Art. 92

02013R0575-20240709 → 02013R0575-20250101

Article 92 Own funds requirements 1. Subject to Articles 93 and 94, institutions shall at all times satisfy the following own funds requirements: (a) a Common Equity Tier 1 capital ratio of 4,5 %; (b) a Tier 1 capital ratio of 6 %; (c) a total capital ratio of 8 %; (d) a leverage ratio of 3 %. 1a. In addition to the requirement laid down in point (d) of paragraph 1 of this Article, a G-SII shall maintain a leverage ratio buffer equal to the G-SIIs total exposure measure referred to in Article 429(4) of this Regulation multiplied by 50 % of the G-SII buffer rate applicable to the G-SII in accordance with Article 131 of Directive 2013/36/EU. A G-SII shall meet the leverage ratio buffer requirement with Tier 1 capital only. Tier 1 capital that is used to meet the leverage ratio buffer requirement shall not be used towards meeting any of the leverage based requirements set out in this Regulation and in Directive 2013/36/EU, unless explicitly otherwise provided therein. Where a G-SII does not meet the leverage ratio buffer requirement, it shall be subject to the capital conservation requirement in accordance with Article 141b of Directive 2013/36/EU. Where a G-SII does not meet at the same time the leverage ratio buffer requirement and the combined buffer requirement as defined in point (6) of Article 128 of Directive 2013/36/EU, it shall be subject to the higher of the capital conservation requirements in accordance with Articles 141 and 141b of that Directive. 2. Institutions shall calculate their capital ratios as follows: (a) the Common Equity Tier 1 capital ratio is the Common Equity Tier 1 capital of the institution expressed as a percentage of the total risk exposure amount; (b) the Tier 1 capital ratio is the Tier 1 capital of the institution expressed as a percentage of the total risk exposure amount; (c) the total capital ratio is the own funds of the institution expressed as a percentage of the total risk exposure amount. 3. Total Institutions shall calculate the total risk exposure amount as follows: TREA = max{U-TREA; x ‏‏‏· S-TREA} where: TREA = the total risk exposure amount of the entity; U-TREA = the un-floored total risk exposure amount of the entity calculated in accordance with paragraph 4; S-TREA = the standardised total risk exposure amount of the entity calculated in accordance with paragraph 5; x = 72,5 %. By way of derogation from the first subparagraph of this paragraph, a Member State may decide that the total risk exposure amount shall be the un-floored total risk exposure amount, calculated in accordance with paragraph 4, for institutions which are part of a group with a parent institution in the same Member State, provided that that parent institution or, in the case of groups composed of a central body and permanently affiliated institutions, the whole as constituted by the central body together with its affiliated institutions, calculates its total risk exposure amount in accordance with the first subparagraph of this paragraph on a consolidated basis. 4. The un-floored total risk exposure amount shall be calculated as the sum of points (a) to (f) (g) of this paragraph after taking having taken into account the provisions laid down in paragraph 4: 6 of this Article: (a) the risk-weighted exposure amounts for credit risk risk, including counterparty credit risk, and dilution risk, calculated in accordance with Title II of this Part and Article 379, in respect of all the business activities of an institution, excluding risk-weighted exposure amounts from the trading book trading-book business of the institution; (b) the own funds requirements for the trading-book business of an institution for the following: (i) market risk as determined risk, calculated in accordance with Title IV of this Part, excluding the approaches set out in Chapters 1a and 1b of that Title; Part; (ii) large exposures exceeding the limits specified in Articles 395 to 401, to the extent that an institution is permitted to exceed those limits, as determined in accordance with Part Four; (c) the own funds requirements for market risk as determined risk, calculated in accordance with Title IV of this Part, excluding the approaches set out in Chapters 1a and 1b of that Title, Part for all non-trading book business activities that are subject to foreign exchange risk or commodity risk; (ca) the own funds requirements calculated in accordance with Title V of this Part, with the exception of Article 379 for settlement risk; (d) the own funds requirements for settlement risk, calculated in accordance with Articles 378 and 380; (e) the own funds requirements for credit valuation adjustment risk, calculated in accordance with Title VI for credit valuation adjustment risk of OTC derivative instruments other than credit derivatives recognised to reduce risk-weighted exposure amounts for credit risk; (e) this Part; (f) the own funds requirements determined for operational risk, calculated in accordance with Title III for operational risk; (f) of this Part; (g) the risk-weighted exposure amounts determined in accordance with Title II for counterparty credit risk arising from the trading book business of the institution for the following types of transactions and agreements: agreements, calculated in accordance with Title II of this Part: (i) contracts listed in Annex II and credit derivatives; (ii) repurchase transactions, securities or commodities lending or borrowing transactions based on securities or commodities; (iii) margin lending transactions based on securities or commodities; (iv) long settlement transactions. 4. 5. The standardised total risk exposure amount shall be calculated as the sum of paragraph 4, points (a) to (g), after having taken into account paragraph 6 and the following requirements: (a) the risk-weighted exposure amounts for credit risk, including counterparty credit risk, and dilution risk, referred to in paragraph 4, point (a), and for counterparty credit risk arising from the trading book business of the institution as referred to in point (g) of that paragraph shall be calculated without using any of the following approaches: (i) the internal model approach for master netting agreements set out in Article 221; (ii) the Internal Ratings Based Approach set out in Title II, Chapter 3; (iii) the Securitisation Internal Ratings Based Approach set out in Articles 258, 259 and 260 and the Internal Assessment Approach set out in Article 265; (iv) the Internal Model Method set out in Title II, Chapter 6, Section 6; (b) the own funds requirements for market risk for the trading book business referred to in paragraph 4, point (b)(i), shall be calculated without using: (i) the alternative internal model approach set out in Title IV, Chapter 1b; or (ii) any approach listed under point (a) of this paragraph, where applicable; (c) the own funds requirements for all non-trading book business activities of an institution that are subject to foreign exchange risk or commodity risk referred to in paragraph 4, point (c), of this Article shall be calculated without using the alternative internal model approach set out in Title IV, Chapter 1b. 6. The following provisions shall apply in to the calculation calculations of the un-floored total risk exposure amount referred to in paragraph 3: 4 and of the standardised total risk exposure amount referred to in paragraph 5: (a) the own funds requirements referred to in paragraph 4, points (c), (d) (d), (e) and (e) of that paragraph (f), shall include those arising from all the business activities of an institution; (b) institutions shall multiply the own funds requirements set out in paragraph 4, points (b) to (e) of that paragraph (f), by 12,5.