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Capital Requirements Regulation 2 (CRR2)
Capital Requirements Regulation 2 (CRR2)
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Capital Requirements Regulation 2 (CRR2): REGULATION (EU) No 575/2013 AS AMENDED BY REGULATION (EU) 2019/876 (CRR2)
PART ONE: GENERAL PROVISIONS
TITLE I: SUBJECT MATTER, SCOPE AND DEFINITIONS
Article 1: Scope
Article 2: Supervisory powers
Article 3: Application of stricter requirements by institutions
Article 4: Definitions
Article 5: Definitions specific to capital requirements for credit risk
TITLE II: LEVEL OF APPLICATION OF REQUIREMENTS
CHAPTER 1: Application of requirements on an individual basis
Article 6: General principles
Article 7: Derogation from the application of prudential requirements on an individual basis
Article 8: Derogation from the application of liquidity requirements on an individual basis
Article 9: Individual consolidation method
Article 10: Waiver for credit institutions permanently affiliated to a central body
CHAPTER 2: Prudential consolidation
Section 1: Application of requirements on a consolidated basis
Article 11: General treatment
Article 12: Financial holding company or mixed financial holding company with both a subsidiary credit...
Article 12a: Consolidated calculation for G-SIIs with multiple resolution entities
Article 13: Application of disclosure requirements on a consolidated basis
Article 14: Application of requirements of Article 5 of Regulation (EU) 2017/2402 on a consolidated basis
Article 15: Derogation from the application of own funds requirements on a consolidated basis for groups of...
Article 16: Derogation from the application of the leverage ratio requirements on a consolidated basis for...
Article 17: Supervision of investment firms waived from the application of own funds requirements on a...
Section 2: Methods for prudential consolidation
Article 18: Methods of prudential consolidation
Section 3: Scope of prudential consolidation
Article 19: Entities excluded from the scope of prudential consolidation
Article 20: Joint decisions on prudential requirements
Article 21: Joint decisions on the level of application of liquidity requirements
Article 22: Sub-consolidation in cases of entities in third countries
Article 23: Undertakings in third countries
Article 24: Valuation of assets and off-balance sheet items
PART TWO: OWN FUNDS AND ELIGIBLE LIABILITIES
TITLE I: ELEMENTS OF OWN FUNDS
CHAPTER 1: Tier 1 capital
Article 25: Tier 1 capital
CHAPTER 2: Common Equity Tier 1 capital
Section 1: Common Equity Tier 1 items and instruments
Article 26: Common Equity Tier 1 items
Article 27: Capital instruments of mutuals, cooperative societies, savings institutions or similar institutions...
Article 28: Common Equity Tier 1 instruments
Article 29: Capital instruments issued by mutuals, cooperative societies, savings institutions and similar...
Article 30: Consequences of the conditions for Common Equity Tier 1 instruments ceasing to be met The following...
Article 31: Capital instruments subscribed by public authorities in emergency situations
Section 2: Prudential filters
Article 32: Securitised assets
Article 33: Cash flow hedges and changes in the value of own liabilities
Article 34: Additional value adjustments
Article 35: Unrealised gains and losses measured at fair value
Section 3: Deductions from Common Equity Tier 1 items, exemptions and alternatives
Sub-Section 1: Deductions from Common Equity Tier 1 items
Article 36: Deductions from Common Equity Tier 1 items
Article 37: Deduction of intangible assets
Article 38: Deduction of deferred tax assets that rely on future profitability
Article 39: Tax overpayments, tax loss carry backs and deferred tax assets that do not rely on future...
Article 40: Deduction of negative amounts resulting from the calculation of expected loss amounts
Article 41: Deduction of defined benefit pension fund assets
Article 42: Deduction of holdings of own Common Equity Tier 1 instruments
Article 43: Significant investment in a financial sector entity
Article 44: Deduction of holdings of Common Equity Tier 1 instruments of financial sector entities and where an...
Article 45: Deduction of holdings of Common Equity Tier 1 instruments of financial sector entities
Article 46: Deduction of holdings of Common Equity Tier 1 instruments where an institution does not have a...
Article 47: Deduction of holdings of Common Equity Tier 1 instruments where an institution has a significant...
Article 47a: Non-performing exposures
Article 47b: Forbearance measures
Article 47c: Deduction for non-performing exposures
Sub-Section 2: Exemptions from and alternatives to deduction from Common Equity Tier 1 items
Article 48: Threshold exemptions from deduction from Common Equity Tier 1 items
Article 49: Requirement for deduction where consolidation, supplementary supervision or institutional...
Section 4: Common Equity Tier 1 capital
Article 50: Common Equity Tier 1 capital
CHAPTER 3: Additional Tier 1 capital
Section 1: Additional Tier 1 items and instruments
Article 51: Additional Tier 1 items
Article 52: Additional Tier 1 instruments
Article 53: Restrictions on the cancellation of distributions on Additional Tier 1 instruments and features...
Article 54: Write down or conversion of Additional Tier 1 instruments
Article 55: Consequences of the conditions for Additional Tier 1 instruments ceasing to be met
Section 2: Deductions from Additional Tier 1 items
Article 56: Deductions from Additional Tier 1 items
Article 57: Deductions of holdings of own Additional Tier 1 instruments
Article 58: Deduction of holdings of Additional Tier 1 instruments of financial sector entities and where an...
Article 59: Deduction of holdings of Additional Tier 1 instruments of financial sector entities
Article 60: Deduction of holdings of Additional Tier 1 instruments where an institution does not have a...
Section 3: Additional Tier 1 capital
Article 61: Additional Tier 1 capital
CHAPTER 4: Tier 2 capital
Section 1: Tier 2 items and instruments
Article 62: Tier 2 items
Article 63: Tier 2 instruments
Article 64: Amortisation of Tier 2 instruments
Article 65: Consequences of the conditions for Tier 2 instruments ceasing to be met
Section 2: Deductions from Tier 2 items
Article 66: Deductions from Tier 2 items
Article 67: Deductions of holdings of own Tier 2 instruments
Article 68: Deduction of holdings of Tier 2 instruments of financial sector entities and where an institution...
Article 69: Deduction of holdings of Tier 2 instruments of financial sector entities
Article 70: Deduction of Tier 2 instruments where an institution does not have a significant investment in a...
Section 3: Tier 2 capital
Article 71: Tier 2 capital
CHAPTER 5: Own funds
Article 72: Own funds
CHAPTER 5a: Eligible liabilities
Section 1: Eligible liabilities items and instruments
Article 72a: Eligible liabilities items
Article 72b: Eligible liabilities instruments
Article 72c: Amortisation of eligible liabilities instruments
Article 72d: Consequences of the eligibility conditions ceasing to be met
Section 2: Deductions from eligible liabilities items
Article 72e: Deductions from eligible liabilities items
Article 72f: Deduction of holdings of own eligible liabilities instruments
Article 72g: Deduction base for eligible liabilities items
Article 72h: Deduction of holdings of eligible liabilities of other G-SII entities
Article 72i: Deduction of eligible liabilities where the institution does not have a significant investment in G...
Article 72j: Trading book exception from deductions from eligible liabilities items
Section 3: Own funds and eligible liabilities
Article 72k: Eligible liabilities
Article 72l: Own funds and eligible liabilities
CHAPTER 6: General requirements for own funds and eligible liabilities
Article 73: Distributions on instruments
Article 74: Holdings of capital instruments issued by regulated financial sector entities that do not qualify...
Article 75: Deduction and maturity requirements for short positions
Article 76: Index holdings of capital instruments
Article 77: Conditions for reducing own funds and eligible liabilities
Article 78: Supervisory permission to reduce own funds
Article 78a: Permission to reduce eligible liabilities instruments
Article 79: Temporary waiver from deduction from own funds and eligible liabilities
Article 79a: Assessment of compliance with the conditions for own funds and eligible liabilities instruments
Article 80: Continuing review of the quality of own funds and eligible liabilities instruments
TITLE II: MINORITY INTEREST AND ADDITIONAL TIER 1 AND TIER 2 INSTRUMENTS ISSUED BY SUBSIDIARIES
Article 81: Minority interests that qualify for inclusion in consolidated Common Equity Tier 1 capital
Article 82: Qualifying Additional Tier 1, Tier 1, Tier 2 capital and qualifying own funds
Article 83: Qualifying Additional Tier 1 and Tier 2 capital issued by a special purpose entity
Article 84: Minority interests included in consolidated Common Equity Tier 1 capital
Article 85: Qualifying Tier 1 instruments included in consolidated Tier 1 capital
Article 86: Qualifying Tier 1 capital included in consolidated Additional Tier 1 capital
Article 87: Qualifying own funds included in consolidated own funds
Article 88: Qualifying own funds instruments included in consolidated Tier 2 capital
TITLE III: QUALIFYING HOLDINGS OUTSIDE THE FINANCIAL SECTOR
Article 89: Risk weighting and prohibition of qualifying holdings outside the financial sector
Article 90: Alternative to 1 250 % risk weight
Article 91: Exceptions
PART THREE: CAPITAL REQUIREMENTS
TITLE I: GENERAL REQUIREMENTS, VALUATION AND REPORTING
CHAPTER 1: Required level of own funds
Section 1: Own funds requirements for institutions
Article 92: Own funds requirements
Article 92a: Requirements for own funds and eligible liabilities for G-SIIs
Article 92b: Requirement for own funds and eligible liabilities for non-EU G-SIIs
Article 93: Initial capital requirement on going concern
Article 94: Derogation for small trading book business
Section 2: Own funds requirements for investment firms with limited authorisation to provide investment...
Article 95: Own funds requirements for investment firms with limited authorisation to provide investment...
Article 96: Own funds requirements for investment firms which hold initial capital as laid down in Article 28(2...
Article 97: Own Funds based on Fixed Overheads
Article 98: Own funds for investment firms on a consolidated basis
CHAPTER 2: Calculation and reporting requirements
Article 99: Reporting on own funds requirements and financial information
Article 100: Additional reporting requirements
Article 101: Specific reporting obligations
CHAPTER 3: Trading book
Article 102: Requirements for the trading book
Article 103: Management of the trading book
Article 104: Inclusion in the trading book
Article 104b: Requirements for trading desk
Article 105: Requirements for prudent valuation
Article 106: Internal Hedges
TITLE II: CAPITAL REQUIREMENTS FOR CREDIT RISK
CHAPTER 1: General principles
Article 107: Approaches to credit risk
Article 108: Use of credit risk mitigation technique under the Standardised Approach and the IRB Approach
Article 109: Treatment of securitisation positions
Article 110: Treatment of credit risk adjustment
CHAPTER 2: Standardised approach
Section 1: General principles
Article 111: Exposure value
Article 112: Exposure classes
Article 113: Calculation of risk-weighted exposure amounts
Section 2: Risk weights
Article 114: Exposures to central governments or central banks
Article 115: Exposures to regional governments or local authorities
Article 116: Exposures to public sector entities
Article 117: Exposures to multilateral development banks
Article 118: Exposures to international organisations
Article 119: Exposures to institutions
Article 120: Exposures to rated institutions
Article 121: Exposures to unrated institutions
Article 122: Exposures to corporates
Article 123: Retail exposures
Article 124: Exposures secured by mortgages on immovable property
Article 125: Exposures fully and completely secured by mortgages on residential property
Article 126: Exposures fully and completely secured by mortgages on commercial immovable property
Article 127: Exposures in default
Article 128: Items associated with particular high risk
Article 129: Exposures in the form of covered bonds
Article 130: Items representing securitisation positions
Article 131: Exposures to institutions and corporates with a short-term credit assessment
Article 132: Exposures in the form of units or shares in CIUs
Article 132a: Approaches for calculating risk-weighted exposure amounts of CIUs
Article 133: Equity exposures
Article 134: Other items
Section 3: Recognition and mapping of credit risk assessment
Sub-Section 1: Recognition of ECAIs
Article 135: Use of credit assessments by ECAIs
Sub-Section 2: Mapping of ECAI's credit assessments
Article 136: Mapping of ECAI's credit assessments
Sub-Section 3: Use of credit assessments by Export Credit Agencies
Article 137: Use of credit assessments by export credit agencies
Section 4: Use of the ECAI credit assessments for the determination of risk weights
Article 138: General requirements
Article 139: Issuer and issue credit assessment
Article 140: Long-term and short-term credit assessments
Article 141: Domestic and foreign currency items
CHAPTER 3: Internal Ratings Based Approach
Section 1: Permission by competent authorities to use the IRB approach
Article 142: Definitions
Article 143: Permission to use the IRB Approach
Article 144: Competent authorities' assessment of an application to use an IRB Approach
Article 145: Prior experience of using IRB approaches
Article 146: Measures to be taken where the requirements of this Chapter cease to be met
Article 147: Methodology to assign exposures to exposure classes
Article 148: Conditions for implementing the IRB Approach across different classes of exposure and business units
Article 149: Conditions to revert to the use of less sophisticated approaches
Article 150: Conditions for permanent partial use
Section 2: Calculation of risk-weighted exposure amounts
Sub-Section 1: Treatment by type of exposure class
Article 152: Treatment of exposures in the form of units or shares in CIUs
Article 151: Treatment by exposure class
Sub-Section 2: Calculation of risk-weighted exposure amounts for credit risk
Article 153: Risk-weighted exposure amounts for exposures to corporates, institutions and central governments...
Article 154: Risk-weighted exposure amounts for retail exposures
Article 155: Risk-weighted exposure amounts for equity exposures
Article 156: Risk-weighted exposure amounts for other non credit-obligation assets
Sub-Section 3: Calculation of risk-weighted exposure amounts for dilution risk of purchased receivables
Article 157: Risk-weighted exposure amounts for dilution risk of purchased receivables
Section 3: Expected loss amounts
Article 158: Treatment by exposure type
Article 159: Treatment of expected loss amounts
Section 4: PD, LGD and maturity
Sub-Section 1: Exposures to corporates, institutions and central governments and central banks
Article 160: Probability of default (PD)
Article 161: Loss Given Default (LGD)
Article 162: Maturity
Sub-Section 2: Retail exposures
Article 163: Probability of default (PD)
Article 164: Loss Given Default (LGD)
Sub-Section 3: Equity exposures subject to PD/LGD method
Article 165: Equity exposures subject to the PD/LGD method
Section 5: Exposure value
Article 166: Exposures to corporates, institutions, central governments and central banks and retail exposures
Article 167: Equity exposures
Article 168: Other non credit-obligation assets
Section 6: Requirements for the IRB approach
Sub-Section 1: Rating systems
Article 169: General principles
Article 170: Structure of rating systems
Article 171: Assignment to grades or pools
Article 172: Assignment of exposures
Article 173: Integrity of assignment process
Article 174: Use of models
Article 175: Documentation of rating systems
Article 176: Data maintenance
Article 177: Stress tests used in assessment of capital adequacy
Sub-Section 2: Risk quantification
Article 178: Default of an obligor
Article 179: Overall requirements for estimation
Article 180: Requirements specific to PD estimation
Article 181: Requirements specific to own-LGD estimates
Article 182: Requirements specific to own-conversion factor estimates
Article 183: Requirements for assessing the effect of guarantees and credit derivatives for exposures to...
Article 184: Requirements for purchased receivables
Sub-Section 3: Validation of internal estimates
Article 185: Validation of internal estimates
Sub-Section 4: Requirements for equity exposures under the internal models approach
Article 186: Own funds requirement and risk quantification
Article 187: Risk management process and controls
Article 188: Validation and documentation
Sub-Section 5: Internal governance and oversight
Article 189: Corporate Governance
Article 190: Credit risk control
Article 191: Internal Audit
CHAPTER 4: Credit risk mitigation
Section 1: Definitions and general requirements
Article 192: Definitions
Article 193: Principles for recognising the effect of credit risk mitigation techniques
Article 194: Principles governing the eligibility of credit risk mitigation techniques
Section 2: Eligible forms of credit risk mitigation
Sub-Section 1: Funded credit protection
Article 195: On-balance sheet netting
Article 196: Master netting agreements covering repurchase transactions or securities or commodities lending or...
Article 197: Eligibility of collateral under all approaches and methods
Article 198: Additional eligibility of collateral under the Financial Collateral Comprehensive Method
Article 199: Additional eligibility for collateral under the IRB Approach
Article 200: Other funded credit protection
Sub-Section 2: Unfunded credit protection
Article 201: Eligibility of protection providers under all approaches
Article 202: Eligibility of protection providers under the IRB Approach which qualify for the treatment set out...
Article 203: Eligibility of guarantees as unfunded credit protection
Sub-Section 3: Types of derivatives
Article 204: Eligible types of credit derivatives
Section 3: Requirements
Sub-Section 1: Funded credit protection
Article 205: Requirements for on-balance sheet netting agreements other than master netting agreements referred...
Article 206: Requirements for master netting agreements covering repurchase transactions or securities or...
Article 207: Requirements for financial collateral
Article 208: Requirements for immovable property collateral
Article 209: Requirements for receivables
Article 210: Requirements for other physical collateral
Article 211: Requirements for treating lease exposures as collateralised
Article 212: Requirements for other funded credit protection
Sub-Section 2: Unfunded credit protection and credit linked notes
Article 213: Requirements common to guarantees and credit derivatives
Article 214: Sovereign and other public sector counter-guarantees
Article 215: Additional requirements for guarantees
Article 216: Additional requirements for credit derivatives
Article 217: Requirements to qualify for the treatment set out in Article 153(3)
Section 4: Calculating the effects of credit risk mitigation
Sub-Section 1: Funded credit protection
Article 218: Credit linked notes
Article 219: On-balance sheet netting
Article 220: Using the Supervisory Volatility Adjustments Approach or the Own Estimates Volatility Adjustments...
Article 221: Using the internal models approach for master netting agreements
Article 222: Financial Collateral Simple Method
Article 223: Financial Collateral Comprehensive Method
Article 224: Supervisory volatility adjustment under the Financial Collateral Comprehensive Method
Article 225: Own estimates of volatility adjustments under the Financial Collateral Comprehensive Method
Article 226: Scaling up of volatility adjustment under the Financial Collateral Comprehensive Method
Article 227: Conditions for applying a 0 % volatility adjustment under the Financial Collateral Comprehensive...
Article 228: Calculating risk-weighted exposure amounts and expected loss amounts under the Financial Collateral...
Article 229: Valuation principles for other eligible collateral under the IRB Approach
Article 230: Calculating risk-weighted exposure amounts and expected loss amounts for other eligible collateral...
Article 231: Calculating risk-weighted exposure amounts and expected loss amounts in the case of mixed pools of...
Article 232: Other funded credit protection
Sub-Section 2: Unfunded credit protection
Article 233: Valuation
Article 234: Calculating risk-weighted exposure amounts and expected loss amounts in the event of partial...
Article 235: Calculating risk-weighted exposure amounts under the Standardised Approach
Article 236: Calculating risk-weighted exposure amounts and expected loss amounts under the IRB Approach
Section 5: Maturity mismatches
Article 238: Maturity of credit protection
Article 239: Valuation of protection
Article 237: Maturity mismatch
Section 6: Basket CRM techniques
Article 240: First-to-default credit derivatives
Article 241: Nth-to-default credit derivatives
CHAPTER 5: Securitisation
Section 1: Definitions and criteria for simple, transparent and standardised securitisations
Article 242: Definitions
Article 243: Criteria for STS securitisations qualifying for differentiated capital treatment
Section 2: Recognition of significant risk transfer
Article 244: Traditional securitisation
Article 245: Synthetic securitisation
Article 246: Operational requirements for early amortisation provisions
Section 3: Calculation of risk-weighted exposure amounts
Subsection 1: General Provisions
Article 247: Calculation of risk-weighted exposure amounts
Article 248: Exposure value
Article 249: Recognition of credit risk mitigation for securitisation positions
Article 250: Implicit support
Article 251: Originator institutions’ calculation of risk-weighted exposure amounts securitised in a synthetic...
Article 252: Treatment of maturity mismatches in synthetic securitisations
Article 253: Reduction in risk-weighted exposure amounts
Subsection 2: Hierarchy of methods and common parameters
Article 254: Hierarchy of methods
Article 255: Determination of K<sub>IRB</sub> and K<sub>SA</sub>
Article 256: Determination of attachment point (A) and detachment point (D)
Article 257: Determination of tranche maturity (M<sub>T</sub>)
Subsection 3: Methods to calculate risk-weighted exposure amounts
Article 258: Conditions for the use of the Internal Ratings Based Approach (SEC-IRBA)
Article 259: Calculation of risk-weighted exposure amounts under the SEC-IRBA
Article 260: Treatment of STS securitisations under the SEC-IRBA
Article 261: Calculation of risk-weighted exposure amounts under the Standardised Approach (SEC-SA)
Article 262: Treatment of STS securitisations under the SEC-SA
Article 263: Calculation of risk-weighted exposure amounts under the External Ratings Based Approach (SEC-ERBA)
Article 264: Treatment of STS securitisations under the SEC-ERBA
Article 265: Scope and operational requirements for the Internal Assessment Approach
Article 266: Calculation of risk-weighted exposure amounts under the Internal Assessment Approach
Subsection 4: Caps for securitisation positions
Article 267: Maximum risk weight for senior securitisation positions: look- through approach
Article 268: Maximum capital requirements
Subsection 5: Miscellaneous provisions
Article 269: Re-securitisations
Article 270: Senior positions in SME securitisations
Article 270a: Additional risk weight
Section 4: External credit assessments
Article 270b: Use of credit assessments by ECAIs
Article 270c: Requirements to be met by the credit assessments of ECAIs
Article 270d: Use of credit assessments
Article 270e: Securitisation mapping
CHAPTER 6: Counterparty credit risk
Section 1: Definitions
Article 271: Determination of the exposure value
Article 272: Definitions
Section 2: Methods for calculating the exposure value
Article 273: Methods for calculating the exposure value
Section 3: Mark-to-Market Method
Article 274: Mark-to-Market Method
Section 4: Original Exposure Method
Article 275: Original Exposure Method
Section 5: Standardised Method
Article 276: Standardised Method
Article 277: Transactions with a linear risk profile
Article 278: Transactions with a non-linear risk profile
Article 279: Treatment of collateral
Article 279a: Supervisory delta
Article 280: Calculation of risk positions
Article 281: Interest rate risk positions
Article 282: Hedging sets
Section 6: Internal Model Method
Article 283: Permission to use the Internal Model Method
Article 284: Exposure value
Article 285: Exposure value for netting sets subject to a margin agreement
Article 286: Management of CCR — Policies, processes and systems
Article 287: Organisation structures for CCR management
Article 288: Review of CCR management system
Article 289: Use test
Article 290: Stress testing
Article 291: Wrong-Way Risk
Article 292: Integrity of the modelling process
Article 293: Requirements for the risk management system
Article 294: Validation requirements
Section 7: Contractual netting
Article 295: Recognition of contractual netting as risk-reducing
Article 296: Recognition of contractual netting agreements
Article 297: Obligations of institutions
Article 298: Effects of recognition of netting as risk-reducing
Section 8: Items in the trading book
Article 299: Items in the trading book
Section 9: Own funds requirements for exposures to a central counterparty
Article 300: Definitions
Article 301: Material scope
Article 302: Monitoring of exposures to CCPs
Article 303: Treatment of clearing members' exposures to CCPs
Article 304: Treatment of clearing members' exposures to clients
Article 305: Treatment of clients' exposures
Article 306: Own funds requirements for trade exposures
Article 307: Own funds requirements for pre-funded contributions to the default fund of a CCP
Article 308: Own funds requirements for pre-funded contributions to the default fund of a QCCP
Article 309: Own funds requirements for pre-funded contributions to the default fund of a non-qualifying CCP and...
Article 310: Alternative calculation of own funds requirement for exposures to a QCCP
Article 311: Own funds requirements for exposures to CCPs that cease to meet certain conditions
TITLE III: OWN FUNDS REQUIREMENTS FOR OPERATIONAL RISK
CHAPTER 1: General principles governing the use of the different approaches
Article 312: Permission and notification
Article 313: Reverting to the use of less sophisticated approaches
Article 314: Combined use of different approaches
CHAPTER 2: Basic Indicator Approach
Article 315: Own funds requirement
Article 316: Relevant indicator
CHAPTER 3: Standardised Approach
Article 317: Own funds requirement
Article 318: Principles for business line mapping
Article 319: Alternative Standardised Approach
Article 320: Criteria for the Standardised Approach
CHAPTER 4: Advanced measurement approaches
Article 321: Qualitative standards
Article 322: Quantitative Standards
Article 323: Impact of insurance and other risk transfer mechanisms
Article 324: Loss event type classification
TITLE IV: OWN FUNDS REQUIREMENTS FOR MARKET RISK
CHAPTER 1: General provisions
Article 325: Approaches for calculating the own funds requirements for market risk
Article 325a: Exemptions from specific reporting requirements for market risk
Article 325b: Permission for consolidated requirements
CHAPTER 1a: Alternative standardised approach
Section 1: General provisions
Article 325c: Scope and structure of the alternative standardised approach
Section 2: Sensitivities-based method for calculating the own funds requirement
Article 325d: Definitions
Article 325e: Components of the sensitivities-based method
Article 325f: Own funds requirements for delta and vega risks
Article 325g: Own funds requirements for curvature risk
Article 325h: Aggregation of risk-class specific own funds requirements for delta, vega and curvature risks
Article 325i: Treatment of index instruments and multi-underlying options
Article 325j: Treatment of collective investment undertakings
Article 325k: Underwriting positions
Section 3: Risk factor and sensitivity definitions
Subsection 1: Risk factor definitions
Article 325l: General interest rate risk factors
Article 325m: Credit spread risk factors for non-securitisation
Article 325n: Credit spread risk factors for securitisation
Article 325o: Equity risk factors
Article 325p: Commodity risk factors
Article 325q: Foreign exchange risk factors
Subsection 2: Sensitivity definitions
Article 325r: Delta risk sensitivities
Article 325s: Vega risk sensitivities
Article 325t: Requirements on sensitivity computations
Section 4: The residual risk add-on
Article 325u: Own funds requirements for residual risks
Section 5: Own funds requirements for the default risk
Article 325v: Definitions and general provisions
Subsection 1: Own funds requirements for the default risk for non-securitisations
Article 325w: Gross jump-to-default amounts
Article 325x: Net jump-to-default amounts
Article 325y: Calculation of the own funds requirements for the default risk
Subsection 2: Own funds requirements for the default risk for securitisations not included in the ACTP
Article 325z: Jump-to-default amounts
Article 325aa: Calculation of the own funds requirement for the default risk for securitisations
Subsection 3: Own funds requirements for the default risk for securitisations included in the ACTP
Article 325ab: Scope
Article 325ac: Jump-to-default amounts for the ACTP
Article 325ad: Calculation of the own funds requirements for the default risk for the ACTP
Section 6: Risk weights and correlations
Subsection 1: Delta risk weights and correlations
Article 325ae: Risk weights for general interest rate risk
Article 325af: Intra bucket correlations for general interest rate risk
Article 325ag: Correlations across buckets for general interest rate risk
Article 325ah: Risk weights for credit spread risk for non-securitisations
Article 325ai: Intra-bucket correlations for credit spread risk for non- securitisations
Article 325aj: Correlations across buckets for credit spread risk for non- securitisations
Article 325ak: Risk weights for credit spread risk for securitisations included in the ACTP
Article 325al: Correlations for credit spread risk for securitisations included in the ACTP
Article 325am: Risk weights for credit spread risk for securitisations not included in the ACTP
Article 325an: Intra-bucket correlations for credit spread risk for securitisations not included in the ACTP
Article 325ao: Correlations across buckets for credit spread risk for securitisations not included in the ACTP
Article 325ap: Risk weights for equity risk
Article 325aq: Intra-bucket correlations for equity risk
Article 325ar: Correlations across buckets for equity risk
Article 325as: Risk weights for commodity risk
Article 325at: Intra-bucket correlations for commodity risk
Article 325au: Correlations across buckets for commodity risk
Article 325av: Risk weights for foreign exchange risk
Article 325aw: Correlations for foreign exchange risk
Subsection 2: Vega and curvature risk weights and correlations
Article 325ax: Vega and curvature risk weights
Article 325ay: Vega and curvature risk correlations
CHAPTER 1b: Alternative internal model approach
Section 1: Permission and own funds requirements
Article 325az: Alternative internal model approach and permission to use alternative internal models
Article 325ba: Own funds requirements when using alternative internal models
Section 2: General requirements
Article 325bb: Expected shortfall risk measure
Article 325bc: Partial expected shortfall calculations
Article 325bd: Liquidity horizons
Article 325be: Assessment of the modellability of risk factors
Article 325bf: Regulatory back-testing requirements and multiplication factors
Article 325bg: Profit and loss attribution requirement
Article 325bh: Requirements on risk measurement
Article 325bi: Qualitative requirements
Article 325bj: Internal validation
Article 325bk: Calculation of stress scenario risk measure
Section 3: Internal default risk model
Article 325bl: Scope of the internal default risk model 1. All the positions of an institution that have been...
Article 325bm: Permission to use an internal default risk model
Article 325bn: Own funds requirements for default risk using an internal default risk model
Article 325bo: Recognition of hedges in an internal default risk model
Article 325bp: Particular requirements for an internal default risk model
CHAPTER 2: Own funds requirements for position risk
Section 1: General provisions and specific instruments
Article 326: Own funds requirements for position risk
Article 327: Netting
Article 328: Interest rate futures and forwards
Article 329: Options and warrants
Article 330: Swaps
Article 331: Interest rate risk on derivative instruments
Article 332: Credit Derivatives
Article 333: Securities sold under a repurchase agreement or lent
Section 2: Debt instruments
Article 334: Net positions in debt instruments
Sub-Section 1: Specific risk
Article 335: Cap on the own funds requirement for a net position
Article 336: Own funds requirement for non-securitisation debt instruments
Article 337: Own funds requirement for securitisation instruments
Article 338: Own funds requirement for the correlation trading portfolio
Sub-Section 2: General risk
Article 339: Maturity-based calculation of general risk
Article 340: Duration-based calculation of general risk
Section 3: Equities
Article 341: Net positions in equity instruments
Article 342: Specific risk of equity instruments
Article 343: General risk of equity instruments
Article 344: Stock indices
Section 4: Underwriting
Article 345: Reduction of net positions
Section 5: Specific risk own funds requirements for positions hedged by credit derivatives
Article 346: Allowance for hedges by credit derivatives
Article 347: Allowance for hedges by first and nth-to default credit derivatives
Section 6: Own funds requirements for CIUs
Article 349: General criteria for CIUs
Article 350: Specific methods for CIUs
Article 348: Own funds requirements for CIUs
CHAPTER 3: Own funds requirements for foreign-exchange risk
Article 351: De minimis and weighting for foreign exchange risk
Article 352: Calculation of the overall net foreign exchange position
Article 353: Foreign exchange risk of CIUs
Article 354: Closely correlated currencies
CHAPTER 4: Own funds requirements for commodities risk
Article 355: Choice of method for commodities risk
Article 356: Ancillary commodities business
Article 357: Positions in commodities
Article 358: Particular instruments
Article 359: Maturity ladder approach
Article 360: Simplified approach
Article 361: Extended maturity ladder approach
CHAPTER 5: Use of internal models to calculate own funds requirements
Section 1: Permission and own funds requirements
Article 362: Specific and general risks
Article 363: Permission to use internal models
Article 364: Own funds requirements when using internal models
Section 2: General requirements
Article 365: VaR and stressed VaR Calculation
Article 366: Regulatory back testing and multiplication factors
Article 367: Requirements on risk measurement
Article 368: Qualitative requirements
Article 369: Internal Validation
Section 3: Requirements particular to specific risk modelling
Article 370: Requirements for modelling specific risk
Article 371: Exclusions from specific risk models
Section 4: Internal model for incremental default and migration risk
Article 372: Requirement to have an internal IRC model
Article 373: Scope of the internal IRC model
Article 374: Parameters of the internal IRC model
Article 375: Recognition of hedges in the internal IRC model
Article 376: Particular requirements for the internal IRC model
Section 5: Internal model for correlation trading
Article 377: Requirements for an internal model for correlation trading
TITLE V: OWN FUNDS REQUIREMENTS FOR SETTLEMENT RISK
Article 379: Free deliveries
Article 380: Waiver
Article 378: Settlement/delivery risk
TITLE VI: OWN FUNDS REQUIREMENTS FOR CREDIT VALUATION ADJUSTMENT RISK
Article 381: Meaning of credit valuation adjustment
Article 382: Scope
Article 383: Advanced method
Article 384: Standardised method
Article 385: Alternative to using CVA methods to calculating own funds requirements
Article 386: Eligible hedges
PART FOUR: LARGE EXPOSURES
Article 387: Subject matter
Article 388: Negative Scope
Article 389: Definition
Article 390: Calculation of the exposure value
Article 391: Definition of an institution for large exposures purposes
Article 392: Definition of a large exposure
Article 393: Capacity to identify and manage large exposures
Article 394: Reporting requirements
Article 395: Limits to large exposures
Article 396: Compliance with large exposures requirements
Article 397: Calculating additional own funds requirements for large exposures in the trading book
Article 398: Procedures to prevent institutions from avoiding the additional own funds requirement
Article 399: Eligible credit mitigation techniques
Article 400: Exemptions
Article 401: Calculating the effect of the use of credit risk mitigation techniques
Article 402: Exposures arising from mortgage lending
Article 403: Substitution approach
PART SIX: LIQUIDITY
TITLE I: DEFINITIONS AND LIQUIDITY COVERAGE REQUIREMENT
Article 411: Definitions
Article 412: Liquidity coverage requirement
Article 413: Stable Funding
Article 414: Compliance with liquidity requirements
TITLE II: LIQUIDITY REPORTING
Article 415: Reporting obligation and reporting format
Article 416: Reporting on liquid assets
Article 417: Operational requirements for holdings of liquid assets
Article 418: Valuation of liquid assets
Article 419: Currencies with constraints on the availability of liquid assets
Article 420: Liquidity outflows
Article 421: Outflows on retail deposits
Article 422: Outflows on other liabilities
Article 423: Additional outflows
Article 424: Outflows from credit and liquidity facilities
Article 425: Inflows
Article 426: Updating Future liquidity requirements
TITLE III: REPORTING ON STABLE FUNDING
Article 427: Items providing stable funding
Article 428: Items requiring stable funding
PART SEVEN: LEVERAGE
Article 429: Calculation of the leverage ratio
Article 429a: Exposure value of derivatives
Article 429b: Counterparty credit risk add-on for repurchase transactions, securities or commodities lending or...
PART SEVEN A: REPORTING REQUIREMENTS
Article 430: Reporting on prudential requirements and financial information
Article 430b: Specific reporting requirements for market risk
Article 430c: Feasibility report on the integrated reporting system
PART EIGHT: DISCLOSURE BY INSTITUTIONS
TITLE I: GENERAL PRINCIPLES
Article 431: Scope of disclosure requirements
Article 432: Non-material, proprietary or confidential information
Article 433: Frequency of disclosure
Article 434: Means of disclosures
Article 434a: Uniform disclosure formats
TITLE II: TECHNICAL CRITERIA ON TRANSPARENCY AND DISCLOSURE
Article 435: Risk management objectives and policies
Article 436: Scope of application
Article 437: Own funds
Article 438: Capital requirements
Article 439: Exposure to counterparty credit risk
Article 440: Capital buffers
Article 441: Indicators of global systemic importance
Article 442: Credit risk adjustments
Article 443: Unencumbered assets
Article 444: Use of ECAIs
Article 445: Exposure to market risk
Article 446: Operational risk
Article 447: Exposures in equities not included in the trading book
Article 448: Exposure to interest rate risk on positions not included in the trading book
Article 449: Exposure to securitisation positions
Article 450: Remuneration policy
Article 451: Leverage
TITLE III: QUALIFYING REQUIREMENTS FOR THE USE OF PARTICULAR INSTRUMENTS OR METHODOLOGIES
Article 452: Use of the IRB Approach to credit risk
Article 453: Use of credit risk mitigation techniques
Article 454: Use of the Advanced Measurement Approaches to operational risk
Article 455: Use of Internal Market Risk Models
PART NINE: DELEGATED AND IMPLEMENTING ACTS
Article 456: Delegated acts
Article 457: Technical adjustments and corrections
Article 458: Macroprudential or systemic risk identified at the level of a Member State
Article 459: Prudential requirements
Article 460: Liquidity
Article 461: Review of the phasing-in of the liquidity coverage requirement
Article 461a: Alternative standardised approach for market risk
Article 462: Exercise of the delegation
Article 463: Objections to regulatory technical standards
Article 464: European Banking Committee
PART TEN: TRANSITIONAL PROVISIONS, REPORTS, REVIEWS AND AMENDMENTS
TITLE I: TRANSITIONAL PROVISIONS
CHAPTER 1: Own funds requirements, unrealised gains and losses measured at fair value and deductions
Section 1: Own funds requirements
Article 465: Own funds requirements
Article 466: First time application of International Financial Reporting Standards
Section 2: Unrealised gains and losses measured at fair value
Article 467: Unrealised losses measured at fair value
Article 468: Unrealised gains measured at fair value
Section 3: Deductions
Sub-Section 1: Deductions from Common Equity Tier 1 items
Article 469: Deductions from Common Equity Tier 1 items
Article 469a: Derogation from deductions from Common Equity Tier 1 items for non-performing exposures
Article 470: Exemption from deduction from Common Equity Tier 1 items
Article 471: Exemption from Deduction of Equity Holdings in Insurance Companies from Common Equity Tier 1 Items
Article 472: Items not deducted from Common Equity Tier 1
Article 473: Introduction of amendments to IAS 19
Article 473a: Introduction of IFRS 9
Sub-Section 2: Deductions from Additional Tier 1 items
Article 474: Deductions from Additional Tier 1 items
Article 475: Items not deducted from Additional Tier 1 items
Sub-Section 3: Deductions from Tier 2 items
Article 476: Deductions from Tier 2 items
Article 477: Deductions from Tier 2 items
Sub-Section 4: Applicable percentages for deduction
Article 478: Applicable percentages for deduction from Common Equity Tier 1, Additional Tier 1 and Tier 2 items
Section 4: Minority interest and additional Tier 1 and Tier 2 instruments issued by subsidiaries
Article 480: Recognition in consolidated own funds of minority interests and qualifying Additional Tier 1 and...
Article 479: Recognition in consolidated Common Equity Tier 1 capital of instruments and items that do not...
Section 5: Additional filters and deductions
Article 481: Additional filters and deductions
Article 482: Scope of application for derivatives transactions with pension funds
CHAPTER 2: Grandfathering of capital instruments
Section 1: Instruments constituting State aid
Article 483: Grandfathering of State aid instruments
Section 2: Instruments not constituting State aid
Sub-Section 1: Grandfathering eligibility and limits
Article 484: Eligibility for grandfathering of items that qualified as own funds under national transposition...
Article 485: Eligibility for inclusion in the Common Equity Tier 1 of share premium accounts related to items...
Article 486: Limits for grandfathering of items within Common Equity Tier 1, Additional Tier 1 and Tier 2 items
Article 487: Items excluded from grandfathering in Common Equity Tier 1 or Additional Tier 1 items in other...
Article 488: Amortisation of items grandfathered as Tier 2 items
Sub-Section 2: Inclusion of instruments with a call and incentive to redeem in additional Tier 1 and Tier 2 items
Article 491: Effective maturity
Article 489: Hybrid instruments with a call and incentive to redeem
Article 490: Tier 2 items with an incentive to redeem
CHAPTER 3: Transitional provisions for disclosure of own funds
Article 492: Disclosure of own funds
CHAPTER 4: Large exposures, own funds requirements, leverage and the Basel I Floor
Article 493: Transitional provisions for large exposures
Article 494: Transitional provisions concerning the requirement for own funds and eligible liabilities
Article 494a: Grandfathering of issuances through special purpose entities
Article 494b: Grandfathering of own funds instruments and eligible liabilities instruments
Article 495: Treatment of equity exposures under the IRB Approach
Article 496: Own funds requirements for covered bonds
Article 497: Own funds requirements for exposures to CCPs
Article 498: Exemption for Commodities dealers
Article 499: Leverage
Article 500: Adjustment for massive disposals
Article 501: Capital requirements deduction for credit risk on exposures to SMEs
Article 501a: Adjustment to own funds requirements for credit risk for exposures to entities that operate or...
Article 501b: Derogation from reporting requirements
TITLE II: REPORTS AND REVIEWS
Article 501c: Prudential treatment of exposures related to environmental and/or social objectives
Article 502: Cyclicality of capital requirements
Article 503: Own funds requirements for exposures in the form of covered bonds
Article 504: Capital instruments subscribed by public authorities in emergency situations
Article 504a: Holdings of eligible liabilities instruments
Article 505: Review of long-term financing
Article 506: Credit risk — definition of default
Article 507: Large exposures
Article 508: Level of application
Article 509: Liquidity requirements
Article 510: Net Stable Funding Requirements
Article 511: Leverage
Article 512: Exposures to transferred credit risk
Article 513: Macroprudential rules
Article 514: Method for the calculation of the exposure value of derivative transactions
Article 515: Monitoring and evaluation
Article 516: Long-term financing
Article 517: Definition of eligible capital
Article 518: Review of capital instruments which may be written down or converted at the point of non-viability
Article 518a: Review of cross-default provisions
Article 519: Deduction of defined benefit pension fund assets from Common Equity Tier 1 items
Article 519a: Reporting and review
Article 519b: Own funds requirements for market risk
TITLE IIA: IMPLEMENTATION OF RULES
Article 519c: Compliance tool
TITLE III: AMENDMENTS
Article 520: Amendment of Regulation (EU) No 648/2012
PART ELEVEN: FINAL PROVISIONS
Article 521: Entry into force and date of application
ANNEX I: Classification of off-balance sheet items
ANNEX II: Types of derivatives
ANNEX III: Items subject to supplementary reporting of liquid assets
ANNEX IV: Correlation table
