in force 2021-06-28 MODIFIED+1,831 −632§
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 heading changes from referring simply to use of credit risk mitigation techniques to disclosure of the use of such techniques, and the introductory clause changes from describing institutions applying the techniques to institutions using them.
Points (a) through (e) are reworded with additional detail, such as referencing balance sheet netting extent, eligible collateral evaluation, credit risk mitigation concentrations, and exclusions for synthetic securitisation structures, while former points (f) and (g) are replaced with an expanded and differently worded set of disclosure items now running from (f) through (j), covering exposure values, conversion factors, risk-weighted exposure amounts under the Standardised and IRB Approaches, and treatment where permission has been granted to use own LGDs and conversion factors.
Cited: Art. 453, v1 · Art. 453, v2
text before / after
texts differ too much for an inline diff; shown separately
before (02013R0575-20201228)
Article 453 Use of credit risk mitigation techniques The institutions applying credit risk mitigation techniques shall disclose the following information: (a) the policies and processes for, and an indication of the extent to which the entity makes use of, on- and off-balance sheet netting; (b) the policies and processes for collateral valuation and management; (c) a description of the main types of collateral taken by the institution; (d) the main types of guarantor and credit derivative counterparty and their creditworthiness; (e) information about market or credit risk concentrations within the credit mitigation taken; (f) for institutions calculating risk-weighted exposure amounts under the Standardised Approach or the IRB Approach, but not providing own estimates of LGDs or conversion factors in respect of the exposure class, separately for each exposure class, the total exposure value (after, where applicable, on- or off-balance sheet netting) that is covered — after the application of volatility adjustments — by eligible financial collateral, and other eligible collateral; (g) for institutions calculating risk-weighted exposure amounts under the Standardised Approach or the IRB Approach, separately for each exposure class, the total exposure (after, where applicable, on- or off-balance sheet netting) that is covered by guarantees or credit derivatives. For the equity exposure class, this requirement applies to each of the approaches provided in Article 155.
after (02013R0575-20210629)
Article 453 Disclosure of the use of credit risk mitigation techniques Institutions using credit risk mitigation techniques shall disclose the following information: (a) the core features of the policies and processes for on- and off-balance-sheet netting and an indication of the extent to which institutions make use of balance sheet netting; (b) the core features of the policies and processes for eligible collateral evaluation and management; (c) a description of the main types of collateral taken by the institution to mitigate credit risk; (d) for guarantees and credit derivatives used as credit protection, the main types of guarantor and credit derivative counterparty and their creditworthiness used for the purpose of reducing capital requirements, excluding those used as part of synthetic securitisation structures; (e) information about market or credit risk concentrations within the credit risk mitigation taken; (f) for institutions calculating risk-weighted exposure amounts under the Standardised Approach or the IRB Approach, the total exposure value not covered by any eligible credit protection and the total exposure value covered by eligible credit protection after applying volatility adjustments; the disclosure set out in this point shall be made separately for loans and debt securities and including a breakdown of defaulted exposures; (g) the corresponding conversion factor and the credit risk mitigation associated with the exposure and the incidence of credit risk mitigation techniques with and without substitution effect; (h) for institutions calculating risk-weighted exposure amounts under the Standardised Approach, the on- and off-balance-sheet exposure value by exposure class before and after the application of conversion factors and any associated credit risk mitigation; (i) for institutions calculating risk-weighted exposure amounts under the Standardised Approach, the risk-weighted exposure amount and the ratio between that risk-weighted exposure amount and the exposure value after applying the corresponding conversion factor and the credit risk mitigation associated with the exposure; the disclosure set out in this point shall be made separately for each exposure class; (j) for institutions calculating risk-weighted exposure amounts under the IRB Approach, the risk-weighted exposure amount before and after recognition of the credit risk mitigation impact of credit derivatives; where institutions have received permission to use own LGDs and conversion factors for the calculation of risk-weighted exposure amounts, they shall make the disclosure set out in this point separately for the exposure classes subject to that permission.