in force 2025-01-01 MODIFIED+1,494 −807§
Amended by Regulation (EU) 2024/1623 32024R1623 · Regulation (EU) 2024/2987 32024R2987 · Regulation (EU) 2024/2795 32024R2795
applies from: unchanged
Sources disagree about the kind of change — they agree this provision changed and disagree about how: the text comparison called it MODIFIED and the EU's own amendment metadata called it INSERTED. Both are shown; neither is overruled.
The provision is reorganized from three numbered paragraphs (1, 2, 3) plus paragraph 8 into seven numbered paragraphs (1 through 7) plus paragraph 8, with content that was previously combined in paragraph 1 now split across separate paragraphs 1 through 4.
The off-balance-sheet item percentage bands change from four risk-category levels (100%, 50%, 20%, 0%) tied to full-risk, medium-risk, medium/low-risk and low-risk items into five bucket-based levels (100%, 50%, 40%, 20%, 10%) tied to buckets 1 through 5, and a new paragraph addresses commitments on such items and contractual arrangements not yet accepted by a client, including a 0% rate for arrangements meeting conditions in Article 5, points (10)(a) to (e).
The wording on additional value adjustments narrows from a reference to Articles 34 and 105 to a reference to Article 34 related to the non-trading book business of the institution, and the provisions on the Financial Collateral Comprehensive Method, derivative instruments, and funded credit protection are renumbered into paragraphs 5, 6 and 7 with updated cross-references to Articles 223 and 224 and to Chapters 4 and 6.
Cited: Art. 111, v1 · Art. 111, v2
text before / after
02013R0575-20240709 → 02013R0575-20250101
Article 111
Exposure value
1. The exposure value of an asset item shall be its accounting value remaining after specific credit risk adjustments in accordance with Article 110, additional value adjustments in accordance with Articles Article 34 and 105, related to the non-trading book business of the institution, amounts deducted in accordance with Article 36(1), point (m) Article 36(1) (m), and other own funds reductions related to the asset item have been applied. 2. The exposure value of an off-balance sheet off-balance-sheet item listed in Annex I shall be the following percentage of its the item’s nominal value after reduction the deduction of specific credit risk adjustments in accordance with Article 110 and amounts deducted in accordance with Article 36(1), point (m):
(a) 100 % for items in bucket 1;
(b) 50 % for items in bucket 2;
(c) 40 % for items in bucket 3;
(d) 20 % for items in bucket 4;
(e) 10 % for items in bucket 5.
3. The exposure value of a commitment on an off-balance-sheet item as referred to in paragraph 2 of this Article shall be the lower of the following percentages of the commitment’s nominal value after the deduction of specific credit risk adjustments and amounts deducted in accordance with Article 36(1), point (m) Article 36(1): (m):
(a) 100 % if it is a full-risk item;
(b) 50 % if it is a medium-risk item;
(c) 20 % if it is a medium/low-risk item;
(d) 0 % if it is a low-risk item.
The off-balance sheet items the percentage referred to in paragraph 2 of this Article that is applicable to the second sentence item on which the commitment is made;
(b) the percentage referred to in paragraph 2 of this Article that is applicable to the first subparagraph type of commitment.
4. Contractual arrangements offered by an institution, but not yet accepted by the client, that would become commitments if accepted by the client, shall be assigned treated as commitments and the percentage applicable shall be the one provided for in accordance with paragraph 2.
For contractual arrangements that meet the conditions set out in Article 5, points (10)(a) to risk categories as indicated in Annex I.
When (e), the applicable percentage shall be 0 %.
5. Where an institution is using the Financial Collateral Comprehensive Method under referred to in Article 223, the exposure value of securities or commodities sold, posted or lent under a repurchase securities financing transaction or under a securities or commodities lending or borrowing transaction, and margin lending transactions shall be increased by the volatility adjustment appropriate to such securities or commodities as prescribed in accordance with Articles 223 to 225.
2. and 224.
6. The exposure value of a derivative instrument listed in Annex II shall be determined in accordance with Chapter 6 with 6, taking into account the effects of contracts of novation and other netting agreements taken into account for the purposes as specified in that Chapter. The exposure value of those methods securities financing transactions and long settlement transactions may be determined in accordance with Chapter 4 or 6. The exposure value of repurchase transaction, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions may be determined either in accordance with Chapter 6 or Chapter 4.
3. 7. Where an the exposure is subject to covered by a funded credit protection, the exposure value applicable to that item may be amended in accordance with Chapter 4.
8. EBA shall develop draft regulatory technical standards to specify:
(a) the criteria that institutions are to use to assign off-balance-sheet items, with the exception of items already included in Annex I, to the buckets 1 to 5 referred to in Annex I;
(b) the factors that might constrain institutions’ ability to cancel the unconditionally cancellable commitments referred to in Annex I;
(c) the process for notifying EBA about institutions’ classification of other off-balance-sheet items carrying similar risks as those referred to in Annex I.
EBA shall submit those draft regulatory technical standards to the Commission by 10 July 2025.
Power is delegated to the Commission to supplement this Regulation by adopting the regulatory technical standards referred to in the first subparagraph of this paragraph in accordance with Articles 10 to 14 of Regulation (EU) No 1093/2010.