shall be used:
6. Institutions shall calculate the risk-class own funds requirements for curvature risk (RCCR) by aggregating all the bucket-level own funds requirements for curvature risk within a given risk class as follows:
where:
b, c
the indices that denote all the buckets of a given risk class that corresponds to instruments referred to in paragraph 1;
Kb
own funds requirements for curvature risk for bucket b;
;
;
γbc
the inter-bucket correlations between buckets b and c as set out in Section 6.
7. The own funds requirement for curvature risk shall be the sum of the risk class own funds requirements for curvature risk calculated in accordance with paragraph 6 across all risk classes to which at least one risk factor of the instruments referred to in paragraph 1 belongs.

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Article 325h Aggregation of risk-class specific own funds requirements for delta, vega and curvature risks 1. Institutions shall aggregate risk-class specific own funds requirements for delta, vega and curvature risks in accordance with the process set out in paragraphs 2, 3 and 4. 2. The process to calculate the risk-class specific own funds requirements for delta, vega and curvature risks described in Articles 325f and 325g shall be performed three times per risk class, each time using a different set of correlation parameters ρkl (correlation between risk factors within a bucket) and γbc (correlation between buckets within a risk class). Each of those three sets shall correspond to a different scenario, as follows: (a) the medium correlations scenario, whereby the correlation parameters ρkl and γbc remain unchanged from those specified in Section 6; (b) the high correlations scenario, whereby the correlation parameters ρkl and γbc that are specified in Section 6 shall be uniformly multiplied by 1,25, with ρkl and γbc subject to a cap at 100 %; (c) the low correlations scenario scenario, whereby the correlation parameters ρkl and γbc that are specified in Section 6 shall be specified in the delegated act referred to in Article 461a. replaced by and , respectively. 3. Institutions shall calculate the sum of the delta, vega and curvature risk-class specific own funds requirements for each scenario to determine three scenario-specific, own funds requirements. 4. The own funds requirement under the sensitivities-based method shall be the highest of the three scenario-specific own funds requirements referred to in paragraph 3.

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Article 325i
Treatment of index instruments and multi-underlying options
Institutions shall treat the index instruments and multi-underlying options in accordance with the delegated act referred to in Article 461a.

after (02013R0575-20210930)

Article 325i
Treatment of index instruments and other multi-underlying instruments
1. Institutions shall use a look-through approach for index and other multi-underlying instruments in accordance with the following:
(a) for the purposes of calculating the own funds requirements for delta and curvature risk, institutions shall consider that they hold individual positions directly in the underlying constituents of the index or other multi-underlying instruments, except for a position in an index included in the ACTP for which they shall calculate a single sensitivity to the index;
(b) institutions are allowed to net the sensitivities to a risk factor of a given constituent of an index instrument or other multi-underlying instrument with the sensitivities to the same risk factor of the same constituent of single name instruments, except for positions included in the ACTP;
(c) for the purposes of calculating the own funds requirements for vega risk, institutions may either consider that they directly hold individual positions in the underlying constituents of the index or other multi-underlying instrument, or calculate a single sensitivity to the underlying of that instrument. In the latter case, institutions shall assign the single sensitivity to the relevant bucket as set out in Subsection 1 of Section 6 as follows:
(i) where, taking into account the weightings of that index, more than 75 % of constituents in that index would be mapped to the same bucket, institutions shall assign the sensitivity to that bucket and treat it as a single-name sensitivity in that bucket;
(ii) in all other cases, institutions shall assign the sensitivity to the relevant index bucket.
2. By way of derogation from point (a) of paragraph 1, institutions may calculate a single sensitivity to a position in a listed equity or credit index for the purposes of calculating the own funds requirements for delta and curvature risks provided the listed equity or credit index meets the conditions set out in paragraph 3. In that case, institutions shall assign the single sensitivity to the relevant bucket as set out in Subsection 1 of Section 6 as follows:
(a) where, taking into account the weightings of that listed index, more than 75 % of constituents in that listed index would be mapped to the same bucket, that sensitivity shall be assigned to that bucket and treated as a single-name sensitivity in that bucket;
(b) in all other cases, institutions shall assign the sensitivity to the relevant listed index bucket.
3. Institutions may use the approach set out in paragraph 2 for instruments referencing a listed equity or credit index where all of the following conditions are met:
(a) the constituents of the listed index and their respective weightings in that index are known;
(b) the listed index contains at least 20 constituents;
(c) no single constituent contained within the listed index represents more than 25 % of the total market capitalisation of that index;
(d) no set comprising one tenth of the total number of constituents of the listed index, rounded up to the next integer, represents more than 60 % of the total market capitalisation of that index;
(e) the total market capitalisation of all the constituents of the listed index is no less than EUR 40 billion.
4. An institution shall use, consistently over time, only the approach set out in paragraph 1 or the approach set out in paragraph 2 for all the instruments that reference a listed equity or credit index that meets the conditions set out in paragraph 3. An institution shall require prior permission from the competent authority before switching from one approach to another.
5. For an index or other multi-underlying instrument, the sensitivity inputs for the calculation of delta and curvature risks shall be consistent, irrespective of the approaches used for that instrument.
6. Index or multi-underlying instruments which bear other residual risks as referred to in Article 325u(5) shall be subject to the residual risk add-on referred to in Section 4.

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Article 325j
Treatment of collective investment undertakings
Institutions shall treat the collective investment undertakings in accordance with the delegated act referred to in Article 461a.

after (02013R0575-20210930)

Article 325j
Treatment of collective investment undertakings
1. An institution shall calculate the own funds requirements for market risk of a position in a CIU using one of the following approaches:
(a) where an institution is able to obtain sufficient information about the individual underlying exposures of the CIU, the institution shall calculate the own funds requirements for market risk of that CIU position by looking through to the underlying positions of the CIU as if those positions were directly held by the institution;
(b) where the institution is not able to obtain sufficient information about the individual underlying exposures of the CIU, but the institution has knowledge of the content the mandate of the CIU and daily price quotes for the CIU can be obtained, the institution shall calculate the own funds requirements for market risk of that CIU position by using one of the following approaches:
(i) the institution may consider the position in the CIU as a single equity position allocated to the bucket other sector in Table 8 of Article 325ap(1);
(ii) upon permission from its competent authority, an institution may calculate the own funds requirements for market risk of the CIU in accordance with the limits set in the CIU’s mandate and relevant law;
(c) where the institution meets neither the conditions in point (a) nor (b), the institution shall allocate the CIU to the non-trading book.
An institution that uses one of the approaches set out in point (b) shall apply the own funds requirement for the default risk set out in Section 5 of this Chapter and the residual risk add-on set out in Section 4 of this Chapter where the mandate of the CIU implies that some exposures in the CIU shall be subject to those own funds requirements.
An institution that uses the approach set out in point (ii) of point (b) may calculate the own funds requirements for counterparty credit risk and own funds requirements for credit valuation adjustment risk of derivative positions of the CIU, using the simplified approach set out in paragraph 3 of Article 132a.
2. By way of derogation from paragraph 1, where an institution has a position in a CIU that tracks an index benchmark so that the annualised return difference between the CIU and the tracked index benchmark over the last 12 months is below 1 % in absolute terms, ignoring fees and commissions, the institution may treat that position as a position in the tracked index benchmark. An institution shall verify compliance with that condition when the institution enters into the position and, after that, at least annually.
However, where data for the last 12 months are not fully available, an institution may, subject to permission from the institution’s competent authority, use an annualised return difference from a period shorter than 12 months.
3. An institution may use a combination of the approaches referred to in points (a), (b) and (c) of paragraph 1 for its positions in CIUs. However, an institution shall use only one of those approaches for all the positions in the same CIU.
4. For the purposes of point (b) of paragraph 1, an institution shall carry out the calculations under the following provisions:
(a) for the purposes of calculating the own funds requirement under the sensitivities-based method set out in Section 2 of this Chapter, the CIU shall first take position to the maximum extent allowed under its mandate or relevant law in the exposures attracting the highest own funds requirements set out under that Section and shall then continue taking positions in descending order until the maximum total loss limit is reached;
(b) for the purposes of the own fund requirements for the default risk set out in Section 5 of this Chapter, the CIU shall first take position to the maximum extent allowed under its mandate or relevant law in the exposures attracting the highest own funds requirements set out under that Section and shall then continue taking positions in descending order until the maximum total loss limit is reached;
(c) the CIU shall apply leverage to the maximum extent allowed under its mandate or relevant law, where applicable.
The own funds requirements for all positions in the same CIU for which the calculations referred to in the first subparagraph are used shall be calculated on a stand-alone basis as a separate portfolio using the approach set out in this Chapter.
5. An institution may use the approaches referred to in point (a) or (b) of paragraph 1 only where the CIU meets all the conditions set out in Article 132(3) and point (a) of Article 132(4).

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Article 325q
Foreign exchange risk factors
1. The foreign exchange delta risk factors to be applied by institutions to foreign exchange sensitive instruments shall be all the spot exchange rates between the currency in which an instrument is denominated and the institution's reporting currency. There shall be one bucket per currency pair, containing a single risk factor and a single net sensitivity.
2. The foreign exchange vega risk factors to be applied by institutions to options with underlyings that are sensitive to foreign exchange shall be the implied volatilities of exchange rates between the currency pairs referred to in paragraph 1. Those implied volatilities of exchange rates shall be mapped to the following maturities in accordance with the maturities of the corresponding options subject to own funds requirements: 0,5 years, 1 year, 3 years, 5 years, 10 years.
3. The foreign exchange curvature risk factors to be applied by institutions to options with underlyings that are sensitive to foreign exchange shall be the same as those referred to in paragraph 1.
4. Institutions shall not be required to distinguish between onshore and offshore variants of a currency for all foreign exchange delta, vega and curvature risk factors.

after (02013R0575-20210930)

Article 325q
Foreign exchange risk factors
1. The foreign exchange delta risk factors to be applied by institutions to foreign exchange sensitive instruments shall be all the spot exchange rates between the currency in which an instrument is denominated and the institution’s reporting currency or the institution’s base currency where the institution is using a base currency in accordance with paragraph 7. There shall be one bucket per currency pair, containing a single risk factor and a single net sensitivity.
2. The foreign exchange vega risk factors to be applied by institutions to options with underlyings that are sensitive to foreign exchange shall be the implied volatilities of exchange rates between the currency pairs referred to in paragraph 1. Those implied volatilities of exchange rates shall be mapped to the following maturities in accordance with the maturities of the corresponding options subject to own funds requirements: 0,5 years, 1 year, 3 years, 5 years, 10 years.
3. The foreign exchange curvature risk factors to be applied by institutions to instruments with underlyings that are sensitive to foreign exchange shall be the foreign exchange delta risk factors referred to in paragraph 1.
4. Institutions shall not be required to distinguish between onshore and offshore variants of a currency for all foreign exchange delta, vega and curvature risk factors.
5. Where a foreign exchange rate that is the underlying of an instrument i that is subject to own funds requirements for curvature risks neither refers to the institution’s reporting currency nor the institution’s base currency, the institution may divide by 1,5 the corresponding components
 and
 set out in paragraph 2 of Article 325g for which xk is the foreign exchange risk factor between one of the two currencies of the underlying and the institution’s reporting currency or the institution’s base currency, as applicable.
6. Subject to permission from its competent authority, an institution may divide by 1,5 the components  and  set out in Article 325g(2) consistently for all the foreign exchange risk factors of instruments concerning foreign exchange and subject to own funds requirement for curvature risk, provided that any foreign exchange risk factors based on the institution’s reporting currency or the institution’s base currency, as applicable, that are included in the calculation of those components are shifted simultaneously.
7. By way of derogation from paragraphs 1 and 3, an institution may replace, subject to permission from its competent authority, its reporting currency by another currency (the base currency) in all the spot exchange rates to express the delta and curvature foreign exchange risk factors where all of the following conditions are met:
(a) the institution uses only one base currency;
(b) the institution applies the base currency consistently to all its trading book and non-trading book positions;
(c) the institution has demonstrated to the satisfaction of its competent authority that:
(i) using the chosen base currency provides an appropriate risk representation for the institution’s positions subject to foreign exchange risks;
(ii) the choice of base currency is compatible with the manner in which the institution manages those foreign exchange risks internally;
(iii) the choice of base currency is not driven primarily by the desire to reduce the institution’s own funds requirements;
(d) the institution takes into account the translation risk between the reporting currency and the base currency.
An institution that has been permitted to use a base currency as set out in the first subparagraph shall convert the resulting own funds requirements for foreign exchange risk into the reporting currency using the prevailing spot exchange rate between the base currency and the reporting currency.

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Article 325r Delta risk sensitivities 1. Institutions shall calculate delta general interest rate risk (GIRR) sensitivities as follows: (a) the sensitivities to risk factors consisting of risk-free rates shall be calculated as follows: SrktVirkt0,0001, x, y …Virkt, x, y …0,0001 where: Srkt the sensitivities to risk factors … 348 unchanged words … the pricing function Vi. 4. Institutions shall calculate the delta commodity risk sensitivities to each risk factor k as follows:SkVi1,01 CTYk, γ, z …ViCTYk, γ, z …0,01 where: sk the delta commodity risk sensitivities; k a given commodity risk factor; CTYk the value of risk factor k; Vi (.) the market value pricing function of instrument i as a function of risk factor k; i; and y, z risk factors other than CTYk in the pricing model of instrument i. 5. Institutions shall calculate the delta foreign exchange risk sensitivities to each foreign exchange risk factor k as follows:SkVi1,01 FXk, y, z …ViFXk, y, z …0,01 where: sk the delta foreign exchange risk sensitivities; k a given foreign exchange risk factor; FXk the value of the risk factor; Vi (.) the market value pricing function of instrument i as a function of the risk factor k; i; and y, z risk factors other than FXk in the pricing model of instrument i.

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Article 325s Vega risk sensitivities 1. Institutions shall calculate the vega risk sensitivity of an option to a given risk factor k as follows:SkVi1,01 volk, x, yVivolk, x, y0,01 follows: where: sk the vega risk sensitivity of an option; k a specific vega risk factor, consisting of an implied volatility; volk the value of that risk factor, which should be expressed as a percentage; and x,y risk factors other than volk in the pricing function Vi. 2. In the case of risk classes where vega risk factors have a maturity dimension, but where the rules to map the risk factors are not applicable because the options do not have a maturity, institutions shall map those risk factors to the longest prescribed maturity. Those options shall be subject to the residual risks add-on. 3. In the case of options that do not have a strike or barrier and options that have multiple strikes or barriers, institutions shall apply the mapping to strikes and maturity used internally by the institution to price the option. Those options shall also be subject to the residual risks add-on. 4. Institutions shall not calculate the vega risk for securitisation tranches included in the ACTP, as referred to in Article 325(6), (7) and (8), that do not have an implied volatility. Own funds requirements for delta and curvature risk shall be computed for those securitisation tranches.

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Article 325w Gross jump-to-default amounts 1. Institutions shall calculate the gross JTD amounts for each long exposure to debt instruments as follows: JTDlong = max {LGD Vnotional + P&Llong + Adjustmentlong; 0} where: JTDlong the gross JTD amount for the long exposure; Vnotional the notional amount of the instrument; instrument from which the exposure arises; P&Llong a term which adjusts for gains or losses already accounted for by the institution due to changes in the fair value of the instrument creating the long exposure; gains shall enter into the formula with a positive sign and losses shall enter into the formula with a negative; negative sign; and Adjustmentlong where the instrument from which the exposure arises is a derivative instrument, the amount by which, due to the structure of the derivative instrument, the institution's loss in the event of default would be increased or reduced relative to the full loss on the underlying instrument; increases shall enter into the Adjustmentlong term formula with a positive sign and decreases shall enter into the formula with a negative sign. 2. Institutions shall calculate the gross JTD amounts for each short exposure to debt instruments as follows: JTDshort = min {LGD Vnotional + P&Lshort + Adjustmentshort; 0} where: JTDshort the gross JTD amount for the short exposure; Vnotional the notional amount of the instrument from which the exposure arises that shall enter into the formula with a negative sign; P&Lshort a term which adjusts for gains or losses already accounted for by the institution due to changes in the fair value of the instrument creating the short exposure; gains shall enter into the formula with a positive sign and losses shall enter into the formula with a negative sign; and Adjustmentshort where the instrument from which the exposure arises is a derivative instrument, the amount by which, due to the structure of the derivative instrument, the institution's gain in the event of default would be increased or reduced relative to the full loss on the underlying instrument; decreases shall enter into the Adjustmentshort term formula with a positive sign and increases shall enter into the Adjustmentshort term formula with a negative sign. 3. For the purposes of the calculation set out in paragraphs 1 and 2, the LGD for debt instruments to be applied by institutions shall be the following: (a) exposures to non-senior debt instruments shall be assigned an LGD of 100 %; (b) exposures to senior debt instruments shall be assigned an LGD of 75 %; (c) exposures to covered bonds, as referred to in Article 129, shall be assigned an LGD of 25 %. 4. For the purposes of the calculations set out in paragraphs 1 and 2, notional amounts shall be determined as follows: (a) in the case of debt instruments, a bond, the notional amount is the face value of the debt instrument; bond; (b) in the case of derivative instruments with debt security underlyings, a sold put option on a bond, the notional amount is the notional amount of the derivative instrument. option; in the case of a bought call option on a bond, the notional amount is 0. 5. For exposures to equity instruments, institutions shall calculate the gross JTD amounts as follows, instead of using the formulas referred to in paragraphs 1 and 2: follows: JTDlong = max {LGD · V Vnotional + P&Llong + Adjustmentlong; 0} JTDshort = min {LGD · V Vnotional + P&Lshort + Adjustmentshort; 0} where: JTDlong the gross JTD amount for the long exposure; Vnotional the notional amount of the instrument from which the exposure arises; the notional amount is the fair value of the equity for cash equity instruments; for the JTDshort formula, the notional amount of the instrument shall enter into the formula with a negative sign; P&Llong a term which adjusts for gains or losses already accounted for by the institution due to changes in the fair value of the instrument creating the long exposure; gains shall enter into the formula with a positive sign and losses shall enter into the formula with a negative sign; Adjustmentlong the amount by which, due to the structure of the derivative instrument, the institution's loss in the event of default would be increased or reduced relative to the full loss on the underlying instrument; increases shall enter into the formula with a positive sign and decreases shall enter into the formula with a negative sign; JTDshort the gross JTD amount for the short exposure; and V P&Lshort a term which adjusts for gains or losses already accounted for by the institution due to changes in the fair value of the equity or, instrument creating the short exposure; gains shall enter into the formula with a positive sign and losses shall enter into the formula with a negative sign; and Adjustmentshort the amount by which, due to the structure of the derivative instrument, the institution's gain in the case event of derivative instruments default would be increased or reduced relative to the full loss on the underlying instrument; decreases shall enter into the formula with equity underlyings, a positive sign and increases shall enter into the fair value of the equity underlying. formula with a negative sign. 6. Institutions shall assign an LGD of 100 % to equity instruments for the purposes of the calculation set out in paragraph 5. 7. In the case of exposures to default risk arising from derivative instruments whose pay-offs in the event of default of the obligor are not related to the notional amount of a specific instrument issued by that obligor or to the LGD of the obligor or an instrument issued by that obligor, institutions shall use alternative methodologies to estimate the gross JTD amounts. 8. EBA shall develop draft regulatory technical standards to specify: (a) how institutions are to calculate determine the components P&Llong, P&Lshort, Adjustmentlong and Adjustmentshort when calculating the JTD amounts for different types of instruments in accordance with this Article; (b) which alternative methodologies institutions are to use for the purposes of the estimation of gross JTD amounts referred to in paragraph 7. (c) the notional amounts of instruments other than the ones referred to in points (a) and (b) of paragraph 4. EBA shall submit those draft regulatory technical standards to the Commission by 28 June 2021. 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.

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Article 325ad Calculation of the own funds requirements for the default risk for the ACTP 1. Net JTD amounts shall be multiplied by: (a) for tranched products, the default risk weights corresponding to their credit quality as specified in Article 325y(1) and (2); (b) for non-tranched products, the default risk weights referred to in Article 325aa(1). 2. Risk-weighted net JTD amounts shall be assigned to buckets that correspond to an index. 3. Weighted net JTD amounts shall be aggregated within each bucket in accordance with the following formula: DRCb = max {(Σi ∈ long RWi · net JTDi) – WtSACTP · (Σi ∈ short RWi · |net JTDi|); 0} where: DRCb the own funds requirement for the default risk for bucket b; i an instrument belonging to bucket b; and WtSACTP the ratio recognising a benefit for hedging relationships within a bucket, which shall be calculated in accordance with the WtS formula set out in Article 325y(4), but using long positions and short positions across the entire ACTP and not just the positions in the particular bucket. 4. Institutions shall calculate the own funds requirements for the default risk for the ACTP by using the following formula:DRCACTPmaxbmaxDRCb, 00,5minDRCb, 00 ; 0 formula: where: DRCACTP the own funds requirement for the default risk for the ACTP; and DRCb the own funds requirement for the default risk for bucket b.

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Article 325ae Risk weights for general interest rate risk 1. For currencies not included in the most liquid currency sub-category as referred to in point (b) of Article 325bd(7), the risk weights of the sensitivities to the risk-free rate risk factors for each bucket in Table 3 shall be specified pursuant to the delegated act referred to in Article 461a. following: Table 3 Bucket Maturity Risk Weight 1 0,25 years 1,7 % 2 0,5 years 1,7 % 3 1 year 1,6 % 4 2 years 1,3 % 5 3 years 1,2 % 6 5 years 1,1 % 7 10 years 1,1 % 8 15 years 1,1 % 9 20 years 1,1 % 10 30 years 1,1 % 2. A common Institutions shall apply a risk weight both for of 1,6 % to all the sensitivities to of inflation and for to cross currency basis risk factors shall be specified in the delegated act referred to in Article 461a. factors. 3. For the currencies included in the most liquid currency sub-category as referred to in point (b) of 325bd(7) and the domestic currency of the institution, the risk weights of the risk-free rate risk factors shall be the risk weights referred to in Table 3 divided by √2.

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Article 325ah Risk weights for credit spread risk for non-securitisations 1. Risk weights for the sensitivities to credit spread risk factors for non-securitisations shall be the same for all maturities (0,5 years, 1 year, 3 years, 5 years, 10 years) within each bucket in Table 4: Table 4 Bucket number Credit quality Sector Risk weight (percentage points) 1 All Central government, including central banks, of a Member State 0,50 States 0,5 % 2 Credit quality step 1 to 3 Central government, including central banks, of a third country, multilateral development banks and international organisations referred to in Article 117(2) or Article 118 0,5 % 3 Regional or local authority and public sector entities 1,0 % 4 Financial sector entities including credit institutions incorporated or established by a central government, a regional government or a local authority and promotional lenders 5,0 % 5 Basic materials, energy, industrials, agriculture, manufacturing, mining and quarrying 3,0 % 6 Consumer goods and services, transportation and storage, administrative and support service activities 3,0 % 7 Technology, telecommunications 2,0 % 8 Health care, utilities, professional and technical activities 1,5 % 9 Covered bonds issued by credit institutions established in Member States 1,0 % 10 Credit quality step 1 Covered bonds issued by credit institutions in third countries 1,5 % Credit quality steps 2 to 3 2,5 % 11 Credit quality step 4 to 6 and unrated Central government, including central banks, of a third country, multilateral development banks and international organisations referred to in Article 117(2) or Article 118 2 % 12 Regional or local authority and public sector entities 4,0 % 13 Financial sector entities including credit institutions incorporated or established by a central government, a regional government or a local authority and promotional lenders 12,0 % 14 Basic materials, energy, industrials, agriculture, manufacturing, mining and quarrying 7,0 % 15 Consumer goods and services, transportation and storage, administrative and support service activities 8,5 % 16 Technology, telecommunications 5,5 % 17 Health care, utilities, professional and technical activities 5,0 % 18 Other sector 12,0 % 19 Listed credit indices with a majority of its individual constituents being investment grade 1,5 % 20 Listed credit indices with a majority of its individual constituents being non-investment grade or unrated 5 % 2. To assign a risk exposure to a sector, institutions shall rely on a classification that is commonly used in the market for grouping issuers by sector. Institutions shall assign each issuer to only one of the sector buckets in Table 4. Risk exposures from any issuer that an institution cannot assign to a sector in such a manner shall be assigned to bucket 18 in Table 4.

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Article 325aj Correlations across buckets for credit spread risk for non-securitisations The correlation parameter γbc that applies to the aggregation of sensitivities between different buckets shall be set as follows: γbc = γbc(rating) · γbc(sector) where: γbc(rating) shall be equal to 1 where the two buckets have the same credit quality category (either credit quality step 1 to 3 or credit quality step 4 to 6), otherwise it shall be equal to 50 %; for the purposes of that calculation, bucket 1 shall be considered as belonging to the same credit quality category as buckets that have credit quality step 1 to 3; and γbc(sector) shall be equal to 1 where the two buckets belong to the same sector, and otherwise shall be equal to the corresponding percentage set out in Table 5: Table 5 Bucket 1, 2 and 11 3 and 12 4 and 13 5 and 14 6 and 15 7 and 16 8 and 17 9 and 10 18 19 20 1, 2 and 11 75 % 10 % 20 % 25 % 20 % 15 % 10 % 0 % 45 % 45 % 3 and 12 5 % 15 % 20 % 15 % 10 % 10 % 0 % 45 % 45 % 4 and 13 5 % 15 % 20 % 5 % 20 % 0 % 45 % 45 % 5 and 14 20 % 25 % 5 % 5 % 0 % 45 % 45 % 6 and 15 25 % 5 % 15 % 0 % 45 % 45 % 7 and 16 5 % 20 % 0 % 45 % 45 % 8 and 17 5 % 0 % 45 % 45 % 9 — and 10 0 % 45 % 45 % 18 0 % 0 % 19 75 % 20

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Article 325ak Risk weights for credit spread risk for securitisations included in the ACTP Risk weights for the sensitivities to credit spread risk factors for securitisations included in the ACTP risk factors shall be the same for all maturities (0,5 years, 1 year, 3 years, 5 years, 10 years) within each bucket and shall be specified for each bucket in Table 6 pursuant to the delegated act referred to in Article 461a: Table 6 Bucket number Credit quality Sector Risk weight 1 All Central government, including central banks, of Member States 4,0 % 2 Credit quality step 1 to 3 Central government, including central banks, of a third country, multilateral development banks and international organisations referred to in Article 117(2) or Article 118 4,0 % 3 Regional or local authority and public sector entities 4,0 % 4 Financial sector entities including credit institutions incorporated or established by a central government, a regional government or a local authority and promotional lenders 8,0 % 5 Basic materials, energy, industrials, agriculture, manufacturing, mining and quarrying 5,0 % 6 Consumer goods and services, transportation and storage, administrative and support service activities 4,0 % 7 Technology, telecommunications 3,0 % 8 Health care, utilities, professional and technical activities 2,0 % 9 Covered bonds issued by credit institutions established in Member States 3,0 % 10 Covered bonds issued by credit institutions in third countries 6,0 % 11 Credit quality step 4 to 6 and unrated Central government, including central banks, of a third country, multilateral development banks and international organisations referred to in Article 117(2) or Article 118 13,0 % 12 Regional or local authority and public sector entities 13,0 % 13 Financial sector entities including credit institutions incorporated or established by a central government, a regional government or a local authority and promotional lenders 16,0 % 14 Basic materials, energy, industrials, agriculture, manufacturing, mining and quarrying 10,0 % 15 Consumer goods and services, transportation and storage, administrative and support service activities 12,0 % 16 Technology, telecommunications 12,0 % 17 Health care, utilities, professional and technical activities 12,0 % 18 Other sector13,0 %

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Article 325am Risk weights for credit spread risk for securitisations not included in the ACTP 1. Risk weights for the sensitivities to credit spread risk factors for securitisation not included in the ACTP shall be the same for all maturities (0,5 years, 1 year, 3 years, 5 years, 10 years) within each bucket in Table 7 and shall be specified for each bucket in Table 7 pursuant to the delegated act referred to in Article 461a: Table 7 Bucket number Credit quality Sector Risk weight 1 Senior and Credit quality step 1 to 3 RMBS - — Prime 0,9 % 2 RMBS - — Mid-Prime 1,5 % 3 RMBS - — Sub-Prime 2,0 % 4 CMBS 2,0 % 5 Asset backed securities (ABS) - — Student loans 0,8 % 6 ABS - — Credit cards 1,2 % 7 ABS - — Auto 1,2 % 8 Collateralised loan obligations (CLO) non-ACTP 1,4 % 9 Non-senior and credit quality step 1 to 3 RMBS - — Prime 1,125 % 10 RMBS - — Mid-Prime 1,875 % 11 RMBS - — Sub-Prime 2,5 % 12 CMBS 2,5 % 13 ABS - — Student loans 1 % 14 ABS - — Credit cards 1,5 % 15 ABS - — Auto 1,5 % 16 CLO non-ACTP 1,75 % 17 Credit quality step 4 to 6 and unrated RMBS - — Prime 1,575 % 18 RMBS - — Mid-Prime 2,625 % 19 RMBS - — Sub-Prime 3,5 % 20 CMBS 3,5 % 21 ABS - — Student loans 1,4 % 22 ABS - — Credit cards 2,1 % 23 ABS - — Auto 2,1 % 24 CLO non-ACTP 2,45 % 25 Other sector 3,5 % 2. To assign a risk exposure to a sector, institutions shall rely on a classification that is commonly used in the market for grouping issuers by sector. Institutions shall assign each tranche to one of the sector buckets in Table 7. Risk exposures from any tranche that an institution cannot assign to a sector in such a manner shall be assigned to bucket 25.

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Article 325an Intra-bucket correlations for credit spread risk for securitisations not included in the ACTP 1. Between two sensitivities WSk and WSl within the same bucket, the correlation parameter ρkl shall be set as follows: ρkl = ρkl(tranche) · ρkl(tenor) · ρkl(basis) where: ρkl(thranche) ρkl(tranche) shall be equal to 1 where the two names of sensitivities k and l are within the same bucket and are related to the same securitisation tranche (more than 80 % overlap in notional terms), otherwise it shall be equal to 40 %; ρkl(tenor) shall be equal to 1 where the two vertices of the sensitivities k and l are identical, otherwise it shall be equal to 80 %; and ρkl(basis) shall be equal to 1 where the two sensitivities are related to the same curves, otherwise it shall be equal to 99,90 %. 2. The correlation parameters referred to in paragraph 1 shall not apply to bucket 25 in Table 7 of Article 325am(1). The own funds requirement for the delta risk aggregation formula within bucket 25 shall be equal to the sum of the absolute values of the net weighted sensitivities allocated to that bucket:Kbbucket 25kWSk

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Article 325ap Risk weights for equity risk 1. Risk weights for the sensitivities to equity and equity repo rate risk factors shall be specified for each bucket in Table 8 pursuant to the delegated act referred to in Article 461a: Table 8 Bucket number Market capitalisation capitali-sation Economy Sector Risk weight for equity spot price Risk weight for equity repo rate 1 Large Emerging market economy Consumer goods and services, transportation and storage, administrative and support service activities, healthcare, utilities 55 % 0,55 % 2 Telecommunications, industrials 60 % 0,60 % 3 Basic materials, energy, agriculture, manufacturing, mining and quarrying 45 % 0,45 % 4 Financials including government-backed financials, real estate activities, technology 55 % 0,55 % 5 Advanced economy Consumer goods and services, transportation and storage, administrative and support service activities, healthcare, utilities 30 % 0,30 % 6 Telecommunications, industrials 35 % 0,35 % 7 Basic materials, energy, agriculture, manufacturing, mining and quarrying 40 % 0,40 % 8 Financials including government-backed financials, real estate activities, technology 50 % 0,50 % 9 Small Emerging market economy All sectors described under bucket numbers 1, 2, 3 and 4 70 % 0,70 % 10 Advanced economy All sectors described under bucket numbers 5, 6, 7 and 8 50 % 0,50 % 11 Other sector 70 % 0,70 % 12 Large market cap, advanced economy indices 15 % 0,15 % 13 Other indices 25 % 0,25 % 2. For the purposes of this Article, what constitutes a small and a large market capitalisation shall be specified in the regulatory technical standards referred to in Article 325bd(7). 3. For the purposes of this Article, EBA shall develop draft regulatory technical standards to specify what constitutes an emerging market and to specify what constitutes an advanced economy. EBA shall submit those draft regulatory technical standards to the Commission by 28 June 2021. 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. 4. When assigning a risk exposure to a sector, institutions shall rely on a classification that is commonly used in the market for grouping issuers by sector. Institutions shall assign each issuer to one of the sector buckets in Table 8 and shall assign all issuers from the same industry to the same sector. Risk exposures from any issuer that an institution cannot assign to a sector in such a manner shall be assigned to bucket 11 in Table 8. Multinational or multi-sector equity issuers shall be assigned to a particular bucket on the basis of the most material region and sector in which the equity issuer operates.

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Article 325aq Intra-bucket correlations for equity risk 1. The delta risk correlation parameter ρkl between two sensitivities WSk and WSl within the same bucket shall be set at 99,90 % where one is a sensitivity to an equity spot price and the other is a sensitivity to an equity repo rate, rate and where both sensitivities are related to the same equity issuer name. 2. In other cases than the cases referred to in paragraph 1, the correlation parameter ρkl between two sensitivities WSk and WSl to equity spot price within the same bucket shall be set as follows: (a) 15 % between two sensitivities within the same bucket that fall under the category large market capitalisation, emerging market economy (bucket number 1, 2, 3 or 4); (b) 25 % between two sensitivities within the same bucket that fall under the category large market capitalisation, advanced economy (bucket number 5, 6, 7 or 8); (c) 7,5 % between two sensitivities within the same bucket that fall under the category small market capitalisation, emerging market economy (bucket number 9); (d) 12,5 % between two sensitivities within the same bucket that fall under the category small market capitalisation, advanced economy (bucket number 10). 10); (e) 80 % between two sensitivities within the same bucket that fall under either index bucket (bucket number 12 or 13). 3. The correlation parameter ρkl between two sensitivities WSk and WSl to equity repo rate rates within the same bucket shall be set in accordance with points (a) to (d) of paragraph 2. 4. Between two sensitivities WSk and WSl within the same bucket where one is a sensitivity to an equity spot price and the other a sensitivity to an equity repo rate and both sensitivities relate to a different equity issuer name, the correlation parameter ρkl shall be set to the correlation parameters specified in paragraph 2, multiplied by 99,90 %. 5. The correlation parameters specified in paragraphs 1 to 4 shall not apply to bucket 11. The capital requirement for the delta risk aggregation formula within bucket 11 shall be equal to the sum of the absolute values of the net weighted sensitivities allocated to that bucket:Kbbucket 11kWSk

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Article 325ar Correlations across buckets for equity risk The correlation parameter γbc shall apply to the aggregation of sensitivities between different buckets. It shall be set at in relation to the buckets of Table 8 in Article 325ap as follows: (a) 15 % where the two buckets fall within buckets bucket numbers 1 to 10. 10; (b) 0 % where either of the two buckets fall within bucket number 11; (c) 75 % where the two buckets fall within bucket number 12 and 13; (d) 45 % otherwise.

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Article 325as Risk weights for commodity risk Risk weights for sensitivities to commodity risk factors shall be specified for each bucket in Table 9 pursuant to the delegated act referred to in Article 461a: following: Table 9 Bucket number Bucket name Risk weight 1 Energy - — solid combustibles 30 % 2 Energy - — liquid combustibles 35 % 3 Energy - — electricity and carbon trading 60 % 4 Freight 80 % 5 Metals – — non-precious 40 % 6 Gaseous combustibles 45 % 7 Precious metals (including gold) 20 % 8 Grains and oilseed 35 % 9 Livestock and dairy 25 % 10 Softs and other agricultural commodities 35 % 11 Other commodity commodities 50 %

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Article 325av Risk weights for foreign exchange risk 1. Risk A risk weight for of 15 % shall be applied to all sensitivities to of foreign exchange risk factors shall be specified in the delegated act referred to in Article 461a. factors. 2. The risk weight of the foreign exchange risk factors concerning currency pairs which are composed of the euro and the currency of a Member State participating in the second stage of the economic and monetary union (ERM II) shall be one of the following: (a) the risk weight referred to in paragraph 1, divided by 3; (b) the maximum fluctuation within the fluctuation band formally agreed by the Member State and the European Central Bank, if that fluctuation band is narrower than the fluctuation band defined under ERM II. 3. Notwithstanding paragraph 2, the risk weight of the foreign exchange risk factors concerning currencies referred to in paragraph 2 which participate in the ERM II with a formally agreed fluctuation band narrower than the standard band of plus or minus 15 % shall equal the maximum percentage fluctuation within that narrower band. 4. The risk weight of the foreign exchange risk factors included in the most liquid currency pairs sub-category as referred to in point (c) of 325bd(7) shall be the risk weight referred to in paragraph 1 of this Article divided by √2. 5. Where the daily exchange-rate data for the preceding three years show that a currency pair composed of euro and a non-euro currency of a Member State is constant and that the institution is always able to face a zero bid/ask spread on the respective trades related to that currency pair, the institution may apply the risk weight referred to in paragraph 1 divided by 2, provided that it has the express permission of its competent authority to do so.

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Article 325ax Vega and curvature risk weights 1. Vega risk factors shall use the delta buckets referred to in Subsection 1. 2. The risk weight for a given vega risk factor k shall be determined as a share of the current value of that risk factor k which represents the implied volatility of an underlying, as described in Section 3. 3. The share referred to in paragraph 2 shall be made dependent on the presumed liquidity of each type of risk factor in accordance with the following formula:RWkValue of risk factor kminRWσLHrisk class10 ; 100% where: RWk = the risk weight for a given vega risk factor k; RWσ shall be set at 55 %; and LHrisk class is the regulatory liquidity horizon to be prescribed in the determination of each vega risk factor k. LHrisk class is determined in accordance with the following table: Table 11 Risk class LHrisk class Risk weights GIRR 60 100 % CSR non-securitisations 120 100 % CSR securitisations (ACTP) 120 100 % CSR securitisations (non-ACTP) 120 100 % Equity (large cap) cap and indices) 20 77,78 % Equity (small cap) cap and other sector) 60 100 % Commodity 120 100 % Foreign exchange 40 100 % 4. Buckets used in the context of delta risk in Subsection 1 shall be used in the curvature risk context unless specified otherwise in this Chapter. 5. For foreign exchange and equity curvature risk factors, the curvature risk weights shall be relative shifts equal to the delta risk weights referred to in Subsection 1. 6. For general interest rate, credit spread and commodity curvature risk factors, the curvature risk weight shall be the parallel shift of all the vertices for each curve on the basis of the highest prescribed delta risk weight referred to in Subsection 1 for the relevant risk class.

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Article 325ay Vega and curvature risk correlations 1. Between vega risk sensitivities within the same bucket of the general interest rate risk (GIRR) class, the correlation parameter rkl ρkl shall be set as follows:ρklminρ follows:.ρklminρ kloption maturityρ klunderlying maturity;1 where: ρkloption maturity shall be equal to eαTkTlminTk; Tl where α shall be set at 1 %, Tk and Tl shall be equal to the maturities of the options for which the vega sensitivities are derived, expressed as a number of years; and ρklunderlying maturity is equal to eαTUkTUlminTUk; TUl, where α is set at 1 %, TUk and TUl shall be equal to the maturities of the underlyings of the options for which the vega sensitivities are derived, minus the maturities of the corresponding options, expressed in both cases as a number of years. 2. Between vega risk sensitivities within a bucket of the other risk classes, the correlation parameter ρkl shall be set as follows:ρklminρ klDELTAρ kloption maturity;1 where: ρklDELTA shall be equal to the delta intra-bucket correlation corresponding to the bucket to which vega risk factors k and l would be allocated; and ρkloption maturity shall be set in accordance with paragraph 1. 3. With regard to vega risk sensitivities between buckets within a risk class (GIRR and non-GIRR), the same correlation parameters for γbc, as specified for delta correlations for each risk class in Section 4, shall be used in the vega risk context. 4. There shall be no diversification or hedging benefit recognised in the standardised approach between vega risk factors and delta risk factors. Vega risk charges and delta risk charges shall be aggregated by simple summation. 5. The curvature risk correlations shall be the square of corresponding delta risk correlations ρkl and γbc referred to in Subsection 1.

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Article 325bb Expected shortfall risk measure 1. Institutions shall calculate the expected shortfall risk measure referred to in point (a) of Article 325ba(1) for any given date t and for any given portfolio of trading book positions and non-trading book positions that are subject to foreign exchange or commodity risk as follows:EStρUESt1ρi UESit where: ESt the expected shortfall risk measure; i the index that denotes the five broad categories of risk factors listed in the first column of Table 2 of Article 325bd; UESt the unconstrained expected shortfall measure calculated as follows:UEStPESRStmaxPESFCtPESRCt , 1 UESti the unconstrained expected shortfall … 351 unchanged words … measure UESit does not underestimate the market risk of the relevant trading book positions; (b) the institution is able to increase the frequency of calculation of UESit, PESRS,it, PESRC,it and PESFC,it from weekly to daily where required by its competent authority.

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Article 325bc Partial expected shortfall calculations 1. Institutions shall calculate all the partial expected shortfall measures referred to in Article 325bb(1) as follows: (a) daily calculations of the partial expected shortfall measures; (b) at 97,5th percentile, one tailed confidence interval; (c) for a given portfolio of trading book positions, institution positions and non-trading book positions that are subject to foreign exchange or commodity risk, institutions shall calculate the partial expected shortfall measure at time t in accordance with the following formula: PEStPEStT2j2PEStT, jLHjLHj110 where: PESt the partial expected shortfall measure at time t; j the index that denotes the five liquidity horizons listed in the first column of Table 1; LHj the length of liquidity horizons j as expressed in days in Table 1; T the base time horizon, where T … 903 unchanged words … Article 325bb(1), institutions shall maintain the values of the modellable risks factors for which they have not been required to apply scenarios of future shocks for that partial expected shortfall measure under paragraphs 2, 3 and 4 of this Article.

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Article 325bd Liquidity horizons 1. Institutions shall map each risk factor of positions assigned to the trading desks for which they have been granted permission as referred to in Article 325az(2), or for which they are in the process of being granted such permission, to one of the broad categories of risk factors listed in Table 2 and to one of the broad sub-categories of risk factors listed in that Table. 2. The liquidity horizon of a risk factor of the positions referred to in paragraph 1 shall be the liquidity horizon of the corresponding broad sub-category of risk factors to which it has been mapped. 3. By way of derogation from paragraph 1 of this Article, for a given trading desk, an institution may decide to replace the liquidity horizon of a broad sub-category of risk factors listed in Table 2 of this Article with one of the longer liquidity horizons listed in Table 1 of Article 325bc. Where an institution takes such a decision, the longer liquidity horizon shall apply to all the modellable risk factors of the positions assigned to that trading desk that have been mapped to that broad sub-category of risk factors for the purpose of calculating the partial expected shortfall measures in accordance with point (c) of Article 325bc(1). An institution shall notify the competent authorities of the trading desks and the broad sub-categories of risk factors to which it decides to apply the treatment referred to in the first subparagraph. 4. For the purpose of calculating the partial expected shortfall measures in accordance with point (c) of Article 325bc(1), the effective liquidity horizon of a given modellable risk factor of a given trading book position or a non-trading book position that is subject to foreign exchange or commodity risk shall be calculated as follows: EffectiveLH = SubCatLH if Mat > LH5 min (SubCatLH, minj{LHj/LHj ≥ Mat}) if LH1 ≤ Mat ≤ LH5 LH1 if Mat < LH1 where: EffectiveLH the effective liquidity horizon; Mat the maturity of the trading book position; SubCatLH the length of liquidity horizon of the … 424 unchanged words … non-ferrous metal price) 4 60 Energy volatility and carbon emissions volatility 4 60 Precious metal volatility and non-ferrous metal volatility 4 60 Other commodity volatilities (excluding energy volatility, carbon emissions volatility, precious metal volatility and non-ferrous metal volatility) 5 120 Other types 5 120

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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; 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 Chapter 6 of Title II as applicable to the calculation of the own funds requirements for counterparty credit risk for that counterparty. 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 %

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Article 395 Limits to large exposures 1. An institution shall not incur an 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. Where that client is an institution or an investment firm, or where a group of connected clients includes one or more institutions or investment firms, that value shall not exceed 25 % of the institution’s Tier 1 capital or EUR 150 million, whichever 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 Tier 1 capital. Where the amount of EUR 150 million is higher than 25 % of the institution's eligible capital Tier 1 capital, the value of the exposure, after taking having taken into account the effect of credit risk mitigation in accordance with Articles 399 to 403 of this Regulation, shall not exceed a reasonable limit in terms of the that institution's eligible Tier 1 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, 2013/36/EU in order to address and control concentration risk. This That limit shall not exceed 100 % of the institution's eligible Tier 1 capital. Competent authorities may set a lower limit than EUR 150 million and million, in which case they shall inform EBA and the Commission thereof. By way of derogation from the first subparagraph of this paragraph, a G-SII shall not incur an exposure to another G-SII or a non-EU G-SII, the value of which, after taking into account the effect of the credit risk mitigation in accordance with Articles 399 to 403, exceeds 15 % of its Tier 1 capital. A G-SII shall comply with such limit no later than 12 months from the date on which it came to be identified as a G-SII. Where the G-SII has an exposure to another institution or group which comes to be identified as a G-SII or as a non-EU G-SII, it shall comply with such limit no later than 12 months from the date on which that other institution or group came to be identified as a G-SII or as a non-EU G-SII. 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 … 1,176 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.

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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, customers, 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 … 411 unchanged words … 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.

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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 and capital items or instruments 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.

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Article 428l 50 % available stable funding factor The following liabilities and capital items or instruments 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 and capital items or instruments with a residual maturity of a minimum of six months but less than one year not referred to in Articles 428m, 428n and 428o.

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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 liabilities, and capital items or instruments 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.

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Article 428am 50 % available stable funding factor The following liabilities and capital items or instruments 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 and capital items or instruments 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).

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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 that is treated as a derivative in accordance with the applicable accounting framework, framework shall be subject to the treatment set out in point (b) of that point; paragraph; (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 … 398 unchanged words … 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.

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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 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 … 777 unchanged words … 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, paragraph 1, 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 … 442 unchanged words … 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.

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Article 461a Alternative standardised approach for market risk For the purposes of the reporting requirements set out in Article 430b(1), the Commission is empowered to adopt delegated acts in accordance with Article 462, to amend this Regulation by making technical adjustments to Articles 325e, 325g to 325j, 325p, 325q, 325ae, 325ai, 325ak, 325am, 325ap to 325at, 325av, 325ax, and specify the risk weight of bucket 11 of Table 4 in Article 325ah and the risk weights of covered bonds issued by credit institutions in third countries in accordance with Article 325ah, and the correlation of covered bonds issued by credit institutions in third countries in accordance with Article 325aj of the alternative standardised approach set out in Chapter 1a of Title IV of Part Three, taking into account developments in international regulatory standards. The Commission shall adopt the delegated act referred to in paragraph 1 by 31 December 2019.

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Article 462 Exercise of the delegation 1. The power to adopt delegated acts is conferred on the Commission subject to the conditions laid down in this Article. 2. The power to adopt delegated acts referred to in Articles 244(6) and 245(6), in Articles 456 to 456, 457, 459, 460 and in Article 461a shall be conferred on the Commission for an indeterminate period of time from 28 June 2013. 3. The delegation of power referred to in Articles 244(6) and 245(6), in Articles 456 to 456, 457, 459, 460 and in Article 461a may be revoked at any time by the European Parliament or by the Council. A decision to revoke shall put an end to the delegation of the power specified in that decision. It shall take effect the day following the publication of the decision in the Official Journal of the European Union or at a later date specified therein. It shall not affect the validity of the delegated acts already in force. 4. Before adopting a delegated act, the Commission shall consult experts designated by each Member State in accordance with the principles laid down in the Interinstitutional Agreement of 13 April 2016 on Better Law-Making. 5. As soon as it adopts a delegated act, the Commission shall notify it simultaneously to the European Parliament and to the Council. 6. A delegated act adopted pursuant to Articles 244(6) and 245(6), Articles 456 to 456, 457, 459, 460 and in Article 461a shall enter into force only if no objection has been expressed by the European Parliament or the Council within a period of three months of notification of that act to the European Parliament and the Council or if, before the expiry of that period, the European Parliament and the Council have both informed the Commission that they will not object. That period shall be extended by three months at the initiative of the European Parliament or of the Council.

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Article 494 Transitional provisions concerning the requirement for own funds and eligible liabilities 1. By way of derogation from Article 92a, as from 27 June 2019 until 31 December 2021, institutions identified as resolution entities that are G-SIIs or part of a G-SII entities shall at all times satisfy the following requirements for own funds and eligible liabilities: (a) a risk-based ratio of 16 %, representing the own funds and eligible liabilities of the institution expressed as a percentage of the total risk exposure amount calculated in accordance with Article 92(3) and (4); (b) a non-risk-based ratio of 6 %, representing the own funds and eligible liabilities of the institution expressed as a percentage of the total exposure measure referred to in Article 429(4). 2. By way of derogation from Article 72b(3), as from 27 June 2019 until 31 December 2021, the extent to which eligible liabilities instruments referred to in Article 72b(3) may be included in eligible liabilities items shall be 2,5 % of the total risk exposure amount calculated in accordance with Article 92(3) and (4). 3. By way of derogation from Article 72b(3), until the resolution authority assesses for the first time the compliance with the condition set out in point (c) of that paragraph, liabilities shall qualify as eligible liabilities instruments up to an aggregate amount that does not exceed, until 31 December 2021, 2,5 % and, after that date, 3,5 % of the total risk exposure amount calculated in accordance with Article 92(3) and (4), provided that they meet the conditions set out in points (a) and (b) of Article 72b(3).

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Article 494a Grandfathering of issuances through special purpose entities 1. By way of derogation from Article 52, capital instruments not issued directly by an institution shall qualify as Additional Tier 1 instruments until 31 December 2021 only where all the following conditions are met: (a) the conditions set out in Article 52(1), except for the condition requiring that the instruments are directly issued by the institution; (b) the instruments are issued through an entity within the consolidation pursuant to Chapter 2 of Title II of Part One; (c) the proceeds are immediately available to the institution without limitation and in a form that satisfies the conditions set out in this paragraph. 2. By way of derogation from Article 63, capital instruments not issued directly by an institution shall qualify as Tier 2 instruments until 31 December 2021 only where all the following conditions are met: (a) the conditions set out in Article 63(1), 63, except for the condition requiring that the instruments are directly issued by the institution; (b) the instruments are issued through an entity within the consolidation pursuant to Chapter 2 of Title II of Part One; (c) the proceeds are immediately available to the institution without limitation and in a form that satisfies the conditions set out in this paragraph.

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Article 494b Grandfathering of own funds instruments and eligible liabilities instruments 1. By way of derogation from Articles 51 and 52, instruments issued prior to 27 June 2019 shall qualify as Additional Tier 1 instruments at the latest until 28 June 2025, where they meet the conditions set out in Articles 51 and 52, except for the conditions referred to in points (p), (q) and (r) of Article 52(1). 2. By way of derogation from Articles 62 and 63, instruments issued prior to 27 June 2019 shall qualify as Tier 2 instruments at the latest until 28 June 2025, where they meet the conditions set out in Articles 62 and 63, except for the conditions referred to in points (n), (o) and (p) of Article 63. 3. By way of derogation from point (a) of Article 72a(1), liabilities issued prior to 27 June 2019 shall qualify as eligible liabilities items instruments where they meet the conditions set out in Article 72b, except for the conditions referred to in point (b)(ii) and points (f) to (m) of Article 72b(2).

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Article 500 Adjustment for massive disposals 1. By way of derogation from point (a) of Article 181(1), an institution may adjust its LGD estimates by partly or fully offsetting the effect of massive disposals of defaulted exposures on realised LGDs up to the difference between the average estimated LGDs for comparable exposures in default that have not been finally liquidated and the average realised LGDs including on the basis of the losses realised due to massive disposals, as soon as all the following conditions are met: (a) the institution has notified the competent authority of a plan providing the scale, composition and the dates of the disposals of defaulted exposures; (b) the dates of the disposals of defaulted exposures are after 23 November 2016 but not later than 28 June 2022; (c) the cumulative amount of defaulted exposures disposed of since the date of the first disposal in accordance with the plan referred to in point (a) has surpassed 20 % of the cumulative outstanding amount of all observed defaults defaulted exposures as of the date of the first disposal referred to in points (a) and (b). The adjustment referred to in the first subparagraph may only be carried out until 28 June 2022 and its effects may last for as long as the corresponding exposures are included in the institution's own LGD estimates. 2. Institutions shall notify the competent authority without delay when the condition set out in point (c) of paragraph 1 has been met.

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Article 501 Adjustment of risk-weighted non-defaulted SME exposures 1. Institutions shall adjust the risk-weighted exposure amounts for non-defaulted exposures to an SME (RWEA), which are calculated in accordance with Chapter 2 or 3 of Title II of Part Three, as applicable, in accordance with the following formula:RWEA*RWEAminE*; EUR 25000000,7619maxE*EUR 2500000; 00,85E* where: RWEA* the RWEA adjusted by an SME supporting factor; and E* is either of the following: (a) the total amount owed to the institution, its subsidiaries, its parent undertakings and other subsidiaries of those parent undertakings, including any exposure in default, but excluding claims or contingent claims secured on residential property collateral, by the SME or the group of connected clients of the SME. SME; (b) where the total amount referred to in point (a) is equal to 0, the amount of claims or contingent claims against the SME or the group of connected clients of the SME that are secured on residential property collateral and that are excluded from the calculation of the total amount referred to in that point. 2. For the purposes of this Article: (a) the exposure to an SME shall be included either in the retail or in the corporates or secured by mortgages on immovable property classes; (b) an SME is defined in accordance with Commission Recommendation 2003/361/ECCommission Recommendation 2003/361/EC of 6 May 2003 concerning the definition of micro, small and medium-sized enterprises (OJ L 124, 20.5.2003, p. 36).;; among the criteria listed in Article 2 of the Annex to that Recommendation only the annual turnover shall be taken into account; (c) institutions shall take reasonable steps to correctly determine E* and obtain the information required under point (b).

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Article 510 Net Stable Funding Requirements 1. By 31 December 2015, EBA shall report to the Commission, on the basis of the items to be reported in accordance with Part Six, Title III, on whether and how it would be appropriate to … 1,086 unchanged words … institutions' net stable funding ratio and to take better account of the funding risk linked to those transactions. 8. By 28 June 2025, the required stable funding factors applied to the transactions referred to in point (g) of Article 428r(1), point (c) (b) of Article 428s(1) and in point (b) (a) of Article 428v, shall be raised from 0 % to 10 %, from 5 % to 15 % and from 10 % to 15 % respectively, unless otherwise specified in a legislative act adopted on the basis of a proposal by the Commission, in accordance with paragraph 7 of this Article. 9. EBA shall monitor the amount of stable funding required to cover the funding risk linked to institutions' holdings of securities to hedge derivative contracts. EBA shall report on the appropriateness of the treatment by 28 June 2023. That report shall at least assess: (a) the possible impact of the treatment on investors' ability to gain exposure to assets and the impact of the treatment on credit supply in the capital markets union; (b) the opportunity to apply adjusted stable funding requirements to securities that are held to hedge derivatives which are funded by initial margin, either wholly or in part; (c) the opportunity to apply adjusted stable funding requirements to securities that are held to hedge derivatives which are not funded by initial margin. 10. By 28 June 2023 or a year after an agreement on international standards that is developed by the BCBS, whichever is the earliest, the Commission shall, where appropriate and taking into account the report referred to in paragraph 9, any international standards developed by the BCBS, the diversity of the banking sector in the Union and the aims of the capital markets union, submit a legislative proposal to the European Parliament and to the Council on how to amend the provisions regarding the treatment of institutions' holdings of securities to hedge derivative contracts for the calculation of the net stable funding ratio as set out in Title IV of Part Six where it considers it appropriate regarding the impact of the existing treatment on institutions' net stable funding ratio and to take better account of the funding risk linked to those transactions. 11. EBA shall assess whether it would be justified to reduce the required stable funding factor for assets used for providing clearing and settlement services of precious metals such as gold, silver, platinum and palladium or assets used for providing financing transactions of precious metals such as gold, silver, platinum and palladium of a term of 180 days or less. EBA shall submit its report to the Commission by 28 June 2021.