Deutsch
Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013
On prudential requirements for credit institutions and investment firms
and amending Regulation (EU) No 648/2012 (Text with EEA relevance)Capital Requirements Regulation – CRR
- Recitals
PART ONE — GENERAL PROVISIONS- TITLE I — SUBJECT MATTER, SCOPE AND DEFINITIONS
- 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 10a — Application of prudential requirements on a consolidated basis where investment firms are parent undertakings
- Article 11 — General treatment
- 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
- Section 2 — Methods for 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 case 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
- 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 in Common Equity Tier 1 items
- Article 28 — Common Equity Tier 1 instruments
- Article 29 — Capital instruments issued by mutuals, cooperative societies, savings institutions and similar institutions
- Article 30 — Consequences of the conditions for Common Equity Tier 1 instruments ceasing to be met
- Article 31 — Capital instruments subscribed by public authorities in emergency situations
- Section 2 — Prudential filters
- 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 profitability
- 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 institution has a reciprocal cross holding designed artificially to inflate own funds
- 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 significant investment in a financial sector entity
- Article 47 — Deduction of holdings of Common Equity Tier 1 instruments where an institution has a significant investment in a financial sector entity
- 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
- Section 4 — 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 that could hinder the recapitalisation of the institution
- 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 institution has a reciprocal cross holding designed artificially to inflate own funds
- 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 significant investment in a financial sector entity
- Section 3 — Additional Tier 1 capital
- CHAPTER 4 — Tier 2 capital
- Section 1 — Tier 2 items and instruments
- 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 has a reciprocal cross holding designed artificially to inflate own funds
- 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 relevant entity
- Section 3 — Tier 2 capital
- CHAPTER 5 — Own funds
- CHAPTER 5a — Eligible liabilities
- Section 1 — Eligible liabilities items and instruments
- 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-SII entities
- Article 72j — Trading book exception from deductions from eligible liabilities items
- Section 3 — 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 as regulatory capital
- 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
- Article 88a — Qualifying eligible liabilities instruments
- TITLE III — QUALIFYING HOLDINGS OUTSIDE THE FINANCIAL SECTOR
- 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 services
- Article 95 — Own funds requirements for investment firms with limited authorisation to provide investment services
- Article 96 — Own funds requirements for investment firms which hold initial capital as laid down in Article 28(2) of Directive 2013/36/EU
- Article 97 — Own Funds based on Fixed Overheads
- Article 98 — Own funds for investment firms on a consolidated basis
- 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 104a — Reclassification of a position
- 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
- CHAPTER 2 — Standardised approach
- Section 1 — General principles
- 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 — Own funds requirements for exposures in the form of units or shares in CIUs
- Article 132a — Approaches for calculating risk-weighted exposure amounts of CIUs
- Article 132b — Exclusions from the approaches for calculating risk-weighted exposure amounts of CIUs
- Article 132c — Treatment of off-balance-sheet exposures to CIUs
- Article 133 — Equity exposures
- Article 134 — Other items
- Section 3 — Recognition and mapping of credit risk assessment
- Section 4 — Use of the ECAI credit assessments for the determination of risk weights
- 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
- 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 and central banks
- 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
- Section 3 — Expected loss amounts
- Section 4 — PD, LGD and maturity
- Section 5 — Exposure value
- 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 corporates, institutions and central governments and central banks where own estimates of LGD are used and for retail exposures
- Article 184 — Requirements for purchased receivables
- Sub-Section 3 — Validation of internal estimates
- Sub-Section 4 — Requirements for equity exposures under the internal models approach
- Sub-Section 5 — Internal governance and oversight
- CHAPTER 4 — Credit risk mitigation
- Section 1 — Definitions and general requirements
- 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 borrowing transactions or other capital market-driven transactions
- 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
- Sub-Section 3 — Types of 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 to in Article 206
- Article 206 — Requirements for master netting agreements covering repurchase transactions or securities or commodities lending or borrowing transactions or other capital market driven transactions
- 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 Approach for master netting agreements
- 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 Method
- Article 228 — Calculating risk-weighted exposure amounts and expected loss amounts under the Financial Collateral Comprehensive method
- 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 under the IRB Approach
- Article 231 — Calculating risk-weighted exposure amounts and expected loss amounts in the case of mixed pools of collateral
- 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 protection and tranching
- 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
- Section 6 — Basket CRM techniques
- CHAPTER 5 — Securitisation
- Section 1 — Definitions and criteria for simple, transparent and standardised securitisations
- Section 2 — Recognition of significant risk transfer
- 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 securitisation
- 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
- 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
- Subsection 5 — Miscellaneous provisions
- Section 4 — External credit assessments
- CHAPTER 6 — Counterparty credit risk
- Section 1 — Definitions
- Section 2 — Methods for calculating the exposure value
- Section 3 — Standardised approach for counterparty credit risk
- Article 274 — Exposure value
- Article 275 — Replacement cost
- Article 276 — Recognition and treatment of collateral
- Article 277 — Mapping of transactions to risk categories
- Article 277a — Hedging sets
- Article 278 — Potential future exposure
- Article 279 — Calculation of the risk position
- Article 279a — Supervisory delta
- Article 279b — Adjusted notional amount
- Article 279c — Maturity Factor
- Article 280 — Hedging set supervisory factor coefficient
- Article 280a — Interest rate risk category add-on
- Article 280b — Foreign exchange risk category add-on
- Article 280c — Credit risk category add-on
- Article 280d — Equity risk category add-on
- Article 280e — Commodity risk category add-on
- Article 280f — Other risks category add-on
- Section 4 — Simplified standardised approach for counterparty credit risk
- Section 5 — Original exposure method
- 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
- Section 8 — 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 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 for unfunded contributions to a non-qualifying CCP
- Article 310 — Own funds requirements for unfunded contributions to the default fund of 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
- TITLE IV — OWN FUNDS REQUIREMENTS FOR MARKET RISK
- CHAPTER 1 — General provisions
- CHAPTER 1a — Alternative standardised approach
- Section 1 — General provisions
- 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
- Section 4 — The residual risk add-on
- 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
- Subsection 2 — Own funds requirements for the default risk for securitisations not included in the ACTP
- Subsection 3 — Own funds requirements for the default risk for securitisations included in 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
- CHAPTER 1b — Alternative internal model approach
- Section 1 — Permission and own funds requirements
- 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
- 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
- Section 3 — Equities
- Section 4 — Underwriting
- Section 5 — Specific risk own funds requirements for positions hedged by credit derivatives
- Section 6 — Own funds requirements for CIUs
- CHAPTER 3 — Own funds requirements for foreign-exchange risk
- CHAPTER 4 — Own funds requirements for commodities risk
- CHAPTER 5 — Use of internal models to calculate own funds requirements
- TITLE V — OWN FUNDS REQUIREMENTS FOR SETTLEMENT RISK
- TITLE VI — OWN FUNDS REQUIREMENTS FOR CREDIT VALUATION ADJUSTMENT RISK
- PART FOUR — LARGE EXPOSURES
- Article 387 — Subject matter
- 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 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
- TITLE IV — THE NET STABLE FUNDING RATIO
- CHAPTER 1 — The net stable funding ratio
- CHAPTER 2 — General rules for the calculation of the net stable funding ratio
- Article 428c — Calculation of the net stable funding ratio
- Article 428d — Derivative contracts
- Article 428e — Netting of secured lending transactions and capital market-driven transactions
- Article 428f — Interdependent assets and liabilities
- Article 428g — Deposits in institutional protection schemes and cooperative networks
- Article 428h — Preferential treatment within a group or within an institutional protection scheme
- CHAPTER 3 — Available stable funding
- CHAPTER 4 — Required stable funding
- Section 1 — General provisions
- Section 2 — Required stable funding factors
- Article 428r — 0 % required stable funding factor
- Article 428s — 5 % required stable funding factor
- Article 428t — 7 % required stable funding factor
- Article 428u — 7,5 % required stable funding factor
- Article 428v — 10 % required stable funding factor
- Article 428w — 12 % required stable funding factor
- Article 428x — 15 % required stable funding factor
- Article 428y — 20 % required stable funding factor
- Article 428z — 25 % required stable funding factor
- Article 428aa — 30 % required stable funding factor
- Article 428ab — 35 % required stable funding factor
- Article 428ac — 40 % required stable funding factor
- Article 428ad — 50 % required stable funding factor
- Article 428ae — 55 % required stable funding factor
- Article 428af — 65 % required stable funding factor
- Article 428ag — 85 % required stable funding factor
- Article 428ah — 100 % required stable funding factor
- CHAPTER 5 — Derogation for small and non-complex institutions
- CHAPTER 6 — Available stable funding for the simplified calculation of the net stable funding ratio
- CHAPTER 7 — Required stable funding for the simplified calculation of the net stable funding ratio
- Section 1 — General provisions
- Section 2 — Required stable funding factors
- Article 428as — 0 % required stable funding factor
- Article 428at — 5 % required stable funding factor
- Article 428au — 10 % required stable funding factor
- Article 428av — 20 % required stable funding factor
- Article 428aw — 50 % required stable funding factor
- Article 428ax — 55 % required stable funding factor
- Article 428ay — 85 % required stable funding factor
- Article 428az — 100 % required stable funding factor
- PART SEVEN — LEVERAGE
- Article 429 — Calculation of the leverage ratio
- Article 429a — Exposures excluded from the total exposure measure
- Article 429b — Calculation of the exposure value of assets
- Article 429c — Calculation of the exposure value of derivatives
- Article 429d — Additional provisions on the calculation of the exposure value of written credit derivatives
- Article 429e — Counterparty credit risk add-on for securities financing transactions
- Article 429f — Calculation of the exposure value of off-balance-sheet items
- Article 429g — Calculation of the exposure value of regular-way purchases and sales awaiting settlement
- PART SEVEN A — REPORTING REQUIREMENTS
- PART EIGHT — DISCLOSURE BY INSTITUTIONS
- TITLE I — GENERAL PRINCIPLES
- Article 431 — Disclosure requirements and policies
- Article 432 — Non-material, proprietary or confidential information
- Article 433 — Frequency and scope of disclosures
- Article 433a — Disclosures by large institutions
- Article 433b — Disclosures by small and non-complex institutions
- Article 433c — Disclosures by other institutions
- Article 434 — Means of disclosures
- Article 434a — Uniform disclosure formats
- TITLE II — TECHNICAL CRITERIA ON TRANSPARENCY AND DISCLOSURE
- Article 435 — Disclosure of risk management objectives and policies
- Article 436 — Disclosure of the scope of application
- Article 437 — Disclosure of own funds
- Article 437a — Disclosure of own funds and eligible liabilities
- Article 438 — Disclosure of own funds requirements and risk-weighted exposure amounts
- Article 439 — Disclosure of exposures to counterparty credit risk
- Article 440 — Disclosure of countercyclical capital buffers
- Article 441 — Disclosure of indicators of global systemic importance
- Article 442 — Disclosure of exposures to credit risk and dilution risk
- Article 443 — Disclosure of encumbered and unencumbered assets
- Article 444 — Disclosure of the use of the Standardised Approach
- Article 445 — Disclosure of exposure to market risk
- Article 446 — Disclosure of operational risk management
- Article 447 — Disclosure of key metrics
- Article 448 — Disclosure of exposures to interest rate risk on positions not held in the trading book
- Article 449 — Disclosure of exposures to securitisation positions
- Article 449a — Disclosure of environmental, social and governance risks (ESG risks)
- Article 450 — Disclosure of remuneration policy
- Article 451 — Disclosure of the leverage ratio
- Article 451a — Disclosure of liquidity requirements
- TITLE III — QUALIFYING REQUIREMENTS FOR THE USE OF PARTICULAR INSTRUMENTS OR METHODOLOGIES
- 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
- Section 2 — Unrealised gains and losses 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
- Sub-Section 3 — Deductions from Tier 2 items
- Sub-Section 4 — Applicable percentages for deduction
- Section 4 — minority interest and additional Tier 1 and Tier 2 instruments issued by subsidiaries
- Section 5 — Additional filters and deductions
- CHAPTER 2 — Grandfathering of capital instruments
- Section 1 — Instruments constituting State aid
- 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 measures for Directive 2006/48/EC
- Article 485 — Eligibility for inclusion in the Common Equity Tier 1 of share premium accounts related to items that qualified as own funds under national transposition measures for Directive 2006/48/EC
- 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 elements of own funds
- 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
- CHAPTER 3 — Transitional provisions for 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 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 — Adjustment of risk-weighted non-defaulted SME exposures
- Article 501a — Adjustment to own funds requirements for credit risk for exposures to entities that operate or finance physical structures or facilities, systems and networks that provide or support essential public services
- 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
- TITLE III — AMENDMENTS
- PART ELEVEN — FINAL PROVISIONS
- Final
- 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