Capital Requirements Regulation

02013R0575-20220410 → 02013R0575-20220708

Article 129 Exposures in the form of covered bonds 1. To be eligible for the preferential treatment set out in paragraphs 4 and 5, 5 of this Article, covered bonds as referred to defined in point (1) of Article 52(4) 3 of Directive (EU) 2019/2162 of the European Parliament and of the CouncilDirective (EU) 2019/2162 of the European Parliament and of the Council of 27 November 2019 on the issue of covered bonds and covered bond public supervision and amending Directives 2009/65/EC (covered bonds) and 2014/59/EU (OJ L 328, 18.12.2019, p. 29). shall meet the requirements set out in paragraph 7 paragraphs 3, 3a and 3b of this Article and shall be collateralised by any of the following eligible assets: (a) exposures to or guaranteed by central governments, the ESCB central banks, public sector entities, regional governments or local authorities in the Union; (b) exposures to or guaranteed by third country central governments, third-country central banks, multilateral development banks, international organisations that qualify for the credit quality step 1 as set out in this Chapter, and exposures to or guaranteed by third-country public sector entities, third-country regional governments or third-country local authorities that are risk weighted as exposures to institutions or central governments and central banks in accordance with Article 115(1) or (2), or Article 116(1), (2) or (4) respectively and that qualify for the credit quality step 1 as set out in this Chapter, and exposures within the meaning of this point that qualify as a minimum for the credit quality step 2 as set out in this Chapter, provided that they do not exceed 20 % of the nominal amount of outstanding covered bonds of the issuing institutions; (c) exposures to credit institutions that qualify for the credit quality step 1 as set out in this Chapter. The total exposure of this kind shall not exceed 15 % of the nominal amount of outstanding covered bonds of the issuing institution. Exposures to institutions in the Union with a maturity not exceeding 100 days shall not be comprised by the step 1 requirement but those institutions shall as a minimum qualify for credit quality step 2 as set out 1 or credit quality step 2, or exposures to credit institutions that qualify for credit quality step 3 where those exposures are in this Chapter; the form of: (i) short‐term deposits with an original maturity not exceeding 100 days, where used to meet the cover pool liquidity buffer requirement of Article 16 of Directive (EU) 2019/2162; or (ii) derivative contracts that meet the requirements of Article 11(1) of that Directive, where permitted by the competent authorities; (d) loans secured by: (i) by residential property up to the lesser of the principal amount of the liens that are combined with any prior liens and 80 % of the value of the pledged properties; or (ii) senior units issued by French Fonds Communs de Titrisation or equivalent securitisation entities governed by the laws of a Member State securitising residential property exposures. In the event of such senior units being used as collateral, the special public supervision to protect bond holders as provided for in Article 52(4) of Directive 2009/65/EC shall ensure that the assets underlying such units shall, at any time while they are included in the cover pool be at least 90 % composed of residential mortgages that are combined with any prior liens up to the lesser of the principal amounts due under the units, the principal amounts of the liens, and 80 % of the value of the pledged properties, that the units qualify for the credit quality step 1 as set out in this Chapter and that such units do not exceed 10 % of the nominal amount of the outstanding issue. (e) residential loans fully guaranteed by an eligible protection provider referred to in Article 201 qualifying for the credit quality step 2 or above as set out in this Chapter, where the portion of each of the loans that is used to meet the requirement set out in this paragraph for collateralisation of the covered bond does not represent more than 80 % of the value of the corresponding residential property located in France, and where a loan-to-income ratio respects at most 33 % when the loan has been granted. There shall be no mortgage liens on the residential property when the loan is granted, and for the loans granted from 1 January 2014 the borrower shall be contractually committed not to grant such liens without the consent of the credit institution that granted the loan. The loan-to-income ratio represents the share of the gross income of the borrower that covers the reimbursement of the loan, including the interests. The protection provider shall be either a financial institution authorised and supervised by the competent authorities and subject to prudential requirements comparable to those applied to institutions in terms of robustness or an institution or an insurance undertaking. It shall establish a mutual guarantee fund or equivalent protection for insurance undertakings to absorb credit risk losses, whose calibration shall be periodically reviewed by the competent authorities. Both the credit institution and the protection provider shall carry out a creditworthiness assessment of the borrower; (f) loans secured by: (i) by commercial immovable property up to the lesser of the principal amount of the liens that are combined with any prior liens and 60 % of the value of the pledged properties; or (ii) senior units issued by French Fonds Communs de Titrisation or equivalent securitisation entities governed by the laws of a Member State securitising commercial immovable property exposures. In the event of such senior units being used as collateral, the special public supervision to protect bond holders as provided for in Article 52(4) of Directive 2009/65/EC shall ensure that the assets underlying such units shall, at any time while they are included in the cover pool be at least 90 % composed of commercial mortgages that are combined with any prior liens up to the lesser of the principal amounts due under the units, the principal amounts of the liens, and 60 % of the value of the pledged properties, that the units qualify for the credit quality step 1 as set out in this Chapter and that such units do not exceed 10 % of the nominal amount of the outstanding issue. properties. Loans secured by commercial immovable property are eligible where the loan to value loan‐to‐value ratio of 60 % is exceeded up to a maximum level of 70 % if the value of the total assets pledged as collateral for the covered bonds exceed the nominal amount outstanding on the covered bond by at least 10 %, and the bondholders' bondholders’ claim meets the legal certainty requirements set out in Chapter 4. The bondholders' bondholders’ claim shall take priority over all other claims on the collateral; (g) loans secured by maritime liens on ships up to the difference between 60 % of the value of the pledged ship and the value of any prior maritime liens. For the purposes of points (c), (d)(ii) and (f)(ii) of the first subparagraph, paragraph 1a, exposures caused by the transmission and management of the payments of the obligors of, or liquidation proceeds in respect of, of loans secured by pledged properties of the senior units or debt securities or by the transmission and management of liquidation proceeds in respect of such loans shall not be comprised in calculating the limits referred to in those points. that paragraph. The competent authorities may, after consulting EBA, partly waive the application of point (c) of the first subparagraph and allow credit quality step 2 for up to 10 % of the total exposure of the nominal amount of outstanding covered bonds of the issuing institution, provided that significant potential concentration problems in the Member States concerned can be documented due to the application of the credit quality step 1 requirement referred to in that point. 1a. For the purposes of point (c) of the first subparagraph of paragraph 1, the following shall apply: (a) for exposures to credit institutions that qualify for credit quality step 1, the exposure shall not exceed 15 % of the nominal amount of outstanding covered bonds of the issuing credit institution; (b) for exposures to credit institutions that qualify for credit quality step 2, the exposure shall not exceed 10 % of the nominal amount of outstanding covered bonds of the issuing credit institution; (c) for exposures to credit institutions that qualify for credit quality step 3 that take the form of short‐term deposits, as referred to in point (c)(i) of the first subparagraph of paragraph 1 of this Article, or the form of derivative contracts, as referred to in point (c)(ii) of the first subparagraph of paragraph 1 of this Article, the total exposure shall not exceed 8 % of the nominal amount of outstanding covered bonds of the issuing credit institution; the competent authorities designated pursuant to Article 18(2) of Directive (EU) 2019/2162 may, after consulting EBA, allow exposures to credit institutions that qualify for credit quality step 3 in the form of derivative contracts, provided that significant potential concentration problems in the Member States concerned due to the application of credit quality step 1 and 2 requirements referred to in this paragraph can be documented; (d) the total exposure to credit institutions that qualify for credit quality step 1, 2 or 3 shall not exceed 15 % of the nominal amount of outstanding covered bonds of the issuing credit institution and the total exposure to credit institutions that qualify for credit quality step 2 or 3 shall not exceed 10 % of the nominal amount of outstanding covered bonds of the issuing credit institution. 1b. Paragraph 1a of this Article shall not apply to the use of covered bonds as eligible collateral as permitted pursuant to Article 8 of Directive (EU) 2019/2162. 1c. For the purposes of point (d) of the first subparagraph of paragraph 1, the limit of 80 % shall apply on a loan‐by‐loan basis, shall determine the portion of the loan contributing to the coverage of liabilities attached to the covered bond, and shall apply throughout the entire maturity of the loan. 1d. For the purposes of points (f) and (g) of the first subparagraph of paragraph 1, the limits of 60 % or 70 % shall apply on a loan‐by‐loan basis, shall determine the portion of the loan contributing to the coverage of liabilities attached to the covered bond, and shall apply throughout the entire maturity of the loan. 2. The situations referred to in points (a) to (f) of paragraph 1 shall also include collateral that is exclusively restricted by legislation to the protection of the bond-holders against losses. 3. Institutions shall for For immovable property and ships collateralising covered bonds meet that comply with this Regulation, the requirements set out in Article 208 shall be met. The monitoring of property values in accordance with point (a) of Article 208(3) shall be carried out frequently and at least annually for all immovable property and ships. 3a. In addition to being collateralised by the valuation rules eligible assets listed in paragraph 1 of this Article, covered bonds shall be subject to a minimum level of 5 % of overcollateralisation as defined in point (14) of Article 3 of Directive (EU) 2019/2162. For the purposes of the first subparagraph of this paragraph, the total nominal amount of all cover assets as defined in point (4) of Article 3 of that Directive shall be at least of the same value as the total nominal amount of outstanding covered bonds (nominal principle), and shall consist of eligible assets as set out in paragraph 1 of this Article. Member States may set a lower minimum level of overcollateralisation for covered bonds or authorise their competent authorities to set such a level, provided that: (a) either the calculation of overcollateralisation is based on a formal approach where the underlying risk of the assets is taken into account, or the valuation of the assets is subject to the mortgage lending value; and (b) the minimum level of overcollateralisation is not lower than 2 %, based on the nominal principle referred to in Article 229(1). 15(6) and (7) of Directive (EU) 2019/2162. The assets contributing to a minimum level of overcollateralisation shall not be subject to the limits on exposure size set out in paragraph 1a and shall not count towards those limits. 3b. Eligible assets listed in paragraph 1 of this Article may be included in the cover pool as substitution assets as defined in point (13) of Article 3 of Directive (EU) 2019/2162, subject to the limits on credit quality and exposure size set out in paragraphs 1 and 1a of this Article. 4. Covered bonds for which a credit assessment by a nominated ECAI is available shall be assigned a risk weight in accordance with Table 6a which corresponds to the credit assessment of the ECAI in accordance with Article 136. Table 6a Credit quality step 1 2 3 4 5 6 Risk weight 10 % 20 % 20 % 50 % 50 % 100 % 5. Covered bonds for which a credit assessment by a nominated ECAI is not available shall be assigned a risk weight on the basis of the risk weight assigned to senior unsecured exposures to the institution which issues them. The following correspondence between risk weights shall apply: (a) if the exposures to the institution are assigned a risk weight of 20 %, the covered bond shall be assigned a risk weight of 10 %; (b) if the exposures to the institution are assigned a risk weight of 50 %, the covered bond shall be assigned a risk weight of 20 %; (c) if the exposures to the institution are assigned a risk weight of 100 %, the covered bond shall be assigned a risk weight of 50 %; (d) if the exposures to the institution are assigned a risk weight of 150 %, the covered bond shall be assigned a risk weight of 100 %. 6. Covered bonds issued before 31 December 2007 are shall not be subject to the requirements of laid down in paragraphs 1 1, 1a, 3, 3a and 3. 3b. They are shall be eligible for the preferential treatment under paragraphs 4 and 5 until their maturity. 7. Exposures Covered bonds issued before 8 July 2022 that comply with the requirements laid down in this Regulation as applicable at the form date of covered bonds are their issue shall not be subject to the requirements laid down in paragraphs 3a and 3b. They shall be eligible for preferential treatment, provided that the institution investing in the covered bonds can demonstrate to the competent authorities that: (a) it receives portfolio information at least on: (i) the value of the cover pool treatment under paragraphs 4 and outstanding covered bonds; (ii) the geographical distribution and type of cover assets, loan size, interest rate and currency risks; (iii) the maturity structure of cover assets and covered bonds; and (iv) the percentage of loans more than 90 days past due; (b) the issuer makes the information referred to in point (a) available to the institution at least semi-annually. 5 until their maturity.

02013R0575-20220410 → 02013R0575-20220708

Article 416 Reporting on liquid assets 1. Institutions shall report the following as liquid assets unless excluded by paragraph 2 and only if the liquid assets fulfil the conditions in paragraph 3: (a) cash and exposures to central banks to the extent that … 419 unchanged words … for the treatment set out in Article 129(4) or (5) or asset backed instruments if demonstrated to be of the highest credit quality as established by EBA pursuant to the criteria in Article 509 (3), (4) and (5); (ii) they are covered bonds as referred to defined in point (1) Article 52(4) 3 of Directive 2009/65/EC (EU) 2019/2162 other than those referred to in point (i) of this point; (iii) the credit institution has been set up by a Member State central or regional government and that government has an obligation to protect the economic basis of the institution … 803 unchanged words … set out in paragraph 6, the shares or units in the CIU may nevertheless be considered a liquid asset for an additional period of 30 days provided that those assets do not exceed 10 % of the CIU's overall assets.

02013R0575-20220410 → 02013R0575-20220708

Article 425 Inflows 1. Institutions shall report their liquidity inflows. Capped liquidity Liquidity inflows shall be the liquidity inflows limited to capped at 75 % of liquidity outflows. Institutions may exempt liquidity inflows from deposits placed with other institutions and qualifying that qualify for the treatments treatment set out in Article 113(6) or (7) of this Regulation from this limit. that cap. Institutions may exempt liquidity inflows from monies due from borrowers and bond investors where those inflows are related to mortgage lending funded by bonds eligible for the treatment set out in Article 129(4), (5) or (6) of this Regulation or by covered bonds as referred to defined in point (1) of Article 52(4) 3 of Directive 2009/65/EC (EU) 2019/2162 from this limit. that cap. Institutions may exempt inflows from promotional loans that the institutions have passed through. Subject to the prior approval of the competent authority responsible for supervision on an individual basis, the institution may fully or partially exempt inflows where the liquidity provider is a parent or a subsidiary institution of the institution, a parent or subsidiary investment firm of the institution or another subsidiary of the same parent institution or linked parent investment firm or is related to the institution by a relationship within the meaning of as set out in Article 12(1) 22(7) of Directive 83/349/EEC. 2013/34/EU. 2. The liquidity inflows shall be measured over the next 30 days. They shall comprise only contractual inflows from exposures that are not past due and for which the institution has no reason to expect non-performance within the 30-day time … 764 unchanged words … which are to be received in third countries where there are transfer restrictions or which are denominated in non-convertible currencies into account only to the extent that they correspond to outflows respectively in the third country or currency in question.

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Article 427 Items providing stable funding 1. Institutions shall report to the competent authorities, in accordance with the reporting requirements set out in Article 415(1) and the uniform reporting formats referred to in Article 415(3), the following items and their components in order to allow an assessment of the availability of stable funding: (a) the following own funds, after deductions have been applied, where appropriate: (i) tier 1 capital instruments; (ii) tier 2 capital instruments; (iii) other preferred shares and capital instruments in excess of Tier 2 allowable amount having an effective maturity of one year or greater; (b) the following liabilities not included in point (a): (i) retail deposits that qualify for the treatment set out in Article 421(1); (ii) retail deposits that qualify for the treatment set out in Article 421(2); (iii) deposits that qualify for the treatment set out in Article 422 (3) and (4); (iv) of the deposits referred to in point (iii), those that are subject to a deposit guarantee scheme in accordance with Directive 94/19/EC or an equivalent deposit guarantee scheme in a third country deposit guarantees within the terms of Article 421(1); (v) of the deposits referred to in point (iii), those that fall under point (b) of Article 422(3); (vi) of the deposits referred to in point (iii), those that fall under point (d) of Article 422(3); (vii) amounts deposited not falling under point (i), (ii) or (iii) if they are not deposited by financial customers; (viii) all funding obtained from financial customers; (ix) separately for amounts falling under points (vii) and (viii) respectively, funding from secured lending and capital market-driven transactions as defined in point (3) of Article 192: collateralised by assets that would qualify as liquid assets in accordance with Article 416; collateralised by any other assets; (x) liabilities resulting from securities issued qualifying that qualify for the treatment set out in Article 129(4) or (5) of this Regulation or from covered bonds as referred to defined in point (1) of Article 52(4) 3 of Directive 2009/65/EC; (EU) 2019/2162; (xi) the following other liabilities resulting from securities issued that do not fall under point (a): liabilities resulting from securities issued with an effective maturity of one year or greater; liabilities resulting from securities issued with an effective maturity of less than one year; (xii) any other liabilities. 2. Where applicable, all items shall be presented in the following five buckets according to the closest of their maturity date and the earliest date at which they can contractually be called: (a) within three months; (b) between three and six months; (c) between six and nine months; (d) between nine and 12 months; (e) after 12 months.

02013R0575-20220410 → 02013R0575-20220708

Article 428 Items requiring stable funding 1. Unless deducted from own funds, the following items shall be reported to competent authorities separately in order to allow an assessment of the needs for stable funding: (a) the assets that would qualify as liquid assets in accordance with Article 416, broken down by asset type; (b) the following securities and money market instruments not included in point (a): (i) assets qualifying for credit step 1 under Article 122; (ii) assets qualifying for credit step 2 under Article 122; (iii) other assets; (c) equity securities of non-financial entities listed on a major index in a recognised exchange; (d) other equity securities; (e) gold; (f) other precious metals; (g) non-renewable loans and receivables, and separately those non-renewable loans and receivables for which borrowers are: (i) natural persons other than commercial sole proprietors and partnerships; (ii) SMEs that qualify for the retail exposure class under the Standardised or IRB approaches for credit risk or to a company which is eligible for the treatment set out in Article 153(4) and where the aggregate deposit placed by that client or group of connected clients is less than EUR 1 million; (iii) sovereigns, central banks and public sector entities; (iv) clients not referred to in points (i) and (ii) other than financial customers; (v) clients not referred to in points (i), (ii) and (iii) that are financial customers, and thereof separately those that are credit institutions and other financial customers; (h) non-renewable loans and receivables referred to in point (g), and thereof separately those that are: (i) collateralised by commercial immovable property (CRE); (ii) collateralised by residential property (RRE); (iii) match funded (pass-through) (pass‐through) via bonds eligible for the treatment set out in Article 129(4) or (5) of this Regulation or via covered bonds as referred to defined in point (1) of Article 52(4) 3 of Directive 2009/65/EC; (EU) 2019/2162; (i) derivatives receivables; (j) any other assets; (k) undrawn committed credit facilities that qualify as medium risk or medium/low risk under Annex I. 2. Where applicable, all items shall be presented in the five buckets described in Article 427(2).

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ANNEX III Items subject to supplementary reporting of liquid assets 1. Cash. 2. Central bank exposures, to the extent that these exposures can be drawn down in times of stress. 3. Transferable securities representing claims on or claims guaranteed by sovereigns, central banks, non-central government public sector entities, regions with fiscal autonomy to raise and collect taxes and local authorities, the Bank for International Settlements, the International Monetary Fund, the European Union, the European Financial Stability Facility, the European Stability Mechanism or multilateral development banks and satisfying all of the following conditions: (a) they are assigned a 0 % risk-weight under Chapter 2, Title II of Part Three; (b) they are not an obligation of an institution or investment firm or any of its affiliated entities. 4. Transferable securities other than those referred to in point 3 representing claims on or claims guaranteed by sovereigns or central banks issued in domestic currencies by the sovereign or central bank in the currency and country in which the liquidity risk is being taken or issued in foreign currencies, to the extent that holding of such debt matches the liquidity needs of the bank's operations in that third country. 5. Transferable securities representing claims on or claims guaranteed by sovereigns, central banks, non-central government public sector entities, regions with fiscal autonomy to raise and collect taxes and local authorities, or multilateral development banks and satisfying all of the following conditions: (a) they are assigned a 20 % risk-weight under Chapter 2, Title II of Part Three; (b) they are not an obligation of an institution or investment firm or any of its affiliated entities. 6. Transferable securities other than those referred to in points 3, 4 and 5 that qualify for a 20 % or better risk weight under Chapter 2, Title II of Part Three or are internally rated as having an equivalent credit quality, and fulfil any of the following conditions: (a) they do not represent a claim on an SSPE, an institution or investment firm or any of its affiliated entities; (b) they are bonds eligible for the treatment set out in Article 129(4) or (5); (c) they are covered bonds as referred to defined in point (1) of Article 52(4) 3 of Directive 2009/65/EC (EU) 2019/2162 other than those referred to in point (b) of this point. 7. Transferable securities other than those referred to in points 3 to 6 that qualify for a 50 % or better risk weight under Chapter 2 of Title II of Part Three or are internally rated as having an equivalent credit quality, and do not represent a claim on an SSPE, an institution or investment firm or any of its affiliated entities. 8. Transferable securities other than those referred to in points 3 to 7 that are collateralised by assets that qualify for a 35 % or better risk weight under Chapter 2, Title II of Part Three or are internally rated as having an equivalent credit quality, and are fully and completely secured by mortgages on residential property in accordance with Article 125. 9. Standby credit facilities granted by central banks within the scope of monetary policy to the extent that these facilities are not collateralised by liquid assets and excluding emergency liquidity assistance. 10. Legal or statutory minimum deposits with the central credit institution and other statutory or contractually available liquid funding from the central credit institution or institutions that are members of the network referred to in Article 113(7), or eligible for the waiver provided in Article 10, to the extent that this funding is not collateralised by liquid assets, if the credit institution belongs to a network in accordance with legal or statutory provisions. 11. Exchange traded, centrally cleared common equity shares that are a constituent of a major stock index, denominated in the domestic currency of the Member State and not issued by an institution or investment firm or any of its affiliates. 12. Gold listed on a recognised exchange, held on an allocated basis. All items with the exception of those referred to in points 1, 2 and 9 must satisfy all of the following conditions: (a) they are traded in simple repurchase agreements or cash markets characterised by a low level of concentration; (b) they have a proven record as a reliable source of liquidity by either repurchase agreement or sale even during stressed market conditions; (c) they are unencumbered.