in force 2021-06-28 MODIFIED+2,592 −849§
Amended by Regulation (EU) 2019/2033 32019R2033 · Regulation (EU) 2019/876 32019R0876 · Regulation (EU) 2021/558 32021R0558 · Regulation (EU) 2020/873 32020R0873
applies from: unchanged
Sources disagree — the text comparison found this change; the EU's own amendment metadata does not list it. Both are shown; neither is overruled.
The article heading changed from 'Exposure to counterparty credit risk' to 'Disclosure of exposures to counterparty credit risk', and the introductory sentence's cross-reference to Chapter 6 was reworded.
The list of disclosure items was expanded and substantially rewritten, with points (a) through (d) reworded, points (e) through (i) replaced with new and more detailed requirements covering collateral, derivatives, securities financing transactions, credit valuation adjustment, and central counterparty exposures, and new points (j) through (m) added covering notional and fair value of credit derivatives, the alpha estimate, cross-references to Articles 444 and 452, and derivative business size under Article 273a.
A new closing paragraph was added allowing a competent authority to exempt institutions from the requirements in points (d) and (e) where central bank liquidity assistance via collateral swap transactions could otherwise be revealed, subject to thresholds and criteria set by that authority.
Cited: Art. 439, v1 · Art. 439, v2
text before / after
texts differ too much for an inline diff; shown separately
before (02013R0575-20201228)
Article 439 Exposure to counterparty credit risk Institutions shall disclose the following information regarding the institution's exposure to counterparty credit risk as referred to in Part Three, Title II, Chapter 6: (a) a discussion of the methodology used to assign internal capital and credit limits for counterparty credit exposures; (b) a discussion of policies for securing collateral and establishing credit reserves; (c) a discussion of policies with respect to Wrong-Way risk exposures; (d) a discussion of the impact of the amount of collateral the institution would have to provide given a downgrade in its credit rating; (e) gross positive fair value of contracts, netting benefits, netted current credit exposure, collateral held and net derivatives credit exposure. Net derivatives credit exposure is the credit exposure on derivatives transactions after considering both the benefits from legally enforceable netting agreements and collateral arrangements; (f) measures for exposure value under the methods set out in Part Three, Title II, Chapter 6, Sections 3 to 6 whichever method is applicable; (g) the notional value of credit derivative hedges, and the distribution of current credit exposure by types of credit exposure; (h) the notional amounts of credit derivative transactions, segregated between use for the institution's own credit portfolio, as well as in its intermediation activities, including the distribution of the credit derivatives products used, broken down further by protection bought and sold within each product group; (i) the estimate of α if the institution has received the permission of the competent authorities to estimate α.
after (02013R0575-20210629)
Article 439 Disclosure of exposures to counterparty credit risk Institutions shall disclose the following information regarding their exposure to counterparty credit risk as referred to in Chapter 6 of Title II of Part Three: (a) a description of the methodology used to assign internal capital and credit limits for counterparty credit exposures, including the methods to assign those limits to exposures to central counterparties; (b) a description of policies related to guarantees and other credit risk mitigants, such as the policies for securing collateral and establishing credit reserves; (c) a description of policies with respect to General Wrong-Way risk and Specific Wrong-Way risk as defined in Article 291; (d) the amount of collateral the institution would have to provide if its credit rating was downgraded; (e) the amount of segregated and unsegregated collateral received and posted per type of collateral, further broken down between collateral used for derivatives and securities financing transactions; (f) for derivative transactions, the exposure values before and after the effect of the credit risk mitigation as determined under the methods set out in Sections 3 to 6 of Chapter 6 of Title II of Part Three, whichever method is applicable, and the associated risk exposure amounts broken down by applicable method; (g) for securities financing transactions, the exposure values before and after the effect of the credit risk mitigation as determined under the methods set out in Chapters 4 and 6 of Title II of Part Three, whichever method is used, and the associated risk exposure amounts broken down by applicable method; (h) the exposure values after credit risk mitigation effects and the associated risk exposures for credit valuation adjustment capital charge, separately for each method as set out in Title VI of Part Three; (i) the exposure value to central counterparties and the associated risk exposures within the scope of Section 9 of Chapter 6 of Title II of Part Three, separately for qualifying and non-qualifying central counterparties, and broken down by types of exposures; (j) the notional amounts and fair value of credit derivative transactions; credit derivative transactions shall be broken down by product type; within each product type, credit derivative transactions shall be broken down further by credit protection bought and credit protection sold; (k) the estimate of alpha where the institution has received the permission of the competent authorities to use its own estimate of alpha in accordance with Article 284(9); (l) separately, the disclosures included in point (e) of Article 444 and point (g) of Article 452; (m) for institutions using the methods set out in Sections 4 to 5 of Chapter 6 of Title II Part Three, the size of their on- and off-balance-sheet derivative business as calculated in accordance with Article 273a(1) or (2), as applicable. Where the central bank of a Member State provides liquidity assistance in the form of collateral swap transactions, the competent authority may exempt institutions from the requirements in points (d) and (e) of the first subparagraph where that competent authority considers that the disclosure of the information referred to therein could reveal that emergency liquidity assistance has been provided. For those purposes, the competent authority shall set out appropriate thresholds and objective criteria.