Directive 2006/48/EC of the European Parliament and of the Council of 14 June 2006 relating to the taking up and pursuit of the business of credit institutions (recast) (Text with EEA relevance) (repealed)

EU Directive 2006/48 · Adopted 14 June 2006 · Extends to United Kingdom

Contents

1. Title I: SUBJECT MATTER, SCOPE AND DEFINITIONS
2. 1Article 1 Repealed
3. 2Article 2 Repealed
4. 3Article 3 Repealed
5. 4Article 4 Repealed
6. 5Article 5 Repealed
7. Title II: REQUIREMENTS FOR ACCESS TO THE TAKING UP AND PURSUIT OF THE BUSINESS OF CREDIT INSTITUTIONS
8. 6Article 6 Repealed
9. 7Article 7 Repealed
10. 8Article 8 Repealed
11. 9Article 9 Repealed
12. 10Article 10 Repealed
13. 11Article 11 Repealed
14. 12Article 12 Repealed
15. 13Article 13 Repealed
16. 14Article 14 Repealed
17. 15Article 15 Repealed
18. 16Article 16 Repealed
19. 17Article 17 Repealed
20. 18Article 18 Repealed
21. 19Article 19 Repealed
22. 19aArticle 19a Repealed
23. 19bArticle 19b Repealed
24. 20Article 20 Repealed
25. 21Article 21 Repealed
26. 22Article 22 Repealed
27. Title III: PROVISIONS CONCERNING THE FREEDOM OF ESTABLISHMENT AND THE FREEDOM TO PROVIDE SERVICES
28. Credit institutions Repealed
29. 23Article 23 Repealed
30. Financial institutions Repealed
31. 24Article 24 Repealed
32. Exercise of the right of establishment Repealed
33. 25Article 25 Repealed
34. 26Article 26 Repealed
35. 27Article 27 Repealed
36. Exercise of the freedom to provide services Repealed
37. 28Article 28 Repealed
38. Powers of the competent authorities of the host Member State Repealed
39. 29Article 29 Repealed
40. 30Article 30 Repealed
41. 31Article 31 Repealed
42. 32Article 32 Repealed
43. 33Article 33 Repealed
44. 34Article 34 Repealed
45. 35Article 35 Repealed
46. 36Article 36 Repealed
47. 37Article 37 Repealed
48. Title IV: RELATIONS WITH THIRD COUNTRIES
49. Notification in relation to third countries' undertakings and conditions of access to the markets of these countries Repealed
50. 38Article 38 Repealed
51. Cooperation with third countries' competent authorities regarding supervision on a consolidated basis Repealed
52. 39Article 39 Repealed
53. Title V: PRINCIPLES AND TECHNICAL INSTRUMENTS FOR PRUDENTIAL SUPERVISION AND DISCLOSURE
54. Chapter 1: Principles of prudential supervision Repealed
55. Competence of home and host Member State Repealed
56. 40Article 40 Repealed
57. 41Article 41 Repealed
58. 42Article 42 Repealed
59. 42aArticle 42a Repealed
60. 42bArticle 42b Repealed
61. 43Article 43 Repealed
62. Exchange of information and professional secrecy Repealed
63. 44Article 44 Repealed
64. 45Article 45 Repealed
65. 46Article 46 Repealed
66. 47Article 47 Repealed
67. 48Article 48 Repealed
68. 49Article 49 Repealed
69. 50Article 50 Repealed
70. 51Article 51 Repealed
71. 52Article 52 Repealed
72. Duty of persons responsible for the legal control of annual and consolidated accounts Repealed
73. 53Article 53 Repealed
74. Power of sanction and right to apply to the courts Repealed
75. 54Article 54 Repealed
76. 55Article 55 Repealed
77. Chapter 2: Technical instruments of prudential supervision Repealed
78. Own funds Repealed
79. 56Article 56 Repealed
80. 57Article 57 Repealed
81. 58Article 58 Repealed
82. 59Article 59 Repealed
83. 60Article 60 Repealed
84. 61Article 61 Repealed
85. 62Article 62 Repealed
86. 63Article 63 Repealed
87. 63aArticle 63a Repealed
88. 64Article 64 Repealed
89. 65Article 65 Repealed
90. 66Article 66 Repealed
91. 67Article 67 Repealed
92. Provision against risks Repealed
93. Level of application Repealed
94. 68Article 68 Repealed
95. 69Article 69 Repealed
96. 70Article 70 Repealed
97. 71Article 71 Repealed
98. 72Article 72 Repealed
99. 72aArticle 72a Repealed
100. 73Article 73 Repealed
101. Calculation and reporting requirements Repealed
102. 74Article 74 Repealed
103. Minimum level of own funds Repealed
104. 75Article 75 Repealed
105. Minimum own funds requirements for credit risk Repealed
106. 76Article 76 Repealed
107. 77Article 77 Repealed
108. Standardised approach Repealed
109. 78Article 78 Repealed
110. 79Article 79 Repealed
111. 80Article 80 Repealed
112. 81Article 81 Repealed
113. 82Article 82 Repealed
114. 83Article 83 Repealed
115. Internal Ratings Based Approach Repealed
116. 84Article 84 Repealed
117. 85Article 85 Repealed
118. 86Article 86 Repealed
119. 87Article 87 Repealed
120. 88Article 88 Repealed
121. 89Article 89 Repealed
122. Credit risk mitigation Repealed
123. 90Article 90 Repealed
124. 91Article 91 Repealed
125. 92Article 92 Repealed
126. 93Article 93 Repealed
127. Securitisation Repealed
128. 94Article 94 Repealed
129. 95Article 95 Repealed
130. 96Article 96 Repealed
131. 97Article 97 Repealed
132. 98Article 98 Repealed
133. 99Article 99 Repealed
134. 100Article 100 Repealed
135. 101Article 101 Repealed
136. Minimum own funds requirements for operational risk Repealed
137. 102Article 102 Repealed
138. 103Article 103 Repealed
139. 104Article 104 Repealed
140. 105Article 105 Repealed
141. Large exposures Repealed
142. 106Article 106 Repealed
143. 107Article 107 Repealed
144. 108Article 108 Repealed
145. 109Article 109 Repealed
146. 110Article 110 Repealed
147. 111Article 111 Repealed
148. 112Article 112 Repealed
149. 113Article 113 Repealed
150. 114Article 114 Repealed
151. 115Article 115 Repealed
152. 116Article 116 Repealed
153. 117Article 117 Repealed
154. 118Article 118 Repealed
155. 119Article 119 Repealed
156. Qualifying holdings outside the financial sector Repealed
157. 120Article 120 Repealed
158. 121Article 121 Repealed
159. 122Article 122 Repealed
160. Exposures to transferred credit risk Repealed
161. 122aArticle 122a Repealed
162. Chapter 3: Credit institutions' assessment process Repealed
163. 123Article 123 Repealed
164. Chapter 4: Supervision and disclosure by competent authorities Repealed
165. Supervision Repealed
166. 124Article 124 Repealed
167. 125Article 125 Repealed
168. 126Article 126 Repealed
169. 127Article 127 Repealed
170. 128Article 128 Repealed
171. 129Article 129 Repealed
172. 130Article 130 Repealed
173. 131Article 131 Repealed
174. 131aArticle 131a Repealed
175. 132Article 132 Repealed
176. 133Article 133 Repealed
177. 134Article 134 Repealed
178. 135Article 135 Repealed
179. 136Article 136 Repealed
180. 137Article 137 Repealed
181. 138Article 138 Repealed
182. 139Article 139 Repealed
183. 140Article 140 Repealed
184. 141Article 141 Repealed
185. 142Article 142 Repealed
186. 143Article 143 Repealed
187. Disclosure by competent authorities Repealed
188. 144Article 144 Repealed
189. Chapter 5: Disclosure by credit institutions Repealed
190. 145Article 145 Repealed
191. 146Article 146 Repealed
192. 146aArticle 146a Repealed
193. 147Article 147 Repealed
194. 148Article 148 Repealed
195. 149Article 149 Repealed
196. Title VI: DELEGATED ACTS AND POWERS OF EXECUTION
197. 150Article 150 Repealed
198. 151Article 151 Repealed
199. 151aExercise of the delegation Repealed
200. 151bRevocation of the delegation Repealed
201. 151cObjections to delegated acts Repealed
202. Title VII: TRANSITIONAL AND FINAL PROVISIONS
203. Chapter 1: Transitional provisions Repealed
204. 152Article 152 Repealed
205. 153Article 153 Repealed
206. 154Article 154 Repealed
207. 155Article 155 Repealed
208. Chapter 2: Final provisions Repealed
209. 156Article 156 Repealed
210. 156aArticle 156a Repealed
211. 157Article 157 Repealed
212. 158Article 158 Repealed
213. 159Article 159 Repealed
214. 160Article 160 Repealed
215. Annex I: LIST OF ACTIVITIES SUBJECT TO MUTUAL RECOGNITION Repealed
216. 1Division 1 Repealed
217. 2Division 2 Repealed
218. 3Division 3 Repealed
219. 4Division 4 Repealed
220. 5Division 5 Repealed
221. 6Division 6 Repealed
222. 7Trading for own account or for account of customers in: Repealed
223. 8Division 8 Repealed
224. 9Division 9 Repealed
225. 10Division 10 Repealed
226. 11Division 11 Repealed
227. 12Division 12 Repealed
228. 13Division 13 Repealed
229. 14Safe custody services Repealed
230. 15Division 15 Repealed
231. Annex IICLASSIFICATION OF OFF-BALANCE-SHEET ITEMS Repealed
232. Annex III: THE TREATMENT OF COUNTERPARTY CREDIT RISK OF DERIVATIVE INSTRUMENTS, REPURCHASE TRANSACTIONS, SECURITIES ORCOMMODITIES LENDING OR BORROWING TRANSACTIONS, LONG SETTLEMENT TRANSACTIONS AND MARGIN LENDING TRANSACTIONS Repealed
233. Part 1 Repealed
234. Definitions Repealed
235. General terms Repealed
236. 1Division 1 Repealed
237. 2Division 2 Repealed
238. Transaction types Repealed
239. 3Division 3 Repealed
240. 4Division 4 Repealed
241. Netting sets, hedging sets, and related terms Repealed
242. 5Division 5 Repealed
243. 6Division 6 Repealed
244. 7Division 7 Repealed
245. 8Division 8 Repealed
246. 9Division 9 Repealed
247. 10Division 10 Repealed
248. 11Division 11 Repealed
249. 12Division 12 Repealed
250. 13Division 13 Repealed
251. Distributions Repealed
252. 14Division 14 Repealed
253. 15Division 15 Repealed
254. 16Division 16 Repealed
255. 17Division 17 Repealed
256. Exposure measures and adjustments Repealed
257. 18Division 18 Repealed
258. 19Division 19 Repealed
259. 20Division 20 Repealed
260. 21Division 21 Repealed
261. 22Division 22 Repealed
262. 23Division 23 Repealed
263. 24Division 24 Repealed
264. 25Division 25 Repealed
265. CCR related risks Repealed
266. 26Division 26 Repealed
267. 27Division 27 Repealed
268. 28Division 28 Repealed
269. Part 2 Repealed
270. Choice of the method Repealed
271. 1Subject to paragraphs 2 to 7, credit institutions shall determine the exposure value for the contracts listed in Annex IV with one of the methods set out in Parts 3 to 6. Credit institutions which are not eligible for the treatment set out in Article 18(2) of Directive 2006/49/EC are not permitted to use the method set out in Part 4. To determine the exposure value for the contracts listed in point 3 of Annex IV, credit institutions are not permitted to use the method set out in Part 4. Repealed
272. 2Subject to the approval of the competent authorities, credit institutions may determine the exposure value for: Repealed
273. 3When a credit institution purchases credit derivative protection against a non-trading book exposure, or against a CCR exposure, it may compute its capital requirement for the hedged asset in accordance with Annex VIII, Part 3, points 83 to 92, or subject to the approval of the competent authorities, in accordance with Annex VII, Part 1, point 4 or Annex VII, Part 4, points 96 to 104. Repealed
274. 4Division 4 Repealed
275. 5Division 5 Repealed
276. 6Division 6 Repealed
277. 7Division 7 Repealed
278. 8Division 8 Repealed
279. Part 3 Repealed
280. Mark-to-Market Method Repealed
281. Step (a):Division Step (a): Repealed
282. Step (b):to obtain a figure for potential future credit exposure, except in the case of single-currency ‘floating/floating’ interest rate swaps in which only the current replacement cost will be calculated, the notional principal amounts or underlying values are multiplied by the percentages in Table 1: Repealed
283. Step (c):Division Step (c): Repealed
284. Part 4 Repealed
285. Original Exposure Method Repealed
286. Step (a):the notional principal amount of each instrument is multiplied by the percentages given in Table 3. Repealed
287. Step (b):Division Step (b): Repealed
288. Part 5 Repealed
289. Standardised Method Repealed
290. 1The Standardised Method (SM) can be used only for OTC derivatives and long settlement transactions. The exposure value shall be calculated separately for each netting set. It shall be determined net of collateral, as follows: Repealed
291. 2Division 2 Repealed
292. 3Division 3 Repealed
293. 4Division 4 Repealed
294. 5Division 5 Repealed
295. 6Division 6 Repealed
296. 7Division 7 Repealed
297. 8Division 8 Repealed
298. 9Division 9 Repealed
299. 10Division 10 Repealed
300. 11Credit institutions may use the following formulae to determine the size and sign of a risk position: Repealed
301. 12The risk positions are to be grouped into hedging sets. For each hedging set, the absolute value amount of the sum of the resulting risk positions is computed. This sum is termed the ‘net risk position’ and is represented by: Repealed
302. 13For interest rate risk positions from money deposits received from the counterparty as collateral, from payment legs and from underlying debt instruments, to which according to Table 1 of Annex I to Directive 2006/49/EC a capital charge of 1,6 % or less applies, there are six hedging sets for each currency, as set out in Table 4 below. Hedging sets are defined by a combination of the criteria ‘maturity’ and ‘referenced interest rates’. Repealed
303. 14Division 14 Repealed
304. 15There is one hedging set for each issuer of a reference debt instrument that underlies a credit default swap. ‘Nth to default’ basket credit default swaps shall be treated as follows: Repealed
305. 16Division 16 Repealed
306. 17Underlying financial instruments other than debt instruments shall be assigned to the same respective hedging sets only if they are identical or similar instruments. In all other cases they shall be assigned to separate hedging sets. The similarity of instruments is established as follows: Repealed
307. 18The CCR multipliers (CCRM) for the different hedging set categories are set out in Table 5 below: Repealed
308. 19Division 19 Repealed
309. 20Division 20 Repealed
310. 21Division 21 Repealed
311. Part 6 Repealed
312. Internal Model Method Repealed
313. 1Division 1 Repealed
314. 2Division 2 Repealed
315. 3Division 3 Repealed
316. 4Division 4 Repealed
317. Exposure value Repealed
318. 5Division 5 Repealed
319. 6Division 6 Repealed
320. 7The exposure value shall be calculated as the product of α times Effective EPE, as follows: Repealed
321. 8Effective EE shall be computed recursively as: Repealed
322. 9In this regard, Effective EPE is the average Effective EE during the first year of future exposure. If all contracts in the netting set mature within less than one year, EPE is the average of EE until all contracts in the netting set mature. Effective EPE is computed as a weighted average of Effective EE: Repealed
323. 10Division 10 Repealed
324. 11Division 11 Repealed
325. 12Division 12 Repealed
326. 13Division 13 Repealed
327. 14Division 14 Repealed
328. 15If the netting set is subject to a margin agreement, credit institutions shall use one of the following EPE measures: Repealed
329. 16Division 16 Repealed
330. CCR control Repealed
331. 17Division 17 Repealed
332. 18Division 18 Repealed
333. 19Division 19 Repealed
334. 20Division 20 Repealed
335. 21Division 21 Repealed
336. 22Division 22 Repealed
337. 23Division 23 Repealed
338. 24Division 24 Repealed
339. 25Division 25 Repealed
340. 26A credit institution shall conduct an independent review of its CCR management system regularly through its own internal auditing process. This review shall include both the activities of the business units referred to in point 17 and of the independent CCR control unit. A review of the overall CCR management process shall take place at regular intervals and shall specifically address, at a minimum: Repealed
341. Use test Repealed
342. 27Division 27 Repealed
343. 28Division 28 Repealed
344. 29Division 29 Repealed
345. 30Division 30 Repealed
346. 31Division 31 Repealed
347. Stress testing Repealed
348. 32Division 32 Repealed
349. 33Division 33 Repealed
350. Wrong-Way Risk Repealed
351. 34Division 34 Repealed
352. 35Division 35 Repealed
353. Integrity of the modelling process Repealed
354. 36Division 36 Repealed
355. 37Division 37 Repealed
356. 38Division 38 Repealed
357. 39A credit institution shall monitor the appropriate risks and have processes in place to adjust its estimation of EPE when those risks become significant. This includes the following: Repealed
358. 40Division 40 Repealed
359. 41Division 41 Repealed
360. Validation requirements for EPE models Repealed
361. 42A credit institution's EPE model shall meet the following validation requirements: Repealed
362. Part 7 Repealed
363. Contractual netting (contracts for novation and other netting agreements) Repealed
364. Annex IV: TYPES OF DERIVATIVES Repealed
365. 1Interest-rate contracts: Repealed
366. 2Foreign-exchange contracts and contracts concerning gold: Repealed
367. 3Division 3 Repealed
368. Annex V: TECHNICAL CRITERIA CONCERNING THE ORGANISATION AND TREATMENT OF RISKS Repealed
369. GOVERNANCE Repealed
370. 1Division 1 Repealed
371. TREATMENT OF RISKS Repealed
372. 2Division 2 Repealed
373. CREDIT AND COUNTERPARTY RISK Repealed
374. 3Division 3 Repealed
375. 4Division 4 Repealed
376. 5Division 5 Repealed
377. RESIDUAL RISK Repealed
378. 6Division 6 Repealed
379. CONCENTRATION RISK Repealed
380. 7Division 7 Repealed
381. SECURITISATION RISK Repealed
382. 8Division 8 Repealed
383. 9Division 9 Repealed
384. MARKET RISK Repealed
385. 10Division 10 Repealed
386. INTEREST RATE RISK ARISING FROM NON-TRADING ACTIVITIES Repealed
387. 11Division 11 Repealed
388. OPERATIONAL RISK Repealed
389. 12Division 12 Repealed
390. 13Division 13 Repealed
391. LIQUIDITY RISK Repealed
392. 14Division 14 Repealed
393. 14aDivision 14a Repealed
394. 15Division 15 Repealed
395. 16Division 16 Repealed
396. 17Division 17 Repealed
397. 18Division 18 Repealed
398. 19Division 19 Repealed
399. 20Division 20 Repealed
400. 21Division 21 Repealed
401. 22Division 22 Repealed
402. REMUNERATION POLICIES Repealed
403. 23When establishing and applying the total remuneration policies, inclusive of salaries and discretionary pension benefits, for categories of staff including senior management, risk takers, staff engaged in control functions and any employee receiving total remuneration that takes them into the same remuneration bracket as senior management and risk takers, whose professional activities have a material impact on their risk profile, credit institutions shall comply with the following principles in a way and to the extent that is appropriate to their size, internal organisation and the nature, the scope and the complexity of their activities: Repealed
404. 24Credit institutions that are significant in terms of their size, internal organisation and the nature, the scope and the complexity of their activities shall establish a remuneration committee. The remuneration committee shall be constituted in such a way as to enable it to exercise competent and independent judgment on remuneration policies and practices and the incentives created for managing risk, capital and liquidity. Repealed
405. Annex VI: STANDARDISED APPROACH Repealed
406. Part 1: RISK WEIGHTS Repealed
407. EXPOSURES TO CENTRAL GOVERNMENTS OR CENTRAL BANKS Repealed
408. Treatment Repealed
409. 1Division 1 Repealed
410. 2Subject to point 3, exposures to central governments and central banks for which a credit assessment by a nominated ECAI is available shall be assigned a risk weight according to Table 1 in accordance with the assignment by the competent authorities of the credit assessments of eligible ECAIs to six steps in a credit quality assessment scale. Repealed
411. 3Division 3 Repealed
412. Exposures in the national currency of the borrower Repealed
413. 4Division 4 Repealed
414. 5Division 5 Repealed
415. Use of credit assessments by Export Credit Agencies Repealed
416. 6Export Credit Agency credit assessments shall be recognised by the competent authorities if either of the following conditions is met: Repealed
417. 7Exposures for which a credit assessment by an Export Credit Agency is recognised for risk weighting purposes shall be assigned a risk weight according to Table 2. Repealed
418. EXPOSURES TO REGIONAL GOVERNMENTS OR LOCAL AUTHORITIES Repealed
419. 8Division 8 Repealed
420. 9Exposures to regional governments and local authorities shall be treated as exposures to the central government in whose jurisdiction they are established where there is no difference in risk between such exposures because of the specific revenue-raising powers of the former, and the existence of specific institutional arrangements the effect of which is to reduce their risk of default. Repealed
421. 10Division 10 Repealed
422. 11Division 11 Repealed
423. 11aDivision 11a Repealed
424. EXPOSURES TO ADMINISTRATIVE BODIES AND NON-COMMERCIAL UNDERTAKINGS Repealed
425. Treatment Repealed
426. 12Division 12 Repealed
427. Public Sector Entities Repealed
428. 13Division 13 Repealed
429. 14Division 14 Repealed
430. 15Division 15 Repealed
431. 16Division 16 Repealed
432. 17Division 17 Repealed
433. EXPOSURES TO MULTILATERAL DEVELOPMENT BANKS Repealed
434. Scope Repealed
435. 18Division 18 Repealed
436. Treatment Repealed
437. 19Division 19 Repealed
438. 20Exposures to the following multilateral development banks shall be assigned a 0 % risk weight: Repealed
439. 21Division 21 Repealed
440. EXPOSURES TO INTERNATIONAL ORGANISATIONS Repealed
441. 22Exposures to the following international organisations shall be assigned a 0 % risk weight: Repealed
442. EXPOSURES TO INSTITUTIONS Repealed
443. Treatment Repealed
444. 23Division 23 Repealed
445. 24Division 24 Repealed
446. Risk-weight floor on exposures to unrated institutions Repealed
447. 25Division 25 Repealed
448. Central government risk weight based method Repealed
449. 26Exposures to institutions shall be assigned a risk weight according to the credit quality step to which exposures to the central government of the jurisdiction in which the institution is incorporated are assigned in accordance with Table 3. Repealed
450. 27Division 27 Repealed
451. 28Division 28 Repealed
452. Credit assessment based method Repealed
453. 29Exposures to institutions with a residual maturity of more than three months for which a credit assessment by a nominated ECAI is available shall be assigned a risk weight according to Table 4 in accordance with the assignment by the competent authorities of the credit assessments of eligible ECAIs to six steps in a credit quality assessment scale. Repealed
454. 30Division 30 Repealed
455. 31Exposures to an institution of up to three months residual maturity for which a credit assessment by a nominated ECAI is available shall be assigned a risk-weight according to Table 5 in accordance with the assignment by the competent authorities of the credit assessments of eligible ECAIs to six steps in a credit quality assessment scale: Repealed
456. 32Division 32 Repealed
457. Interaction with short-term credit assessments Repealed
458. 33Division 33 Repealed
459. 34Division 34 Repealed
460. 35Division 35 Repealed
461. 36Division 36 Repealed
462. Short-term exposures in the national currency of the borrower Repealed
463. 37Division 37 Repealed
464. 38Division 38 Repealed
465. Investments in regulatory capital instruments Repealed
466. 39Division 39 Repealed
467. Minimum reserves required by the ECB Repealed
468. 40Where an exposure to an institution is in the form of minimum reserves required by the ECB or by the central bank of a Member State to be held by the credit institution, Member States may permit the assignment of the risk weight that would be assigned to exposures to the central bank of the Member State in question provided: Repealed
469. EXPOSURES TO CORPORATES Repealed
470. Treatment Repealed
471. 41Exposures for which a credit assessment by a nominated ECAI is available shall be assigned a risk weight according to Table 6 in accordance with the assignment by the competent authorities of the credit assessments of eligible ECAIs to six steps in a credit quality assessment scale. Repealed
472. 42Division 42 Repealed
473. RETAIL EXPOSURES Repealed
474. 43Division 43 Repealed
475. EXPOSURES SECURED BY REAL ESTATE PROPERTY Repealed
476. 44Division 44 Repealed
477. Exposures secured by mortgages on residential property Repealed
478. 45Division 45 Repealed
479. 46Division 46 Repealed
480. 47Division 47 Repealed
481. 48In the exercise of their judgement for the purposes of points 45 to 47, competent authorities shall be satisfied only if the following conditions are met: Repealed
482. 49Division 49 Repealed
483. 50Division 50 Repealed
484. Exposures secured by mortgages on commercial real estate Repealed
485. 51Division 51 Repealed
486. 52Division 52 Repealed
487. 53Division 53 Repealed
488. 54The application of points 51 to 53 is subject to the following conditions: Repealed
489. 55The 50 % risk weight shall be assigned to the Part of the loan that does not exceed a limit calculated according to either of the following conditions: Repealed
490. 56Division 56 Repealed
491. 57Division 57 Repealed
492. 58Competent authorities may dispense with the condition contained in point 54(b) for exposures fully and completely secured by mortgages on commercial property which is situated within their territory, if they have evidence that a well-developed and long-established commercial real estate market is present in their territory with loss-rates which do not exceed the following limits: Repealed
493. 59Division 59 Repealed
494. 60Division 60 Repealed
495. PAST DUE ITEMS Repealed
496. 61Without prejudice to the provisions contained in points 62 to 65, the unsecured part of any item that is past due for more than 90 days and which is above a threshold defined by the competent authorities and which reflects a reasonable level of risk shall be assigned a risk weight of: Repealed
497. 62Division 62 Repealed
498. 63Division 63 Repealed
499. 64Division 64 Repealed
500. 65Division 65 Repealed
501. ITEMS BELONGING TO REGULATORY HIGH-RISK CATEGORIES Repealed
502. 66Division 66 Repealed
503. 67Competent authorities may permit non past due items to be assigned a 150 % risk weight according to the provisions of this Part and for which value adjustments have been established to be assigned a risk weight of: Repealed
504. EXPOSURES IN THE FORM OF COVERED BONDS Repealed
505. 68‘Covered bonds’, shall mean bonds as defined in Article 22(4) of Directive 85/611/EEC and collateralised by any of the following eligible assets: Repealed
506. 69Division 69 Repealed
507. 70Division 70 Repealed
508. 71Covered bonds shall be assigned a risk weight on the basis of the risk weight assigned to senior unsecured exposures to the credit institution which issues them. The following correspondence between risk weights shall apply: Repealed
509. ITEMS REPRESENTING SECURITISATION POSITIONS Repealed
510. 72Division 72 Repealed
511. EXPOSURES TO INSTITUTIONS AND CORPORATES WITH A SHORT-TERM CREDIT ASSESSMENT Repealed
512. 73Exposures to institutions where points 29 to 32 apply, and exposures to corporates for which a short-term credit assessment by a nominated ECAI is available shall be assigned a risk weight according to Table 7, in accordance with the mapping by the competent authorities of the credit assessments of eligible ECAIs to six steps in a credit quality assessment scale: Repealed
513. EXPOSURES IN THE FORM OF COLLECTIVE INVESTMENT UNDERTAKINGS (CIUS) Repealed
514. 74Division 74 Repealed
515. 75Exposures in the form of CIUs for which a credit assessment by a nominated ECAI is available shall be assigned a risk weight according to Table 8, in accordance with the assignment by the competent authorities of the credit assessments of eligible ECAIs to six steps in a credit quality assessment scale. Repealed
516. 76Division 76 Repealed
517. 77Credit institutions may determine the risk weight for a CIU as set out in points 79 to 81, if the following eligibility criteria are met: Repealed
518. 78Division 78 Repealed
519. 79Division 79 Repealed
520. 80Division 80 Repealed
521. 81Division 81 Repealed
522. OTHER ITEMS Repealed
523. Treatment Repealed
524. 82Division 82 Repealed
525. 83Division 83 Repealed
526. 84Division 84 Repealed
527. 85Division 85 Repealed
528. 86Division 86 Repealed
529. 87Division 87 Repealed
530. 88Division 88 Repealed
531. 89Division 89 Repealed
532. 90Division 90 Repealed
533. Part 2: Recognition of ECAIs and mapping of their credit assessments Repealed
534. METHODOLOGY Repealed
535. Objectivity Repealed
536. 1Division 1 Repealed
537. Independence Repealed
538. 2Division 2 Repealed
539. 3Independence of the ECAI's methodology shall be assessed by competent authorities according to factors such as the following: Repealed
540. Ongoing review Repealed
541. 4Division 4 Repealed
542. 5Before any recognition, competent authorities shall verify that the assessment methodology for each market segment is established according to standards such as the following: Repealed
543. 6Division 6 Repealed
544. Transparency and disclosure Repealed
545. 7Division 7 Repealed
546. INDIVIDUAL CREDIT ASSESSMENTS Repealed
547. Credibility and market acceptance Repealed
548. 8Division 8 Repealed
549. 9Credibility shall be assessed by competent authorities according to factors such as the following: Repealed
550. Transparency and Disclosure Repealed
551. 10Division 10 Repealed
552. 11Division 11 Repealed
553. ‘MAPPING’ Repealed
554. 12Division 12 Repealed
555. 13Division 13 Repealed
556. 14Division 14 Repealed
557. 15Division 15 Repealed
558. 16Division 16 Repealed
559. Part 3: Use of ECAIs' credit assessments for the determination of risk weights Repealed
560. TREATMENT Repealed
561. 1Division 1 Repealed
562. 2Division 2 Repealed
563. 3Division 3 Repealed
564. 4Division 4 Repealed
565. 5Division 5 Repealed
566. 6Division 6 Repealed
567. 7Division 7 Repealed
568. ISSUER AND ISSUE CREDIT ASSESSMENT Repealed
569. 8Division 8 Repealed
570. 9Division 9 Repealed
571. 10Division 10 Repealed
572. 11Division 11 Repealed
573. LONG-TERM AND SHORT-TERM CREDIT ASSESSMENTS Repealed
574. 12Division 12 Repealed
575. 13Division 13 Repealed
576. 14Division 14 Repealed
577. 15Division 15 Repealed
578. DOMESTIC AND FOREIGN CURRENCY ITEMS Repealed
579. 16Division 16 Repealed
580. 17Division 17 Repealed
581. Annex VII: INTERNAL RATINGS BASED APPROACH Repealed
582. Part 1: Risk weighted exposure amounts and expected loss amounts Repealed
583. CALCULATION OF RISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT RISK Repealed
584. 1Division 1 Repealed
585. 2Division 2 Repealed
586. Risk weighted exposure amounts for exposures to corporates, institutions and central governments and central banks. Repealed
587. 3Subject to points 5 to 9, the risk weighted exposure amounts for exposures to corporates, institutions and central governments and central banks shall be calculated according to the following formulae: Repealed
588. 4The risk weighted exposure amount for each exposure which meets the requirements set out in Annex VIII, Part 1, point 29 and Annex VIII, Part 2, point 22 may be adjusted according to the following formula: Repealed
589. 5For exposures to companies where the total annual sales for the consolidated group of which the firm is a Part is less than EUR 50 million, credit institutions may use the following correlation formula for the calculation of risk weights for corporate exposures. In this formula S is expressed as total annual sales in millions of Euros with EUR 5 million <= S <= EUR 50 million. Reported sales of less than EUR 5 million shall be treated as if they were equivalent to EUR 5 million. For purchased receivables the total annual sales shall be the weighted average by individual exposures of the pool. Repealed
590. 6For specialised lending exposures in respect of which a credit institution cannot demonstrate that its PD estimates meet the minimum requirements set out in Part 4 it shall assign risk weights to these exposures according to Table 1, as follows: Repealed
591. 7Division 7 Repealed
592. 8Division 8 Repealed
593. 9Division 9 Repealed
594. Risk weighted exposure amounts for retail exposures Repealed
595. 10Subject to points 12 and 13, the risk weighted exposure amounts for retail exposures shall be calculated according to the following formulae: Repealed
596. 11Division 11 Repealed
597. 12Division 12 Repealed
598. 13For qualifying revolving retail exposures as defined in points (a) to (e), a correlation (R) of 0,04 shall replace the figure produced by the correlation formula in point 10. Repealed
599. 14To be eligible for the retail treatment, purchased receivables shall comply with the minimum requirements set out in Part 4, points 105 to 109 and the following conditions: Repealed
600. 15Division 15 Repealed
601. 16Division 16 Repealed
602. Risk weighted exposure amounts for equity exposures Repealed
603. 17Division 17 Repealed
604. 18Division 18 Repealed
605. Simple risk weight approach Repealed
606. 19The risk weighted exposure amount shall be calculated according to the following formula: Repealed
607. 20Division 20 Repealed
608. 21Division 21 Repealed
609. PD/LGD approach Repealed
610. 22Division 22 Repealed
611. 23Division 23 Repealed
612. 24Division 24 Repealed
613. Internal models approach Repealed
614. 25Division 25 Repealed
615. 26Division 26 Repealed
616. Risk weighted exposure amounts for other non credit-obligation assets Repealed
617. 27The risk weighted exposure amounts shall be calculated according to the following formula: Repealed
618. CALCULATION OF RISK WEIGHTED EXPOSURE AMOUNTS FOR DILUTION RISK OF PURCHASED RECEIVABLES Repealed
619. 28Risk weights for dilution risk of purchased corporate and retail receivables: Repealed
620. CALCULATION OF EXPECTED LOSS AMOUNTS Repealed
621. 29Division 29 Repealed
622. 30The expected loss amounts for exposures to corporates, institutions, central governments and central banks and retail exposures shall be calculated according to the following formulae: Repealed
623. 31The EL values for specialised lending exposures where credit institutions use the methods set out in point 6 for assigning risk weights shall be assigned according to Table 2. Repealed
624. 32The expected loss amounts for equity exposures where the risk weighted exposure amounts are calculated according to the methods set out in points 19 to 21, shall be calculated according to the following formula: Repealed
625. 33The expected loss amounts for equity exposures where the risk weighted exposure amounts are calculated according to the methods set out in points 22 to 24 shall be calculated according to the following formulae: Repealed
626. 34Division 34 Repealed
627. 35The expected loss amounts for dilution risk of purchased receivables shall be calculated according to the following formula: Repealed
628. TREATMENT OF EXPECTED LOSS AMOUNTS Repealed
629. 36Division 36 Repealed
630. Part 2: PD, LGD and Maturity Repealed
631. 1Division 1 Repealed
632. EXPOSURES TO CORPORATES, INSTITUTIONS AND CENTRAL GOVERNMENTS AND CENTRAL BANKS Repealed
633. PD Repealed
634. 2Division 2 Repealed
635. 3Division 3 Repealed
636. 4Division 4 Repealed
637. 5Division 5 Repealed
638. 6Division 6 Repealed
639. 7Division 7 Repealed
640. LGD Repealed
641. 8Credit institutions shall use the following LGD values: Repealed
642. 9Division 9 Repealed
643. 10Division 10 Repealed
644. 11Division 11 Repealed
645. Maturity Repealed
646. 12Division 12 Repealed
647. 13Credit institutions permitted to use own LGDs and/or own conversion factors for exposures to corporates, institutions or central governments and central banks shall calculate M for each of these exposures as set out in (a) to (e) and subject to points 14 to 16. In all cases, M shall be no greater than 5 years: Repealed
648. 14Notwithstanding point 13(a), (b), (c), (d) and (e), M shall be at least one-day for: Repealed
649. 15Division 15 Repealed
650. 16Division 16 Repealed
651. RETAIL EXPOSURES Repealed
652. PD Repealed
653. 17Division 17 Repealed
654. 18Division 18 Repealed
655. 19Division 19 Repealed
656. 20Division 20 Repealed
657. LGD Repealed
658. 21Division 21 Repealed
659. 22Division 22 Repealed
660. 23Division 23 Repealed
661. EQUITY EXPOSURES SUBJECT TO PD/LGD METHOD Repealed
662. PD Repealed
663. 24PDs shall be determined according to the methods for corporate exposures. Repealed
664. LGD Repealed
665. 25Division 25 Repealed
666. 26Division 26 Repealed
667. Maturity Repealed
668. 27Division 27 Repealed
669. Part 3: Exposure value Repealed
670. EXPOSURES TO CORPORATES, INSTITUTIONS, CENTRAL GOVERNMENTS AND CENTRAL BANKS AND RETAIL EXPOSURES. Repealed
671. 1Division 1 Repealed
672. 2Division 2 Repealed
673. 3Division 3 Repealed
674. 4The exposure value for leases shall be the discounted minimum lease payments. Repealed
675. 5Division 5 Repealed
676. 6Division 6 Repealed
677. 7Division 7 Repealed
678. 8Division 8 Repealed
679. 9The exposure value for the following items shall be calculated as the committed but undrawn amount multiplied by a conversion factor. Repealed
680. 10Division 10 Repealed
681. 11For all off-balance sheet items other than those mentioned in points 1 to 9, the exposure value shall be the following percentage of its value: Repealed
682. EQUITY EXPOSURES Repealed
683. 12The exposure value shall be the value presented in the financial statements. Admissible equity exposure measures are the following: Repealed
684. OTHER NON CREDIT-OBLIGATION ASSETS Repealed
685. 13Division 13 Repealed
686. Part 4: Minimum requirements for IRB Approach Repealed
687. RATING SYSTEMS Repealed
688. 1Division 1 Repealed
689. 2Division 2 Repealed
690. 3Division 3 Repealed
691. Structure of rating systems Repealed
692. 4Division 4 Repealed
693. Exposures to corporates, institutions and central governments and central banks Repealed
694. 5Division 5 Repealed
695. 6Division 6 Repealed
696. 7Division 7 Repealed
697. 8Division 8 Repealed
698. 9Division 9 Repealed
699. 10Division 10 Repealed
700. 11Division 11 Repealed
701. 12Division 12 Repealed
702. Retail exposures Repealed
703. 13Division 13 Repealed
704. 14Division 14 Repealed
705. 15Division 15 Repealed
706. 16Credit institutions shall consider the following risk drivers when assigning exposures to grades or pools. Repealed
707. Assignment to grades or pools Repealed
708. 17A credit institution shall have specific definitions, processes and criteria for assigning exposures to grades or pools within a rating system. Repealed
709. 18Division 18 Repealed
710. Assignment of exposures Repealed
711. Exposures to corporates, institutions and central governments and central banks Repealed
712. 19Division 19 Repealed
713. 20Division 20 Repealed
714. 21Division 21 Repealed
715. 22Division 22 Repealed
716. 23Separate exposures to the same obligor shall be assigned to the same obligor grade, irrespective of any differences in the nature of each specific transaction. Exceptions, where separate exposures are allowed to result in multiple grades for the same obligor are: Repealed
717. Retail exposures Repealed
718. 24Division 24 Repealed
719. Overrides Repealed
720. 25Division 25 Repealed
721. Integrity of assignment process Repealed
722. Exposures to corporates, institutions and central governments and central banks Repealed
723. 26Division 26 Repealed
724. 27Division 27 Repealed
725. 28Division 28 Repealed
726. Retail exposures Repealed
727. 29Division 29 Repealed
728. Use of models Repealed
729. 30If a credit institution uses statistical models and other mechanical methods to assign exposures to obligors or facilities grades or pools, then: Repealed
730. Documentation of rating systems Repealed
731. 31Division 31 Repealed
732. 32Division 32 Repealed
733. 33Division 33 Repealed
734. 34If the credit institution employs statistical models in the rating process, the credit institution shall document their methodologies. This material shall: Repealed
735. 35Division 35 Repealed
736. Data maintenance Repealed
737. 36Division 36 Repealed
738. Exposures to corporates, institutions and central governments and central banks Repealed
739. 37Credit institutions shall collect and store: Repealed
740. 38Credit institutions using own estimates of LGDs and/or conversion factors shall collect and store: Repealed
741. Retail exposures Repealed
742. 39Credit institutions shall collect and store: Repealed
743. Stress tests used in assessment of capital adequacy Repealed
744. 40Division 40 Repealed
745. 41Division 41 Repealed
746. 42Division 42 Repealed
747. RISK QUANTIFICATION Repealed
748. 43Division 43 Repealed
749. Definition of default Repealed
750. 44A ‘default’ shall be considered to have occurred with regard to a particular obligor when either or both of the two following events has taken place: Repealed
751. 45Elements to be taken as indications of unlikeliness to pay shall include: Repealed
752. 46Division 46 Repealed
753. 47Division 47 Repealed
754. 48Division 48 Repealed
755. Overall requirements for estimation Repealed
756. 49Division 49 Repealed
757. 50Division 50 Repealed
758. 51Division 51 Repealed
759. 52Division 52 Repealed
760. 53Division 53 Repealed
761. 54Division 54 Repealed
762. 55Division 55 Repealed
763. 56Division 56 Repealed
764. 57If a credit institution uses data that is pooled across credit institutions it shall demonstrate that: Repealed
765. 58Division 58 Repealed
766. Requirements specific to PD estimation Repealed
767. Exposures to corporates, institutions and central governments and central banks Repealed
768. 59Division 59 Repealed
769. 60Division 60 Repealed
770. 61Division 61 Repealed
771. 62Division 62 Repealed
772. 63Division 63 Repealed
773. 64Division 64 Repealed
774. 65Division 65 Repealed
775. 66Division 66 Repealed
776. Retail exposures Repealed
777. 67Division 67 Repealed
778. 68Division 68 Repealed
779. 69Credit institutions shall regard internal data for assigning exposures to grades or pools as the primary source of information for estimating loss characteristics. Credit institutions are permitted to use external data (including pooled data) or statistical models for quantification provided a strong link can be demonstrated between: Repealed
780. 70Division 70 Repealed
781. 71Division 71 Repealed
782. 72Division 72 Repealed
783. Requirements specific to own-LGD estimates Repealed
784. 73Division 73 Repealed
785. 74Division 74 Repealed
786. 75Division 75 Repealed
787. 76Division 76 Repealed
788. 77Division 77 Repealed
789. 78Division 78 Repealed
790. 79Division 79 Repealed
791. 80Division 80 Repealed
792. 81Division 81 Repealed
793. Exposures to corporates, institutions and central governments and central banks Repealed
794. 82Division 82 Repealed
795. Retail exposures Repealed
796. 83Division 83 Repealed
797. 84Division 84 Repealed
798. 85Division 85 Repealed
799. 86Division 86 Repealed
800. Requirements specific to own-conversion factor estimates Repealed
801. 87Division 87 Repealed
802. 88Division 88 Repealed
803. 89Credit institutions' estimates of conversion factors shall reflect the possibility of additional drawings by the obligor up to and after the time a default event is triggered. Repealed
804. 90Division 90 Repealed
805. 91Division 91 Repealed
806. 92Division 92 Repealed
807. Exposures to corporates, institutions and central governments and central banks Repealed
808. 93Division 93 Repealed
809. Retail exposures Repealed
810. 94Division 94 Repealed
811. 95Division 95 Repealed
812. 2.2.4Minimum requirements for assessing the effect of guarantees and credit derivatives Repealed
813. 96Division 96 Repealed
814. 97Division 97 Repealed
815. Eligible guarantors and guarantees Repealed
816. 98Division 98 Repealed
817. 99Division 99 Repealed
818. 100Division 100 Repealed
819. Adjustment criteria Repealed
820. 101Division 101 Repealed
821. 102Division 102 Repealed
822. Credit derivatives Repealed
823. 103Division 103 Repealed
824. 104Division 104 Repealed
825. Minimum requirements for purchased receivables Repealed
826. Legal certainty Repealed
827. 105Division 105 Repealed
828. Effectiveness of monitoring systems Repealed
829. 106The credit institution shall monitor both the quality of the purchased receivables and the financial condition of the seller and servicer. In particular: Repealed
830. Effectiveness of work-out systems Repealed
831. 107Division 107 Repealed
832. Effectiveness of systems for controlling collateral, credit availability, and cash Repealed
833. 108Division 108 Repealed
834. Compliance with the credit institution's internal policies and procedures Repealed
835. 109Division 109 Repealed
836. VALIDATION OF INTERNAL ESTIMATES Repealed
837. 110Division 110 Repealed
838. 111Division 111 Repealed
839. 112Division 112 Repealed
840. 113Division 113 Repealed
841. 114Division 114 Repealed
842. CALCULATION OF RISK WEIGHTED EXPOSURE AMOUNTS FOR EQUITY EXPOSURES UNDER THE INTERNAL MODELS APPROACH Repealed
843. Capital requirement and risk quantification Repealed
844. 115For the purpose of calculating capital requirements credit institutions shall meet the following standards: Repealed
845. Risk management process and controls Repealed
846. 116With regard to the development and use of internal models for capital requirement purposes, credit institutions shall establish policies, procedures, and controls to ensure the integrity of the model and modelling process. These policies, procedures, and controls shall include the following: Repealed
847. Validation and documentation Repealed
848. 117Division 117 Repealed
849. 118Division 118 Repealed
850. 119Division 119 Repealed
851. 120Division 120 Repealed
852. 121Division 121 Repealed
853. 122Division 122 Repealed
854. 123Division 123 Repealed
855. CORPORATE GOVERNANCE AND OVERSIGHT Repealed
856. Corporate Governance Repealed
857. 124Division 124 Repealed
858. 125Division 125 Repealed
859. 126Division 126 Repealed
860. 127Division 127 Repealed
861. Credit risk control Repealed
862. 128Division 128 Repealed
863. 129The areas of responsibility for the credit risk control unit(s) shall include: Repealed
864. 130Notwithstanding point 129, credit institutions using pooled data according to points 57 and 58 may outsource the following tasks: Repealed
865. Internal Audit Repealed
866. 131Division 131 Repealed
867. Annex VIII: CREDIT RISK MITIGATION Repealed
868. Part 1: Eligibility Repealed
869. 1Division 1 Repealed
870. 2For the purposes of this Annex: Repealed
871. FUNDED CREDIT PROTECTION Repealed
872. On-balance sheet netting Repealed
873. 3Division 3 Repealed
874. 4Division 4 Repealed
875. Master netting agreements covering repurchase transactions and/or securities or commodities lending or borrowing transactions and/or other capital market-driven transactions Repealed
876. 5Division 5 Repealed
877. Collateral Repealed
878. 6Division 6 Repealed
879. Eligibility under all approaches and methods Repealed
880. 7The following financial items may be recognised as eligible collateral under all approaches and methods: Repealed
881. 8Debt securities issued by institutions which securities do not have a credit assessment by an eligible ECAI may be recognised as eligible collateral if they fulfil the following criteria: Repealed
882. 9Units in collective investment undertakings may be recognised as eligible collateral if the following conditions are satisfied: Repealed
883. 10Division 10 Repealed
884. Additional eligibility under the Financial Collateral Comprehensive Method Repealed
885. 11In addition to the collateral set out in points 7 to 10, where a credit institution uses the Financial Collateral Comprehensive Method under Part 3, the following financial items may be recognised as eligible collateral: Repealed
886. Additional eligibility for calculations under Articles 84 to 89 Repealed
887. 12Division 12 Repealed
888. Real estate collateral Repealed
889. 13Residential real estate property which is or will be occupied or let by the owner, or the beneficial owner in the case of personal investment companies, and commercial real estate property, that is, offices and other commercial premises, may be recognised as eligible collateral where the following conditions are met: Repealed
890. 14Division 14 Repealed
891. 15Division 15 Repealed
892. 16Division 16 Repealed
893. 17The competent authorities of the Member States may waive the requirement for their credit institutions to comply with the condition in point 13(b) for commercial real estate property situated within the territory of that Member State, if the competent authorities have evidence that the relevant market is well-developed and long-established and that loss-rates stemming from lending secured by commercial real estate property satisfy the following conditions: Repealed
894. 18Division 18 Repealed
895. 19Division 19 Repealed
896. Receivables Repealed
897. 20Division 20 Repealed
898. Other physical collateral Repealed
899. 21The competent authorities may recognise as eligible collateral physical items of a type other than those types indicated in points 13 to 19 if satisfied as to the following: Repealed
900. Leasing Repealed
901. 22Division 22 Repealed
902. Other funded credit protection Repealed
903. Cash on deposit with, or cash assimilated instruments held by, a third party institution. Repealed
904. 23Division 23 Repealed
905. Life insurance policies pledged to the lending credit institution Repealed
906. 24Division 24 Repealed
907. Institution instruments repurchased on request Repealed
908. 25Division 25 Repealed
909. UNFUNDED CREDIT PROTECTION Repealed
910. Eligibility of protection providers under all approaches Repealed
911. 26The following parties may be recognised as eligible providers of unfunded credit protection: Repealed
912. 27Division 27 Repealed
913. 28Division 28 Repealed
914. Eligibility of protection providers under the IRB Approach which qualify for the treatment set out in Annex VII, Part 1, point 4. Repealed
915. 29Institutions, insurance and reinsurance undertakings and export credit agencies which fulfil the following conditions may be recognised as eligible providers of unfunded credit protection which qualify for the treatment set out in Annex VII, Part 1, point 4: Repealed
916. TYPES OF CREDIT DERIVATIVES Repealed
917. 30The following types of credit derivatives, and instruments that may be composed of such credit derivatives or that are economically effectively similar, may be recognised as eligible: Repealed
918. 31Division 31 Repealed
919. Internal hedges Repealed
920. 32Division 32 Repealed
921. Part 2: Minimum Requirements Repealed
922. 1Division 1 Repealed
923. 2Division 2 Repealed
924. FUNDED CREDIT PROTECTION Repealed
925. On-balance sheet netting agreements (other than master netting agreements covering repurchase transactions, securities or commodities lending or borrowing transactions and/or other capital market-driven transactions). Repealed
926. 3For on-balance sheet netting agreements — other than master netting agreements covering repurchase transactions, securities or commodities lending or borrowing transactions and/or other capital market-driven transactions — to be recognised for the purposes of Articles 90 to 93, the following conditions shall be satisfied: Repealed
927. Master netting agreements covering repurchase transactions and/or securities or commodities lending or borrowing transactions and/or other capital market driven transactions Repealed
928. 4For master netting agreements covering repurchase transactions and/or securities or commodities lending or borrowing transactions and/or other capital market driven transactions to be recognised for the purposes of Articles 90 to 93, they shall: Repealed
929. 5Division 5 Repealed
930. Financial collateral Repealed
931. Minimum requirements for the recognition of financial collateral under all Approaches and Methods Repealed
932. 6For the recognition of financial collateral and gold, the following conditions shall be met. Repealed
933. Additional minimum requirements for the recognition of financial collateral under the Financial Collateral Simple Method Repealed
934. 7Division 7 Repealed
935. Minimum requirements for the recognition of real estate collateral Repealed
936. 8For the recognition of real estate collateral the following conditions shall be met. Repealed
937. Minimum requirements for the recognition of receivables as collateral Repealed
938. 9For the recognition of receivables as collateral the following conditions shall be met: Repealed
939. Minimum requirements for the recognition of other physical collateral Repealed
940. 10For the recognition of other physical collateral the following conditions shall be met: Repealed
941. Minimum requirements for treating lease exposures as collateralised Repealed
942. 11For the exposures arising from leasing transactions to be treated as collateralised by the type of property leased, the following conditions shall be met: Repealed
943. Minimum requirements for the recognition of other funded credit protection Repealed
944. Cash on deposit with, or cash assimilated instruments held by, a third party institution Repealed
945. 12To be eligible for the treatment set out at Part 3, point 79, the protection referred to in Part 1, point 23 must satisfy the following conditions: Repealed
946. Life insurance policies pledged to the lending credit institution. Repealed
947. 13For life insurance policies pledged to the lending credit institution to be recognised, all the following conditions shall be met: Repealed
948. UNFUNDED CREDIT PROTECTION AND CREDIT LINKED NOTES Repealed
949. Requirements common to guarantees and credit derivatives Repealed
950. 14Subject to point 16, for the credit protection deriving from a guarantee or credit derivative to be recognised the following conditions shall be met: Repealed
951. Operational requirements Repealed
952. 15Division 15 Repealed
953. Sovereign and other public sector counter-guarantees Repealed
954. 16Where an exposure is protected by a guarantee which is counter-guaranteed by a central government or central bank, a regional government or local authority, a public sector entity, claims on which are treated as claims on the central government in whose jurisdiction they are established under Articles 78 to 83, a multi-lateral development bank or an international organisation, to which a 0 % risk weight is assigned under or by virtue of Articles 78 to 83, or a public sector entity, claims on which are treated as claims on credit institutions under Articles 78 to 83, the exposure may be treated as protected by a guarantee provided by the entity in question, provided the following conditions are satisfied: Repealed
955. 17Division 17 Repealed
956. Additional requirements for guarantees Repealed
957. 18For a guarantee to be recognised the following conditions shall also be met: Repealed
958. 19In the case of guarantees provided in the context of mutual guarantee schemes recognised for these purposes by the competent authorities or provided by or counter-guaranteed by entities referred to in point 16, the requirements in point 18(a) shall be considered to be satisfied where either of the following conditions are met: Repealed
959. Additional requirements for credit derivatives Repealed
960. 20For a credit derivative to be recognised the following conditions shall also be met: Repealed
961. 21A mismatch between the underlying obligation and the reference obligation under the credit derivative (i.e. the obligation used for the purposes of determining cash settlement value or the deliverable obligation) or between the underlying obligation and the obligation used for purposes of determining whether a credit event has occurred is permissible only if the following conditions are met: Repealed
962. Requirements to qualify for the treatment set out in Annex VII, Part 1, point 4 Repealed
963. 22To be eligible for the treatment set out in Annex VII, Part 1, point 4, credit protection deriving from a guarantee or credit derivative shall meet the following conditions: Repealed
964. Part 3: Calculating the effects of credit risk mitigation Repealed
965. 1Division 1 Repealed
966. 2Division 2 Repealed
967. FUNDED CREDIT PROTECTION Repealed
968. Credit linked notes Repealed
969. 3Division 3 Repealed
970. On-balance sheet netting Repealed
971. 4Division 4 Repealed
972. Master netting agreements covering repurchase transactions and/or securities or commodities lending or borrowing transactions and/or other capital market-driven transactions Repealed
973. Calculation of the fully-adjusted exposure value Repealed
974. Using the ‘Supervisory’ volatility adjustments or the ‘Own Estimates’ volatility adjustments approaches Repealed
975. 5Division 5 Repealed
976. 6Division 6 Repealed
977. 7Division 7 Repealed
978. 8Division 8 Repealed
979. 9Division 9 Repealed
980. 10Division 10 Repealed
981. 11E* shall be calculated according to the following formula: Repealed
982. Using the Internal Models approach Repealed
983. 12Division 12 Repealed
984. 13Division 13 Repealed
985. 14Division 14 Repealed
986. 15Division 15 Repealed
987. 16Recognition shall only be given if the competent authority is satisfied that the credit institution's risk-management system for managing the risks arising on the transactions covered by the master netting agreement is conceptually sound and implemented with integrity and that, in particular, the following qualitative standards are met: Repealed
988. 17The calculation of the potential change in value shall be subject to the following minimum standards: Repealed
989. 18Division 18 Repealed
990. 19Division 19 Repealed
991. 20The fully adjusted exposure value (E*) for credit institutions using the Internal models approach shall be calculated according to the following formula: Repealed
992. 21Division 21 Repealed
993. 1.3.2Calculating risk-weighted exposure amounts and expected loss amounts for repurchase transactions and/or securities or commodities lending or borrowing transactions and/or other capital market-driven transactions covered by master netting agreements Repealed
994. 22E* as calculated under points 5 to 21 shall be taken as the exposure value of the exposure to the counterparty arising from the transactions subject to the master netting agreement for the purposes of Article 80. Repealed
995. 23Division 23 Repealed
996. Financial collateral Repealed
997. Financial Collateral Simple Method Repealed
998. 24The Financial Collateral Simple Method shall be available only where risk-weighted exposure amounts are calculated under Articles 78 to 83. A credit institution shall not use both the Financial Collateral Simple Method and the Financial Collateral Comprehensive Method, unless for the purposes of Articles 85(1) and 89(1). Credit institutions shall demonstrate to the competent authorities that this exceptional application of both methods is not used selectively with the purpose of achieving reduced minimum capital requirements and does not lead to regulatory arbitrage. Repealed
999. 25Under this method, recognised financial collateral is assigned a value equal to its market value as determined in accordance with Part 2, point 6. Repealed
1000. 26The risk weight that would be assigned under Articles 78 to 83 if the lender had a direct exposure to the collateral instrument shall be assigned to those portions of exposure values collateralised by the market value of recognised collateral. For this purpose, the exposure value of an off-balance sheet item listed in Annex II shall be 100 % of its value rather than the exposure value indicated in Article 78(1). The risk weight of the collateralised portion shall be a minimum of 20 % except as specified in points 27 to 29. The remainder of the exposure value shall receive the risk weight that would be assigned to an unsecured exposure to the counterparty under Articles 78 to 83. Repealed
1001. 27A risk weight of 0 % shall be assigned to the collateralised portion of the exposure arising from transactions which fulfil the criteria enumerated in points 58 and 59. If the counterparty to the transaction is not a core market participant a risk weight of 10 % shall be assigned. Repealed
1002. 28A risk weight of 0 % shall, to the extent of the collateralisation, be assigned to the exposure values determined under Annex III for the derivative instruments listed in Annex IV and subject to daily marking-to-market, collateralised by cash or cash-assimilated instruments where there is no currency mismatch. A risk weight of 10 % shall be assigned to the extent of the collateralisation to the exposure values of such transactions collateralised by debt securities issued by central governments or central banks which are assigned a 0 % risk weight under Articles 78 to 83. Repealed
1003. 29A 0 % risk weight may be assigned where the exposure and the collateral are denominated in the same currency, and either: Repealed
1004. Financial Collateral Comprehensive Method Repealed
1005. 30Division 30 Repealed
1006. 31Division 31 Repealed
1007. 32Division 32 Repealed
1008. Calculating adjusted values Repealed
1009. 33The volatility-adjusted value of the collateral to be taken into account is calculated as follows in the case of all transactions except those transactions subject to recognised master netting agreements to which the provisions set out in points 5 to 23 are applied: Repealed
1010. Calculation of volatility adjustments to be applied Repealed
1011. 34Division 34 Repealed
1012. 35A credit institution may choose to use the Supervisory volatility adjustments approach or the Own estimates approach independently of the choice it has made between the Articles 78 to 83 and Articles 84 to 89 for the calculation of risk-weighted exposure amounts. However, if credit institutions seek to use the Own estimates approach, they must do so for the full range of instrument types, excluding immaterial portfolios where they may use the Supervisory volatility adjustments approach. Repealed
1013. Supervisory volatility adjustments Repealed
1014. The volatility adjustments to be applied under the Supervisory volatility adjustments approach (assuming daily revaluation) shall be those set out in Tables 1 to 4. Repealed
1015. VOLATILITY ADJUSTMENTS Repealed
1016. 37Division 37 Repealed
1017. 38Division 38 Repealed
1018. 39Division 39 Repealed
1019. 40Division 40 Repealed
1020. 41Division 41 Repealed
1021. (ii)Own estimates of volatility adjustments Repealed
1022. 42Division 42 Repealed
1023. 43Division 43 Repealed
1024. 44Division 44 Repealed
1025. 45Division 45 Repealed
1026. 46Division 46 Repealed
1027. 47Division 47 Repealed
1028. 48Division 48 Repealed
1029. 49Credit institutions may use volatility adjustment numbers calculated according to shorter or longer liquidation periods, scaled up or down to the liquidation period set out in point 48 for the type of transaction in question, using the square root of time formula: Repealed
1030. 50Division 50 Repealed
1031. 51Division 51 Repealed
1032. 52Division 52 Repealed
1033. 53Division 53 Repealed
1034. 54Division 54 Repealed
1035. 55Division 55 Repealed
1036. 56An independent review of the credit institution's system for the estimation of volatility adjustments shall be carried out regularly in the credit institution's own internal auditing process. A review of the overall system for the estimation of volatility adjustments and for integration of those adjustments into the credit institution's risk management process shall take place at least once a year and shall specifically address, at a minimum: Repealed
1037. Scaling up of volatility adjustments Repealed
1038. 57The volatility adjustments set out in points 36 to 41 are the volatility adjustments to be applied where there is daily revaluation. Similarly, where a credit institution uses its own estimates of the volatility adjustments in accordance with points 42 to 56, these must be calculated in the first instance on the basis of daily revaluation. If the frequency of revaluation is less than daily, larger volatility adjustments shall be applied. These shall be calculated by scaling up the daily revaluation volatility adjustments, using the following ‘square root of time’ formula: Repealed
1039. Conditions for applying a 0 % volatility adjustment Repealed
1040. 58In relation to repurchase transactions and securities lending or borrowing transactions, where a credit institution uses the Supervisory Volatility Adjustments Approach or the Own Estimates Approach and where the conditions set out in points (a) to (h) are satisfied, credit institutions may, instead of applying the volatility adjustments calculated under points 34 to 57, apply a 0 % volatility adjustment. This option is not available in respect of credit institutions using the internal models approach set out in points 12 to 21: Repealed
1041. 59Division 59 Repealed
1042. (c)Calculating risk-weighted exposure amounts and expected loss amounts Repealed
1043. 60E* as calculated under point 33 shall be taken as the exposure value for the purposes of Article 80. In the case of off-balance sheet items listed in Annex II, E* shall be taken as the value at which the percentages indicated in Article 78(1) shall be applied to arrive at the exposure value. Repealed
1044. 61LGD* (the effective LGD)calculated as set out in this point shall be taken as the LGD for the purposes of Annex VII. Repealed
1045. Other eligible collateral for Articles 84 to 89 Repealed
1046. Valuation Repealed
1047. Real estate collateral Repealed
1048. 62Division 62 Repealed
1049. 63Division 63 Repealed
1050. 64Division 64 Repealed
1051. 65Division 65 Repealed
1052. Receivables Repealed
1053. 66Division 66 Repealed
1054. Other physical collateral Repealed
1055. 67Division 67 Repealed
1056. Calculating risk-weighted exposure amounts and expected loss amounts Repealed
1057. General treatment Repealed
1058. 68Division 68 Repealed
1059. 69Division 69 Repealed
1060. 70Division 70 Repealed
1061. 71Division 71 Repealed
1062. 72Table 5 sets out the applicable LGD* and required collateralisation levels for the secured parts of exposures. Repealed
1063. Alternative treatment for real estate collateral Repealed
1064. 73Subject to the requirements of this point and point 74 and as an alternative to the treatment in points 68 to 72, the competent authorities of a Member State may authorise credit institutions to assign a 50 % risk weight to the Part of the exposure fully collateralised by residential real estate property or commercial real estate property situated within the territory of the Member State if they have evidence that the relevant markets are well-developed and long-established with loss-rates from lending collateralised by residential real estate property or commercial real estate property respectively that do not exceed the following limits: Repealed
1065. 74Division 74 Repealed
1066. 75Division 75 Repealed
1067. Calculating risk-weighted exposure amounts and expected loss amounts in the case of mixed pools of collateral Repealed
1068. 76Division 76 Repealed
1069. 77Division 77 Repealed
1070. 78Division 78 Repealed
1071. Other funded credit protection Repealed
1072. Deposits with third party institutions Repealed
1073. 79Division 79 Repealed
1074. Life insurance policies pledged to the lending credit institution Repealed
1075. 80Where the conditions set out in Part 2, point 13 are satisfied, the portion of the exposure collateralised by the current surrender value of credit protection falling within the terms of Part 1, point 24 shall be either of the following: Repealed
1076. 80aFor purposes of point 80(a), the following risk weights shall be assigned on the basis of the risk weight assigned to a senior unsecured exposure to the company providing the life insurance: Repealed
1077. Institution instruments repurchased on request Repealed
1078. 81Division 81 Repealed
1079. 82The value of the credit protection recognised shall be the following: Repealed
1080. UNFUNDED CREDIT PROTECTION Repealed
1081. Valuation Repealed
1082. 83The value of unfunded credit protection (G) shall be the amount that the protection provider has undertaken to pay in the event of the default or non-payment of the borrower or on the occurrence of other specified credit events. In the case of credit derivatives which do not include as a credit event restructuring of the underlying obligation involving forgiveness or postponement of principal, interest or fees that result in a credit loss event (e.g. value adjustment, the making of a value adjustment or other similar debit to the profit and loss account), Repealed
1083. 84Where unfunded credit protection is denominated in a currency different from that in which the exposure is denominated (a currency mismatch) the value of the credit protection shall be reduced by the application of a volatility adjustment HFX as follows: Repealed
1084. 85Division 85 Repealed
1085. Calculating risk-weighted exposure amounts and expected loss amounts Repealed
1086. Partial protection — tranching Repealed
1087. 86Division 86 Repealed
1088. Standardised Approach Repealed
1089. Full protection Repealed
1090. 87For the purposes of Article 80, g shall be the risk weight to be assigned to an exposure, the exposure value (E) of which is fully protected by unfunded protection (GA), where: Repealed
1091. Partial protection — equal seniority Repealed
1092. 88Where the protected amount is less than the exposure value and the protected and unprotected parts are of equal seniority — i.e. the credit institution and the protection provider share losses on a pro-rata basis, proportional regulatory capital relief shall be afforded. For the purposes of Article 80, risk-weighted exposure amounts shall be calculated in accordance with the following formula: Repealed
1093. Sovereign guarantees Repealed
1094. 89Division 89 Repealed
1095. 2.2.3IRB Approach Repealed
1096. 90Division 90 Repealed
1097. 91Division 91 Repealed
1098. 92Division 92 Repealed
1099. Part 4: Maturity Mismatches Repealed
1100. 1Division 1 Repealed
1101. 2Where there is a maturity mismatch the credit protection shall not be recognised where: Repealed
1102. DEFINITION OF MATURITY Repealed
1103. 3Division 3 Repealed
1104. 4Division 4 Repealed
1105. 5Division 5 Repealed
1106. VALUATION OF PROTECTION Repealed
1107. Transactions subject to funded credit protection — Financial Collateral Simple Method Repealed
1108. 6Division 6 Repealed
1109. Transactions subject to funded credit protection — Financial Collateral Comprehensive Method Repealed
1110. 7The maturity of the credit protection and that of the exposure must be reflected in the adjusted value of the collateral according to the following formula: Repealed
1111. Transactions subject to unfunded credit protection Repealed
1112. 8The maturity of the credit protection and that of the exposure must be reflected in the adjusted value of the credit protection according to the following formula Repealed
1113. Part 5: Combinations of credit risk mitigation in the Standardised Approach Repealed
1114. 1Division 1 Repealed
1115. 2Division 2 Repealed
1116. Part 6: Basket CRM techniques Repealed
1117. FIRST-TO-DEFAULT CREDIT DERIVATIVES Repealed
1118. 1Division 1 Repealed
1119. N NTH-TO-DEFAULT CREDIT DERIVATIVES Repealed
1120. 2Division 2 Repealed
1121. Annex IX: SECURITISATION Repealed
1122. Part 1: Definitions for the purposes of Annex IX Repealed
1123. 1For the purposes of this Annex: Repealed
1124. Part 2: Minimum requirements for recognition of significant credit risk transfer and calculation of risk-weighted exposure amounts and expected loss amounts for securitised exposures Repealed
1125. MINIMUM REQUIREMENTS FOR RECOGNITION OF SIGNIFICANT CREDIT RISK TRANSFER IN A TRADITIONAL SECURITISATION Repealed
1126. 1The originator credit institution of a traditional securitisation may exclude securitised exposures from the calculation of risk-weighted exposure amounts and expected loss amounts if either of the following conditions is fulfilled: Repealed
1127. 1aUnless the competent authority decides in a specific instance that the possible reduction in risk weighted exposure amounts which the originator credit institution would achieve by this securitisation is not justified by a commensurate transfer of credit risk to third parties, significant credit risk shall be considered to have been transferred in the following cases: Repealed
1128. 1bFor the purposes of point 1a, mezzanine securitisation positions mean securitisation positions to which a risk weight lower than 1 250 % applies and that are more junior than the most senior position in this securitisation and more junior than any securitisation position in this securitisation to which: Repealed
1129. 1cDivision 1c Repealed
1130. 1dIn addition to points 1 to 1c, all the following conditions shall be met: Repealed
1131. MINIMUM REQUIREMENTS FOR RECOGNITION OF SIGNIFICANT CREDIT RISK TRANSFER IN A SYNTHETIC SECURITISATION Repealed
1132. 2An originator credit institution of a synthetic securitisation may calculate risk-weighted exposure amounts, and, as relevant, expected loss amounts, for the securitised exposures in accordance with points 3 and 4, if either of the following is met: Repealed
1133. 2aUnless the competent authority decides on a case- by-case basis that the possible reduction in risk weighted exposure amounts which the originator credit institution would achieve by this securitisation is not justified by a commensurate transfer of credit risk to third parties, significant credit risk shall be considered to have been transferred if either of the following conditions is met: Repealed
1134. 2bFor the purposes of point 2a, mezzanine securitisation positions means securitisation positions to which a risk weight lower than 1 250 % applies and that are more junior than the most senior position in this securitisation and more junior than any securitisation positions in this securitisation to which: Repealed
1135. 2cDivision 2c Repealed
1136. 2dIn addition, the transfer shall comply with the following conditions: Repealed
1137. ORIGINATOR CREDIT INSTITUTIONS' CALCULATION OF RISK-WEIGHTED EXPOSURE AMOUNTS FOR EXPOSURES SECURITISED IN A SYNTHETIC SECURITISATION Repealed
1138. 3Division 3 Repealed
1139. 4Division 4 Repealed
1140. Treatment of maturity mismatches in synthetic securitisations Repealed
1141. 5Division 5 Repealed
1142. 6Division 6 Repealed
1143. 7An originator credit institution shall ignore any maturity mismatch in calculating risk-weighted exposure amounts for tranches appearing pursuant to Part 4 with a risk weighting of 1 250 %. For all other tranches, the maturity mismatch treatment set out in Annex VIII shall be applied in accordance with the following formula: Repealed
1144. Part 3: External credit assessments Repealed
1145. REQUIREMENTS TO BE MET BY THE CREDIT ASSESSMENTS OF ECAIS Repealed
1146. 1To be used for the purposes of calculating risk-weighted exposure amounts under Part 4, a credit assessment of an eligible ECAI shall comply with the following conditions. Repealed
1147. USE OF CREDIT ASSESSMENTS Repealed
1148. 2Division 2 Repealed
1149. 3Division 3 Repealed
1150. 4Division 4 Repealed
1151. 5Division 5 Repealed
1152. 6Division 6 Repealed
1153. 7Division 7 Repealed
1154. 7aDivision 7a Repealed
1155. MAPPING Repealed
1156. 8Division 8 Repealed
1157. 9Division 9 Repealed
1158. Part 4: Calculation Repealed
1159. CALCULATION OF RISK-WEIGHTED EXPOSURE AMOUNTS Repealed
1160. 1Division 1 Repealed
1161. 2Subject to point 3: Repealed
1162. 3Division 3 Repealed
1163. 4Division 4 Repealed
1164. 5Where a credit institution has two or more overlapping positions in a securitisation, it will be required to the extent that they overlap to include in its calculation of risk-weighted exposure amounts only the position or portion of a position producing the higher risk-weighted exposure amounts. The credit institution may also recognise such overlap between specific risk capital charges for positions in the trading book and capital charges for positions in the banking book, provided that the credit institution is able to calculate and compare the capital charges for the relevant positions. For the purpose of this point ‘overlapping’ occurs when the positions, wholly or partially, represent an exposure to the same risk such that the extent of the overlap there is a single exposure. Repealed
1165. CALCULATION OF RISK-WEIGHTED EXPOSURE AMOUNTS UNDER THE STANDARDISED APPROACH Repealed
1166. 6Subject to point 8, the risk-weighted exposure amount of a rated securitisation or re-securitisation position shall be calculated by applying to the exposure value the risk weight associated with the credit quality step with which the credit assessment has been determined to be associated by the competent authorities in accordance with Article 98 as laid down in Table 1. Repealed
1167. 7Division 7 Repealed
1168. Originator and sponsor credit institutions Repealed
1169. 8Division 8 Repealed
1170. Treatment of unrated positions Repealed
1171. 9Division 9 Repealed
1172. 10Division 10 Repealed
1173. Treatment of securitisation positions in a second loss tranche or better in an ABCP programme Repealed
1174. 11Division 11 Repealed
1175. 12For the treatment set out in point 11 to be available, the securitisation position shall be: Repealed
1176. Treatment of unrated liquidity facilities Repealed
1177. Eligible liquidity facilities Repealed
1178. 13When the following conditions are met, to determine its exposure value a conversion figure of 50 % may be applied to the nominal amount of a liquidity facility: Repealed
1179. Liquidity facilities that may be drawn only in the event of a general market disruption Repealed
1180. 14Division 14 Repealed
1181. Cash advance facilities Repealed
1182. 15Division 15 Repealed
1183. Additional capital requirements for securitisations of revolving exposures with early amortisation provisions Repealed
1184. 16Division 16 Repealed
1185. 17Division 17 Repealed
1186. 18Division 18 Repealed
1187. 19For the purposes of point 16 to 31, ‘originator's interest’ means the exposure value of that notional Part of a pool of drawn amounts sold into a securitisation, the proportion of which in relation to the amount of the total pool sold into the structure determines the proportion of the cash flows generated by principal and interest collections and other associated amounts which are not available to make payments to those having securitisation positions in the securitisation. Repealed
1188. 20Division 20 Repealed
1189. Exemptions from early amortisation treatment Repealed
1190. 21Originators of the following types of securitisation are exempt from the capital requirement in point 16: Repealed
1191. Maximum capital requirement Repealed
1192. 22For an originator credit institution subject to the capital requirement in point 16 the total of the risk-weighted exposure amounts in respect of its positions in the investors' interest and the risk-weighted exposure amounts calculated under point 16 shall be no greater than the greater of: Repealed
1193. 23Division 23 Repealed
1194. Calculation of risk-weighted exposure amounts Repealed
1195. 24Division 24 Repealed
1196. 25An early amortisation provision shall be considered to be ‘controlled’ where the following conditions are met: Repealed
1197. 26Division 26 Repealed
1198. 27Division 27 Repealed
1199. 28The conversion figure to be applied shall be determined by the level of the actual three month average excess spread in accordance with Table 3. Repealed
1200. 29Division 29 Repealed
1201. 30Division 30 Repealed
1202. 31Division 31 Repealed
1203. 32Division 32 Repealed
1204. 33Division 33 Repealed
1205. Recognition of credit risk mitigation on securitisation positions Repealed
1206. 34Division 34 Repealed
1207. Reduction in risk-weighted exposure amounts Repealed
1208. 35Division 35 Repealed
1209. 36Division 36 Repealed
1210. CALCULATION OF RISK-WEIGHTED EXPOSURE AMOUNTS UNDER THE INTERNAL RATINGS BASED APPROACH Repealed
1211. Hierarchy of methods Repealed
1212. 37Division 37 Repealed
1213. 38Division 38 Repealed
1214. 39Division 39 Repealed
1215. 40Division 40 Repealed
1216. 41Division 41 Repealed
1217. Use of inferred ratings Repealed
1218. 42When the following minimum operational requirements are satisfied, an institution shall attribute to an unrated position an inferred credit assessment equivalent to the credit assessment of those rated positions (the ‘reference positions’) which are the most senior positions which are in all respects subordinate to the unrated securitisation position in question: Repealed
1219. The ‘Internal Assessment Approach’ for positions in ABCP programmes Repealed
1220. 43Subject to the approval of the competent authorities, when the following conditions are satisfied a credit institution may attribute to an unrated position in an ABCP programme a derived rating as laid down in point 44: Repealed
1221. 44Division 44 Repealed
1222. Maximum risk-weighted exposure amounts Repealed
1223. 45Division 45 Repealed
1224. Ratings Based Method Repealed
1225. 46Under the Ratings Based Method, the risk-weighted exposure amount of a rated securitisation or re-securitisation position shall be calculated by applying to the exposure value the risk weight associated with the credit quality step with which the credit assessment has been determined to be associated by the competent authorities in accordance with Article 98, as set out in the Table 4, multiplied by 1,06. Repealed
1226. 47Division 47 Repealed
1227. 48A risk weight of 6 % may be applied to a position in the most senior tranche of a securitisation where that tranche is senior in all respects to another tranche of the securitisation positions which would receive a risk weight of 7 % under point 46, provided that: Repealed
1228. 49In calculating the effective number of exposures securitised multiple exposures to one obligor shall be treated as one exposure. The effective number of exposures is calculated as: Repealed
1229. 50Division 50 Repealed
1230. 51Division 51 Repealed
1231. Supervisory Formula Method Repealed
1232. 52Division 52 Repealed
1233. 53Subject to points 58 and 59, the risk weight to be applied to the exposure amount shall be: Repealed
1234. 54Division 54 Repealed
1235. Liquidity Facilities Repealed
1236. 55Division 55 Repealed
1237. Liquidity Facilities Only Available in the Event of General Market Disruption Repealed
1238. 56Division 56 Repealed
1239. Cash advance facilities Repealed
1240. 57Division 57 Repealed
1241. Exceptional treatment where Kirb cannot be calculated. Repealed
1242. 58Division 58 Repealed
1243. 59Division 59 Repealed
1244. Recognition of credit risk mitigation in respect of securitisation positions Repealed
1245. Funded credit protection Repealed
1246. 60Division 60 Repealed
1247. Unfunded credit protection Repealed
1248. 61Division 61 Repealed
1249. Calculation of capital requirements for securitisation positions with credit risk mitigation Repealed
1250. Ratings Based Method Repealed
1251. 62Division 62 Repealed
1252. Supervisory Formula Method — full credit protection Repealed
1253. 63Division 63 Repealed
1254. 64Division 64 Repealed
1255. 65Division 65 Repealed
1256. Supervisory formula method — partial protection Repealed
1257. 66Division 66 Repealed
1258. 67Division 67 Repealed
1259. Additional capital requirements for securitisations of revolving exposures with early amortisation provisions Repealed
1260. 68Division 68 Repealed
1261. 69Division 69 Repealed
1262. 70For the purposes of these provisions, ‘originators interest’ shall be the sum of: Repealed
1263. 71Division 71 Repealed
1264. Reduction in risk-weighted exposure amounts Repealed
1265. 72Division 72 Repealed
1266. 73Division 73 Repealed
1267. 74Division 74 Repealed
1268. 75For the purposes of point 74: Repealed
1269. 76Division 76 Repealed
1270. Annex X: OPERATIONAL RISK Repealed
1271. Part 1: Basic Indicator Approach Repealed
1272. CAPITAL REQUIREMENT Repealed
1273. 1Division 1 Repealed
1274. RELEVANT INDICATOR Repealed
1275. 2Division 2 Repealed
1276. 3Division 3 Repealed
1277. 4Division 4 Repealed
1278. Credit institutions subject to Directive 86/635/EEC Repealed
1279. 5Division 5 Repealed
1280. 6These elements may need to be adjusted to reflect the qualifications in points 7 and 8. Repealed
1281. Qualifications Repealed
1282. 7Division 7 Repealed
1283. 8The following elements shall not be used in the calculation of the relevant indicator: Repealed
1284. Credit institutions subject to a different accounting framework Repealed
1285. 9Division 9 Repealed
1286. Part 2: Standardised Approach Repealed
1287. CAPITAL REQUIREMENT Repealed
1288. 1Division 1 Repealed
1289. 2The three-year average is calculated on the basis of the last three twelve-monthly observations at the end of the financial year. When audited figures are not available, business estimates may be used. Repealed
1290. 3Division 3 Repealed
1291. PRINCIPLES FOR BUSINESS LINE MAPPING Repealed
1292. 4Credit institutions must develop and document specific policies and criteria for mapping the relevant indicator for current business lines and activities into the standardised framework. The criteria must be reviewed and adjusted as appropriate for new or changing business activities and risks. The principles for business line mapping are: Repealed
1293. ALTERNATIVE INDICATORS FOR CERTAIN BUSINESS LINES Repealed
1294. Modalities Repealed
1295. 5Division 5 Repealed
1296. 6Division 6 Repealed
1297. 7Division 7 Repealed
1298. Conditions Repealed
1299. 8Division 8 Repealed
1300. General condition Repealed
1301. 9Division 9 Repealed
1302. Conditions specific to retail banking and commercial banking Repealed
1303. 10Division 10 Repealed
1304. 11Division 11 Repealed
1305. QUALIFYING CRITERIA Repealed
1306. 12Credit institutions must meet the qualifying criteria listed below, in addition to the general risk management standards set out in Article 22 and Annex V. Satisfaction of these criteria shall be determined having regard to the size and scale of activities of the credit institution and to the principle of proportionality. Repealed
1307. Part 3: Advanced Measurement Approaches Repealed
1308. QUALIFYING CRITERIA Repealed
1309. 1Division 1 Repealed
1310. Qualitative Standards Repealed
1311. 2Division 2 Repealed
1312. 3Division 3 Repealed
1313. 4Division 4 Repealed
1314. 5Division 5 Repealed
1315. 6Division 6 Repealed
1316. 7The validation of the operational risk measurement system by the competent authorities shall include the following elements: Repealed
1317. Quantitative Standards Repealed
1318. Process Repealed
1319. 8Division 8 Repealed
1320. 9Division 9 Repealed
1321. 10Division 10 Repealed
1322. 11Division 11 Repealed
1323. 12Division 12 Repealed
1324. Internal data Repealed
1325. 13Division 13 Repealed
1326. 14Division 14 Repealed
1327. 15Division 15 Repealed
1328. 16Division 16 Repealed
1329. 17Division 17 Repealed
1330. 18Division 18 Repealed
1331. External data Repealed
1332. 19Division 19 Repealed
1333. Scenario analysis Repealed
1334. 20Division 20 Repealed
1335. Business environment and internal control factors Repealed
1336. 21Division 21 Repealed
1337. 22Division 22 Repealed
1338. 23Division 23 Repealed
1339. 24Division 24 Repealed
1340. IMPACT OF INSURANCE AND OTHER RISK TRANSFER MECHANISMS Repealed
1341. 25Division 25 Repealed
1342. 26Division 26 Repealed
1343. 27The insurance and the credit institutions' insurance framework shall meet the following conditions: Repealed
1344. 28The methodology for recognising insurance shall capture the following elements through discounts or haircuts in the amount of insurance recognition: Repealed
1345. 29Division 29 Repealed
1346. APPLICATION TO USE AN ADVANCED MEASUREMENT APPROACH ON A GROUP-WIDE BASIS Repealed
1347. 30Division 30 Repealed
1348. 31Division 31 Repealed
1349. Part 4: Combined use of different methodologies Repealed
1350. USE OF AN ADVANCED MEASUREMENT APPROACH IN COMBINATION WITH OTHER APPROACHES Repealed
1351. 1A credit institution may use an Advanced Measurement Approach in combination with either the Basic Indicator Approach or the Standardised Approach, subject to the following conditions: Repealed
1352. 2On a case-by case basis, the competent authority may impose the following additional conditions: Repealed
1353. COMBINED USE OF THE BASIC INDICATOR APPROACH AND OF THE STANDARDISED APPROACH Repealed
1354. 3Division 3 Repealed
1355. 4Division 4 Repealed
1356. 5Loss event type classification Repealed
1357. Annex XI: TECHNICAL CRITERIA ON REVIEW AND EVALUATION BY THE COMPETENT AUTHORITIES Repealed
1358. 1In addition to credit, market and operational risks, the review and evaluation performed by competent authorities pursuant to Article 124 shall include the following: Repealed
1359. 1aDivision 1a Repealed
1360. 2Division 2 Repealed
1361. 3Division 3 Repealed
1362. Annex XII: TECHNICAL CRITERIA ON TRANSPARENCY AND DISCLOSURE Repealed
1363. Part 1: General criteria Repealed
1364. 1Division 1 Repealed
1365. 2Division 2 Repealed
1366. 3Division 3 Repealed
1367. 4Division 4 Repealed
1368. 5Division 5 Repealed
1369. Part 2: General requirements Repealed
1370. 1The risk management objectives and policies of the credit institution shall be disclosed for each separate category of risk, including the risks referred to under points 1 to 14. These disclosures shall include: Repealed
1371. 2The following information shall be disclosed regarding the scope of application of the requirements of this Directive: Repealed
1372. 3The following information shall be disclosed by the credit institutions regarding their own funds: Repealed
1373. 4The following information shall be disclosed regarding the compliance by the credit institution with the requirements laid down in Articles 75 and 123: Repealed
1374. 5The following information shall be disclosed regarding the credit institution's exposure to counterparty credit risk as defined in Annex III, Part 1: Repealed
1375. 6The following information shall be disclosed regarding the credit institution's exposure to credit risk and dilution risk: Repealed
1376. 7For credit institutions calculating the risk-weighted exposure amounts in accordance with Articles 78 to 83, the following information shall be disclosed for each of the exposure classes specified in Article 79: Repealed
1377. 8Division 8 Repealed
1378. 9Division 9 Repealed
1379. 10The following information shall be disclosed by each credit institution which calculates its capital requirements in accordance with Annex V to Directive 2006/49/EC: Repealed
1380. 11The following information shall be disclosed by the credit institutions on operational risk: Repealed
1381. 12The following information shall be disclosed regarding the exposures in equities not included in the trading book: Repealed
1382. 13The following information shall be disclosed by credit institutions on their exposure to interest rate risk on positions not included in the trading book: Repealed
1383. 14Credit institutions calculating risk weighted exposure amounts in accordance with Articles 94 to 101 or capital requirements in accordance with point 16a of Annex I to Directive 2006/49/EC shall disclose the following information, where relevant, separately for their trading and non-trading book: Repealed
1384. 15The following information, including regular, at least annual, updates, shall be disclosed to the public regarding the remuneration policy and practices of the credit institution for those categories of staff whose professional activities have a material impact on its risk profile: Repealed
1385. Part 3: Qualifying requirements for the use of particular instruments or methodologies Repealed
1386. 1The credit institutions calculating the risk-weighted exposure amounts in accordance with Articles 84 to 89 shall disclose the following information: Repealed
1387. 2The credit institutions applying credit risk mitigation techniques shall disclose the following information: Repealed
1388. 3Division 3 Repealed
1389. Annex XIII Repealed
1390. ARepealed Directives Together With Their Successive Amendments (referred To In Article 158) Repealed
1391. Bdeadlines for transposition (referred to in Article 158) Repealed
1392. Attachment Repealed